357 lines
17 KiB
Rust
357 lines
17 KiB
Rust
use crate::value_estimation_team::{datapoints::price_data::CandleType, indicators::wiliams_percent_r};
|
|
|
|
use super::{
|
|
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
|
|
ema_macd, exists_record, get_server_epoch, heatmap_volume,
|
|
insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders,
|
|
stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData,
|
|
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
|
|
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
|
|
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
|
|
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal,
|
|
sma, sma_open
|
|
};
|
|
|
|
use crate::future::{Position, FuturesExchangeInfo};
|
|
use crate::future::table_mgmt::select_short_filled_positions;
|
|
use crate::future::order::{limit_order_close, TimeInForce};
|
|
|
|
// BUY conditions
|
|
pub async fn list_up_for_buy(
|
|
alldata: &AllData,
|
|
future_exchange_info_map: &HashMap<String, FuturesExchangeInfo>
|
|
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
|
// 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());
|
|
|
|
// basic filtering: filtering valid trade pair
|
|
let mut filtered_data: HashMap<String, FilteredDataValue> = HashMap::new();
|
|
for symbol in &alldata.valid_symbol_vec {
|
|
filtered_data.insert(symbol.clone(), FilteredDataValue::new());
|
|
}
|
|
|
|
// sma3_close(current) < sma3_open (current), sma3_close(prev) > sma3_open (prev)
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let sma3_open = sma_open(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
let sma3_close = sma(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
let server_epoch = get_server_epoch().await;
|
|
for (symbol, values) in &mut filtered_data {
|
|
let mut do_buy = false;
|
|
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await;
|
|
if let (Some(sma3_open_vec), Some(sma3_close_vec), Some(current_info)) = (sma3_open.get(symbol), sma3_close.get(symbol), price_and_closetime) {
|
|
if sma3_open_vec.len() > 10
|
|
&& sma3_close_vec.len() > 10
|
|
&& sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time
|
|
&& sma3_open_vec.last().unwrap().close_time > server_epoch
|
|
&& sma3_close_vec.last().unwrap().close_time > server_epoch
|
|
{
|
|
if sma3_open_vec[sma3_open_vec.len()-1].sma_value > sma3_close_vec[sma3_close_vec.len()-1].sma_value
|
|
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value < sma3_close_vec[sma3_close_vec.len()-2].sma_value
|
|
&& sma3_open_vec[sma3_open_vec.len()-1].sma_value > sma3_open_vec[sma3_open_vec.len()-2].sma_value
|
|
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value > sma3_open_vec[sma3_open_vec.len()-3].sma_value
|
|
&& sma3_open_vec[sma3_open_vec.len()-3].sma_value > sma3_open_vec[sma3_open_vec.len()-4].sma_value
|
|
&& sma3_close_vec[sma3_close_vec.len()-1].sma_value < sma3_close_vec[sma3_close_vec.len()-2].sma_value
|
|
&& sma3_close_vec[sma3_close_vec.len()-2].sma_value > sma3_close_vec[sma3_close_vec.len()-3].sma_value
|
|
&& sma3_close_vec[sma3_close_vec.len()-3].sma_value > sma3_close_vec[sma3_close_vec.len()-4].sma_value
|
|
{
|
|
values.closetime = current_info.1;
|
|
values.current_price = current_info.0;
|
|
do_buy = true;
|
|
}
|
|
}
|
|
}
|
|
if do_buy == false {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
}
|
|
remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// current Tema(15) < current Tema(30)
|
|
// let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
// let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
// let tema_30 = tema(30, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
// let server_epoch = get_server_epoch().await;
|
|
// for (symbol, values) in &mut filtered_data {
|
|
// let mut do_buy = false;
|
|
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
|
|
// if let (Some(tema10_vec), Some(tema30_vec), Some(current_info)) = (tema_10.get(symbol), tema_30.get(symbol), price_and_closetime) {
|
|
// if tema10_vec.len() > 10
|
|
// && tema30_vec.len() > 10
|
|
// && tema10_vec.last().unwrap().close_time == tema30_vec.last().unwrap().close_time
|
|
// && tema10_vec.last().unwrap().close_time > server_epoch
|
|
// && tema30_vec.last().unwrap().close_time > server_epoch
|
|
// {
|
|
// if tema10_vec[tema10_vec.len()-1].tema_value < tema30_vec[tema30_vec.len()-1].tema_value
|
|
// && tema10_vec[tema10_vec.len()-2].tema_value < tema30_vec[tema30_vec.len()-2].tema_value
|
|
// && tema10_vec[tema10_vec.len()-1].tema_value < tema10_vec[tema10_vec.len()-2].tema_value
|
|
// {
|
|
// do_buy = true;
|
|
// }
|
|
// }
|
|
// }
|
|
// if do_buy == false {
|
|
// keys_to_remove.insert(symbol.clone());
|
|
// }
|
|
// }
|
|
// remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// supertrend(ATR period 10, multiplier: 3.0, 30m close price)
|
|
// let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
// let server_epoch = get_server_epoch().await;
|
|
// let supertrend_1m_map =
|
|
// supertrend(60, 1.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
|
|
// for (symbol, values) in &mut filtered_data {
|
|
// let mut do_buy = false;
|
|
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
|
|
// if let (Some(supertrend_vec), Some(current_info)) = (
|
|
// supertrend_1m_map.get(symbol),
|
|
// price_and_closetime,
|
|
// ) {
|
|
// if supertrend_vec.last().unwrap().close_time > server_epoch
|
|
// && supertrend_vec.last().unwrap().signal.as_ref().is_some_and(|a| *a == SuperTrendSignal::SELL)
|
|
// {
|
|
// values.current_price = current_info.0;
|
|
// values.closetime = current_info.1;
|
|
// do_buy = true;
|
|
// }
|
|
// }
|
|
|
|
// if do_buy == false {
|
|
// keys_to_remove.insert(symbol.clone());
|
|
// }
|
|
// }
|
|
// 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;
|
|
// }
|
|
// }
|
|
|
|
// 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;
|
|
// for (symbol, values) in &mut filtered_data {
|
|
// let mut do_buy = false;
|
|
// let opclo_sample_length: usize = 60; // 15 candle samsples
|
|
// let mut target_profit_percent = 0.0;
|
|
// if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
|
|
// let vec_len = price_1m_vec.len();
|
|
// if let Some(candles) =
|
|
// price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
|
|
// {
|
|
// let windows = candles.windows(2);
|
|
// let mut sum_amplitude_candles = 0.0;
|
|
// let mut sum_ratio_amp_body = 0.0;
|
|
// let mut average_amplitude = 0.0;
|
|
|
|
// for window in windows {
|
|
// sum_amplitude_candles += ((window.last().unwrap().high_price
|
|
// - window.last().unwrap().low_price)
|
|
// * 100.0)
|
|
// / window.first().unwrap().close_price;
|
|
// }
|
|
// let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
|
|
// let mut amplitude_variance = 0.0;
|
|
|
|
// let windows = candles.windows(2);
|
|
// for window in windows {
|
|
// amplitude_variance += ((((window.last().unwrap().high_price
|
|
// - window.last().unwrap().low_price)
|
|
// * 100.0)
|
|
// / window.first().unwrap().close_price)
|
|
// - average_amplitude)
|
|
// .powi(2);
|
|
// }
|
|
// amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
|
|
// let standard_deviation_amplitude = amplitude_variance.sqrt();
|
|
// target_profit_percent =
|
|
// average_amplitude + (standard_deviation_amplitude * 2.0);
|
|
|
|
// if target_profit_percent * 2.0 > 0.14 {
|
|
// 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 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 {
|
|
// let mut do_buy = false;
|
|
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
|
|
// if let (Some(stoch_rsi_vec), Some(current_info)) = (stoch_rsis.get(symbol), price_and_closetime) {
|
|
// if server_epoch < current_info.1 {
|
|
// let search_result = stoch_rsi_vec
|
|
// .iter()
|
|
// .position(|x| x.close_time == current_info.1);
|
|
// if stoch_rsi_vec.len() > 10
|
|
// && search_result.is_some_and(|a| {
|
|
// stoch_rsi_vec[a].k < 80.0
|
|
// && stoch_rsi_vec[a].k < stoch_rsi_vec[a].d
|
|
// && stoch_rsi_vec[a - 1].k > 80.0
|
|
// && stoch_rsi_vec[a - 2].k > 80.0
|
|
// && stoch_rsi_vec[a - 3].k > 80.0
|
|
// && stoch_rsi_vec[a - 4].k > 80.0
|
|
// })
|
|
// {
|
|
// values.closetime = current_info.1;
|
|
// values.current_price = current_info.0;
|
|
// do_buy = true;
|
|
// }
|
|
// }
|
|
// }
|
|
|
|
// if do_buy == false {
|
|
// keys_to_remove.insert(symbol.clone());
|
|
// }
|
|
// }
|
|
// remove_keys(&mut filtered_data, keys_to_remove).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?;
|
|
|
|
Ok(())
|
|
}
|
|
|
|
pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
|
let filled_positions = select_short_filled_positions().await?;
|
|
|
|
let client = ClientBuilder::new()
|
|
.timeout(tokio::time::Duration::from_millis(5000))
|
|
.build()
|
|
.unwrap();
|
|
|
|
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
|
|
for element in &filled_positions {
|
|
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
|
|
}
|
|
let sma3_open = sma_open(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
|
|
let sma3_close = sma(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
|
|
let server_epoch = get_server_epoch().await;
|
|
|
|
for element in filled_positions {
|
|
let mut is_sell = false;
|
|
let mut over_turned = false;
|
|
if let (Some(sma3_open_vec), Some(sma3_close_vec)) = (sma3_open.get(&element.symbol), sma3_close.get(&element.symbol)) {
|
|
if sma3_close_vec.len() > 10 && sma3_open_vec.len() > 10 {
|
|
if sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time
|
|
&& sma3_open_vec.last().unwrap().close_time > server_epoch
|
|
&& sma3_open_vec.last().unwrap().sma_value < sma3_close_vec.last().unwrap().sma_value {
|
|
over_turned = true;
|
|
}
|
|
}
|
|
}
|
|
|
|
let opclo_sample_length: usize = 60; // 15 candle samsples
|
|
let mut target_profit_percent = 0.0;
|
|
if let Some(price_30m_vec) = all_data.rt_price_30m_vec.get(&element.symbol) {
|
|
let vec_len = price_30m_vec.len();
|
|
if let Some(candles) =
|
|
price_30m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
|
|
{
|
|
let windows = candles.windows(2);
|
|
let mut sum_amplitude_candles = 0.0;
|
|
let mut sum_ratio_amp_body = 0.0;
|
|
let mut average_amplitude = 0.0;
|
|
|
|
for window in windows {
|
|
sum_amplitude_candles += ((window.last().unwrap().high_price
|
|
- window.last().unwrap().low_price)
|
|
* 100.0)
|
|
/ window.first().unwrap().close_price;
|
|
}
|
|
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
|
|
let mut amplitude_variance = 0.0;
|
|
|
|
let windows = candles.windows(2);
|
|
for window in windows {
|
|
amplitude_variance += ((((window.last().unwrap().high_price
|
|
- window.last().unwrap().low_price)
|
|
* 100.0)
|
|
/ window.first().unwrap().close_price)
|
|
- average_amplitude)
|
|
.powi(2);
|
|
}
|
|
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
|
|
let standard_deviation_amplitude = amplitude_variance.sqrt();
|
|
target_profit_percent =
|
|
average_amplitude + (standard_deviation_amplitude * 1.0);
|
|
}
|
|
}
|
|
|
|
// TODO: BNB 코인이 있으면
|
|
// let base_qty_to_be_ordered =
|
|
// element.base_qty_ordered.round_dp_with_strategy(
|
|
// lot_step_size.normalize().scale(),
|
|
// RoundingStrategy::ToZero,
|
|
// );
|
|
// TODO: BNB 코인이 없으면
|
|
|
|
if !element.current_price.is_zero() {
|
|
// if element.pure_profit_percent >= target_profit_percent * 2.5 {
|
|
// is_sell = true;
|
|
// } else if element.pure_profit_percent <= target_profit_percent * -2.0 {
|
|
// is_sell = true;
|
|
// }
|
|
if over_turned == true && server_epoch - element.registered_server_epoch > 1_800_000 {
|
|
is_sell = true;
|
|
} else if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent * 2.5 {
|
|
is_sell = true;
|
|
} else if target_profit_percent.is_normal() && element.pure_profit_percent < target_profit_percent * -1.5 {
|
|
is_sell = true;
|
|
}
|
|
|
|
if is_sell == true {
|
|
limit_order_close(
|
|
&element,
|
|
TimeInForce::Gtc,
|
|
element.current_price,
|
|
element.base_qty_ordered,
|
|
&client
|
|
)
|
|
.await;
|
|
}
|
|
}
|
|
|
|
}
|
|
|
|
|
|
Ok(())
|
|
}
|