Update filtering

src/strategy_team/future_strategy_long.rs

@@ -36,13 +36,19 @@ pub async fn list_up_for_buy(
     // current lr > prev lr, current r_squared <= 0.01
     let mut keys_to_remove: HashSet<String> = HashSet::new();
     let lr_map = linear_regression(10, 0, &alldata.rt_price_30m_vec, &filtered_data).await?;
+    let sma_map = sma(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
     for (symbol, values) in &mut filtered_data {
         let mut do_buy = false;
-        if let (Some(lr_vec), Some(current_info)) = (lr_map.get(symbol), get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await) {
+        if let (Some(lr_vec), Some(sma_vec), Some(current_info)) = (lr_map.get(symbol), sma_map.get(symbol), get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await) {
             if lr_vec.len() > 10
+            && sma_vec.len() > 10
             && lr_vec.last().is_some_and(|x| x.close_time > server_epoch)
+            && sma_vec.last().is_some_and(|x| x.close_time > server_epoch)
             && lr_vec[lr_vec.len()-1].lr_value > lr_vec[lr_vec.len()-2].lr_value
-            && lr_vec.last().unwrap().r_squared <= 0.01
+            && lr_vec[lr_vec.len()-2].lr_value > lr_vec[lr_vec.len()-3].lr_value
+            && lr_vec.last().unwrap().r_squared <= 0.15
+            && lr_vec[lr_vec.len()-1].lr_value >= sma_vec[sma_vec.len()-1].sma_value
+            && lr_vec[lr_vec.len()-2].lr_value <= sma_vec[sma_vec.len()-2].sma_value
             {
                 values.closetime = current_info.1;
                 do_buy = true;
@@ -108,26 +114,26 @@ pub async fn list_up_for_buy(
     // remove_keys(&mut filtered_data, keys_to_remove).await;
 
     // supertrend(ATR period 30, multiplier: 2.0, 30m close price)
-    // let mut keys_to_remove: HashSet<String> = HashSet::new();
-    // let supertrend_30m_map =
-    //     supertrend(100, 1.5, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
-    // for (symbol, values) in &mut filtered_data {
-    //     let mut do_buy = false;
-    //     if let Some(supertrend_vec) = supertrend_30m_map.get(symbol)
-    //     {
-    //         if supertrend_vec.len() > 10
-    //         && supertrend_vec.last().is_some_and(|a| a.close_time == values.closetime)
-    //         && supertrend_vec.last().unwrap().area == SuperTrendArea::UP
-    //         && supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::UP {
-    //             do_buy = true;
-    //         }
-    //     }
+    let mut keys_to_remove: HashSet<String> = HashSet::new();
+    let supertrend_1m_map =
+        supertrend(100, 2.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
+    for (symbol, values) in &mut filtered_data {
+        let mut do_buy = false;
+        if let Some(supertrend_vec) = supertrend_1m_map.get(symbol)
+        {
+            if supertrend_vec.len() > 10
+            && supertrend_vec.last().is_some_and(|a| a.close_time > server_epoch)
+            && supertrend_vec.last().unwrap().area == SuperTrendArea::UP
+            && supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::UP {
+                do_buy = true;
+            }
+        }
 
-    //     if do_buy == false {
-    //         keys_to_remove.insert(symbol.clone());
-    //     }
-    // }
-    // remove_keys(&mut filtered_data, keys_to_remove).await;
+        if do_buy == false {
+            keys_to_remove.insert(symbol.clone());
+        }
+    }
+    remove_keys(&mut filtered_data, keys_to_remove).await;
 
     // set target_price and stop_loss
     // let mut keys_to_remove: HashSet<String> = HashSet::new();
@@ -161,7 +167,7 @@ pub async fn list_up_for_buy(
     // }
     // remove_keys(&mut filtered_data, keys_to_remove).await;
 
-    // Wiliams -50 > %R(100)
+    // Wiliams -60 > %R(100)
     let mut keys_to_remove: HashSet<String> = HashSet::new();
     let mut wpr100_map = wiliams_percent_r(100, &alldata.rt_price_1m_vec, &filtered_data).await?;
     let server_epoch = get_server_epoch().await;
@@ -170,7 +176,7 @@ pub async fn list_up_for_buy(
         if let Some(wpr100_vec) = wpr100_map.get(symbol) {
             if wpr100_vec.len() > 15
                 && wpr100_vec.last().unwrap().close_time > server_epoch
-                && wpr100_vec.last().unwrap().r_value < -50.0 {
+                && wpr100_vec.last().unwrap().r_value < -70.0 {
                     do_buy = true;
             } 
         } 
@@ -237,38 +243,39 @@ pub async fn list_up_for_buy(
     // 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
-    // let mut keys_to_remove: HashSet<String> = HashSet::new();
-    // let heatmap_volumes = heatmap_volume(
-    //     30,
-    //     30,
-    //     4.0,
-    //     1.5,
-    //     0.5,
-    //     -0.5,
-    //     &filtered_data,
-    //     &alldata.rt_price_1m_vec,
-    // )
-    // .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) = heatmap_volumes.get(symbol) {
-    //         if heatmap_volume_vec.len() > 100
-    //         && heatmap_volume_vec.last().unwrap().close_time > server_epoch
-    //         && (heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::High
-    //          || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::High
-    //          || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::High
-    //          || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::High)
-    //         {
-    //             do_buy = true;
-    //         }
-    //     } 
+    let mut keys_to_remove: HashSet<String> = HashSet::new();
+    let heatmap_volumes = heatmap_volume(
+        30,
+        30,
+        4.0,
+        1.5,
+        0.5,
+        -0.5,
+        &filtered_data,
+        &alldata.rt_price_30m_vec,
+    )
+    .await?;
 
-    //     if do_buy == false {
-    //         keys_to_remove.insert(symbol.clone());
-    //     }
-    // }
-    // remove_keys(&mut filtered_data, keys_to_remove).await;
+    for (symbol, values) in &mut filtered_data {
+        let mut do_buy = true;
+        if let (Some(heatmap_volume_vec), Some(rt_price_vec)) = (heatmap_volumes.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
+            if heatmap_volume_vec.len() > 100
+            && heatmap_volume_vec.last().unwrap().close_time > server_epoch
+            && ((heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec.last().unwrap().close_time).is_some_and(|x| x.candle_type == CandleType::UP))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-2].close_time).is_some_and(|x| x.candle_type == CandleType::UP))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-3].close_time).is_some_and(|x| x.candle_type == CandleType::UP))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-4].close_time).is_some_and(|x| x.candle_type == CandleType::UP))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-5].heatmap_level == HeatMapLevel::ExtraHigh) && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-5].close_time).is_some_and(|x| x.candle_type == CandleType::UP))
+            {
+                do_buy = false;
+            }
+        } 
+        
+        if do_buy == false {
+            keys_to_remove.insert(symbol.clone());
+        }
+    }
+    remove_keys(&mut filtered_data, keys_to_remove).await;
 
     // let mut keys_to_remove: HashSet<String> = HashSet::new();
     // let server_epoch = get_server_epoch().await;
@@ -393,12 +400,24 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
                 //     is_sell = true;
                 // } else 
                 
-                if lr_vec.last().unwrap().r_squared >= 0.55 {
+                if element.pure_profit_percent.is_sign_positive() && lr_vec[lr_vec.len()-2].r_squared >= 0.60 {
+                    is_sell = true;
+                } else if server_epoch - element.close_time > 900_000
+                && lr_vec[lr_vec.len()-1].lr_value < lr_vec[lr_vec.len()-2].lr_value {
+                    is_sell = true;
+                } else if server_epoch - element.close_time > 900_000
+                && lr_vec[lr_vec.len()-1].r_squared < lr_vec[lr_vec.len()-2].r_squared 
+                && lr_vec[lr_vec.len()-2].r_squared > lr_vec[lr_vec.len()-3].r_squared
+                && lr_vec[lr_vec.len()-3].r_squared > lr_vec[lr_vec.len()-4].r_squared {
+                    is_sell = true;
+                } else if element.pure_profit_percent <= -0.8 {
+                    is_sell = true;
+                } else if element.pure_profit_percent >= 2.0 {
                     is_sell = true;
                 }
     
                 let minimum_candles = 5;
-                let maximum_candles = 6;
+                let maximum_candles = 20;
                 // for count_candles in minimum_candles..=maximum_candles {
                 //     if count_candles < maximum_candles
                 //         && server_epoch - element.transact_time

src/strategy_team/future_strategy_short.rs

@@ -36,13 +36,20 @@ pub async fn list_up_for_buy(
     // current lr < prev lr, current r_squared <= 0.01
     let mut keys_to_remove: HashSet<String> = HashSet::new();
     let lr_map = linear_regression(10, 0, &alldata.rt_price_30m_vec, &filtered_data).await?;
+    let sma10_map = sma(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
     for (symbol, values) in &mut filtered_data {
         let mut do_buy = false;
-        if let (Some(lr_vec), Some(current_info)) = (lr_map.get(symbol), get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await) {
+        if let (Some(lr_vec), Some(sma_vec), Some(current_info)) = (lr_map.get(symbol), sma10_map.get(symbol), get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await) {
             if lr_vec.len() > 10
+            && sma_vec.len() > 10
             && lr_vec.last().is_some_and(|x| x.close_time > server_epoch)
+            && sma_vec.last().is_some_and(|x| x.close_time > server_epoch)
             && lr_vec[lr_vec.len()-1].lr_value < lr_vec[lr_vec.len()-2].lr_value
-            && lr_vec.last().unwrap().r_squared <= 0.01
+            && lr_vec[lr_vec.len()-2].lr_value < lr_vec[lr_vec.len()-3].lr_value
+            && lr_vec.last().unwrap().r_squared <= 0.15
+            && lr_vec[lr_vec.len()-1].lr_value <= sma_vec[sma_vec.len()-1].sma_value
+            && lr_vec[lr_vec.len()-2].lr_value >= sma_vec[sma_vec.len()-2].sma_value
+            
             {
                 values.closetime = current_info.1;
                 do_buy = true;
@@ -106,26 +113,26 @@ pub async fn list_up_for_buy(
     // remove_keys(&mut filtered_data, keys_to_remove).await;
 
     // supertrend(ATR period 30, multiplier: 2.0, 30m close price)
-    // let mut keys_to_remove: HashSet<String> = HashSet::new();
-    // let supertrend_30m_map =
-    //     supertrend(100, 1.5, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
-    // for (symbol, values) in &mut filtered_data {
-    //     let mut do_buy = false;
-    //     if let Some(supertrend_vec) = supertrend_30m_map.get(symbol)
-    //     {
-    //         if supertrend_vec.len() > 10
-    //         && supertrend_vec.last().is_some_and(|a| a.close_time == values.closetime)
-    //         && supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN
-    //         && supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::DOWN {
-    //             do_buy = true;
-    //         }
-    //     }
+    let mut keys_to_remove: HashSet<String> = HashSet::new();
+    let supertrend_1m_map =
+        supertrend(100, 2.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
+    for (symbol, values) in &mut filtered_data {
+        let mut do_buy = false;
+        if let Some(supertrend_vec) = supertrend_1m_map.get(symbol)
+        {
+            if supertrend_vec.len() > 10
+            && supertrend_vec.last().is_some_and(|a| a.close_time > server_epoch)
+            && supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN
+            && supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::DOWN {
+                do_buy = true;
+            }
+        }
 
-    //     if do_buy == false {
-    //         keys_to_remove.insert(symbol.clone());
-    //     }
-    // }
-    // remove_keys(&mut filtered_data, keys_to_remove).await;
+        if do_buy == false {
+            keys_to_remove.insert(symbol.clone());
+        }
+    }
+    remove_keys(&mut filtered_data, keys_to_remove).await;
 
     // set target_price and stop_loss
     // let mut keys_to_remove: HashSet<String> = HashSet::new();
@@ -159,7 +166,7 @@ pub async fn list_up_for_buy(
     // }
     // remove_keys(&mut filtered_data, keys_to_remove).await;
 
-    // Wiliams -50.0 < %R(100)
+    // Wiliams -40.0 < %R(100)
     let mut keys_to_remove: HashSet<String> = HashSet::new();
     let mut wpr100_map = wiliams_percent_r(100, &alldata.rt_price_1m_vec, &filtered_data).await?;
     let server_epoch = get_server_epoch().await;
@@ -168,7 +175,7 @@ pub async fn list_up_for_buy(
         if let Some(wpr100_vec) = wpr100_map.get(symbol) {
             if wpr100_vec.len() > 15
                 && wpr100_vec.last().unwrap().close_time > server_epoch
-                && wpr100_vec.last().unwrap().r_value > -50.0 {
+                && wpr100_vec.last().unwrap().r_value > -30.0 {
                     do_buy = true;
             } 
         } 
@@ -235,38 +242,39 @@ pub async fn list_up_for_buy(
     // 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
-    // let mut keys_to_remove: HashSet<String> = HashSet::new();
-    // let heatmap_volumes = heatmap_volume(
-    //     30,
-    //     30,
-    //     4.0,
-    //     1.5,
-    //     0.5,
-    //     -0.5,
-    //     &filtered_data,
-    //     &alldata.rt_price_1m_vec,
-    // )
-    // .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) = heatmap_volumes.get(symbol) {
-    //         if heatmap_volume_vec.len() > 100
-    //         && heatmap_volume_vec.last().unwrap().close_time > server_epoch
-    //         && (heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::High
-    //          || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::High
-    //          || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::High
-    //          || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::High)
-    //         {
-    //             do_buy = true;
-    //         }
-    //     } 
+    let mut keys_to_remove: HashSet<String> = HashSet::new();
+    let heatmap_volumes = heatmap_volume(
+        30,
+        30,
+        4.0,
+        1.5,
+        0.5,
+        -0.5,
+        &filtered_data,
+        &alldata.rt_price_30m_vec,
+    )
+    .await?;
 
-    //     if do_buy == false {
-    //         keys_to_remove.insert(symbol.clone());
-    //     }
-    // }
-    // remove_keys(&mut filtered_data, keys_to_remove).await;
+    for (symbol, values) in &mut filtered_data {
+        let mut do_buy = true;
+        if let (Some(heatmap_volume_vec), Some(rt_price_vec)) = (heatmap_volumes.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
+            if heatmap_volume_vec.len() > 100
+            && heatmap_volume_vec.last().unwrap().close_time > server_epoch
+            && ((heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec.last().unwrap().close_time).is_some_and(|x| x.candle_type == CandleType::DOWN))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-2].close_time).is_some_and(|x| x.candle_type == CandleType::DOWN))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-3].close_time).is_some_and(|x| x.candle_type == CandleType::DOWN))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-4].close_time).is_some_and(|x| x.candle_type == CandleType::DOWN))
+             || (heatmap_volume_vec[heatmap_volume_vec.len()-5].heatmap_level == HeatMapLevel::ExtraHigh) && rt_price_vec.iter().find(|x| x.close_time == heatmap_volume_vec[heatmap_volume_vec.len()-5].close_time).is_some_and(|x| x.candle_type == CandleType::DOWN))
+            {
+                do_buy = false;
+            }
+        } 
+        
+        if do_buy == false {
+            keys_to_remove.insert(symbol.clone());
+        }
+    }
+    remove_keys(&mut filtered_data, keys_to_remove).await;
 
     // let mut keys_to_remove: HashSet<String> = HashSet::new();
     // let server_epoch = get_server_epoch().await;
@@ -397,12 +405,24 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
                 // } else if element.pure_profit_percent <= element.stoploss_percent {
                 //     is_sell = true;
                 // } else 
-                if lr_vec.last().unwrap().r_squared >= 0.55 {
+                if element.pure_profit_percent.is_sign_positive() && lr_vec[lr_vec.len()-2].r_squared >= 0.60 {
+                    is_sell = true;
+                } else if server_epoch - element.close_time > 900_000
+                && lr_vec[lr_vec.len()-1].lr_value > lr_vec[lr_vec.len()-2].lr_value {
+                    is_sell = true;
+                } else if server_epoch - element.close_time > 900_000
+                && lr_vec[lr_vec.len()-1].r_squared < lr_vec[lr_vec.len()-2].r_squared 
+                && lr_vec[lr_vec.len()-2].r_squared > lr_vec[lr_vec.len()-3].r_squared
+                && lr_vec[lr_vec.len()-3].r_squared > lr_vec[lr_vec.len()-4].r_squared {
+                    is_sell = true;
+                } else if element.pure_profit_percent <= -0.8 {
+                    is_sell = true;
+                } else if element.pure_profit_percent >= 2.0 {
                     is_sell = true;
                 }
     
                 let minimum_candles = 5;
-                let maximum_candles = 6;
+                let maximum_candles = 20;
                 // for count_candles in minimum_candles..=maximum_candles {
                 //     if count_candles < maximum_candles
                 //         && server_epoch - element.transact_time