tradingbot/src/value_estimation_team/indicators/macd.rs

use super::{FilteredDataValue, HashMap};
use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
use crate::value_estimation_team::indicators::ema::{ema, EmaData};
use futures::future::try_join_all;
use std::sync::Arc;
use tokio::{fs::*, io::AsyncWriteExt, sync::Mutex, time::*};

#[derive(Debug, Clone)]
pub struct MacdData {
    pub macd_value: f64,
    pub signal_value: f64,
    pub close_time: i64,
}

impl MacdData {
    fn new() -> MacdData {
        let a = MacdData {
            macd_value: 0.0,
            signal_value: 0.0,
            close_time: 0,
        };
        a
    }
}

#[derive(Debug, Clone)]
pub struct TempData {
    pub value: f64,
    pub close_time: i64,
}

impl TempData {
    fn new() -> TempData {
        let a = TempData {
            value: 0.0,
            close_time: 0,
        };
        a
    }
}

pub async fn ema_macd(
    fast_len: usize,
    slow_len: usize,
    signal_smoothing: usize,
    input_rt_data: &HashMap<String, Vec<RealtimePriceData>>,
    filtered_symbols: &HashMap<String, FilteredDataValue>,
) -> Result<HashMap<String, Vec<MacdData>>, Box<dyn std::error::Error + Send + Sync>> {
    let mut macd_oscil_vec: HashMap<String, Vec<MacdData>> = HashMap::new();

    let fast_emas = ema(fast_len, input_rt_data, filtered_symbols).await?;
    let slow_emas = ema(slow_len, input_rt_data, filtered_symbols).await?;
    let mut macd_data_wrapper: HashMap<String, Vec<MacdData>> = HashMap::new();
    let mut macd_data_wrapper_arc = Arc::new(Mutex::new(macd_data_wrapper));
    let mut task_vec = Vec::new();
    for (symbol, filtered_data) in filtered_symbols {
        let fast_emas_c = fast_emas.clone();
        let slow_emas_c = slow_emas.clone();
        if let (Some(fast_ema_vec), Some(slow_ema_vec)) =
            (fast_emas.get(symbol), slow_emas_c.get(symbol))
        {
            let symbol_c = symbol.clone();
            let fast_ema_vec_c = fast_ema_vec.clone();
            let slow_ema_vec_c = slow_ema_vec.clone();
            let macd_data_wrapper_arc_c = Arc::clone(&macd_data_wrapper_arc);
            task_vec.push(tokio::spawn(async move {
                if fast_ema_vec_c.len() >= signal_smoothing
                    && slow_ema_vec_c.len() >= signal_smoothing
                {
                    let result = fast_ema_vec_c.binary_search_by_key(
                        &slow_ema_vec_c.first().unwrap().close_time,
                        |&EmaData {
                             ema_value,
                             close_time,
                         }| close_time,
                    );
                    if result.is_ok() {
                        // making MACD
                        let temp_vec = fast_ema_vec_c.get(result.unwrap()..).unwrap();
                        let zipped = temp_vec.iter().zip(slow_ema_vec_c);
                        let mut macd = TempData::new();
                        let mut macd_vec: Vec<TempData> = Vec::new();
                        for element in zipped {
                            macd.value = element.0.ema_value - element.1.ema_value;
                            macd.close_time = element.0.close_time;
                            macd_vec.push(macd.clone());
                        }

                        // making signal (smoothed MACD)
                        // TODO: this should be calculated in EMA (currently, SMA)
                        // let macd_vec_window = macd_vec.windows(signal_smoothing);
                        // let mut macd_signal_vec: Vec<TempData> = Vec::new();
                        // for window in macd_vec_window {
                        //     let mut sum_value = 0.0;
                        //     for element in window {
                        //         sum_value += element.value;
                        //     }
                        //     macd.value = sum_value / signal_smoothing as f64;
                        //     macd.close_time = window.last().unwrap().close_time;
                        //     macd_signal_vec.push(macd.clone());
                        // }
                        let mut macd_signal = TempData::new();
                        let mut macd_signal_vec: Vec<TempData> = Vec::new();
                        let partial_vec1 = macd_vec.get(..signal_smoothing).unwrap();
                        let partial_vec2 = macd_vec.get(signal_smoothing..).unwrap();

                        let mut sma_for_initial_value = 0.0;
                        for element in partial_vec1 {
                            sma_for_initial_value += element.value;
                        }
                        sma_for_initial_value /= signal_smoothing as f64;

                        macd_signal.value = sma_for_initial_value;
                        macd_signal.close_time = partial_vec1.last().unwrap().close_time;
                        macd_signal_vec.push(macd_signal.clone());

                        let alpha: f64 = 2.0 / (signal_smoothing as f64 + 1.0);
                        let mut ema_prev = sma_for_initial_value;
                        for element in partial_vec2 {
                            let ema_t = (1.0 - alpha) * ema_prev + alpha * element.value;

                            macd_signal.value = ema_t;
                            macd_signal.close_time = element.close_time;
                            macd_signal_vec.push(macd_signal.clone());

                            ema_prev = ema_t;
                        }

                        let result = macd_vec.binary_search_by_key(
                            &macd_signal_vec.first().unwrap().close_time,
                            |&TempData { value, close_time }| close_time,
                        );

                        if result.is_ok() {
                            let result = macd_vec.get(result.unwrap()..);
                            if result.is_some() {
                                let zipped = result.unwrap().iter().zip(macd_signal_vec);

                                let mut macd_vec: Vec<MacdData> = Vec::new();
                                for element in zipped {
                                    let mut macd = MacdData::new();
                                    macd.macd_value = element.0.value;
                                    macd.signal_value = element.1.value;
                                    macd.close_time = element.0.close_time;
                                    macd_vec.push(macd);
                                }
                                let mut macd_data_wrapper_lock =
                                    macd_data_wrapper_arc_c.lock().await;
                                macd_data_wrapper_lock.insert(symbol_c, macd_vec.clone());
                            }
                        }
                    }
                }
            }));
        }
    }
    try_join_all(task_vec).await?;
    let a = macd_data_wrapper_arc.lock().await.to_owned();
    Ok(a)
}