New strategy_004
This commit is contained in:
parent
e3b6f9e293
commit
f023ac22c8
|
|
@ -1,14 +1,16 @@
|
||||||
|
use crate::value_estimation_team::indicators::bollingerband::bollingerband;
|
||||||
|
|
||||||
use super::{
|
use super::{
|
||||||
dec, decimal_add, decimal_sub, ema, exists_record, insert_pre_suggested_coins,
|
dec, decimal_add, decimal_sub, decimal_div, ema, exists_record, insert_pre_suggested_coins,
|
||||||
limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData,
|
limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData,
|
||||||
Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredData, Mutex,
|
Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredData, Mutex,
|
||||||
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, server_epoch
|
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, server_epoch, MacdData, ema_macd,
|
||||||
|
BollingerBandData, ToPrimitive
|
||||||
};
|
};
|
||||||
|
|
||||||
// Triple SuperTrend strategy
|
// BB lowerband + SuperTrend + StochRSI
|
||||||
// SuperTrend length: 10, multiplier: 3, already up area
|
// SuperTrend length: 20, multiplier: 1.5, BUY signal
|
||||||
// SuperTrend length: 10, multiplier: 2, already up area
|
// ADX(10, 10) < 25.0
|
||||||
// SuperTrend length: 10, multiplier: 1.2, buy signal
|
|
||||||
pub async fn list_up_for_buy(
|
pub async fn list_up_for_buy(
|
||||||
alldata: AllData,
|
alldata: AllData,
|
||||||
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
||||||
|
|
@ -31,7 +33,7 @@ pub async fn list_up_for_buy(
|
||||||
let mut exists_condition_build = String::from("symbol=\'");
|
let mut exists_condition_build = String::from("symbol=\'");
|
||||||
exists_condition_build.push_str(symbol.as_str());
|
exists_condition_build.push_str(symbol.as_str());
|
||||||
exists_condition_build.push_str("\' AND registerer=");
|
exists_condition_build.push_str("\' AND registerer=");
|
||||||
exists_condition_build.push_str(4.to_string().as_str());
|
exists_condition_build.push_str(5.to_string().as_str());
|
||||||
// exists_condition_build.push_str("\' AND close_time=");
|
// exists_condition_build.push_str("\' AND close_time=");
|
||||||
// exists_condition_build.push_str(element.1.to_string().as_str());
|
// exists_condition_build.push_str(element.1.to_string().as_str());
|
||||||
let exists_condition = Some(exists_condition_build);
|
let exists_condition = Some(exists_condition_build);
|
||||||
|
|
@ -68,30 +70,83 @@ pub async fn list_up_for_buy(
|
||||||
}
|
}
|
||||||
try_join_all(task_vec).await?;
|
try_join_all(task_vec).await?;
|
||||||
|
|
||||||
// 2nd filtering: supertrend(ATR period 10, multiplier: 1.2, 30m close price), signal should be BUY
|
// 2nd filtering: BollingerBand (len:10, multiplier 2.5) previous_30m_price (close or low price) < lower_band
|
||||||
let filtered_data_1st = filtered_data_1st_arc.lock().await.clone();
|
let filtered_data_1st = filtered_data_1st_arc.lock().await.clone();
|
||||||
let mut filtered_data_2nd: Vec<FilteredData> = Vec::new();
|
let mut filtered_data_2nd: Vec<FilteredData> = Vec::new();
|
||||||
let mut filtered_data_2nd_arc: Arc<Mutex<Vec<FilteredData>>> =
|
let mut filtered_data_2nd_arc: Arc<Mutex<Vec<FilteredData>>> =
|
||||||
Arc::new(Mutex::new(filtered_data_2nd));
|
Arc::new(Mutex::new(filtered_data_2nd));
|
||||||
let mut task_vec = Vec::new();
|
let mut task_vec = Vec::new();
|
||||||
|
let bollingerbands = bollingerband(10, 2.5, &alldata.rt_price_30m_vec, &filtered_data_1st).await?;
|
||||||
for element in filtered_data_1st {
|
for element in filtered_data_1st {
|
||||||
let mut rt_30m_vec: Vec<RealtimePriceData> = Vec::new();
|
let mut rt_30m_vec: Vec<RealtimePriceData> = Vec::new();
|
||||||
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
let mut bb_vec: Vec<BollingerBandData> = Vec::new();
|
||||||
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
let rt_price_30m_vec_c: Vec<(String, Vec<RealtimePriceData>)> = alldata.rt_price_30m_vec.clone();
|
||||||
|
let bollingerbands_c = bollingerbands.clone();
|
||||||
let filtered_data_2nd_arc_c = Arc::clone(&filtered_data_2nd_arc);
|
let filtered_data_2nd_arc_c = Arc::clone(&filtered_data_2nd_arc);
|
||||||
|
task_vec.push(tokio::spawn(async move {
|
||||||
|
let rt_30m_option = rt_price_30m_vec_c
|
||||||
|
.iter()
|
||||||
|
.position(|x| *x.0 == element.symbol);
|
||||||
|
let bb_option_30m = bollingerbands_c.iter().position(|x| x.0 == element.symbol);
|
||||||
|
|
||||||
|
if rt_30m_option.is_some() && bb_option_30m.is_some() {
|
||||||
|
rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone();
|
||||||
|
bb_vec = bollingerbands_c[bb_option_30m.unwrap()].1.clone();
|
||||||
|
let server_epoch = server_epoch().await;
|
||||||
|
if rt_30m_vec.len() >= 3 && bb_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch {
|
||||||
|
let bb_search_result = bb_vec.binary_search_by_key(
|
||||||
|
&rt_30m_vec.last().unwrap().close_time,
|
||||||
|
|BollingerBandData {
|
||||||
|
sma,
|
||||||
|
upperband,
|
||||||
|
lowerband,
|
||||||
|
close_time,
|
||||||
|
}| *close_time,
|
||||||
|
);
|
||||||
|
if bb_search_result.is_ok() {
|
||||||
|
if bb_vec[bb_search_result.unwrap()-1].lowerband > rt_30m_vec[rt_30m_vec.len()-2].low_price &&
|
||||||
|
rt_30m_vec[rt_30m_vec.len()-2].opclo_price > rt_30m_vec.last().unwrap().close_price &&
|
||||||
|
rt_30m_vec[rt_30m_vec.len()-2].candle_type.contains("DOWN") &&
|
||||||
|
rt_30m_vec[rt_30m_vec.len()-2].high_price < bb_vec[bb_search_result.unwrap()-1].sma
|
||||||
|
{
|
||||||
|
let mut filtered_data_2nd_lock = filtered_data_2nd_arc_c.lock().await;
|
||||||
|
let mut filtered_data = FilteredData::new();
|
||||||
|
filtered_data.symbol = element.symbol.clone();
|
||||||
|
filtered_data.closetime = rt_30m_vec.last().unwrap().close_time;
|
||||||
|
filtered_data.current_price = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap();;
|
||||||
|
filtered_data_2nd_lock.push(filtered_data);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}));
|
||||||
|
}
|
||||||
|
try_join_all(task_vec).await?;
|
||||||
|
|
||||||
|
// 3rd filtering: supertrend(ATR period 10, multiplier: 2, 30m close price), area should be DOWN
|
||||||
|
let filtered_data_2nd = filtered_data_2nd_arc.lock().await.clone();
|
||||||
|
let mut filtered_data_3rd: Vec<FilteredData> = Vec::new();
|
||||||
|
let mut filtered_data_3rd_arc: Arc<Mutex<Vec<FilteredData>>> =
|
||||||
|
Arc::new(Mutex::new(filtered_data_3rd));
|
||||||
|
let mut task_vec = Vec::new();
|
||||||
|
|
||||||
|
for element in filtered_data_2nd {
|
||||||
|
let mut rt_30m_vec: Vec<RealtimePriceData> = Vec::new();
|
||||||
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
||||||
|
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
||||||
|
let filtered_data_3rd_arc_c = Arc::clone(&filtered_data_3rd_arc);
|
||||||
task_vec.push(tokio::spawn(async move {
|
task_vec.push(tokio::spawn(async move {
|
||||||
let rt_30m_option = rt_price_30m_vec_c
|
let rt_30m_option = rt_price_30m_vec_c
|
||||||
.iter()
|
.iter()
|
||||||
.position(|x| *x.0 == element.symbol);
|
.position(|x| *x.0 == element.symbol);
|
||||||
let supertrend_option_30m =
|
let supertrend_option_30m =
|
||||||
supertrend(&element.symbol, &rt_price_30m_vec_c, 10, 1.2, true).await;
|
supertrend(&element.symbol, &rt_price_30m_vec_c, 20, 2.0, true).await;
|
||||||
|
|
||||||
if rt_30m_option.is_some() && supertrend_option_30m.is_some() {
|
if rt_30m_option.is_some() && supertrend_option_30m.is_some() {
|
||||||
rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone();
|
rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone();
|
||||||
supertrend_vec = supertrend_option_30m.unwrap();
|
supertrend_vec = supertrend_option_30m.unwrap();
|
||||||
|
let server_epoch = server_epoch().await;
|
||||||
if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 {
|
if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch {
|
||||||
let supertrend_search_result = supertrend_vec.binary_search_by_key(
|
let supertrend_search_result = supertrend_vec.binary_search_by_key(
|
||||||
&rt_30m_vec.last().unwrap().close_time,
|
&rt_30m_vec.last().unwrap().close_time,
|
||||||
|SupertrendData {
|
|SupertrendData {
|
||||||
|
|
@ -104,73 +159,19 @@ pub async fn list_up_for_buy(
|
||||||
if supertrend_search_result.is_ok() {
|
if supertrend_search_result.is_ok() {
|
||||||
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap();
|
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap();
|
||||||
|
|
||||||
if supertrend_vec[supertrend_search_result.unwrap()].signal.as_ref().is_some_and(|x| x.contains("BUY"))
|
if supertrend_vec[supertrend_search_result.unwrap()].area.contains("DOWN")
|
||||||
&& current_price
|
&& supertrend_vec[supertrend_search_result.unwrap()].band_value > element.current_price.to_f64().unwrap()
|
||||||
< rust_decimal::prelude::FromPrimitive::from_f64(
|
|
||||||
supertrend_vec[supertrend_search_result.unwrap()-1].band_value * 1.002,
|
|
||||||
)
|
|
||||||
.unwrap()
|
|
||||||
&& supertrend_vec[supertrend_search_result.unwrap()-1].band_value > supertrend_vec[supertrend_search_result.unwrap()].band_value
|
|
||||||
{
|
{
|
||||||
let mut filtered_data_2nd_lock = filtered_data_2nd_arc_c.lock().await;
|
let mut filtered_data_3rd_lock = filtered_data_3rd_arc_c.lock().await;
|
||||||
let mut filtered_data = FilteredData::new();
|
|
||||||
filtered_data.symbol = element.symbol.clone();
|
|
||||||
filtered_data.closetime = rt_30m_vec.last().unwrap().close_time;
|
|
||||||
filtered_data.current_price = current_price;
|
|
||||||
|
|
||||||
filtered_data_2nd_lock.push(filtered_data);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}));
|
|
||||||
}
|
|
||||||
try_join_all(task_vec).await?;
|
|
||||||
|
|
||||||
// 3rd filtering: supertrend(ATR period 50, multiplier: 2.0, 30m close price), the area should be in UP area.
|
|
||||||
let filtered_data_2nd = filtered_data_2nd_arc.lock().await.clone();
|
|
||||||
let mut filtered_data_3rd: Vec<FilteredData> = Vec::new();
|
|
||||||
let mut filtered_data_3rd_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
||||||
Arc::new(Mutex::new(filtered_data_3rd));
|
|
||||||
let mut task_vec = Vec::new();
|
|
||||||
let valid_symbol_vec_c = alldata.valid_symbol_vec.clone();
|
|
||||||
for element in filtered_data_2nd {
|
|
||||||
let mut opclo_30m_vec: Vec<RealtimePriceData> = Vec::new();
|
|
||||||
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
|
||||||
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
|
||||||
let filtered_data_3rd_arc_c = Arc::clone(&filtered_data_3rd_arc);
|
|
||||||
task_vec.push(tokio::spawn(async move {
|
|
||||||
let supertrend_option_30m =
|
|
||||||
supertrend(&element.symbol, &rt_price_30m_vec_c, 50, 2.0, true).await;
|
|
||||||
|
|
||||||
if supertrend_option_30m.is_some() {
|
|
||||||
supertrend_vec = supertrend_option_30m.unwrap();
|
|
||||||
|
|
||||||
if supertrend_vec.len() >= 3 {
|
|
||||||
let supertrend_search_result = supertrend_vec.binary_search_by_key(
|
|
||||||
&element.closetime,
|
|
||||||
|SupertrendData {
|
|
||||||
band_value,
|
|
||||||
signal,
|
|
||||||
area,
|
|
||||||
close_time,
|
|
||||||
}| *close_time,
|
|
||||||
);
|
|
||||||
if supertrend_search_result.is_ok() {
|
|
||||||
if supertrend_vec[supertrend_search_result.unwrap()]
|
|
||||||
.area
|
|
||||||
.contains("UP")
|
|
||||||
{
|
|
||||||
let mut filtered_3rd_symbols_lock =
|
|
||||||
filtered_data_3rd_arc_c.lock().await;
|
|
||||||
let mut filtered_data = FilteredData::new();
|
let mut filtered_data = FilteredData::new();
|
||||||
filtered_data.symbol = element.symbol.clone();
|
filtered_data.symbol = element.symbol.clone();
|
||||||
filtered_data.closetime = element.closetime;
|
filtered_data.closetime = element.closetime;
|
||||||
filtered_data.current_price = element.current_price;
|
filtered_data.current_price = element.current_price;
|
||||||
filtered_data.stoploss = element.stoploss;
|
filtered_data.target_price = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap();
|
||||||
filtered_data.target_price = element.target_price;
|
let stop_loss = decimal_sub(filtered_data.current_price, decimal_div(decimal_sub(filtered_data.target_price, filtered_data.current_price), dec!(2)));
|
||||||
|
filtered_data.stoploss = stop_loss;
|
||||||
filtered_3rd_symbols_lock.push(filtered_data);
|
|
||||||
|
filtered_data_3rd_lock.push(filtered_data);
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
@ -179,113 +180,47 @@ pub async fn list_up_for_buy(
|
||||||
}
|
}
|
||||||
try_join_all(task_vec).await?;
|
try_join_all(task_vec).await?;
|
||||||
|
|
||||||
// 4th filtering: supertrend(ATR period 10, multiplier: 1.5, 30m close price), the area should be UP
|
// 4th filtering: MACD 1d (fast:3, slow:7, smoothing:3) MACD > signal
|
||||||
// set stoploss and target_price
|
let filtered_data_3rd = filtered_data_3rd_arc.lock().await.clone();
|
||||||
let filtered_data_3rd_c = filtered_data_3rd_arc.lock().await.clone();
|
|
||||||
let mut filtered_data_4th: Vec<FilteredData> = Vec::new();
|
let mut filtered_data_4th: Vec<FilteredData> = Vec::new();
|
||||||
let mut filtered_data_4th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
let mut filtered_data_4th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
||||||
Arc::new(Mutex::new(filtered_data_4th));
|
Arc::new(Mutex::new(filtered_data_4th));
|
||||||
let mut task_vec = Vec::new();
|
let mut task_vec = Vec::new();
|
||||||
for element in filtered_data_3rd_c {
|
let macd_vec = ema_macd(3, 7, 3, &alldata.rt_price_1d_vec, &filtered_data_3rd).await?;
|
||||||
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
for element in filtered_data_3rd {
|
||||||
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
|
||||||
let filtered_data_4th_arc_c = Arc::clone(&filtered_data_4th_arc);
|
|
||||||
|
|
||||||
task_vec.push(tokio::spawn(async move {
|
|
||||||
let supertrend_option_30m =
|
|
||||||
supertrend(&element.symbol, &rt_price_30m_vec_c, 10, 1.5, true).await;
|
|
||||||
|
|
||||||
if supertrend_option_30m.is_some() {
|
|
||||||
supertrend_vec = supertrend_option_30m.unwrap();
|
|
||||||
|
|
||||||
if supertrend_vec.len() >= 3 {
|
|
||||||
let supertrend_search_result = supertrend_vec.binary_search_by_key(
|
|
||||||
&element.closetime,
|
|
||||||
|SupertrendData {
|
|
||||||
band_value,
|
|
||||||
signal,
|
|
||||||
area,
|
|
||||||
close_time,
|
|
||||||
}| *close_time,
|
|
||||||
);
|
|
||||||
if supertrend_search_result.is_ok() {
|
|
||||||
if supertrend_vec[supertrend_search_result.unwrap()]
|
|
||||||
.area
|
|
||||||
.contains("UP")
|
|
||||||
{
|
|
||||||
let mut filtered_data_4th_lock = filtered_data_4th_arc_c.lock().await;
|
|
||||||
let mut filtered_data = FilteredData::new();
|
|
||||||
filtered_data.symbol = element.symbol.clone();
|
|
||||||
filtered_data.closetime = element.closetime;
|
|
||||||
filtered_data.current_price = element.current_price;
|
|
||||||
filtered_data.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap();
|
|
||||||
let target_price = decimal_add(
|
|
||||||
filtered_data.current_price,
|
|
||||||
decimal_sub(filtered_data.current_price, filtered_data.stoploss),
|
|
||||||
);
|
|
||||||
filtered_data.target_price = target_price;
|
|
||||||
|
|
||||||
filtered_data_4th_lock.push(filtered_data);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}));
|
|
||||||
}
|
|
||||||
try_join_all(task_vec).await?;
|
|
||||||
|
|
||||||
|
|
||||||
// 5th filtering: supertrend(ATR period 3, multiplier: 1.1, 1d close price), the area should be in UP area.
|
|
||||||
let filtered_data_4th = filtered_data_4th_arc.lock().await.clone();
|
|
||||||
let mut filtered_data_5th: Vec<FilteredData> = Vec::new();
|
|
||||||
let mut filtered_data_5th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
||||||
Arc::new(Mutex::new(filtered_data_5th));
|
|
||||||
let mut task_vec = Vec::new();
|
|
||||||
let valid_symbol_vec_c = alldata.valid_symbol_vec.clone();
|
|
||||||
for element in filtered_data_4th {
|
|
||||||
let mut opclo_1d_vec: Vec<RealtimePriceData> = Vec::new();
|
let mut opclo_1d_vec: Vec<RealtimePriceData> = Vec::new();
|
||||||
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
||||||
let rt_price_1d_vec_c = alldata.rt_price_1d_vec.clone();
|
let macd_vec_c = macd_vec.clone();
|
||||||
let filtered_data_5th_arc_c = Arc::clone(&filtered_data_5th_arc);
|
let filtered_data_4th_arc_c = Arc::clone(&filtered_data_4th_arc);
|
||||||
task_vec.push(tokio::spawn(async move {
|
task_vec.push(tokio::spawn(async move {
|
||||||
let supertrend_option_1d =
|
let search_result = macd_vec_c.iter().position(|x| x.0 == element.symbol);
|
||||||
supertrend(&element.symbol, &rt_price_1d_vec_c, 3, 1.1, true).await;
|
|
||||||
|
|
||||||
if supertrend_option_1d.is_some() {
|
if search_result.is_some_and(|a| macd_vec_c[a].1.last().unwrap().macd_value > macd_vec_c[a].1.last().unwrap().signal_value) {
|
||||||
supertrend_vec = supertrend_option_1d.unwrap();
|
let mut filtered_4th_symbols_lock =
|
||||||
|
filtered_data_4th_arc_c.lock().await;
|
||||||
|
let mut filtered_data = FilteredData::new();
|
||||||
|
filtered_data.symbol = element.symbol.clone();
|
||||||
|
filtered_data.closetime = element.closetime;
|
||||||
|
filtered_data.current_price = element.current_price;
|
||||||
|
filtered_data.stoploss = element.stoploss;
|
||||||
|
filtered_data.target_price = element.target_price;
|
||||||
|
|
||||||
if supertrend_vec.len() >= 3 {
|
filtered_4th_symbols_lock.push(filtered_data);
|
||||||
if supertrend_vec.last().unwrap()
|
|
||||||
.area
|
|
||||||
.contains("UP")
|
|
||||||
{
|
|
||||||
let mut filtered_5th_symbols_lock =
|
|
||||||
filtered_data_5th_arc_c.lock().await;
|
|
||||||
let mut filtered_data = FilteredData::new();
|
|
||||||
filtered_data.symbol = element.symbol.clone();
|
|
||||||
filtered_data.closetime = element.closetime;
|
|
||||||
filtered_data.current_price = element.current_price;
|
|
||||||
filtered_data.stoploss = element.stoploss;
|
|
||||||
filtered_data.target_price = element.target_price;
|
|
||||||
|
|
||||||
filtered_5th_symbols_lock.push(filtered_data);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
}));
|
}));
|
||||||
}
|
}
|
||||||
try_join_all(task_vec).await?;
|
try_join_all(task_vec).await?;
|
||||||
|
|
||||||
// 6th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0%
|
// 5th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0%
|
||||||
let filtered_data_5th_c = filtered_data_5th_arc.lock().await.clone();
|
let filtered_data_4th_c = filtered_data_4th_arc.lock().await.clone();
|
||||||
let mut filtered_data_6th: Vec<FilteredData> = Vec::new();
|
let mut filtered_data_5th: Vec<FilteredData> = Vec::new();
|
||||||
let mut filtered_data_6th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
let mut filtered_data_5th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
||||||
Arc::new(Mutex::new(filtered_data_6th));
|
Arc::new(Mutex::new(filtered_data_5th));
|
||||||
let mut task_vec = Vec::new();
|
let mut task_vec = Vec::new();
|
||||||
for element in filtered_data_5th_c {
|
for element in filtered_data_4th_c {
|
||||||
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
||||||
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
||||||
let filtered_data_6th_arc_c = Arc::clone(&filtered_data_6th_arc);
|
let filtered_data_5th_arc_c = Arc::clone(&filtered_data_5th_arc);
|
||||||
|
|
||||||
task_vec.push(tokio::spawn(async move {
|
task_vec.push(tokio::spawn(async move {
|
||||||
let position_idx = rt_price_30m_vec_c.iter().position(|elem| elem.0 == element.symbol);
|
let position_idx = rt_price_30m_vec_c.iter().position(|elem| elem.0 == element.symbol);
|
||||||
|
|
@ -303,7 +238,42 @@ pub async fn list_up_for_buy(
|
||||||
average_amplitude /= 10.0;
|
average_amplitude /= 10.0;
|
||||||
|
|
||||||
if 0.005 <= average_amplitude && average_amplitude <= 0.01 {
|
if 0.005 <= average_amplitude && average_amplitude <= 0.01 {
|
||||||
let mut filtered_data_6th_lock = filtered_data_6th_arc_c.lock().await;
|
let mut filtered_data_5th_lock = filtered_data_5th_arc_c.lock().await;
|
||||||
|
let mut filtered_data = FilteredData::new();
|
||||||
|
filtered_data.symbol = element.symbol.clone();
|
||||||
|
filtered_data.closetime = element.closetime;
|
||||||
|
filtered_data.current_price = element.current_price;
|
||||||
|
filtered_data.stoploss = element.stoploss;
|
||||||
|
filtered_data.target_price = element.target_price;
|
||||||
|
|
||||||
|
filtered_data_5th_lock.push(filtered_data);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}));
|
||||||
|
}
|
||||||
|
try_join_all(task_vec).await?;
|
||||||
|
|
||||||
|
// 6th filtering: 30m StochRSI (RSI_len: 10, StochRSI_len: 10, K: 3, D: 3) current K, D < 20
|
||||||
|
let filtered_data_5th_c = filtered_data_5th_arc.lock().await.clone();
|
||||||
|
let mut filtered_data_6th: Vec<FilteredData> = Vec::new();
|
||||||
|
let mut filtered_data_6th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
||||||
|
Arc::new(Mutex::new(filtered_data_6th));
|
||||||
|
let mut task_vec = Vec::new();
|
||||||
|
let stoch_rsis = stoch_rsi(10, 10, 3, 3, &alldata.rt_price_30m_vec, &filtered_data_5th_c).await?;
|
||||||
|
for element in filtered_data_5th_c {
|
||||||
|
let stoch_rsis_c = stoch_rsis.clone();
|
||||||
|
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
||||||
|
let filtered_data_6th_arc_c = Arc::clone(&filtered_data_6th_arc);
|
||||||
|
|
||||||
|
task_vec.push(tokio::spawn(async move {
|
||||||
|
let position_idx = stoch_rsis_c.iter().position(|elem| elem.0 == element.symbol);
|
||||||
|
|
||||||
|
if position_idx.is_some() {
|
||||||
|
let stoch_rsi_vec = stoch_rsis_c[position_idx.unwrap()].1.clone();
|
||||||
|
let search_result = stoch_rsi_vec.iter().position(|x| x.close_time == element.closetime);
|
||||||
|
if search_result.is_some_and(|a| stoch_rsi_vec[a].k < 20.0 && stoch_rsi_vec[a].d < 20.0) {
|
||||||
|
let mut filtered_data_6th_lock = filtered_data_6th_arc_c.lock().await;
|
||||||
let mut filtered_data = FilteredData::new();
|
let mut filtered_data = FilteredData::new();
|
||||||
filtered_data.symbol = element.symbol.clone();
|
filtered_data.symbol = element.symbol.clone();
|
||||||
filtered_data.closetime = element.closetime;
|
filtered_data.closetime = element.closetime;
|
||||||
|
|
@ -312,141 +282,13 @@ pub async fn list_up_for_buy(
|
||||||
filtered_data.target_price = element.target_price;
|
filtered_data.target_price = element.target_price;
|
||||||
|
|
||||||
filtered_data_6th_lock.push(filtered_data);
|
filtered_data_6th_lock.push(filtered_data);
|
||||||
}
|
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}));
|
}));
|
||||||
}
|
}
|
||||||
try_join_all(task_vec).await?;
|
try_join_all(task_vec).await?;
|
||||||
|
|
||||||
// 7th filtering: ema3_30m < ema5_30m latest 3 candles
|
let final_filtered_data = filtered_data_6th_arc.lock().await.clone();
|
||||||
let filtered_data_6th_c = filtered_data_6th_arc.lock().await.clone();
|
|
||||||
let mut filtered_data_7th: Vec<FilteredData> = Vec::new();
|
|
||||||
let mut filtered_data_7th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
||||||
Arc::new(Mutex::new(filtered_data_7th));
|
|
||||||
let mut task_vec = Vec::new();
|
|
||||||
let ema3_30m_data = ema(3, &alldata.rt_price_30m_vec, &filtered_data_6th_c).await?;
|
|
||||||
let ema5_30m_data = ema(5, &alldata.rt_price_30m_vec, &filtered_data_6th_c).await?;
|
|
||||||
for element in filtered_data_6th_c {
|
|
||||||
let filtered_data_7th_arc_c = Arc::clone(&filtered_data_7th_arc);
|
|
||||||
let ema3_30m_data_c = ema3_30m_data.clone();
|
|
||||||
let ema5_30m_data_c = ema5_30m_data.clone();
|
|
||||||
|
|
||||||
task_vec.push(tokio::spawn(async move {
|
|
||||||
let ema3_idx = ema3_30m_data_c.iter().position(|elem| elem.0 == element.symbol);
|
|
||||||
let ema5_idx = ema5_30m_data_c.iter().position(|elem| elem.0 == element.symbol);
|
|
||||||
|
|
||||||
if ema3_idx.is_some() && ema5_idx.is_some() {
|
|
||||||
let ema3_30m = &ema3_30m_data_c[ema3_idx.unwrap()].1;
|
|
||||||
let ema5_30m = &ema5_30m_data_c[ema3_idx.unwrap()].1;
|
|
||||||
|
|
||||||
let ema3_close_time_idx = ema3_30m.iter().position(|elem| elem.close_time == element.closetime);
|
|
||||||
let ema5_close_time_idx = ema5_30m.iter().position(|elem| elem.close_time == element.closetime);
|
|
||||||
|
|
||||||
if ema3_30m.len() >= 5 && ema5_30m.len() >= 5 && ema3_close_time_idx.is_some() && ema5_close_time_idx.is_some() {
|
|
||||||
if ema3_30m[ema3_close_time_idx.unwrap()-1].ema_value < ema5_30m[ema5_close_time_idx.unwrap()-1].ema_value ||
|
|
||||||
ema3_30m[ema3_close_time_idx.unwrap()-2].ema_value < ema5_30m[ema5_close_time_idx.unwrap()-2].ema_value ||
|
|
||||||
ema3_30m[ema3_close_time_idx.unwrap()-3].ema_value < ema5_30m[ema5_close_time_idx.unwrap()-3].ema_value {
|
|
||||||
let mut filtered_data_7th_lock = filtered_data_7th_arc_c.lock().await;
|
|
||||||
let mut filtered_data = FilteredData::new();
|
|
||||||
filtered_data.symbol = element.symbol.clone();
|
|
||||||
filtered_data.closetime = element.closetime;
|
|
||||||
filtered_data.current_price = element.current_price;
|
|
||||||
filtered_data.stoploss = element.stoploss;
|
|
||||||
filtered_data.target_price = element.target_price;
|
|
||||||
|
|
||||||
filtered_data_7th_lock.push(filtered_data);
|
|
||||||
}
|
|
||||||
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}));
|
|
||||||
}
|
|
||||||
try_join_all(task_vec).await?;
|
|
||||||
|
|
||||||
// // 4th filtering: StochRSI (RSI length: 3, Stoch length: 3, smooth k: 3, smooth d: 3) 80 > k > kn-1
|
|
||||||
// let filtered_4th_symbol_c = filtered_data_4th_arc.lock().await.clone();
|
|
||||||
// let mut rsi10_1d_data: Vec<(String, Vec<RsiData>)> =
|
|
||||||
// rsi(3, &alldata.rt_price_1d_vec, &filtered_4th_symbol_c).await?;
|
|
||||||
// let stoch_rsi_data = stoch_rsi(&rsi10_1d_data, 3, 3, 3).await?;
|
|
||||||
// let mut stoch_rsi3_1d_vec: Vec<StochRsiData> = Vec::new();
|
|
||||||
// let mut filtered_data_5th: Vec<FilteredData> = Vec::new();
|
|
||||||
// let mut filtered_data_5th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
||||||
// Arc::new(Mutex::new(filtered_data_5th));
|
|
||||||
// let mut task_vec = Vec::new();
|
|
||||||
// for element in filtered_4th_symbol_c {
|
|
||||||
// let stoch_rsi3_1d_option = stoch_rsi_data.iter().position(|x| *x.0 == element.symbol);
|
|
||||||
// let filtered_data_5th_arc_c = Arc::clone(&filtered_data_5th_arc);
|
|
||||||
// if stoch_rsi3_1d_option.is_some() {
|
|
||||||
// stoch_rsi3_1d_vec = stoch_rsi_data[stoch_rsi3_1d_option.unwrap()].1.clone();
|
|
||||||
|
|
||||||
// if stoch_rsi3_1d_vec.len() >= 3 {
|
|
||||||
// task_vec.push(tokio::spawn(async move {
|
|
||||||
// let stoch_rsi_search_result = stoch_rsi3_1d_vec
|
|
||||||
// .binary_search_by_key(&element.closetime, |&StochRsiData { k, d, close_time }| {
|
|
||||||
// close_time
|
|
||||||
// });
|
|
||||||
// if stoch_rsi_search_result.is_ok() {
|
|
||||||
// if 95.0 >= stoch_rsi3_1d_vec[stoch_rsi_search_result.unwrap()].k
|
|
||||||
// && stoch_rsi3_1d_vec[stoch_rsi_search_result.unwrap()].k
|
|
||||||
// > stoch_rsi3_1d_vec[stoch_rsi_search_result.unwrap() - 1].k
|
|
||||||
// && stoch_rsi3_1d_vec[stoch_rsi_search_result.unwrap()].k
|
|
||||||
// > stoch_rsi3_1d_vec[stoch_rsi_search_result.unwrap()].d
|
|
||||||
// {
|
|
||||||
// let mut filtered_data_5th_lock = filtered_data_5th_arc_c.lock().await;
|
|
||||||
// let mut filtered_data = FilteredData::new();
|
|
||||||
// filtered_data.symbol = element.symbol.clone();
|
|
||||||
// filtered_data.closetime = element.closetime;
|
|
||||||
// filtered_data.current_price = element.current_price;
|
|
||||||
// filtered_data.stoploss = element.stoploss;
|
|
||||||
// filtered_data.target_price = element.target_price;
|
|
||||||
|
|
||||||
// filtered_data_5th_lock.push(filtered_data);
|
|
||||||
// }
|
|
||||||
// }
|
|
||||||
// }));
|
|
||||||
// }
|
|
||||||
// }
|
|
||||||
// }
|
|
||||||
|
|
||||||
// 6th filtertering: coefficient-of-variation 0.5<= CV <= 1.0
|
|
||||||
// 20개 amplitude 기준 CV 계산
|
|
||||||
|
|
||||||
|
|
||||||
// // 6th filtering: Avoid high volatility
|
|
||||||
// let filtered_data_5th_c = filtered_data_5th_arc.lock().await.clone();
|
|
||||||
// let mut filtered_data_6th: Vec<FilteredData> = Vec::new();
|
|
||||||
// let mut filtered_data_6th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
||||||
// Arc::new(Mutex::new(filtered_data_6th));
|
|
||||||
// let mut task_vec = Vec::new();
|
|
||||||
// for element in filtered_data_5th_c {
|
|
||||||
// let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
|
||||||
// let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
|
||||||
// let filtered_data_6th_arc_c = Arc::clone(&filtered_data_5th_arc);
|
|
||||||
|
|
||||||
// task_vec.push(tokio::spawn(async move {
|
|
||||||
// let mut filtered_data = FilteredData::new();
|
|
||||||
// if rt_price_30m_vec_c.len() >= 50 {
|
|
||||||
|
|
||||||
|
|
||||||
// let mut filtered_data_5th_lock = filtered_data_6th_arc_c.lock().await;
|
|
||||||
|
|
||||||
// filtered_data.symbol = element.symbol.clone();
|
|
||||||
// filtered_data.closetime = element.closetime;
|
|
||||||
// filtered_data.current_price = element.current_price;
|
|
||||||
// filtered_data.stoploss = element.stoploss;
|
|
||||||
// filtered_data.target_price = element.target_price;
|
|
||||||
|
|
||||||
// filtered_data_5th_lock.push(filtered_data);
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
// }
|
|
||||||
// }));
|
|
||||||
// }
|
|
||||||
// try_join_all(task_vec).await?;
|
|
||||||
|
|
||||||
let final_filtered_data = filtered_data_7th_arc.lock().await.clone();
|
|
||||||
insert_pre_suggested_coins(4, false, &final_filtered_data, &alldata).await;
|
insert_pre_suggested_coins(4, false, &final_filtered_data, &alldata).await;
|
||||||
|
|
||||||
Ok(())
|
Ok(())
|
||||||
|
|
@ -465,6 +307,7 @@ pub async fn list_up_for_sell(
|
||||||
.build()
|
.build()
|
||||||
.unwrap();
|
.unwrap();
|
||||||
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
||||||
|
let server_epoch = server_epoch().await;
|
||||||
for element in filled_buy_orders {
|
for element in filled_buy_orders {
|
||||||
if element.used_usdt >= dec!(10.0) {
|
if element.used_usdt >= dec!(10.0) {
|
||||||
let lot_step_size_option = exchange_info_vec
|
let lot_step_size_option = exchange_info_vec
|
||||||
|
|
@ -473,34 +316,10 @@ pub async fn list_up_for_sell(
|
||||||
let quote_commission_precision_option = exchange_info_vec
|
let quote_commission_precision_option = exchange_info_vec
|
||||||
.iter()
|
.iter()
|
||||||
.position(|exchange_info| exchange_info.symbol == element.symbol);
|
.position(|exchange_info| exchange_info.symbol == element.symbol);
|
||||||
|
|
||||||
let opclo_30m_option = all_data
|
|
||||||
.rt_price_30m_vec
|
|
||||||
.iter()
|
|
||||||
.position(|x| *x.0 == element.symbol);
|
|
||||||
let supertrend_option_30m =
|
|
||||||
supertrend(&element.symbol, &all_data.rt_price_30m_vec, 10, 1.5, true).await;
|
|
||||||
|
|
||||||
if lot_step_size_option.is_some()
|
if lot_step_size_option.is_some()
|
||||||
&& quote_commission_precision_option.is_some()
|
&& quote_commission_precision_option.is_some()
|
||||||
&& opclo_30m_option.is_some()
|
|
||||||
&& supertrend_option_30m.is_some()
|
|
||||||
{
|
{
|
||||||
// update stoploss
|
|
||||||
supertrend_vec = supertrend_option_30m.unwrap();
|
|
||||||
let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap();
|
|
||||||
if supertrend_vec.last().unwrap().area.contains("UP")
|
|
||||||
&& band_value > element.stoploss {
|
|
||||||
let update_table_name = String::from("buy_ordered_coin_list");
|
|
||||||
let update_value = vec![
|
|
||||||
(String::from("stoploss"), band_value.to_string()),
|
|
||||||
];
|
|
||||||
let update_condition = vec![(String::from("id"), element.id.to_string())];
|
|
||||||
update_record3(&update_table_name, &update_value, &update_condition)
|
|
||||||
.await
|
|
||||||
.unwrap();
|
|
||||||
}
|
|
||||||
|
|
||||||
let lot_step_size = exchange_info_vec[lot_step_size_option.unwrap()].stepsize;
|
let lot_step_size = exchange_info_vec[lot_step_size_option.unwrap()].stepsize;
|
||||||
let quote_commission_precision = exchange_info_vec
|
let quote_commission_precision = exchange_info_vec
|
||||||
[quote_commission_precision_option.unwrap()]
|
[quote_commission_precision_option.unwrap()]
|
||||||
|
|
@ -515,7 +334,6 @@ pub async fn list_up_for_sell(
|
||||||
&& !element.current_price.is_zero()
|
&& !element.current_price.is_zero()
|
||||||
{
|
{
|
||||||
if element.current_price >= element.target_price
|
if element.current_price >= element.target_price
|
||||||
&& element.pure_profit_percent >= 0.1
|
|
||||||
{
|
{
|
||||||
limit_order_sell(
|
limit_order_sell(
|
||||||
&element,
|
&element,
|
||||||
|
|
@ -536,7 +354,17 @@ pub async fn list_up_for_sell(
|
||||||
&trade_fee_vec,
|
&trade_fee_vec,
|
||||||
)
|
)
|
||||||
.await;
|
.await;
|
||||||
}
|
} else if server_epoch - element.transact_time > (1_800_000) * 20 {
|
||||||
|
limit_order_sell(
|
||||||
|
&element,
|
||||||
|
element.current_price,
|
||||||
|
base_qty_to_be_ordered,
|
||||||
|
&client,
|
||||||
|
&exchange_info_vec,
|
||||||
|
&trade_fee_vec,
|
||||||
|
)
|
||||||
|
.await;
|
||||||
|
}
|
||||||
// TODO: sell_count가 1일 때 적용하기
|
// TODO: sell_count가 1일 때 적용하기
|
||||||
// else if (supertrend_vec
|
// else if (supertrend_vec
|
||||||
// .last()
|
// .last()
|
||||||
|
|
|
||||||
|
|
@ -34,7 +34,7 @@ pub async fn execute_list_up_for_buy(
|
||||||
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
||||||
let mut task_vec = Vec::new();
|
let mut task_vec = Vec::new();
|
||||||
// let all_data_c3 = all_data.clone();
|
// let all_data_c3 = all_data.clone();
|
||||||
// let all_data_c4 = all_data.clone();
|
let all_data_c4 = all_data.clone();
|
||||||
let all_data_c5 = all_data.clone();
|
let all_data_c5 = all_data.clone();
|
||||||
let all_data_c6 = all_data.clone();
|
let all_data_c6 = all_data.clone();
|
||||||
|
|
||||||
|
|
@ -43,9 +43,9 @@ pub async fn execute_list_up_for_buy(
|
||||||
// task_vec.push(tokio::spawn(async move {
|
// task_vec.push(tokio::spawn(async move {
|
||||||
// crate::strategy_team::strategy_003::list_up_for_buy(all_data_c3).await;
|
// crate::strategy_team::strategy_003::list_up_for_buy(all_data_c3).await;
|
||||||
// }));
|
// }));
|
||||||
// task_vec.push(tokio::spawn(async move {
|
task_vec.push(tokio::spawn(async move {
|
||||||
// crate::strategy_team::strategy_004::list_up_for_buy(all_data_c4).await;
|
crate::strategy_team::strategy_004::list_up_for_buy(all_data_c4).await;
|
||||||
// }));
|
}));
|
||||||
task_vec.push(tokio::spawn(async move {
|
task_vec.push(tokio::spawn(async move {
|
||||||
crate::strategy_team::strategy_005::list_up_for_buy(all_data_c5).await;
|
crate::strategy_team::strategy_005::list_up_for_buy(all_data_c5).await;
|
||||||
}));
|
}));
|
||||||
|
|
|
||||||
Loading…
Reference in New Issue
Block a user