309 lines
17 KiB
Rust
309 lines
17 KiB
Rust
use super::{
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dec, decimal_add, decimal_sub, decimal_div, decimal_mul, ema, exists_record, insert_pre_suggested_coins,
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limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData,
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Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredDataValue, Mutex,
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RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, get_server_epoch, MacdData, ema_macd,
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BollingerBandData, ToPrimitive, duplicate_filter, HashMap, HashSet, remove_keys, SuperTrendArea, SuperTrendSignal, get_current_price, dema, DemaData, tema, TemaData
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};
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// BUY conditions
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// (1) 1d MACD (3, 7, 30): MACD_current - Signal_current < 0, MACD_prev - Signal_prev < MACD_current - Signal_current
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// (2) stoch RSI(30, 30, 2, 2): K_prev < 10, K_prev < K_current
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// stoploss: (update) supertrend(10, 1.5) lowerband
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// target price: (fixed) stoploss inverse x 3 times profit
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pub async fn list_up_for_buy(
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alldata: &AllData,
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) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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// print rt_price for debugging
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// let a = alldata.rt_price_30m_vec.iter().position(|a| a.0 == "BTCUSDT");
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// println!("BTCUSDT: {:?}", alldata.rt_price_30m_vec[a.unwrap()].1.last().unwrap());
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// 1st filtering: filtering valid trade pair
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let mut filtered_data: HashMap<String, FilteredDataValue> = HashMap::new();
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for symbol in &alldata.valid_symbol_vec {
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filtered_data.insert(symbol.clone(), FilteredDataValue::new());
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}
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// 2nd filtering: 1d MACD (3, 7, 30) cross
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let macd_1d_map = ema_macd(3, 7, 30, &alldata.rt_price_1d_vec, &filtered_data).await?;
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let server_epoch = get_server_epoch().await;
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for (symbol, values) in &mut filtered_data {
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if let (Some(macd_vec), Some(rt_price_vec)) = (macd_1d_map.get(symbol), alldata.rt_price_1d_vec.get(symbol)) {
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if macd_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time &&
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rt_price_vec.last().unwrap().close_time > server_epoch {
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if macd_vec.len() >= 30 &&
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(macd_vec[macd_vec.len()-1].macd_value - macd_vec[macd_vec.len()-1].signal_value).is_sign_negative() &&
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(macd_vec[macd_vec.len()-2].macd_value - macd_vec[macd_vec.len()-2].signal_value).is_sign_negative() &&
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(macd_vec[macd_vec.len()-1].macd_value - macd_vec[macd_vec.len()-1].signal_value >
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macd_vec[macd_vec.len()-2].macd_value - macd_vec[macd_vec.len()-2].signal_value) {
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values.current_price = rust_decimal::prelude::FromPrimitive::from_f64(rt_price_vec.last().unwrap().close_price).unwrap();
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values.closetime = rt_price_vec.last().unwrap().close_time;
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// 1d StochRSI (RSI_len: 30, StochRSI_len: 30, K: 3, D: 3) K_prev < 10, K_prev < K_current
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let stoch_rsis = stoch_rsi(30, 30, 3, 3, &alldata.rt_price_1d_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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if stoch_rsis.contains_key(symbol) {
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let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap();
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let search_result = stoch_rsi_vec.iter().position(|x| x.close_time == values.closetime);
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if stoch_rsi_vec.len() > 10 && search_result.is_some_and(|a| stoch_rsi_vec[a-3].k < 20.0 &&
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stoch_rsi_vec[a-2].k < 15.0 &&
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stoch_rsi_vec[a-1].k < 10.0 &&
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stoch_rsi_vec[a-1].k < stoch_rsi_vec[a].k &&
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stoch_rsi_vec[a].k < stoch_rsi_vec[a].d &&
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!stoch_rsi_vec[a].d.is_subnormal() &&
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stoch_rsi_vec[a].d > 0.00000001) {
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// 2nd filtering: supertrend(ATR period 30, multiplier: 2.0, 1d close price) UP area
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let server_epoch = get_server_epoch().await;
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let supertrend_1d_map = supertrend(30, 2.0, true, &alldata.rt_price_1d_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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if let (Some(supertrend_vec), Some(rt_price_vec)) = (supertrend_1d_map.get(symbol), alldata.rt_price_1d_vec.get(symbol)) {
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if supertrend_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time &&
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rt_price_vec.last().unwrap().close_time > server_epoch {
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if supertrend_vec.last().unwrap().area == SuperTrendArea::UP {
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// 2nd filtering: supertrend(ATR period 14, multiplier: 1.2, 1d close price)
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let server_epoch = get_server_epoch().await;
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let supertrend_1d_map = supertrend(14, 1.2, true, &alldata.rt_price_1d_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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if let (Some(supertrend_vec), Some(rt_price_vec)) = (supertrend_1d_map.get(symbol), alldata.rt_price_1d_vec.get(symbol)) {
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if supertrend_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time &&
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rt_price_vec.last().unwrap().close_time > server_epoch {
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// input stoploss, target_price
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let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap();
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if supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN &&
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supertrend_vec.last().unwrap().band_value > values.current_price.to_f64().unwrap()
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{
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values.stoploss = decimal_sub(values.current_price, decimal_sub(band_value, values.current_price));
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values.target_price = decimal_add(decimal_mul(decimal_sub(values.current_price, values.stoploss), dec!(2.0)), values.current_price);
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} else if supertrend_vec.last().unwrap().area == SuperTrendArea::UP &&
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supertrend_vec.last().unwrap().band_value < values.current_price.to_f64().unwrap()
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{
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values.stoploss = band_value;
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values.target_price = decimal_add(decimal_mul(decimal_sub(values.current_price, values.stoploss), dec!(2.0)), values.current_price);
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// limit buy price: 3 * abs(이전 3 개 중 최대값 제거 한 opclo 값 평균 - 현재 open 값) + 현재 open 값 > current_price
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let server_epoch = get_server_epoch().await;
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for (symbol, values) in &mut filtered_data {
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if let Some(rt_price_vec) = alldata.rt_price_1d_vec.get(symbol) {
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if rt_price_vec.last().unwrap().close_time > server_epoch && rt_price_vec.len() >= 6 {
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let mut opclo_vec: Vec<f64> = Vec::new();
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-2].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-3].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-4].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-5].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-6].opclo_price);
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let max_idx = opclo_vec.iter().position(|&x| x == *opclo_vec.iter().max_by(|&a, &b| a.partial_cmp(b).unwrap()).unwrap());
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opclo_vec.remove(max_idx.unwrap());
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let mut mean = 0.0;
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for element in &opclo_vec {
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mean += element;
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}
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mean /= opclo_vec.len() as f64;
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let current_price = rt_price_vec.last().unwrap().close_price;
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let difference = (mean - rt_price_vec.last().unwrap().open_price).abs();
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if current_price < rt_price_vec.last().unwrap().open_price + (3.0 * difference) {
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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let final_filtered_data = duplicate_filter(6, &filtered_data).await?;
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insert_pre_suggested_coins(6, false, &final_filtered_data, &alldata).await;
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Ok(())
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}
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pub async fn list_up_for_sell(
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all_data: &AllData,
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exchange_info_map: &HashMap<String, ExchangeInfo>,
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trade_fee_map: &HashMap<String, TradeFee>,
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) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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let filled_buy_orders = select_filled_buy_orders(6).await?;
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if !filled_buy_orders.is_empty() {
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let client = ClientBuilder::new()
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.timeout(tokio::time::Duration::from_millis(5000))
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.build()
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.unwrap();
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let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
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let server_epoch = get_server_epoch().await;
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let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
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for element in &filled_buy_orders {
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filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
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}
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let supertrend_1d = supertrend(14, 1.2, true, &all_data.rt_price_1d_vec, &filtered_symbols).await?;
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for element in filled_buy_orders {
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let mut is_sell = false;
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let opclo_sample_length: usize = 15; // 15 candle samsples
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let mut target_profit_percent = 0.0;
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if let Some(price_1d_vec) = all_data
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.rt_price_1d_vec
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.get(&element.symbol)
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{
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let vec_len = price_1d_vec.len();
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if let Some(candles) = price_1d_vec.get(vec_len-opclo_sample_length-2..vec_len-1) {
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let windows = candles.windows(2);
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let mut sum_amplitude_candles = 0.0;
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let mut sum_ratio_amp_body = 0.0;
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let mut average_amplitude = 0.0;
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for window in windows {
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sum_amplitude_candles += ((window.last().unwrap().high_price - window.last().unwrap().low_price) * 100.0) / window.first().unwrap().close_price;
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}
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let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
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let mut amplitude_variance = 0.0;
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let windows = candles.windows(2);
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for window in windows {
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amplitude_variance += ((((window.last().unwrap().high_price - window.last().unwrap().low_price) * 100.0) / window.first().unwrap().close_price) - average_amplitude).powi(2);
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}
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amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
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let standard_deviation_amplitude = amplitude_variance.sqrt();
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target_profit_percent = average_amplitude + (standard_deviation_amplitude * 0.5);
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}
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}
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if element.used_usdt >= dec!(10.0) {
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if let (Some(exchange_info), Some(tradefee), Some(supertrend_vec)) =
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(exchange_info_map.get(&element.symbol), trade_fee_map.get(&element.symbol), supertrend_1d.get(&element.symbol)) {
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// update stoploss
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let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap();
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if supertrend_vec.last().unwrap().area == SuperTrendArea::UP
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&& band_value > element.stoploss {
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let update_table_name = String::from("buy_ordered_coin_list");
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let update_value = vec![
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(String::from("stoploss"), band_value.to_string()),
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];
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let update_condition = vec![(String::from("id"), element.id.to_string())];
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update_record3(&update_table_name, &update_value, &update_condition)
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.await
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.unwrap();
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}
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let lot_step_size = exchange_info.stepsize;
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let quote_commission_precision = exchange_info.quote_commission_precision;
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let base_qty_to_be_ordered =
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element.base_qty_ordered.round_dp_with_strategy(
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lot_step_size.normalize().scale(),
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RoundingStrategy::ToZero,
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);
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if (element.is_long == 0 || element.is_long == 1)
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&& !element.current_price.is_zero()
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{
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if element.current_price <= element.stoploss {
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is_sell = true;
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} else if element.current_price >= element.target_price {
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is_sell = true;
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} else if (element.pure_profit_percent >= target_profit_percent * 2.5) && (target_profit_percent != 0.0 && target_profit_percent.is_sign_positive()) { // absolute sell profit percent
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is_sell = true;
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} else if server_epoch - element.transact_time > (86_400_000) * 5 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * 2.0 <= element.pure_profit_percent){ // scaled selling with time up selling (5 days)
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is_sell = true;
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} else if server_epoch - element.transact_time > (86_400_000) * 6 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * 1.5 <= element.pure_profit_percent){ // scaled selling with time up selling (6 days)
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is_sell = true;
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} else if server_epoch - element.transact_time > (86_400_000) * 7 { // time up selling
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is_sell = true;
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}
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// TODO: sell_count가 1일 때 적용하기
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// else if (supertrend_vec
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// .last()
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// .unwrap()
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// .signal
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// .as_ref()
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// .is_some_and(|x| x.contains("SELL"))
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// || supertrend_vec.last().unwrap().area.contains("DOWN"))
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// && (supertrend_vec.last().unwrap().close_time > element.close_time)
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// {
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// println!(
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// "SELL signal selling {} {:.2}",
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// element.symbol, element.pure_profit_percent
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// );
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// limit_order_sell(
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// &element,
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// element.current_price,
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// base_qty_to_be_ordered,
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// &client,
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// &exchange_info_vec,
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// &trade_fee_vec,
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// )
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// .await;
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// }
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if is_sell == true {
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limit_order_sell(
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&element,
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element.current_price,
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base_qty_to_be_ordered,
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&client,
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&exchange_info_map,
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&trade_fee_map,
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)
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.await;
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}
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}
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}
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}
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}
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}
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Ok(())
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}
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