345 lines
18 KiB
Rust
345 lines
18 KiB
Rust
use crate::value_estimation_team::indicators::bollingerband::bollingerband;
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use super::{
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dec, decimal_add, decimal_sub, decimal_div, 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, FilteredData, Mutex,
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RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, server_epoch, MacdData, ema_macd,
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BollingerBandData, ToPrimitive, duplicate_filter
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};
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// BB lowerband + SuperTrend + StochRSI
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// SuperTrend length: 20, multiplier: 1.5, BUY signal
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// ADX(10, 10) < 25.0
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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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// 1st filtering: filtering valid trade pair
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let mut filtered_data_1st: Vec<FilteredData> = Vec::new();
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for symbol in &alldata.valid_symbol_vec {
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let mut filtered_data = FilteredData::new();
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filtered_data.symbol = symbol.clone();
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filtered_data_1st.push(filtered_data);
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}
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// 2nd filtering: supertrend(ATR period 20, multiplier: 2, 30m close price)
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let mut filtered_data_2nd: Vec<FilteredData> = Vec::new();
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let mut filtered_data_2nd_arc: Arc<Mutex<Vec<FilteredData>>> =
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Arc::new(Mutex::new(filtered_data_2nd));
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let mut task_vec = Vec::new();
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for element in filtered_data_1st {
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let mut rt_30m_vec: Vec<RealtimePriceData> = Vec::new();
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let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
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let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
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let filtered_data_2nd_arc_c = Arc::clone(&filtered_data_2nd_arc);
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task_vec.push(tokio::spawn(async move {
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let rt_30m_option = rt_price_30m_vec_c
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.iter()
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.position(|x| *x.0 == element.symbol);
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let supertrend_option_30m =
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supertrend(&element.symbol, &rt_price_30m_vec_c, 20, 2.0, true).await;
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if rt_30m_option.is_some() && supertrend_option_30m.is_some() {
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rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone();
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supertrend_vec = supertrend_option_30m.unwrap();
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let server_epoch = server_epoch().await;
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if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch {
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let supertrend_search_result = supertrend_vec.binary_search_by_key(
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&rt_30m_vec.last().unwrap().close_time,
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|SupertrendData {
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band_value,
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signal,
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area,
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close_time,
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}| *close_time,
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);
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if supertrend_search_result.is_ok() {
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let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap();
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let mut filtered_data_2nd_lock = filtered_data_2nd_arc_c.lock().await;
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let mut filtered_data = FilteredData::new();
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filtered_data.symbol = element.symbol.clone();
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filtered_data.closetime = rt_30m_vec.last().unwrap().close_time;
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filtered_data.current_price = current_price;
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if supertrend_vec[supertrend_search_result.unwrap()].area.contains("DOWN")
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&& supertrend_vec[supertrend_search_result.unwrap()].band_value > element.current_price.to_f64().unwrap()
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{
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let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap();
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let stop_loss = decimal_sub(filtered_data.current_price, decimal_div(decimal_sub(band_value, filtered_data.current_price), dec!(2)));
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filtered_data.stoploss = stop_loss;
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filtered_data_2nd_lock.push(filtered_data);
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} else if supertrend_vec[supertrend_search_result.unwrap()].area.contains("UP")
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&& supertrend_vec[supertrend_search_result.unwrap()].band_value < element.current_price.to_f64().unwrap()
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{
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let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap();
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filtered_data.stoploss = band_value;
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filtered_data_2nd_lock.push(filtered_data);
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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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try_join_all(task_vec).await?;
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// 3rd filtering: the latest 5 30m candle close prices > EMA 200
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let filtered_data_2nd = filtered_data_2nd_arc.lock().await.clone();
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let mut filtered_data_3rd: Vec<FilteredData> = Vec::new();
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let ema_vec = ema(200, &alldata.rt_price_30m_vec, &filtered_data_2nd).await?;
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for element in filtered_data_2nd {
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let ema_search_result = ema_vec.iter().position(|x| x.0 == element.symbol);
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let candle_search_result = alldata.rt_price_30m_vec.iter().position(|x| x.0 == element.symbol);
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if ema_search_result.is_some() && candle_search_result.is_some() {
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let search_result = ema_vec[ema_search_result.unwrap()].1.binary_search_by_key(
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&alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.last().unwrap().close_time,
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|EmaData {
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ema_value,
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close_time,
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}| *close_time);
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if search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-1].close_price) &&
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search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-1].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-2].close_price) &&
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search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-2].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-3].close_price) &&
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search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-3].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-4].close_price) &&
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search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-4].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-5].close_price) {
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let mut filtered_data = FilteredData::new();
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filtered_data.symbol = element.symbol.clone();
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filtered_data.closetime = element.closetime;
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filtered_data.current_price = element.current_price;
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filtered_data.stoploss = element.stoploss;
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filtered_data.target_price = element.target_price;
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filtered_data_3rd.push(filtered_data);
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}
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}
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}
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// 4th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0%
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let mut filtered_data_4th: Vec<FilteredData> = Vec::new();
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for element in filtered_data_3rd {
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let position_idx = alldata.rt_price_30m_vec.iter().position(|elem| elem.0 == element.symbol);
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if position_idx.is_some() {
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let vec_len = alldata.rt_price_30m_vec[position_idx.unwrap()].1.len();
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if vec_len >= 11 {
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let candles = alldata.rt_price_30m_vec[position_idx.unwrap()].1.get(vec_len-12..vec_len-1).unwrap();
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let windows = candles.windows(2);
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let mut average_amplitude = 0.0;
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for window in windows {
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average_amplitude += (window.last().unwrap().high_price - window.last().unwrap().low_price) / window.first().unwrap().close_price;
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}
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average_amplitude /= 10.0;
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if 0.005 <= average_amplitude && average_amplitude <= 0.01 {
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let mut filtered_data = FilteredData::new();
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filtered_data.symbol = element.symbol.clone();
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filtered_data.closetime = element.closetime;
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filtered_data.current_price = element.current_price;
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filtered_data.stoploss = element.stoploss;
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filtered_data.target_price = element.target_price;
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filtered_data_4th.push(filtered_data);
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}
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}
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}
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}
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// 5th filtering: 30m StochRSI (RSI_len: 10, StochRSI_len: 10, K: 3, D: 3) previous K < 5 && current K > previous K
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let mut filtered_data_5th: Vec<FilteredData> = Vec::new();
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let stoch_rsis = stoch_rsi(10, 10, 3, 3, &alldata.rt_price_30m_vec, &filtered_data_4th).await?;
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for element in filtered_data_4th {
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let position_idx = stoch_rsis.iter().position(|elem| elem.0 == element.symbol);
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if position_idx.is_some() {
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let stoch_rsi_vec = stoch_rsis[position_idx.unwrap()].1.clone();
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let search_result = stoch_rsi_vec.iter().position(|x| x.close_time == element.closetime);
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if search_result.is_some_and(|a| stoch_rsi_vec[a-1].k < 5.0 && stoch_rsi_vec[a].k > stoch_rsi_vec[a-1].k) {
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let mut filtered_data = FilteredData::new();
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filtered_data.symbol = element.symbol.clone();
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filtered_data.closetime = element.closetime;
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filtered_data.current_price = element.current_price;
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filtered_data.stoploss = element.stoploss;
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filtered_data.target_price = element.target_price;
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filtered_data_5th.push(filtered_data);
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}
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}
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}
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let final_filtered_data = duplicate_filter(1, &filtered_data_5th).await?;
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insert_pre_suggested_coins(1, 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_vec: &Vec<ExchangeInfo>,
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trade_fee_vec: &Vec<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(1).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 = server_epoch().await;
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let mut filtered_symbol_vec: Vec<FilteredData> = Vec::new();
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for element in &filled_buy_orders {
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let filltered_data = FilteredData{
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symbol: element.symbol.clone(),
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closetime: 0,
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stoploss: dec!(0),
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target_price: dec!(0),
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current_price: dec!(0),
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};
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filtered_symbol_vec.push(filltered_data);
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}
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let stoch_rsis = stoch_rsi(10, 10, 3, 3, &all_data.rt_price_30m_vec, &filtered_symbol_vec).await?;
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for element in filled_buy_orders {
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if element.used_usdt >= dec!(10.0) {
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let lot_step_size_option = exchange_info_vec
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.iter()
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.position(|exchange_info| exchange_info.symbol == element.symbol);
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let quote_commission_precision_option = exchange_info_vec
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.iter()
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.position(|exchange_info| exchange_info.symbol == element.symbol);
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let search_result = stoch_rsis.iter().position(|x| x.0 == element.symbol);
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let opclo_30m_option = all_data
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.rt_price_30m_vec
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.iter()
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.position(|x| *x.0 == element.symbol);
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let supertrend_option_30m =
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supertrend(&element.symbol, &all_data.rt_price_30m_vec, 20, 2.0, true).await;
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if lot_step_size_option.is_some()
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&& quote_commission_precision_option.is_some()
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&& search_result.is_some()
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&& opclo_30m_option.is_some()
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&& supertrend_option_30m.is_some()
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{
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// update stoploss
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supertrend_vec = supertrend_option_30m.unwrap();
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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.contains("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_vec[lot_step_size_option.unwrap()].stepsize;
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let quote_commission_precision = exchange_info_vec
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[quote_commission_precision_option.unwrap()]
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.quote_commission_precision;
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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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let stoch_rsi_k = stoch_rsis[search_result.unwrap()].1.last().unwrap().k;
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let stoch_rsi_k_prev = stoch_rsis[search_result.unwrap()].1[stoch_rsis[search_result.unwrap()].1.len()-2].k;
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let stoch_rsi_d = stoch_rsis[search_result.unwrap()].1.last().unwrap().d;
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let stoch_rsi_d_prev = stoch_rsis[search_result.unwrap()].1[stoch_rsis[search_result.unwrap()].1.len()-2].d;
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if (element.is_long == 0 || element.is_long == 1)
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&& !element.current_price.is_zero()
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{
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if element.current_price <= element.stoploss {
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limit_order_sell(
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&element,
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element.current_price,
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base_qty_to_be_ordered,
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&client,
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&exchange_info_vec,
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&trade_fee_vec,
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)
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.await;
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} else if server_epoch - element.transact_time > (1_800_000) * 20 {
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limit_order_sell(
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&element,
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element.current_price,
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base_qty_to_be_ordered,
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&client,
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&exchange_info_vec,
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&trade_fee_vec,
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)
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.await;
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} else if element.pure_profit_percent > 5.0 {
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limit_order_sell(
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&element,
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element.current_price,
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base_qty_to_be_ordered,
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&client,
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&exchange_info_vec,
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&trade_fee_vec,
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)
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.await;
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} else if stoch_rsi_k >= 95.0 {
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limit_order_sell(
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&element,
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element.current_price,
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base_qty_to_be_ordered,
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&client,
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&exchange_info_vec,
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&trade_fee_vec,
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)
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.await;
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} else if stoch_rsi_k < stoch_rsi_d &&
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stoch_rsi_k_prev >= stoch_rsi_d_prev {
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limit_order_sell(
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&element,
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element.current_price,
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base_qty_to_be_ordered,
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&client,
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&exchange_info_vec,
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&trade_fee_vec,
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)
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.await;
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}
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// TODO: sell_count가 1일 때 적용하기
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// else if (supertrend_vec
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// .last()
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// .unwrap()
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// .signal
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// .as_ref()
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// .is_some_and(|x| x.contains("SELL"))
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// || supertrend_vec.last().unwrap().area.contains("DOWN"))
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// && (supertrend_vec.last().unwrap().close_time > element.close_time)
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// {
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// println!(
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// "SELL signal selling {} {:.2}",
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// element.symbol, element.pure_profit_percent
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// );
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// limit_order_sell(
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// &element,
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// element.current_price,
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// base_qty_to_be_ordered,
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// &client,
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// &exchange_info_vec,
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// &trade_fee_vec,
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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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}
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}
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}
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Ok(())
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}
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