396 lines
23 KiB
Rust
396 lines
23 KiB
Rust
use super::{
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dec, decimal_add, decimal_sub, decimal_div, decimal_mul, ema, exists_record, insert_pre_suggested_coins,
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limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData,
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Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredDataValue, Mutex,
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RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, get_server_epoch, MacdData, ema_macd,
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BollingerBandData, ToPrimitive, duplicate_filter, HashMap, HashSet, remove_keys, SuperTrendArea, SuperTrendSignal, get_current_price, dema, DemaData, tema, TemaData,
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heatmap_volume, HeatMapLevel, HeatmapVolumeData
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};
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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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) -> 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(3) > current Tema(10)
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let tema_3 = tema(3, &alldata.rt_price_1d_vec, &filtered_data).await?;
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let tema_10 = tema(10, &alldata.rt_price_1d_vec, &filtered_data).await?;
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let server_epoch = get_server_epoch().await;
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for (symbol, values) in &mut filtered_data {
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if let (Some(tema5_vec), Some(tema10_vec)) = (tema_3.get(symbol), tema_10.get(symbol)) {
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if tema5_vec.len() > 2 && tema10_vec.len() > 2 &&
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tema5_vec.last().unwrap().close_time == tema10_vec.last().unwrap().close_time &&
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tema5_vec.last().unwrap().close_time > server_epoch &&
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tema10_vec.last().unwrap().close_time > server_epoch {
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if tema5_vec.last().unwrap().tema_value > tema10_vec.last().unwrap().tema_value {
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// current Tema(10) < current Tema(5)
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// previous Tema(10) > previous Tema(5)
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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_5 = tema(5, &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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if let (Some(tema10_vec), Some(tema5_vec)) = (tema_10.get(symbol), tema_5.get(symbol)) {
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if tema10_vec.len() > 10 && tema5_vec.len() > 10 &&
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tema10_vec.last().unwrap().close_time == tema5_vec.last().unwrap().close_time &&
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tema10_vec.last().unwrap().close_time > server_epoch &&
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tema5_vec.last().unwrap().close_time > server_epoch {
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if tema10_vec.last().unwrap().tema_value < tema5_vec.last().unwrap().tema_value &&
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tema10_vec[tema10_vec.len()-2].tema_value > tema5_vec[tema5_vec.len()-2].tema_value &&
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tema10_vec[tema10_vec.len()-3].tema_value > tema5_vec[tema5_vec.len()-3].tema_value{
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// supertrend(ATR period 10, multiplier: 2.0, 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_30m_map = supertrend(10, 2.0, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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if let (Some(supertrend_vec), Some(rt_price_vec)) = (supertrend_30m_map.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
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if supertrend_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time &&
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rt_price_vec.last().unwrap().close_time > server_epoch {
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// input stoploss, target_price
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let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap();
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let open_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_price_vec.last().unwrap().open_price).unwrap();
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let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_price_vec.last().unwrap().close_price).unwrap();
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if supertrend_vec.last().unwrap().area == SuperTrendArea::UP &&
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band_value < current_price &&
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band_value < open_price
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{
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values.current_price = current_price;
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values.closetime = rt_price_vec.last().unwrap().close_time;
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values.stoploss = band_value;
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values.target_price = decimal_add(decimal_mul(decimal_sub(current_price, values.stoploss), dec!(4.0)), current_price);
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} else if supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN &&
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band_value > current_price &&
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band_value > open_price
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{
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values.current_price = current_price;
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values.closetime = rt_price_vec.last().unwrap().close_time;
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values.stoploss = decimal_sub(open_price, decimal_sub(band_value, open_price));
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values.target_price = decimal_add(decimal_mul(decimal_sub(open_price, values.stoploss), dec!(4.0)), current_price);
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// current ADX(15, 15) < 25
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let adx_vec = adx(15, 15, &alldata.rt_price_30m_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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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 < 25.0 {
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 3, D: 3) K_current < 70, K_current > d_current
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let stoch_rsis = stoch_rsi(30, 30, 3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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if stoch_rsis.contains_key(symbol) {
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let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap();
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let search_result = stoch_rsi_vec.iter().position(|x| x.close_time == values.closetime);
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if stoch_rsi_vec.len() > 10 && search_result.is_some_and(|a| stoch_rsi_vec[a].k > stoch_rsi_vec[a].d &&
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stoch_rsi_vec[a].k < 70.0 &&
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stoch_rsi_vec[a-1].k < 60.0 &&
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stoch_rsi_vec[a-2].k < 50.0) {
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// 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(30, 30, 4.0, 2.5, 1.0, -0.5, &filtered_data, &alldata.rt_price_30m_vec).await?;
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for (symbol, values) in &mut filtered_data {
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if stoch_rsis.contains_key(symbol) {
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let heatmap_volume_vec = heatmap_volumes.get(symbol).unwrap();
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if heatmap_volume_vec.len() > 50 {
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let heatmap_volume_trunc = heatmap_volume_vec.get(heatmap_volume_vec.len()-31..heatmap_volume_vec.len()-1).unwrap();
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let windows = heatmap_volume_trunc.windows(2);
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for slice in windows {
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if slice[1].heatmap_level == HeatMapLevel::ExtraHigh {
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if let (prev_candle_idx, current_candle_idx) = (
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(&alldata.rt_price_30m_vec.get(symbol).unwrap().iter().position(|x| x.close_time == slice[0].close_time)).unwrap(),
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(&alldata.rt_price_30m_vec.get(symbol).unwrap().iter().position(|x| x.close_time == slice[1].close_time)).unwrap()
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) {
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let prev_candle = &alldata.rt_price_30m_vec.get(symbol).unwrap()[prev_candle_idx];
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let current_candle = &alldata.rt_price_30m_vec.get(symbol).unwrap()[current_candle_idx];
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if current_candle.close_price > prev_candle.close_price ||
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current_candle.close_price > prev_candle.open_price ||
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current_candle.close_price > prev_candle.high_price ||
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current_candle.close_price > prev_candle.low_price {
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keys_to_remove.insert(symbol.clone());
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}
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}
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}
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}
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}
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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// limit buy price: 0.25 * abs(이전 5 개 중 최대값 제거 한 opclo 값 평균 - 현재 open 값) + 현재 open 값 > current_price
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let server_epoch = get_server_epoch().await;
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for (symbol, values) in &mut filtered_data {
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if let Some(rt_price_vec) = alldata.rt_price_30m_vec.get(symbol) {
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if rt_price_vec.last().unwrap().close_time > server_epoch && rt_price_vec.len() >= 6 {
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let mut opclo_vec: Vec<f64> = Vec::new();
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-2].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-3].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-4].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-5].opclo_price);
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opclo_vec.push(rt_price_vec[rt_price_vec.len()-6].opclo_price);
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let max_idx = opclo_vec.iter().position(|&x| x == *opclo_vec.iter().max_by(|&a, &b| a.partial_cmp(b).unwrap()).unwrap());
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opclo_vec.remove(max_idx.unwrap());
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let mut mean = 0.0;
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for element in &opclo_vec {
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mean += element;
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}
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mean /= opclo_vec.len() as f64;
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let current_price = rt_price_vec.last().unwrap().close_price;
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let difference = (mean - rt_price_vec.last().unwrap().open_price).abs();
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if current_price < rt_price_vec.last().unwrap().open_price + (0.25 * difference) {
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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} else {
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keys_to_remove.insert(symbol.clone());
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}
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}
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remove_keys(&mut filtered_data, keys_to_remove).await;
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let final_filtered_data = duplicate_filter(8, &filtered_data).await?;
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insert_pre_suggested_coins(8, false, &final_filtered_data, &alldata).await;
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Ok(())
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}
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pub async fn list_up_for_sell(
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all_data: &AllData,
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exchange_info_map: &HashMap<String, ExchangeInfo>,
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trade_fee_map: &HashMap<String, TradeFee>,
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) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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let filled_buy_orders = select_filled_buy_orders(8).await?;
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if !filled_buy_orders.is_empty() {
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let client = ClientBuilder::new()
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.timeout(tokio::time::Duration::from_millis(5000))
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.build()
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.unwrap();
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let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
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let server_epoch = get_server_epoch().await;
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let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
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for element in &filled_buy_orders {
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filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
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}
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let supertrend_30m = supertrend(10, 2.0, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
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let tema_10 = tema(10, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
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let tema_5 = tema(5, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
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for element in filled_buy_orders {
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let mut is_sell = false;
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let mut is_overturned = false;
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if element.used_usdt >= dec!(10.0) {
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if let (Some(tema10_vec), Some(tema5_vec)) = (tema_10.get(&element.symbol), tema_5.get(&element.symbol)) {
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if tema10_vec.len() > 2 && tema5_vec.len() > 2 &&
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tema10_vec.last().unwrap().close_time == tema5_vec.last().unwrap().close_time &&
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tema10_vec.last().unwrap().close_time > server_epoch &&
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tema5_vec.last().unwrap().close_time > server_epoch &&
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tema10_vec.last().unwrap().tema_value > tema5_vec.last().unwrap().tema_value &&
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tema10_vec[tema10_vec.len()-2].tema_value < tema5_vec[tema5_vec.len()-2].tema_value {
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is_overturned = true;
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}
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}
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if let (Some(exchange_info), Some(tradefee), Some(supertrend_vec)) =
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(exchange_info_map.get(&element.symbol), trade_fee_map.get(&element.symbol), supertrend_30m.get(&element.symbol)) {
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// update stoploss
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let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap();
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if supertrend_vec.last().unwrap().area == SuperTrendArea::UP
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&& band_value > element.stoploss {
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let update_table_name = String::from("buy_ordered_coin_list");
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let update_value = vec![
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(String::from("stoploss"), band_value.to_string()),
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];
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let update_condition = vec![(String::from("id"), element.id.to_string())];
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update_record3(&update_table_name, &update_value, &update_condition)
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.await
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.unwrap();
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}
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let lot_step_size = exchange_info.stepsize;
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let quote_commission_precision = exchange_info.quote_commission_precision;
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// 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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let base_qty_to_be_ordered =
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element.base_qty_fee_adjusted.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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let target_profit_percent = decimal_div(decimal_sub(element.target_price, element.buy_price), element.buy_price).to_f64().unwrap();
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if !element.current_price.is_zero()
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{
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if element.current_price <= element.stoploss {
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is_sell = true;
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} else if element.current_price >= element.target_price {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 1 && is_overturned == true {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 5 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (15.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 6 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (14.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 7 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (13.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 8 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (12.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 9 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (11.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 10 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (10.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 11 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (9.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 12 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (8.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 13 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (7.0/16.0) <= element.pure_profit_percent) {
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is_sell = true;
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} else if server_epoch - element.transact_time > (1_800_000) * 14 &&
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(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (6.0/16.0) <= element.pure_profit_percent) {
|
|
is_sell = true;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 15 &&
|
|
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (5.0/16.0) <= element.pure_profit_percent) {
|
|
is_sell = true;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 16 &&
|
|
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (4.0/16.0) <= element.pure_profit_percent) {
|
|
is_sell = true;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 17 &&
|
|
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (3.0/16.0) <= element.pure_profit_percent) {
|
|
is_sell = true;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 18 &&
|
|
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (2.0/16.0) <= element.pure_profit_percent) {
|
|
is_sell = true;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 19 &&
|
|
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (1.0/16.0) <= element.pure_profit_percent) {
|
|
is_sell = true;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 20 { // time up selling
|
|
is_sell = true;
|
|
}
|
|
// 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(())
|
|
}
|