Sik/tradingbot
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Update filtering

Browse Source
This commit is contained in:
Sik Yoon 2024-05-24 22:07:46 +09:00
parent d61cc14bd5
commit ede6c9e29d
3 changed files with 171 additions and 107 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

132
src/strategy_team/future_strategy_long.rs
View File

@ -8,7 +8,7 @@ use super::{
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo, Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex, FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal, RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal
}; };
use crate::future::{Position, FuturesExchangeInfo}; use crate::future::{Position, FuturesExchangeInfo};
@ -31,61 +31,94 @@ pub async fn list_up_for_buy(
} }
// current Tema(15) < current Tema(60) // current Tema(15) < current Tema(60)
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?; // let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?;
let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?; // let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await; // let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
let mut do_buy = false; // let mut do_buy = false;
if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) { // if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) {
if tema15_vec.len() > 10 // if tema15_vec.len() > 10
&& tema60_vec.len() > 10 // && tema60_vec.len() > 10
&& tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time // && tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time
&& tema15_vec.last().unwrap().close_time > server_epoch // && tema15_vec.last().unwrap().close_time > server_epoch
&& tema60_vec.last().unwrap().close_time > server_epoch // && tema60_vec.last().unwrap().close_time > server_epoch
{ // {
if tema15_vec.last().unwrap().tema_value > tema60_vec.last().unwrap().tema_value { // if tema15_vec.last().unwrap().tema_value > tema60_vec.last().unwrap().tema_value {
do_buy = true; // do_buy = true;
} // }
} // }
} // }
if do_buy == false { // if do_buy == false {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles // Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let heatmap_volumes = heatmap_volume( // let heatmap_volumes = heatmap_volume(
60, // 60,
60, // 60,
4.0, // 4.0,
2.5, // 2.5,
1.0, // 1.0,
-0.5, // -0.5,
&filtered_data, // &filtered_data,
&alldata.rt_price_1m_vec, // &alldata.rt_price_1m_vec,
) // )
.await?; // .await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
// if heatmap_volume_vec.len() > 100
// && heatmap_volume_vec.last().unwrap().close_time > server_epoch
// && rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time
// && heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
// && rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
// let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
// rt_price_vec_30m.last().unwrap().close_price,
// )
// .unwrap();
// values.closetime = heatmap_volume_vec.last().unwrap().close_time;
// values.current_price = current_price;
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { for (symbol, values) in &mut filtered_data {
let mut do_buy = false; let mut do_buy = false;
if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) { let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if heatmap_volume_vec.len() > 100 if let (Some(stoch_rsi_vec), Some(current_info)) = (stoch_rsis.get(symbol), price_and_closetime) {
&& heatmap_volume_vec.last().unwrap().close_time > server_epoch if server_epoch < current_info.1 {
&& rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time let search_result = stoch_rsi_vec
&& heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh .iter()
&& rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN { .position(|x| x.close_time == current_info.1);
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64( if stoch_rsi_vec.len() > 10
rt_price_vec_30m.last().unwrap().close_price, && search_result.is_some_and(|a| {
) stoch_rsi_vec[a].k > 20.0
.unwrap(); && stoch_rsi_vec[a].k > stoch_rsi_vec[a].d
values.closetime = heatmap_volume_vec.last().unwrap().close_time; && stoch_rsi_vec[a - 1].k < 20.0
values.current_price = current_price; && stoch_rsi_vec[a - 2].k < 20.0
})
{
values.closetime = current_info.1;
values.current_price = current_info.0;
do_buy = true; do_buy = true;
} }
} }
}
if do_buy == false { if do_buy == false {
keys_to_remove.insert(symbol.clone()); keys_to_remove.insert(symbol.clone());
@ -93,7 +126,6 @@ pub async fn list_up_for_buy(
} }
remove_keys(&mut filtered_data, keys_to_remove).await; remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?; let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
insert_future_coins(Position::Long, server_epoch, &final_filtered_data).await?; insert_future_coins(Position::Long, server_epoch, &final_filtered_data).await?;
@ -125,7 +157,7 @@ pub async fn list_up_for_sell() -> Result<(), Box<dyn std::error::Error + Send +
is_sell = true; is_sell = true;
} else if element.pure_profit_percent <= -0.8 { } else if element.pure_profit_percent <= -0.8 {
is_sell = true; is_sell = true;
} else if server_epoch - element.transact_time >= (600_000) * 1 { } else if server_epoch - element.transact_time >= (300_000) * 1 {
// time up selling // time up selling
is_sell = true; is_sell = true;
} }

133
src/strategy_team/future_strategy_short.rs
View File

@ -8,7 +8,7 @@ use super::{
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo, Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex, FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal, RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal
}; };
use crate::future::{Position, FuturesExchangeInfo}; use crate::future::{Position, FuturesExchangeInfo};
@ -31,69 +31,100 @@ pub async fn list_up_for_buy(
} }
// current Tema(15) < current Tema(60) // current Tema(15) < current Tema(60)
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?; // let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?;
let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?; // let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await; // let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
let mut do_buy = false; // let mut do_buy = false;
if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) { // if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) {
if tema15_vec.len() > 10 // if tema15_vec.len() > 10
&& tema60_vec.len() > 10 // && tema60_vec.len() > 10
&& tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time // && tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time
&& tema15_vec.last().unwrap().close_time > server_epoch // && tema15_vec.last().unwrap().close_time > server_epoch
&& tema60_vec.last().unwrap().close_time > server_epoch // && tema60_vec.last().unwrap().close_time > server_epoch
{ // {
if tema15_vec.last().unwrap().tema_value < tema60_vec.last().unwrap().tema_value { // if tema15_vec.last().unwrap().tema_value < tema60_vec.last().unwrap().tema_value {
do_buy = true; // do_buy = true;
} // }
} // }
} // }
if do_buy == false { // if do_buy == false {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles // Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let heatmap_volumes = heatmap_volume( // let heatmap_volumes = heatmap_volume(
60, // 60,
60, // 60,
4.0, // 4.0,
2.5, // 2.5,
1.0, // 1.0,
-0.5, // -0.5,
&filtered_data, // &filtered_data,
&alldata.rt_price_1m_vec, // &alldata.rt_price_1m_vec,
) // )
.await?; // .await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
// if heatmap_volume_vec.len() > 100
// && heatmap_volume_vec.last().unwrap().close_time > server_epoch
// && rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time
// && heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
// && rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
// let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
// rt_price_vec_30m.last().unwrap().close_price,
// )
// .unwrap();
// values.closetime = heatmap_volume_vec.last().unwrap().close_time;
// values.current_price = current_price;
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { for (symbol, values) in &mut filtered_data {
let mut do_buy = false; let mut do_buy = false;
if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) { let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if heatmap_volume_vec.len() > 100 if let (Some(stoch_rsi_vec), Some(current_info)) = (stoch_rsis.get(symbol), price_and_closetime) {
&& heatmap_volume_vec.last().unwrap().close_time > server_epoch if server_epoch < current_info.1 {
&& rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time let search_result = stoch_rsi_vec
&& heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh .iter()
&& rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN { .position(|x| x.close_time == current_info.1);
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64( if stoch_rsi_vec.len() > 10
rt_price_vec_30m.last().unwrap().close_price, && search_result.is_some_and(|a| {
) stoch_rsi_vec[a].k < 80.0
.unwrap(); && stoch_rsi_vec[a].k < stoch_rsi_vec[a].d
values.closetime = heatmap_volume_vec.last().unwrap().close_time; && stoch_rsi_vec[a - 1].k > 80.0
values.current_price = current_price; && stoch_rsi_vec[a - 2].k > 80.0
})
{
values.closetime = current_info.1;
values.current_price = current_info.0;
do_buy = true; do_buy = true;
} }
} }
}
if do_buy == false { if do_buy == false {
keys_to_remove.insert(symbol.clone()); keys_to_remove.insert(symbol.clone());
} }
} }
remove_keys(&mut filtered_data, keys_to_remove).await; remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?; let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
insert_future_coins(Position::Short, server_epoch, &final_filtered_data).await?; insert_future_coins(Position::Short, server_epoch, &final_filtered_data).await?;
@ -125,7 +156,7 @@ pub async fn list_up_for_sell() -> Result<(), Box<dyn std::error::Error + Send +
is_sell = true; is_sell = true;
} else if element.pure_profit_percent <= -0.8 { } else if element.pure_profit_percent <= -0.8 {
is_sell = true; is_sell = true;
} else if server_epoch - element.transact_time >= (600_000) * 1 { } else if server_epoch - element.transact_time >= (300_000) * 1 {
// time up selling // time up selling
is_sell = true; is_sell = true;
} }

5
src/strategy_team/mod.rs
View File

@ -233,14 +233,15 @@ pub async fn get_current_price_f64(
pub async fn get_current_price_decimal( pub async fn get_current_price_decimal(
symbol: &String, symbol: &String,
rt_price_map: &HashMap<String, Vec<RealtimePriceData>>, rt_price_map: &HashMap<String, Vec<RealtimePriceData>>,
) -> Option<Decimal> { ) -> Option<(Decimal, i64)> {
if let Some(rt_vec) = rt_price_map.get(symbol) { if let Some(rt_vec) = rt_price_map.get(symbol) {
if rt_vec.last().is_some_and(|a| a.close_price.is_normal()) { if rt_vec.last().is_some_and(|a| a.close_price.is_normal()) {
let current_price = rust_decimal::prelude::FromPrimitive::from_f64( let current_price = rust_decimal::prelude::FromPrimitive::from_f64(
rt_vec.last().unwrap().close_price, rt_vec.last().unwrap().close_price,
) )
.unwrap(); .unwrap();
return Some(current_price); let close_time = rt_vec.last().unwrap().close_time;
return Some((current_price, close_time));
} }
} }
None None