400 lines
20 KiB
Rust
400 lines
20 KiB
Rust
use crate::value_estimation_team::indicators::bollingerband::bollingerband;
|
|
|
|
use super::{
|
|
dec, decimal_add, decimal_sub, decimal_div, ema, exists_record, insert_pre_suggested_coins,
|
|
limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData,
|
|
Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredData, Mutex,
|
|
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, server_epoch, MacdData, ema_macd,
|
|
BollingerBandData, ToPrimitive
|
|
};
|
|
|
|
// BB lowerband + SuperTrend + StochRSI
|
|
// SuperTrend length: 20, multiplier: 1.5, BUY signal
|
|
// ADX(10, 10) < 25.0
|
|
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());
|
|
|
|
// 1st filtering: lookup tables if the tradepair is already there
|
|
let inspect_table_name_1 = String::from("buy_ordered_coin_list");
|
|
let inspect_table_name_2 = String::from("sell_ordered_coin_list");
|
|
let inspect_table_name_3 = String::from("pre_suggested_coin_list");
|
|
let inspect_table_name_4 = String::from("suggested_coin_list");
|
|
|
|
let mut filtered_data_1st: Vec<FilteredData> = Vec::new();
|
|
let mut filtered_data_1st_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
Arc::new(Mutex::new(filtered_data_1st));
|
|
let mut task_vec = Vec::new();
|
|
|
|
for symbol in &alldata.valid_symbol_vec {
|
|
let mut exists_condition_build = String::from("symbol=\'");
|
|
exists_condition_build.push_str(symbol.as_str());
|
|
exists_condition_build.push_str("\' AND registerer=");
|
|
exists_condition_build.push_str(4.to_string().as_str());
|
|
// exists_condition_build.push_str("\' AND close_time=");
|
|
// exists_condition_build.push_str(element.1.to_string().as_str());
|
|
let exists_condition = Some(exists_condition_build);
|
|
let exists_condition_c = exists_condition.clone();
|
|
let inspect_table_name_1_c = inspect_table_name_1.clone();
|
|
let inspect_table_name_2_c = inspect_table_name_2.clone();
|
|
let inspect_table_name_3_c = inspect_table_name_3.clone();
|
|
let inspect_table_name_4_c = inspect_table_name_4.clone();
|
|
let symbol_c = symbol.clone();
|
|
let filtered_data_1st_arc_c = Arc::clone(&filtered_data_1st_arc);
|
|
task_vec.push(tokio::spawn(async move {
|
|
let mut filtered_data = FilteredData::new();
|
|
let inspect_result_1 =
|
|
exists_record(&inspect_table_name_1_c, &exists_condition_c).await;
|
|
let inspect_result_2 =
|
|
exists_record(&inspect_table_name_2_c, &exists_condition_c).await;
|
|
let inspect_result_3 =
|
|
exists_record(&inspect_table_name_3_c, &exists_condition_c).await;
|
|
let inspect_result_4 =
|
|
exists_record(&inspect_table_name_4_c, &exists_condition_c).await;
|
|
|
|
if inspect_result_1 == false
|
|
&& inspect_result_2 == false
|
|
&& inspect_result_3 == false
|
|
&& inspect_result_4 == false
|
|
{
|
|
let mut filtered_data_1st_lock = filtered_data_1st_arc_c.lock().await;
|
|
|
|
filtered_data.symbol = symbol_c;
|
|
|
|
filtered_data_1st_lock.push(filtered_data);
|
|
}
|
|
}));
|
|
}
|
|
try_join_all(task_vec).await?;
|
|
|
|
// 2nd filtering: BollingerBand (len:30, multiplier 3) previous_30m_price (close or low price) < lower_band
|
|
let filtered_data_1st = filtered_data_1st_arc.lock().await.clone();
|
|
let mut filtered_data_2nd: Vec<FilteredData> = Vec::new();
|
|
let mut filtered_data_2nd_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
Arc::new(Mutex::new(filtered_data_2nd));
|
|
let mut task_vec = Vec::new();
|
|
let bollingerbands = bollingerband(30, 3.0, &alldata.rt_price_30m_vec, &filtered_data_1st).await?;
|
|
for element in filtered_data_1st {
|
|
let mut rt_30m_vec: Vec<RealtimePriceData> = Vec::new();
|
|
let mut bb_vec: Vec<BollingerBandData> = Vec::new();
|
|
let rt_price_30m_vec_c: Vec<(String, Vec<RealtimePriceData>)> = alldata.rt_price_30m_vec.clone();
|
|
let bollingerbands_c = bollingerbands.clone();
|
|
let filtered_data_2nd_arc_c = Arc::clone(&filtered_data_2nd_arc);
|
|
task_vec.push(tokio::spawn(async move {
|
|
let rt_30m_option = rt_price_30m_vec_c
|
|
.iter()
|
|
.position(|x| *x.0 == element.symbol);
|
|
let bb_option_30m = bollingerbands_c.iter().position(|x| x.0 == element.symbol);
|
|
|
|
if rt_30m_option.is_some() && bb_option_30m.is_some() {
|
|
rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone();
|
|
bb_vec = bollingerbands_c[bb_option_30m.unwrap()].1.clone();
|
|
let server_epoch = server_epoch().await;
|
|
if rt_30m_vec.len() >= 3 && bb_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch {
|
|
let bb_search_result = bb_vec.binary_search_by_key(
|
|
&rt_30m_vec.last().unwrap().close_time,
|
|
|BollingerBandData {
|
|
sma,
|
|
upperband,
|
|
lowerband,
|
|
close_time,
|
|
}| *close_time,
|
|
);
|
|
if bb_search_result.is_ok() {
|
|
if bb_vec[bb_search_result.unwrap()-1].lowerband > rt_30m_vec[rt_30m_vec.len()-2].low_price &&
|
|
rt_30m_vec[rt_30m_vec.len()-2].opclo_price > rt_30m_vec.last().unwrap().close_price &&
|
|
rt_30m_vec[rt_30m_vec.len()-2].candle_type.contains("DOWN") &&
|
|
rt_30m_vec[rt_30m_vec.len()-2].high_price < bb_vec[bb_search_result.unwrap()-1].sma
|
|
{
|
|
let mut filtered_data_2nd_lock = filtered_data_2nd_arc_c.lock().await;
|
|
let mut filtered_data = FilteredData::new();
|
|
filtered_data.symbol = element.symbol.clone();
|
|
filtered_data.closetime = rt_30m_vec.last().unwrap().close_time;
|
|
filtered_data.current_price = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap();;
|
|
filtered_data_2nd_lock.push(filtered_data);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}));
|
|
}
|
|
try_join_all(task_vec).await?;
|
|
|
|
// 3rd filtering: supertrend(ATR period 10, multiplier: 2, 30m close price), area should be DOWN
|
|
let filtered_data_2nd = filtered_data_2nd_arc.lock().await.clone();
|
|
let mut filtered_data_3rd: Vec<FilteredData> = Vec::new();
|
|
let mut filtered_data_3rd_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
Arc::new(Mutex::new(filtered_data_3rd));
|
|
let mut task_vec = Vec::new();
|
|
|
|
for element in filtered_data_2nd {
|
|
let mut rt_30m_vec: Vec<RealtimePriceData> = Vec::new();
|
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
|
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
|
let filtered_data_3rd_arc_c = Arc::clone(&filtered_data_3rd_arc);
|
|
task_vec.push(tokio::spawn(async move {
|
|
let rt_30m_option = rt_price_30m_vec_c
|
|
.iter()
|
|
.position(|x| *x.0 == element.symbol);
|
|
let supertrend_option_30m =
|
|
supertrend(&element.symbol, &rt_price_30m_vec_c, 10, 2.0, true).await;
|
|
|
|
if rt_30m_option.is_some() && supertrend_option_30m.is_some() {
|
|
rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone();
|
|
supertrend_vec = supertrend_option_30m.unwrap();
|
|
let server_epoch = server_epoch().await;
|
|
if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch {
|
|
let supertrend_search_result = supertrend_vec.binary_search_by_key(
|
|
&rt_30m_vec.last().unwrap().close_time,
|
|
|SupertrendData {
|
|
band_value,
|
|
signal,
|
|
area,
|
|
close_time,
|
|
}| *close_time,
|
|
);
|
|
if supertrend_search_result.is_ok() {
|
|
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap();
|
|
|
|
if supertrend_vec[supertrend_search_result.unwrap()].area.contains("DOWN")
|
|
&& supertrend_vec[supertrend_search_result.unwrap()].band_value > element.current_price.to_f64().unwrap()
|
|
{
|
|
let mut filtered_data_3rd_lock = filtered_data_3rd_arc_c.lock().await;
|
|
let mut filtered_data = FilteredData::new();
|
|
filtered_data.symbol = element.symbol.clone();
|
|
filtered_data.closetime = element.closetime;
|
|
filtered_data.current_price = element.current_price;
|
|
filtered_data.target_price = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap();
|
|
let stop_loss = decimal_sub(filtered_data.current_price, decimal_div(decimal_sub(filtered_data.target_price, filtered_data.current_price), dec!(2)));
|
|
filtered_data.stoploss = stop_loss;
|
|
|
|
filtered_data_3rd_lock.push(filtered_data);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}));
|
|
}
|
|
try_join_all(task_vec).await?;
|
|
|
|
// 4th filtering: MACD 1d (fast:3, slow:7, smoothing:3) MACD > signal
|
|
let filtered_data_3rd = filtered_data_3rd_arc.lock().await.clone();
|
|
let mut filtered_data_4th: Vec<FilteredData> = Vec::new();
|
|
let mut filtered_data_4th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
Arc::new(Mutex::new(filtered_data_4th));
|
|
let mut task_vec = Vec::new();
|
|
let macd_vec = ema_macd(3, 7, 3, &alldata.rt_price_1d_vec, &filtered_data_3rd).await?;
|
|
for element in filtered_data_3rd {
|
|
let mut opclo_1d_vec: Vec<RealtimePriceData> = Vec::new();
|
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
|
let macd_vec_c = macd_vec.clone();
|
|
let filtered_data_4th_arc_c = Arc::clone(&filtered_data_4th_arc);
|
|
task_vec.push(tokio::spawn(async move {
|
|
let search_result = macd_vec_c.iter().position(|x| x.0 == element.symbol);
|
|
|
|
if search_result.is_some_and(|a| macd_vec_c[a].1.last().unwrap().macd_value > macd_vec_c[a].1.last().unwrap().signal_value) {
|
|
let mut filtered_4th_symbols_lock =
|
|
filtered_data_4th_arc_c.lock().await;
|
|
let mut filtered_data = FilteredData::new();
|
|
filtered_data.symbol = element.symbol.clone();
|
|
filtered_data.closetime = element.closetime;
|
|
filtered_data.current_price = element.current_price;
|
|
filtered_data.stoploss = element.stoploss;
|
|
filtered_data.target_price = element.target_price;
|
|
|
|
filtered_4th_symbols_lock.push(filtered_data);
|
|
}
|
|
}));
|
|
}
|
|
try_join_all(task_vec).await?;
|
|
|
|
// 5th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0%
|
|
let filtered_data_4th_c = filtered_data_4th_arc.lock().await.clone();
|
|
let mut filtered_data_5th: Vec<FilteredData> = Vec::new();
|
|
let mut filtered_data_5th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
Arc::new(Mutex::new(filtered_data_5th));
|
|
let mut task_vec = Vec::new();
|
|
for element in filtered_data_4th_c {
|
|
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
|
|
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
|
let filtered_data_5th_arc_c = Arc::clone(&filtered_data_5th_arc);
|
|
|
|
task_vec.push(tokio::spawn(async move {
|
|
let position_idx = rt_price_30m_vec_c.iter().position(|elem| elem.0 == element.symbol);
|
|
|
|
if position_idx.is_some() {
|
|
let vec_len = rt_price_30m_vec_c[position_idx.unwrap()].1.len();
|
|
if vec_len >= 11 {
|
|
let candles = rt_price_30m_vec_c[position_idx.unwrap()].1.get(vec_len-12..vec_len-1).unwrap();
|
|
let windows = candles.windows(2);
|
|
let mut average_amplitude = 0.0;
|
|
|
|
for window in windows {
|
|
average_amplitude += (window.last().unwrap().high_price - window.last().unwrap().low_price) / window.first().unwrap().close_price;
|
|
}
|
|
average_amplitude /= 10.0;
|
|
|
|
if 0.005 <= average_amplitude && average_amplitude <= 0.01 {
|
|
let mut filtered_data_5th_lock = filtered_data_5th_arc_c.lock().await;
|
|
let mut filtered_data = FilteredData::new();
|
|
filtered_data.symbol = element.symbol.clone();
|
|
filtered_data.closetime = element.closetime;
|
|
filtered_data.current_price = element.current_price;
|
|
filtered_data.stoploss = element.stoploss;
|
|
filtered_data.target_price = element.target_price;
|
|
|
|
filtered_data_5th_lock.push(filtered_data);
|
|
}
|
|
}
|
|
}
|
|
}));
|
|
}
|
|
try_join_all(task_vec).await?;
|
|
|
|
// 6th filtering: 30m StochRSI (RSI_len: 10, StochRSI_len: 10, K: 3, D: 3) current K, D < 20
|
|
let filtered_data_5th_c = filtered_data_5th_arc.lock().await.clone();
|
|
let mut filtered_data_6th: Vec<FilteredData> = Vec::new();
|
|
let mut filtered_data_6th_arc: Arc<Mutex<Vec<FilteredData>>> =
|
|
Arc::new(Mutex::new(filtered_data_6th));
|
|
let mut task_vec = Vec::new();
|
|
let stoch_rsis = stoch_rsi(10, 10, 3, 3, &alldata.rt_price_30m_vec, &filtered_data_5th_c).await?;
|
|
for element in filtered_data_5th_c {
|
|
let stoch_rsis_c = stoch_rsis.clone();
|
|
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
|
|
let filtered_data_6th_arc_c = Arc::clone(&filtered_data_6th_arc);
|
|
|
|
task_vec.push(tokio::spawn(async move {
|
|
let position_idx = stoch_rsis_c.iter().position(|elem| elem.0 == element.symbol);
|
|
|
|
if position_idx.is_some() {
|
|
let stoch_rsi_vec = stoch_rsis_c[position_idx.unwrap()].1.clone();
|
|
let search_result = stoch_rsi_vec.iter().position(|x| x.close_time == element.closetime);
|
|
if search_result.is_some_and(|a| stoch_rsi_vec[a].k < 15.0 && stoch_rsi_vec[a].d < 15.0) {
|
|
let mut filtered_data_6th_lock = filtered_data_6th_arc_c.lock().await;
|
|
let mut filtered_data = FilteredData::new();
|
|
filtered_data.symbol = element.symbol.clone();
|
|
filtered_data.closetime = element.closetime;
|
|
filtered_data.current_price = element.current_price;
|
|
filtered_data.stoploss = element.stoploss;
|
|
filtered_data.target_price = element.target_price;
|
|
|
|
filtered_data_6th_lock.push(filtered_data);
|
|
}
|
|
}
|
|
}));
|
|
}
|
|
try_join_all(task_vec).await?;
|
|
|
|
let final_filtered_data = filtered_data_6th_arc.lock().await.clone();
|
|
insert_pre_suggested_coins(4, false, &final_filtered_data, &alldata).await;
|
|
|
|
Ok(())
|
|
}
|
|
|
|
pub async fn list_up_for_sell(
|
|
all_data: &AllData,
|
|
exchange_info_vec: &Vec<ExchangeInfo>,
|
|
trade_fee_vec: &Vec<TradeFee>,
|
|
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
|
|
let filled_buy_orders = select_filled_buy_orders(4).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 = server_epoch().await;
|
|
for element in filled_buy_orders {
|
|
if element.used_usdt >= dec!(10.0) {
|
|
let lot_step_size_option = exchange_info_vec
|
|
.iter()
|
|
.position(|exchange_info| exchange_info.symbol == element.symbol);
|
|
let quote_commission_precision_option = exchange_info_vec
|
|
.iter()
|
|
.position(|exchange_info| exchange_info.symbol == element.symbol);
|
|
|
|
if lot_step_size_option.is_some()
|
|
&& quote_commission_precision_option.is_some()
|
|
{
|
|
let lot_step_size = exchange_info_vec[lot_step_size_option.unwrap()].stepsize;
|
|
let quote_commission_precision = exchange_info_vec
|
|
[quote_commission_precision_option.unwrap()]
|
|
.quote_commission_precision;
|
|
let base_qty_to_be_ordered =
|
|
element.base_qty_ordered.round_dp_with_strategy(
|
|
lot_step_size.normalize().scale(),
|
|
RoundingStrategy::ToZero,
|
|
);
|
|
|
|
if (element.is_long == 0 || element.is_long == 1)
|
|
&& !element.current_price.is_zero()
|
|
{
|
|
if element.current_price >= element.target_price
|
|
{
|
|
limit_order_sell(
|
|
&element,
|
|
element.current_price,
|
|
base_qty_to_be_ordered,
|
|
&client,
|
|
&exchange_info_vec,
|
|
&trade_fee_vec,
|
|
)
|
|
.await;
|
|
} else if element.current_price <= element.stoploss {
|
|
limit_order_sell(
|
|
&element,
|
|
element.current_price,
|
|
base_qty_to_be_ordered,
|
|
&client,
|
|
&exchange_info_vec,
|
|
&trade_fee_vec,
|
|
)
|
|
.await;
|
|
} else if server_epoch - element.transact_time > (1_800_000) * 20 {
|
|
limit_order_sell(
|
|
&element,
|
|
element.current_price,
|
|
base_qty_to_be_ordered,
|
|
&client,
|
|
&exchange_info_vec,
|
|
&trade_fee_vec,
|
|
)
|
|
.await;
|
|
}
|
|
// 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;
|
|
// }
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
Ok(())
|
|
}
|