use super::{ dec, decimal_add, decimal_sub, ema, exists_record, insert_pre_suggested_coins, limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData, Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredData, Mutex, RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3 }; // Triple SuperTrend strategy // SuperTrend length: 10, multiplier: 3, already up area // SuperTrend length: 10, multiplier: 2, already up area // SuperTrend length: 10, multiplier: 1.2, buy signal pub async fn list_up_for_buy( alldata: AllData, ) -> Result<(), Box> { // print rt_price for debugging // let a = alldata.rt_price_30m_vec.iter().position(|a| a.0 == "BTCUSDT"); // println!("BTCUSDT: {:?}", alldata.rt_price_30m_vec[a.unwrap()].1.last().unwrap()); // 1st filtering: lookup tables if the tradepair is already there let inspect_table_name_1 = String::from("buy_ordered_coin_list"); let inspect_table_name_2 = String::from("sell_ordered_coin_list"); let inspect_table_name_3 = String::from("pre_suggested_coin_list"); let inspect_table_name_4 = String::from("suggested_coin_list"); let mut filtered_data_1st: Vec = Vec::new(); let mut filtered_data_1st_arc: Arc>> = Arc::new(Mutex::new(filtered_data_1st)); let mut task_vec = Vec::new(); for symbol in &alldata.valid_symbol_vec { let mut exists_condition_build = String::from("symbol=\'"); exists_condition_build.push_str(symbol.as_str()); exists_condition_build.push_str("\' AND registerer="); exists_condition_build.push_str(4.to_string().as_str()); // exists_condition_build.push_str("\' AND close_time="); // exists_condition_build.push_str(element.1.to_string().as_str()); let exists_condition = Some(exists_condition_build); let exists_condition_c = exists_condition.clone(); let inspect_table_name_1_c = inspect_table_name_1.clone(); let inspect_table_name_2_c = inspect_table_name_2.clone(); let inspect_table_name_3_c = inspect_table_name_3.clone(); let inspect_table_name_4_c = inspect_table_name_4.clone(); let symbol_c = symbol.clone(); let filtered_data_1st_arc_c = Arc::clone(&filtered_data_1st_arc); task_vec.push(tokio::spawn(async move { let mut filtered_data = FilteredData::new(); let inspect_result_1 = exists_record(&inspect_table_name_1_c, &exists_condition_c).await; let inspect_result_2 = exists_record(&inspect_table_name_2_c, &exists_condition_c).await; let inspect_result_3 = exists_record(&inspect_table_name_3_c, &exists_condition_c).await; let inspect_result_4 = exists_record(&inspect_table_name_4_c, &exists_condition_c).await; if inspect_result_1 == false && inspect_result_2 == false && inspect_result_3 == false && inspect_result_4 == false { let mut filtered_data_1st_lock = filtered_data_1st_arc_c.lock().await; filtered_data.symbol = symbol_c; filtered_data_1st_lock.push(filtered_data); } })); } try_join_all(task_vec).await?; // 2nd filtering: supertrend(ATR period 10, multiplier: 1.2, 30m close price), signal should be BUY let filtered_data_1st = filtered_data_1st_arc.lock().await.clone(); let mut filtered_data_2nd: Vec = Vec::new(); let mut filtered_data_2nd_arc: Arc>> = Arc::new(Mutex::new(filtered_data_2nd)); let mut task_vec = Vec::new(); for element in filtered_data_1st { let mut rt_30m_vec: Vec = Vec::new(); let mut supertrend_vec: Vec = Vec::new(); let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); 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 supertrend_option_30m = supertrend(&element.symbol, &rt_price_30m_vec_c, 10, 1.2, true).await; 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(); supertrend_vec = supertrend_option_30m.unwrap(); if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 { let supertrend_search_result = supertrend_vec.binary_search_by_key( &rt_30m_vec.last().unwrap().close_time, |SupertrendData { band_value, signal, area, close_time, }| *close_time, ); if supertrend_search_result.is_ok() { 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")) && current_price < 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 = 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 = Vec::new(); let mut filtered_data_3rd_arc: Arc>> = 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 = Vec::new(); let mut supertrend_vec: Vec = 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(); 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_3rd_symbols_lock.push(filtered_data); } } } } })); } try_join_all(task_vec).await?; // 4th filtering: supertrend(ATR period 10, multiplier: 1.5, 30m close price), the area should be UP // set stoploss and target_price let filtered_data_3rd_c = filtered_data_3rd_arc.lock().await.clone(); let mut filtered_data_4th: Vec = Vec::new(); let mut filtered_data_4th_arc: Arc>> = Arc::new(Mutex::new(filtered_data_4th)); let mut task_vec = Vec::new(); for element in filtered_data_3rd_c { let mut supertrend_vec: Vec = Vec::new(); 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 = Vec::new(); let mut filtered_data_5th_arc: Arc>> = 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 = Vec::new(); let mut supertrend_vec: Vec = Vec::new(); let rt_price_1d_vec_c = alldata.rt_price_1d_vec.clone(); let filtered_data_5th_arc_c = Arc::clone(&filtered_data_5th_arc); task_vec.push(tokio::spawn(async move { let supertrend_option_1d = supertrend(&element.symbol, &rt_price_1d_vec_c, 3, 1.1, true).await; if supertrend_option_1d.is_some() { supertrend_vec = supertrend_option_1d.unwrap(); if supertrend_vec.len() >= 3 { 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?; // 6th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.5% let filtered_data_5th_c = filtered_data_5th_arc.lock().await.clone(); let mut filtered_data_6th: Vec = Vec::new(); let mut filtered_data_6th_arc: Arc>> = 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 = Vec::new(); 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 = rt_price_30m_vec_c.iter().position(|elem| elem.0 == element.symbol); if position_idx.is_some() { let vec_len = rt_price_30m_vec_c[position_idx.unwrap()].1.len(); if vec_len >= 11 { let candles = rt_price_30m_vec_c[position_idx.unwrap()].1.get(vec_len-12..vec_len-1).unwrap(); let windows = candles.windows(2); let mut average_amplitude = 0.0; for window in windows { average_amplitude += (window.last().unwrap().high_price - window.last().unwrap().low_price) / window.first().unwrap().close_price; } average_amplitude /= 10.0; if 0.005 <= average_amplitude && average_amplitude <= 0.015 { let mut filtered_data_6th_lock = filtered_data_6th_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_6th_lock.push(filtered_data); } } } })); } try_join_all(task_vec).await?; // 7th filtering: ema3_30m < ema5_30m latest 3 candles let filtered_data_6th_c = filtered_data_6th_arc.lock().await.clone(); let mut filtered_data_7th: Vec = Vec::new(); let mut filtered_data_7th_arc: Arc>> = 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)> = // 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 = Vec::new(); // let mut filtered_data_5th: Vec = Vec::new(); // let mut filtered_data_5th_arc: Arc>> = // 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 = Vec::new(); // let mut filtered_data_6th_arc: Arc>> = // 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 = 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; Ok(()) } pub async fn list_up_for_sell( all_data: &AllData, exchange_info_vec: &Vec, trade_fee_vec: &Vec, ) -> Result<(), Box> { let filled_buy_orders = select_filled_buy_orders(4).await?; if !filled_buy_orders.is_empty() { let client = ClientBuilder::new() .timeout(tokio::time::Duration::from_millis(5000)) .build() .unwrap(); let mut supertrend_vec: Vec = Vec::new(); for element in filled_buy_orders { if element.used_usdt >= dec!(10.0) { let lot_step_size_option = exchange_info_vec .iter() .position(|exchange_info| exchange_info.symbol == element.symbol); let quote_commission_precision_option = exchange_info_vec .iter() .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() && 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 quote_commission_precision = exchange_info_vec [quote_commission_precision_option.unwrap()] .quote_commission_precision; let base_qty_to_be_ordered = element.base_qty_ordered.round_dp_with_strategy( lot_step_size.normalize().scale(), RoundingStrategy::ToZero, ); if (element.is_long == 0 || element.is_long == 1) && !element.current_price.is_zero() { if element.current_price >= element.target_price && element.pure_profit_percent >= 0.1 { limit_order_sell( &element, element.current_price, base_qty_to_be_ordered, &client, &exchange_info_vec, &trade_fee_vec, ) .await; } else if element.current_price <= element.stoploss { 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 // else if (supertrend_vec // .last() // .unwrap() // .signal // .as_ref() // .is_some_and(|x| x.contains("SELL")) // || supertrend_vec.last().unwrap().area.contains("DOWN")) // && (supertrend_vec.last().unwrap().close_time > element.close_time) // { // println!( // "SELL signal selling {} {:.2}", // element.symbol, element.pure_profit_percent // ); // limit_order_sell( // &element, // element.current_price, // base_qty_to_be_ordered, // &client, // &exchange_info_vec, // &trade_fee_vec, // ) // .await; // } } } } } } Ok(()) }