398 lines
18 KiB
Rust
398 lines
18 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_open,
|
|
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_long_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 ema10_open = ema_open(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
let ema10_close = ema(10, &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(ema10_open_vec), Some(ema10_close_vec), Some(current_info))
|
|
= (ema10_open.get(symbol), ema10_close.get(symbol), price_and_closetime) {
|
|
if ema10_open_vec.len() > 20
|
|
&& ema10_close_vec.len() > 20
|
|
&& ema10_open_vec.last().unwrap().close_time > server_epoch
|
|
&& ema10_open_vec.last().unwrap().close_time == ema10_close_vec.last().unwrap().close_time
|
|
{
|
|
if ema10_open_vec.last().unwrap().ema_value < ema10_close_vec.last().unwrap().ema_value
|
|
{
|
|
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;
|
|
|
|
// current ADX(3, 3), current ADX > prev ADX
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let adx_vec = adx(3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
for (symbol, values) in &mut filtered_data {
|
|
let mut do_buy = false;
|
|
if let Some(adx_vec) = adx_vec.get(symbol) {
|
|
if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) {
|
|
if adx_vec.len() > 10
|
|
&& adx_vec[last_idx].adx > adx_vec[last_idx-1].adx
|
|
{
|
|
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 30, multiplier: 2.0, 30m close price)
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let supertrend_30m_map =
|
|
supertrend(30, 2.0, 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 {
|
|
let a = supertrend_vec.get(supertrend_vec.len()-6..supertrend_vec.len()-1).unwrap();
|
|
for element in a {
|
|
if element.signal == Some(SuperTrendSignal::BUY) {
|
|
do_buy = true;
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
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();
|
|
for (symbol, values) in &mut filtered_data {
|
|
let mut do_buy = false;
|
|
if let Some(realtime_price_vec) = alldata.rt_price_30m_vec.get(symbol)
|
|
{
|
|
let element_number = 5;
|
|
if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) {
|
|
let min_price = truncated_vec
|
|
.iter()
|
|
.min_by(|x, y| x.opclo_price.partial_cmp(&y.opclo_price).unwrap())
|
|
.unwrap().opclo_price;
|
|
if values.current_price.to_f64().is_some_and(|a| a < min_price) {
|
|
let mut stoploss_percent = ((values.current_price.to_f64().unwrap() - min_price) * 100.0) / values.current_price.to_f64().unwrap();
|
|
stoploss_percent = (stoploss_percent * 100.0).floor() / 100.0;
|
|
values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap();
|
|
let mut target_percent = stoploss_percent.abs() * 1.5;
|
|
target_percent = (target_percent * 100.0).floor() / 100.0;
|
|
values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap();
|
|
|
|
do_buy = true;
|
|
|
|
}
|
|
}
|
|
}
|
|
|
|
if do_buy == false {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
}
|
|
remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// Wiliams -50.0 > %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;
|
|
for (symbol, values) in &mut filtered_data {
|
|
let mut do_buy = false;
|
|
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 {
|
|
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::BUY)
|
|
// {
|
|
// 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 > 20.0
|
|
// && stoch_rsi_vec[a].k > stoch_rsi_vec[a].d
|
|
// && stoch_rsi_vec[a - 1].k < 20.0
|
|
// && stoch_rsi_vec[a - 2].k < 20.0
|
|
// && stoch_rsi_vec[a - 3].k < 20.0
|
|
// && stoch_rsi_vec[a - 4].k < 20.0
|
|
// })
|
|
// {
|
|
// 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(Position::Long, &filtered_data, &future_exchange_info_map).await?;
|
|
insert_future_coins(Position::Long, server_epoch, &final_filtered_data).await?;
|
|
|
|
Ok(())
|
|
}
|
|
|
|
pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &HashMap<String, FuturesExchangeInfo>,) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
|
let filled_positions = select_long_filled_positions().await?;
|
|
|
|
let client = ClientBuilder::new()
|
|
.timeout(tokio::time::Duration::from_millis(5000))
|
|
.build()
|
|
.unwrap();
|
|
|
|
let server_epoch = get_server_epoch().await;
|
|
|
|
// let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
|
// let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
|
|
// for element in &filled_positions {
|
|
// filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
|
|
// }
|
|
// let supertrend_1m_map =
|
|
// supertrend(30, 2.0, true, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
|
|
// let adx_vec = adx(15, 15, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
|
|
for element in filled_positions {
|
|
let mut is_sell = false;
|
|
|
|
if !element.current_price.is_zero() {
|
|
if element.pure_profit_percent >= element.target_percent {
|
|
is_sell = true;
|
|
} else if element.pure_profit_percent <= element.stoploss_percent {
|
|
is_sell = true;
|
|
} else if server_epoch - element.close_time > 1_800_000 * 24 {
|
|
is_sell = true;
|
|
}
|
|
// else if server_epoch - element.close_time > 300_000 && supertrend_1m_map.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.area == SuperTrendArea::DOWN)) {
|
|
// is_sell = true;
|
|
// } else if server_epoch - element.close_time > 300_000
|
|
// && adx_vec.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.adx < 15.0)) {
|
|
// is_sell = true;
|
|
// }
|
|
|
|
if is_sell == true {
|
|
limit_order_close(
|
|
&element,
|
|
TimeInForce::Gtc,
|
|
element.current_price,
|
|
element.base_qty_ordered,
|
|
&futures_exchange_info_map,
|
|
&client
|
|
)
|
|
.await;
|
|
}
|
|
}
|
|
|
|
}
|
|
|
|
|
|
Ok(())
|
|
}
|