471 lines
22 KiB
Rust
471 lines
22 KiB
Rust
use super::{
|
|
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
|
|
ema_macd, exists_record, get_current_price, 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, 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,
|
|
};
|
|
|
|
// BUY conditions
|
|
pub async fn list_up_for_buy(
|
|
alldata: &AllData,
|
|
) -> 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());
|
|
}
|
|
|
|
// current Tema(3) > current Tema(10)
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let tema_3 = tema(3, &alldata.rt_price_1d_vec, &filtered_data).await?;
|
|
let tema_10 = tema(10, &alldata.rt_price_1d_vec, &filtered_data).await?;
|
|
let server_epoch = get_server_epoch().await;
|
|
for (symbol, values) in &mut filtered_data {
|
|
if let (Some(tema5_vec), Some(tema10_vec)) = (tema_3.get(symbol), tema_10.get(symbol)) {
|
|
if tema5_vec.len() > 2
|
|
&& tema10_vec.len() > 2
|
|
&& tema5_vec.last().unwrap().close_time == tema10_vec.last().unwrap().close_time
|
|
&& tema5_vec.last().unwrap().close_time > server_epoch
|
|
&& tema10_vec.last().unwrap().close_time > server_epoch
|
|
{
|
|
if tema5_vec.last().unwrap().tema_value > tema10_vec.last().unwrap().tema_value {
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
}
|
|
remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// current Tema(30) < current Tema(5)
|
|
// previous Tema(30) > previous Tema(5)
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let tema_30 = tema(30, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
let tema_5 = tema(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
let tema_200 = tema(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
let server_epoch = get_server_epoch().await;
|
|
for (symbol, values) in &mut filtered_data {
|
|
if let (Some(tema30_vec), Some(tema5_vec), Some(tema_200_vec), Some(rt_price_vec)) = (
|
|
tema_30.get(symbol),
|
|
tema_5.get(symbol),
|
|
tema_200.get(symbol),
|
|
alldata.rt_price_30m_vec.get(symbol),
|
|
) {
|
|
if (tema30_vec.len() > 10
|
|
&& tema5_vec.len() > 10
|
|
&& tema_200_vec.len() > 10
|
|
&& rt_price_vec.len() > 10)
|
|
&& tema30_vec.last().unwrap().close_time == tema5_vec.last().unwrap().close_time
|
|
&& tema_200_vec.last().unwrap().close_time == tema5_vec.last().unwrap().close_time
|
|
&& tema5_vec.last().unwrap().close_time > server_epoch
|
|
{
|
|
if tema30_vec.last().unwrap().tema_value < tema5_vec.last().unwrap().tema_value
|
|
&& tema30_vec[tema30_vec.len() - 2].tema_value
|
|
> tema5_vec[tema5_vec.len() - 2].tema_value
|
|
&& tema30_vec[tema30_vec.len() - 3].tema_value
|
|
> tema5_vec[tema5_vec.len() - 3].tema_value
|
|
&& tema_200_vec.last().unwrap().tema_value
|
|
< rt_price_vec.last().unwrap().opclo_price
|
|
&& tema_200_vec[tema_200_vec.len() - 2].tema_value
|
|
< rt_price_vec[rt_price_vec.len() - 2].opclo_price
|
|
{
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
}
|
|
remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// supertrend(ATR period 10, multiplier: 2.0, 30m close price)
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let server_epoch = get_server_epoch().await;
|
|
let supertrend_30m_map =
|
|
supertrend(10, 2.0, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
for (symbol, values) in &mut filtered_data {
|
|
if let (Some(supertrend_vec), Some(rt_price_vec)) = (
|
|
supertrend_30m_map.get(symbol),
|
|
alldata.rt_price_30m_vec.get(symbol),
|
|
) {
|
|
if supertrend_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time
|
|
&& rt_price_vec.last().unwrap().close_time > server_epoch
|
|
{
|
|
// input stoploss, target_price
|
|
let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
|
|
supertrend_vec.last().unwrap().band_value,
|
|
)
|
|
.unwrap();
|
|
let open_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
|
|
rt_price_vec.last().unwrap().open_price,
|
|
)
|
|
.unwrap();
|
|
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
|
|
rt_price_vec.last().unwrap().close_price,
|
|
)
|
|
.unwrap();
|
|
if supertrend_vec.last().unwrap().area == SuperTrendArea::UP
|
|
&& band_value < current_price
|
|
&& band_value < open_price
|
|
{
|
|
values.current_price = current_price;
|
|
values.closetime = rt_price_vec.last().unwrap().close_time;
|
|
values.stoploss = band_value;
|
|
values.target_price = decimal_add(
|
|
decimal_mul(decimal_sub(current_price, values.stoploss), dec!(3.0)),
|
|
current_price,
|
|
);
|
|
} else if supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN
|
|
&& band_value > current_price
|
|
&& band_value > open_price
|
|
{
|
|
values.current_price = current_price;
|
|
values.closetime = rt_price_vec.last().unwrap().close_time;
|
|
values.stoploss = decimal_sub(open_price, decimal_sub(band_value, open_price));
|
|
values.target_price = decimal_add(
|
|
decimal_mul(decimal_sub(open_price, values.stoploss), dec!(3.0)),
|
|
current_price,
|
|
);
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
}
|
|
remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// current ADX(15, 15) < 25
|
|
// let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
// let adx_vec = adx(15, 15, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
// for (symbol, values) in &mut filtered_data {
|
|
// 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 < 25.0 {
|
|
// } else {
|
|
// keys_to_remove.insert(symbol.clone());
|
|
// }
|
|
// } else {
|
|
// keys_to_remove.insert(symbol.clone());
|
|
// }
|
|
// } else {
|
|
// keys_to_remove.insert(symbol.clone());
|
|
// }
|
|
// }
|
|
// remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// StochRSI (RSI_len: 10, StochRSI_len: 10, K: 3, D: 3) K_current < 70, K_current > d_current
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let stoch_rsis = stoch_rsi(30, 30, 3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
|
|
for (symbol, values) in &mut filtered_data {
|
|
if stoch_rsis.contains_key(symbol) {
|
|
let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap();
|
|
let search_result = stoch_rsi_vec
|
|
.iter()
|
|
.position(|x| x.close_time == values.closetime);
|
|
if stoch_rsi_vec.len() > 10
|
|
&& search_result.is_some_and(|a| {
|
|
stoch_rsi_vec[a].k > stoch_rsi_vec[a].d
|
|
&& stoch_rsi_vec[a].k < 70.0
|
|
&& stoch_rsi_vec[a - 1].k < 60.0
|
|
&& stoch_rsi_vec[a - 2].k < 50.0
|
|
})
|
|
{
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
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,
|
|
2.5,
|
|
1.0,
|
|
-0.5,
|
|
&filtered_data,
|
|
&alldata.rt_price_30m_vec,
|
|
)
|
|
.await?;
|
|
for (symbol, values) in &mut filtered_data {
|
|
if stoch_rsis.contains_key(symbol) {
|
|
let heatmap_volume_vec = heatmap_volumes.get(symbol).unwrap();
|
|
if heatmap_volume_vec.len() > 50 {
|
|
let heatmap_volume_trunc = heatmap_volume_vec
|
|
.get(heatmap_volume_vec.len() - 31..heatmap_volume_vec.len() - 1)
|
|
.unwrap();
|
|
let windows = heatmap_volume_trunc.windows(2);
|
|
for slice in windows {
|
|
if slice[1].heatmap_level == HeatMapLevel::ExtraHigh {
|
|
if let (prev_candle_idx, current_candle_idx) = (
|
|
(&alldata
|
|
.rt_price_30m_vec
|
|
.get(symbol)
|
|
.unwrap()
|
|
.iter()
|
|
.position(|x| x.close_time == slice[0].close_time))
|
|
.unwrap(),
|
|
(&alldata
|
|
.rt_price_30m_vec
|
|
.get(symbol)
|
|
.unwrap()
|
|
.iter()
|
|
.position(|x| x.close_time == slice[1].close_time))
|
|
.unwrap(),
|
|
) {
|
|
let prev_candle =
|
|
&alldata.rt_price_30m_vec.get(symbol).unwrap()[prev_candle_idx];
|
|
let current_candle =
|
|
&alldata.rt_price_30m_vec.get(symbol).unwrap()[current_candle_idx];
|
|
if current_candle.close_price > prev_candle.close_price
|
|
|| current_candle.close_price > prev_candle.open_price
|
|
|| current_candle.close_price > prev_candle.high_price
|
|
|| current_candle.close_price > prev_candle.low_price
|
|
{
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
// limit buy price: 0.25 * abs(이전 5 개 중 최대값 제거 한 opclo 값 평균 - 현재 open 값) + 현재 open 값 > current_price
|
|
let mut keys_to_remove: HashSet<String> = HashSet::new();
|
|
let server_epoch = get_server_epoch().await;
|
|
for (symbol, values) in &mut filtered_data {
|
|
if let Some(rt_price_vec) = alldata.rt_price_30m_vec.get(symbol) {
|
|
if rt_price_vec.last().unwrap().close_time > server_epoch && rt_price_vec.len() >= 6 {
|
|
let mut opclo_vec: Vec<f64> = Vec::new();
|
|
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 2].opclo_price);
|
|
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 3].opclo_price);
|
|
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 4].opclo_price);
|
|
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 5].opclo_price);
|
|
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 6].opclo_price);
|
|
let max_idx = opclo_vec.iter().position(|&x| {
|
|
x == *opclo_vec
|
|
.iter()
|
|
.max_by(|&a, &b| a.partial_cmp(b).unwrap())
|
|
.unwrap()
|
|
});
|
|
opclo_vec.remove(max_idx.unwrap());
|
|
|
|
let mut mean = 0.0;
|
|
for element in &opclo_vec {
|
|
mean += element;
|
|
}
|
|
mean /= opclo_vec.len() as f64;
|
|
let current_price = rt_price_vec.last().unwrap().close_price;
|
|
let difference = (mean - rt_price_vec.last().unwrap().open_price).abs();
|
|
|
|
if current_price < rt_price_vec.last().unwrap().open_price + (0.25 * difference) {
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
} else {
|
|
keys_to_remove.insert(symbol.clone());
|
|
}
|
|
}
|
|
remove_keys(&mut filtered_data, keys_to_remove).await;
|
|
|
|
let final_filtered_data = duplicate_filter(8, &filtered_data).await?;
|
|
insert_pre_suggested_coins(8, false, &final_filtered_data, &alldata).await;
|
|
|
|
Ok(())
|
|
}
|
|
|
|
pub async fn list_up_for_sell(
|
|
all_data: &AllData,
|
|
exchange_info_map: &HashMap<String, ExchangeInfo>,
|
|
trade_fee_map: &HashMap<String, TradeFee>,
|
|
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
|
let filled_buy_orders = select_filled_buy_orders(8).await?;
|
|
|
|
if !filled_buy_orders.is_empty() {
|
|
let client = ClientBuilder::new()
|
|
.timeout(tokio::time::Duration::from_millis(5000))
|
|
.build()
|
|
.unwrap();
|
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
|
let server_epoch = get_server_epoch().await;
|
|
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
|
|
for element in &filled_buy_orders {
|
|
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
|
|
}
|
|
let supertrend_30m =
|
|
supertrend(10, 2.0, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
|
|
let tema_30 = tema(30, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
|
|
let tema_5 = tema(5, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
|
|
for element in filled_buy_orders {
|
|
let mut is_sell = false;
|
|
let mut is_overturned = false;
|
|
if element.used_usdt >= dec!(10.0) {
|
|
if let (Some(tema30_vec), Some(tema5_vec)) =
|
|
(tema_30.get(&element.symbol), tema_5.get(&element.symbol))
|
|
{
|
|
if tema30_vec.len() > 2
|
|
&& tema5_vec.len() > 2
|
|
&& tema30_vec.last().unwrap().close_time
|
|
== tema5_vec.last().unwrap().close_time
|
|
&& tema30_vec.last().unwrap().close_time > server_epoch
|
|
&& tema5_vec.last().unwrap().close_time > server_epoch
|
|
&& tema30_vec.last().unwrap().tema_value
|
|
> tema5_vec.last().unwrap().tema_value
|
|
&& tema30_vec[tema30_vec.len() - 2].tema_value
|
|
< tema5_vec[tema5_vec.len() - 2].tema_value
|
|
{
|
|
is_overturned = true;
|
|
}
|
|
}
|
|
|
|
if let (Some(exchange_info), Some(tradefee), Some(supertrend_vec)) = (
|
|
exchange_info_map.get(&element.symbol),
|
|
trade_fee_map.get(&element.symbol),
|
|
supertrend_30m.get(&element.symbol),
|
|
) {
|
|
// update stoploss
|
|
let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
|
|
supertrend_vec.last().unwrap().band_value,
|
|
)
|
|
.unwrap();
|
|
if supertrend_vec.last().unwrap().area == SuperTrendArea::UP
|
|
&& band_value > element.stoploss
|
|
{
|
|
let update_table_name = String::from("buy_ordered_coin_list");
|
|
let update_value = vec![(String::from("stoploss"), band_value.to_string())];
|
|
let update_condition = vec![(String::from("id"), element.id.to_string())];
|
|
update_record3(&update_table_name, &update_value, &update_condition)
|
|
.await
|
|
.unwrap();
|
|
}
|
|
|
|
let lot_step_size = exchange_info.stepsize;
|
|
let quote_commission_precision = exchange_info.quote_commission_precision;
|
|
|
|
// TODO: BNB 코인이 있으면
|
|
// let base_qty_to_be_ordered =
|
|
// element.base_qty_ordered.round_dp_with_strategy(
|
|
// lot_step_size.normalize().scale(),
|
|
// RoundingStrategy::ToZero,
|
|
// );
|
|
// TODO: BNB 코인이 없으면
|
|
let base_qty_to_be_ordered =
|
|
element.base_qty_fee_adjusted.round_dp_with_strategy(
|
|
lot_step_size.normalize().scale(),
|
|
RoundingStrategy::ToZero,
|
|
);
|
|
let target_profit_percent = decimal_div(
|
|
decimal_sub(element.target_price, element.buy_price),
|
|
element.buy_price,
|
|
)
|
|
.to_f64()
|
|
.unwrap();
|
|
if !element.current_price.is_zero() {
|
|
if element.current_price <= element.stoploss {
|
|
is_sell = true;
|
|
} else if element.current_price >= element.target_price {
|
|
is_sell = true;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 1
|
|
&& is_overturned == true
|
|
{
|
|
is_sell = true;
|
|
}
|
|
|
|
let minimum_candles = 5;
|
|
let maximum_candles = 30;
|
|
for count_candles in minimum_candles..=maximum_candles {
|
|
if count_candles < maximum_candles
|
|
&& server_epoch - element.transact_time
|
|
> (1_800_000) * count_candles
|
|
&& (target_profit_percent != 0.0
|
|
&& target_profit_percent.is_sign_positive()
|
|
&& target_profit_percent
|
|
* ((maximum_candles - count_candles) as f64
|
|
/ (maximum_candles - minimum_candles + 1) as f64)
|
|
<= element.pure_profit_percent)
|
|
{
|
|
is_sell = true;
|
|
break;
|
|
} else if count_candles == maximum_candles {
|
|
// time up selling
|
|
is_sell = true;
|
|
break;
|
|
} else {
|
|
break;
|
|
}
|
|
}
|
|
|
|
// TODO: sell_count가 1일 때 적용하기
|
|
// else if (supertrend_vec
|
|
// .last()
|
|
// .unwrap()
|
|
// .signal
|
|
// .as_ref()
|
|
// .is_some_and(|x| x.contains("SELL"))
|
|
// || supertrend_vec.last().unwrap().area.contains("DOWN"))
|
|
// && (supertrend_vec.last().unwrap().close_time > element.close_time)
|
|
// {
|
|
// println!(
|
|
// "SELL signal selling {} {:.2}",
|
|
// element.symbol, element.pure_profit_percent
|
|
// );
|
|
// limit_order_sell(
|
|
// &element,
|
|
// element.current_price,
|
|
// base_qty_to_be_ordered,
|
|
// &client,
|
|
// &exchange_info_vec,
|
|
// &trade_fee_vec,
|
|
// )
|
|
// .await;
|
|
// }
|
|
if is_sell == true {
|
|
limit_order_sell(
|
|
&element,
|
|
element.current_price,
|
|
base_qty_to_be_ordered,
|
|
&client,
|
|
&exchange_info_map,
|
|
&trade_fee_map,
|
|
)
|
|
.await;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
Ok(())
|
|
}
|