350 lines
16 KiB
Rust
350 lines
16 KiB
Rust
use crate::value_estimation_team::indicators::bollingerband::bollingerband;
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use super::{
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adx, dec, decimal_add, decimal_div, decimal_sub, duplicate_filter, ema, ema_macd,
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exists_record, get_server_epoch, insert_pre_suggested_coins, limit_order_sell, remove_keys,
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rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, update_record3, AdxData,
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AllData, Arc, BollingerBandData, CandleType, Client, ClientBuilder, Decimal, EmaData,
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ExchangeInfo, FilteredDataValue, HashMap, HashSet, MacdData, Mutex, RealtimePriceData,
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RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal, SupertrendData,
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ToPrimitive, TradeFee,
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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: 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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// 5th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0%
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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for (symbol, filtered_data) in &mut filtered_data {
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if let Some(rt_price_30m_vec) = alldata.rt_price_30m_vec.get(symbol) {
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let vec_len = rt_price_30m_vec.len();
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if vec_len >= 11 {
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let candles = rt_price_30m_vec.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
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- window.last().unwrap().low_price)
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/ 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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} 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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// 2nd filtering: BollingerBand (len:30, multiplier 3) previous_30m_price (close or low price) < lower_band
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let bollingerband_map =
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bollingerband(30, 3.0, &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, filtered_data) in &mut filtered_data {
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if let (Some(bb_vec), Some(rt_30m_vec)) = (
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bollingerband_map.get(symbol),
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alldata.rt_price_30m_vec.get(symbol),
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) {
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if rt_30m_vec.len() >= 3
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&& bb_vec.len() >= 3
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&& rt_30m_vec.last().unwrap().close_time > server_epoch
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{
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let bb_search_result = bb_vec.binary_search_by_key(
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&rt_30m_vec.last().unwrap().close_time,
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|BollingerBandData {
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sma,
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upperband,
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lowerband,
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close_time,
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}| *close_time,
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);
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if bb_search_result.is_ok() {
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if bb_vec[bb_search_result.unwrap() - 1].lowerband
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> rt_30m_vec[rt_30m_vec.len() - 2].low_price
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&& rt_30m_vec[rt_30m_vec.len() - 2].opclo_price
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> rt_30m_vec.last().unwrap().close_price
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&& rt_30m_vec[rt_30m_vec.len() - 2].candle_type == CandleType::DOWN
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&& rt_30m_vec[rt_30m_vec.len() - 2].high_price
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< bb_vec[bb_search_result.unwrap() - 1].sma
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{
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filtered_data.closetime = rt_30m_vec.last().unwrap().close_time;
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filtered_data.current_price =
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rust_decimal::prelude::FromPrimitive::from_f64(
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rt_30m_vec.last().unwrap().close_price,
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)
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.unwrap();
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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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} 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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// 3rd filtering: supertrend(ATR period 10, multiplier: 2, 30m close price), area should be DOWN
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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 =
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supertrend(10, 2.0, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
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for (symbol, filtered_data) in &mut filtered_data {
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if let (Some(supertrend_vec), Some(rt_30m_vec)) = (
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supertrend_30m_map.get(symbol),
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alldata.rt_price_30m_vec.get(symbol),
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) {
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if rt_30m_vec.len() >= 3
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&& supertrend_vec.len() >= 3
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&& rt_30m_vec.last().unwrap().close_time > server_epoch
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{
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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_and(|x| {
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supertrend_vec[x].area == SuperTrendArea::DOWN
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&& supertrend_vec[x].band_value
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> filtered_data.current_price.to_f64().unwrap()
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}) {
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filtered_data.target_price = rust_decimal::prelude::FromPrimitive::from_f64(
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supertrend_vec[supertrend_search_result.unwrap()].band_value,
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)
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.unwrap();
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let stop_loss = decimal_sub(
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filtered_data.current_price,
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decimal_div(
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decimal_sub(filtered_data.target_price, filtered_data.current_price),
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dec!(2),
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),
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);
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filtered_data.stoploss = stop_loss;
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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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// 4th filtering: the latest 5 30m candle close prices > EMA 200
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let ema_map = ema(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
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for (symbol, filtered_data) in &mut filtered_data {
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if let (Some(ema_vec), Some(rt_30m_vec)) =
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(ema_map.get(symbol), alldata.rt_price_30m_vec.get(symbol))
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{
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let search_result = ema_vec.binary_search_by_key(
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&rt_30m_vec.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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);
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if search_result.is_ok_and(|x| {
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ema_vec[search_result.unwrap()].ema_value
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< rt_30m_vec[rt_30m_vec.len() - 1].close_price
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}) && search_result.is_ok_and(|x| {
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ema_vec[search_result.unwrap() - 1].ema_value
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< rt_30m_vec[rt_30m_vec.len() - 2].close_price
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}) && search_result.is_ok_and(|x| {
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ema_vec[search_result.unwrap() - 2].ema_value
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< rt_30m_vec[rt_30m_vec.len() - 3].close_price
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}) && search_result.is_ok_and(|x| {
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ema_vec[search_result.unwrap() - 3].ema_value
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< rt_30m_vec[rt_30m_vec.len() - 4].close_price
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}) && search_result.is_ok_and(|x| {
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ema_vec[search_result.unwrap() - 4].ema_value
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< rt_30m_vec[rt_30m_vec.len() - 5].close_price
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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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// 6th filtering: 30m StochRSI (RSI_len: 10, StochRSI_len: 10, K: 3, D: 3) current K, D < 20
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let stoch_rsi_map = stoch_rsi(10, 10, 3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
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for (symbol, filtered_data) in &mut filtered_data {
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if let Some(stoch_rsi_vec) = stoch_rsi_map.get(symbol) {
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let search_result = stoch_rsi_vec
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.iter()
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.position(|x| x.close_time == filtered_data.closetime);
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if search_result.is_some_and(|a| stoch_rsi_vec[a].k < 15.0 && stoch_rsi_vec[a].d < 15.0)
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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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// filtering: 1d MACD (3, 7, 30) current MACD-signal > prev MACD-signal
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let macd_1d_map = ema_macd(3, 7, 30, &alldata.rt_price_1d_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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if let (Some(macd_vec), Some(rt_price_vec)) =
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(macd_1d_map.get(symbol), alldata.rt_price_1d_vec.get(symbol))
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{
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if macd_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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{
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if macd_vec[macd_vec.len() - 1].macd_value
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- macd_vec[macd_vec.len() - 1].signal_value
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> macd_vec[macd_vec.len() - 2].macd_value
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- macd_vec[macd_vec.len() - 2].signal_value
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{
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values.current_price = rust_decimal::prelude::FromPrimitive::from_f64(
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rt_price_vec.last().unwrap().close_price,
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)
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.unwrap();
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values.closetime = rt_price_vec.last().unwrap().close_time;
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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(4, &filtered_data).await?;
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insert_pre_suggested_coins(4, false, &final_filtered_data).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(4).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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for element in filled_buy_orders {
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if element.used_usdt >= dec!(10.0) {
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if let Some(exchange_info) = exchange_info_map.get(&element.symbol) {
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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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let base_qty_to_be_ordered = 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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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.target_price {
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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_map,
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&trade_fee_map,
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)
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.await;
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} else 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_map,
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&trade_fee_map,
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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_map,
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&trade_fee_map,
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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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