302 lines
14 KiB
Rust
302 lines
14 KiB
Rust
use crate::value_estimation_team::{datapoints::price_data::CandleType, indicators::wiliams_percent_r};
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use super::{
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adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
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ema_macd, exists_record, get_server_epoch, heatmap_volume,
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insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders,
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stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData,
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Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
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FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
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RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
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SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal
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};
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use crate::future::{Position, FuturesExchangeInfo};
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use crate::future::table_mgmt::select_filled_positions;
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use crate::future::order::{limit_order_close, TimeInForce};
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// BUY conditions
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pub async fn list_up_for_buy(
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alldata: &AllData,
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future_exchange_info_map: &HashMap<String, FuturesExchangeInfo>
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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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// basic 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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// current Tema(15) < current Tema(30)
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
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let tema_30 = tema(30, &alldata.rt_price_30m_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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let mut do_buy = false;
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let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
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if let (Some(tema10_vec), Some(tema30_vec), Some(current_info)) = (tema_10.get(symbol), tema_30.get(symbol), price_and_closetime) {
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if tema10_vec.len() > 10
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&& tema30_vec.len() > 10
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&& tema10_vec.last().unwrap().close_time == tema30_vec.last().unwrap().close_time
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&& tema10_vec.last().unwrap().close_time > server_epoch
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&& tema30_vec.last().unwrap().close_time > server_epoch
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{
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if tema10_vec[tema10_vec.len()-1].tema_value < tema30_vec[tema30_vec.len()-1].tema_value
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&& tema10_vec[tema10_vec.len()-2].tema_value < tema30_vec[tema30_vec.len()-2].tema_value
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&& tema10_vec[tema10_vec.len()-1].tema_value < tema10_vec[tema10_vec.len()-2].tema_value
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{
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do_buy = true;
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}
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}
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}
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if do_buy == false {
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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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// supertrend(ATR period 10, multiplier: 3.0, 30m 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_1m_map =
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supertrend(60, 1.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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let mut do_buy = false;
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let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
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if let (Some(supertrend_vec), Some(current_info)) = (
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supertrend_1m_map.get(symbol),
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price_and_closetime,
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) {
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if supertrend_vec.last().unwrap().close_time > server_epoch
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&& supertrend_vec.last().unwrap().signal.as_ref().is_some_and(|a| *a == SuperTrendSignal::SELL)
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{
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values.current_price = current_info.0;
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values.closetime = current_info.1;
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do_buy = true;
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}
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}
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if do_buy == false {
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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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// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let heatmap_volumes = heatmap_volume(
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30,
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30,
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4.0,
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1.5,
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0.5,
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-0.5,
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&filtered_data,
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&alldata.rt_price_1m_vec,
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)
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.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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let mut do_buy = false;
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if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
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if heatmap_volume_vec.len() > 100
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&& heatmap_volume_vec.last().unwrap().close_time > server_epoch
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&& (heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::High
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|| heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::High
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|| heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::High
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|| heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::High)
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{
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do_buy = true;
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}
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}
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if do_buy == false {
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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 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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let mut do_buy = false;
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let opclo_sample_length: usize = 60; // 15 candle samsples
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let mut target_profit_percent = 0.0;
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if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
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let vec_len = price_1m_vec.len();
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if let Some(candles) =
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price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
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{
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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
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- window.last().unwrap().low_price)
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* 100.0)
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/ 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
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- window.last().unwrap().low_price)
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* 100.0)
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/ window.first().unwrap().close_price)
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- average_amplitude)
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.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 =
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average_amplitude + (standard_deviation_amplitude * 0.5);
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if target_profit_percent * 2.0 > 0.14 {
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do_buy = true;
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}
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}
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}
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if do_buy == false {
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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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// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
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// let server_epoch = get_server_epoch().await;
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// let mut keys_to_remove: HashSet<String> = HashSet::new();
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// let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_data).await?;
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// for (symbol, values) in &mut filtered_data {
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// let mut do_buy = false;
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// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
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// if let (Some(stoch_rsi_vec), Some(current_info)) = (stoch_rsis.get(symbol), price_and_closetime) {
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// if server_epoch < current_info.1 {
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// let search_result = stoch_rsi_vec
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// .iter()
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// .position(|x| x.close_time == current_info.1);
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// if stoch_rsi_vec.len() > 10
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// && search_result.is_some_and(|a| {
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// stoch_rsi_vec[a].k < 80.0
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// && stoch_rsi_vec[a].k < stoch_rsi_vec[a].d
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// && stoch_rsi_vec[a - 1].k > 80.0
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// && stoch_rsi_vec[a - 2].k > 80.0
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// && stoch_rsi_vec[a - 3].k > 80.0
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// && stoch_rsi_vec[a - 4].k > 80.0
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// })
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// {
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// values.closetime = current_info.1;
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// values.current_price = current_info.0;
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// do_buy = true;
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// }
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// }
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// }
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// if do_buy == false {
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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 = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
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insert_future_coins(Position::Short, server_epoch, &final_filtered_data).await?;
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Ok(())
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}
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pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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let filled_positions = select_filled_positions().await?;
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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 filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
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for element in &filled_positions {
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filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
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}
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let server_epoch = get_server_epoch().await;
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for element in filled_positions {
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let opclo_sample_length: usize = 60; // 15 candle samsples
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let mut target_profit_percent = 0.0;
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if let Some(price_1m_vec) = all_data.rt_price_1m_vec.get(&element.symbol) {
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let vec_len = price_1m_vec.len();
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if let Some(candles) =
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price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
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{
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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
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- window.last().unwrap().low_price)
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* 100.0)
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/ 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
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- window.last().unwrap().low_price)
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* 100.0)
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/ window.first().unwrap().close_price)
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- average_amplitude)
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.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 =
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average_amplitude + (standard_deviation_amplitude * 0.5);
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}
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}
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let mut is_sell = false;
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// TODO: BNB 코인이 있으면
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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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// TODO: BNB 코인이 없으면
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if !element.current_price.is_zero() && target_profit_percent.is_normal() {
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if element.pure_profit_percent >= target_profit_percent * 2.5 {
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is_sell = true;
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} else if element.pure_profit_percent <= target_profit_percent * -2.0 {
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is_sell = true;
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} else if server_epoch - element.transact_time >= (900_000) * 1 {
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// time up selling
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is_sell = true;
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}
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if is_sell == true {
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limit_order_close(
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&element,
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TimeInForce::Gtc,
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element.current_price,
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element.base_qty_ordered,
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&client
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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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Ok(())
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}
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