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New sell filtering

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This commit is contained in:
Sik Yoon 2024-02-08 01:07:53 +09:00
parent c0c2aba90e
commit f9f5cc53b7
1 changed files with 44 additions and 0 deletions
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44
src/strategy_team/strategy_006.rs
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@ -163,6 +163,40 @@ pub async fn list_up_for_sell(
}
let supertrend_1d = supertrend(14, 1.2, true, &all_data.rt_price_1d_vec, &filtered_symbols).await?;
for element in filled_buy_orders {
let opclo_sample_length: usize = 10; // 10 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1d_vec) = all_data
.rt_price_1d_vec
.get(&element.symbol)
{
if let Some(partial_price_vec) = price_1d_vec.get(price_1d_vec.len()-opclo_sample_length+1..price_1d_vec.len()-1) {
let mut sum_amplitude_candles = 0.0;
let mut sum_ratio_amp_body = 0.0;
for element in price_1d_vec {
sum_amplitude_candles +=
((element.high_price / element.low_price) - 1.0) * 100.0;
sum_ratio_amp_body += (element.close_price - element.open_price).abs()
/ (element.high_price - element.low_price);
}
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
let average_ratio_amp_body = sum_ratio_amp_body / opclo_sample_length as f64;
let mut amplitude_variance = 0.0;
for element in price_1d_vec {
amplitude_variance += ((((element.high_price / element.low_price) - 1.0)
* 100.0)
- average_amplitude)
.powi(2);
}
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
let standard_deviation_amplitude = amplitude_variance.sqrt();
// let target_profit_percent = average_amplitude + (standard_deviation_amplitude * (average_ratio_amp_body));
target_profit_percent =
2.0 * (average_amplitude - standard_deviation_amplitude);
}
}
if element.used_usdt >= dec!(10.0) {
if let (Some(exchange_info), Some(tradefee), Some(supertrend_vec)) =
(exchange_info_map.get(&element.symbol), trade_fee_map.get(&element.symbol), supertrend_1d.get(&element.symbol)) {
@ -221,6 +255,16 @@ pub async fn list_up_for_sell(
&trade_fee_map,
)
.await;
} else if target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent <= element.pure_profit_percent {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
}
// TODO: sell_count가 1일 때 적용하기
// else if (supertrend_vec