468 lines
22 KiB
Rust
468 lines
22 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, ema_open,
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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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sma, sma_open, LrData, linear_regression
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};
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use crate::future::{Position, FuturesExchangeInfo};
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use crate::future::table_mgmt::select_long_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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let server_epoch = get_server_epoch().await;
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// current lr > prev lr, current r_squared <= 0.01
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let lr_map = linear_regression(10, 0, &alldata.rt_price_30m_vec, &filtered_data).await?;
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let sma_map = sma(10, &alldata.rt_price_30m_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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if let (Some(lr_vec), Some(sma_vec), Some(current_info)) = (lr_map.get(symbol), sma_map.get(symbol), get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await) {
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if lr_vec.len() > 10
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&& sma_vec.len() > 10
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&& lr_vec.last().is_some_and(|x| x.close_time > server_epoch)
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&& sma_vec.last().is_some_and(|x| x.close_time > server_epoch)
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&& lr_vec[lr_vec.len()-1].lr_value > lr_vec[lr_vec.len()-2].lr_value
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&& lr_vec[lr_vec.len()-2].lr_value > lr_vec[lr_vec.len()-3].lr_value
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&& lr_vec.last().unwrap().r_squared <= 0.01
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&& lr_vec[lr_vec.len()-1].lr_value >= sma_vec[sma_vec.len()-1].sma_value
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&& lr_vec[lr_vec.len()-2].lr_value <= sma_vec[sma_vec.len()-1].sma_value
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{
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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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// sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev)
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// let mut keys_to_remove: HashSet<String> = HashSet::new();
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// let ema10_open = ema_open(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
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// let ema10_close = ema(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
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// let ema200_close = ema(200, &alldata.rt_price_30m_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_30m_vec).await;
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// if let (Some(ema10_open_vec), Some(ema10_close_vec), Some(ema200_close_vec), Some(current_info))
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// = (ema10_open.get(symbol), ema10_close.get(symbol), ema200_close.get(symbol), price_and_closetime) {
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// if ema10_open_vec.len() > 20
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// && ema10_close_vec.len() > 20
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// && ema200_close_vec.len() > 20
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// && ema10_open_vec.last().unwrap().close_time > server_epoch
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// && ema10_open_vec.last().unwrap().close_time == ema10_close_vec.last().unwrap().close_time
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// && ema10_open_vec.last().unwrap().close_time == ema200_close_vec.last().unwrap().close_time
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// {
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// if ema10_open_vec.last().unwrap().ema_value < ema10_close_vec.last().unwrap().ema_value
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// && current_info.0.to_f64().is_some_and(|a| a > ema200_close_vec.last().unwrap().ema_value)
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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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// }
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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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// current ADX(3, 3), current ADX > prev ADX
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// let mut keys_to_remove: HashSet<String> = HashSet::new();
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// let adx_vec = adx(3, 3, &alldata.rt_price_30m_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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// if let Some(adx_vec) = adx_vec.get(symbol) {
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// if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) {
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// if adx_vec.len() > 10
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// && adx_vec[last_idx].adx > adx_vec[last_idx-1].adx
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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 30, multiplier: 2.0, 30m close price)
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// let mut keys_to_remove: HashSet<String> = HashSet::new();
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// let supertrend_30m_map =
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// supertrend(100, 1.5, true, &alldata.rt_price_30m_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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// if let Some(supertrend_vec) = supertrend_30m_map.get(symbol)
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// {
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// if supertrend_vec.len() > 10
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// && supertrend_vec.last().is_some_and(|a| a.close_time == values.closetime)
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// && supertrend_vec.last().unwrap().area == SuperTrendArea::UP
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// && supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::UP {
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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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// set target_price and stop_loss
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// let mut keys_to_remove: HashSet<String> = HashSet::new();
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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(realtime_price_vec) = alldata.rt_price_30m_vec.get(symbol)
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// {
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// let element_number = 5;
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// if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) {
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// let min_price = truncated_vec
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// .iter()
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// .min_by(|x, y| x.low_price.partial_cmp(&y.low_price).unwrap())
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// .unwrap().low_price;
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// if values.current_price.to_f64().is_some_and(|a| a < min_price) {
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// let mut stoploss_percent = ((values.current_price.to_f64().unwrap() - min_price) * 100.0) / values.current_price.to_f64().unwrap();
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// stoploss_percent = (stoploss_percent * 100.0).floor() / 100.0;
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// values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap();
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// let mut target_percent = stoploss_percent.abs() * 1.5;
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// target_percent = (target_percent * 100.0).floor() / 100.0;
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// values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap();
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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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// Wiliams -60 > %R(100)
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let mut wpr100_map = wiliams_percent_r(100, &alldata.rt_price_1m_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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if let Some(wpr100_vec) = wpr100_map.get(symbol) {
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if wpr100_vec.len() > 15
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&& wpr100_vec.last().unwrap().close_time > server_epoch
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&& wpr100_vec.last().unwrap().r_value < -60.0 {
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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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// 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::BUY)
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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 * 2.0);
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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 > 20.0
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// && stoch_rsi_vec[a].k > stoch_rsi_vec[a].d
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// && stoch_rsi_vec[a - 1].k < 20.0
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// && stoch_rsi_vec[a - 2].k < 20.0
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// && stoch_rsi_vec[a - 3].k < 20.0
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// && stoch_rsi_vec[a - 4].k < 20.0
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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;
|
|
|
|
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 lr_map = linear_regression(10, 0, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
|
|
// let supertrend_30m_map =
|
|
// supertrend(100, 1.5, true, &all_data.rt_price_30m_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 let Some(lr_vec) = lr_map.get(&element.symbol) {
|
|
if !element.current_price.is_zero() && lr_vec.len() > 10 && lr_vec.last().is_some_and(|x| x.close_time > server_epoch) {
|
|
|
|
// 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 element.pure_profit_percent.is_sign_positive() && lr_vec.last().unwrap().r_squared >= 0.75 {
|
|
is_sell = true;
|
|
} else if server_epoch - element.close_time > 900_000
|
|
&& lr_vec[lr_vec.len()-1].lr_value < lr_vec[lr_vec.len()-2].lr_value {
|
|
is_sell = true;
|
|
} else if server_epoch - element.close_time > 900_000
|
|
&& lr_vec[lr_vec.len()-1].r_squared < lr_vec[lr_vec.len()-2].r_squared
|
|
&& lr_vec[lr_vec.len()-2].r_squared > lr_vec[lr_vec.len()-3].r_squared
|
|
&& lr_vec[lr_vec.len()-3].r_squared > lr_vec[lr_vec.len()-4].r_squared {
|
|
is_sell = true;
|
|
} else if server_epoch - element.close_time > 600_000
|
|
&& element.pure_profit_percent <= -0.8 {
|
|
is_sell = true;
|
|
}
|
|
|
|
let minimum_candles = 5;
|
|
let maximum_candles = 20;
|
|
// for count_candles in minimum_candles..=maximum_candles {
|
|
// if count_candles < maximum_candles
|
|
// && server_epoch - element.transact_time
|
|
// > (1_800_000) * count_candles
|
|
// && ((element.pure_profit_percent > 0.0
|
|
// && element.target_percent
|
|
// * ((maximum_candles - count_candles) as f64
|
|
// / (maximum_candles - minimum_candles + 1) as f64)
|
|
// <= element.pure_profit_percent)
|
|
// ||
|
|
// (element.pure_profit_percent < 0.0
|
|
// && element.stoploss_percent
|
|
// * ((maximum_candles - count_candles) as f64
|
|
// / (maximum_candles - minimum_candles + 1) as f64)
|
|
// >= element.pure_profit_percent)
|
|
// )
|
|
// {
|
|
// is_sell = true;
|
|
// break;
|
|
// } else {
|
|
// break;
|
|
// }
|
|
// }
|
|
|
|
if server_epoch - element.close_time > 1_800_000 * maximum_candles {
|
|
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(())
|
|
}
|