Sik
223c6760c1
All vec operation was replaced with HashMap. Increase outstanding performance. Co-authored-by: Sik Yoon <younxxxx@gmail.com> Reviewed-on: http://192.168.1.100:3000/Sik/tradingbot/pulls/3
258 lines
13 KiB
Rust
258 lines
13 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, ema_opclo, sma, sma_opclo, 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, SmaData,
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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
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};
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// BUY: 30m SMA5 (opclo_price) < 30m EMA3 (opclo_price)
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// SELL: 30m SMA5 (opclo_price) > 30m EMA3 (opclo_price)
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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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// 3rd filtering: supertrend(ATR period 20, multiplier: 4.0, 30m close price), area should be UP
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let mut keys_to_remove: HashSet<String> = HashSet::new();
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let supertrend_30m_map = supertrend(20, 4.0, true, &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(rt_30m_vec), Some(supertrend_vec)) = (alldata.rt_price_30m_vec.get(symbol), supertrend_30m_map.get(symbol)) {
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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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if supertrend_vec[supertrend_search_result.unwrap()].area == SuperTrendArea::UP
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&& supertrend_vec[supertrend_search_result.unwrap()].band_value < filtered_data.current_price.to_f64().unwrap()
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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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} 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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// 5th filtering: 30m StochRSI (RSI_len: 30, StochRSI_len: 30, K: 3, D: 3) previous K, D / current K, D < 10 && current K > current D
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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 alldata.rt_price_30m_vec.contains_key(symbol) && 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 search_result.is_some_and(|a| stoch_rsi_vec[a-1].k < 10.0 && stoch_rsi_vec[a].k < 10.0
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&& stoch_rsi_vec[a-1].d < 10.0 && stoch_rsi_vec[a].d< 10.0 &&
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stoch_rsi_vec[a-1].k <= stoch_rsi_vec[a-1].d && stoch_rsi_vec[a].k > stoch_rsi_vec[a].d) {
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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: 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 emas = ema(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
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for (symbol, values) in &mut filtered_data {
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if emas.contains_key(symbol) && alldata.rt_price_30m_vec.contains_key(symbol) {
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let ema = emas.get(symbol).unwrap();
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let rt_price_30m = alldata.rt_price_30m_vec.get(symbol).unwrap();
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let rt_price_30m_len = rt_price_30m.len();
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let search_result = ema.binary_search_by_key(
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&alldata.rt_price_30m_vec.get(symbol).unwrap().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[search_result.unwrap()].ema_value < rt_price_30m[rt_price_30m_len-1].close_price) &&
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search_result.is_ok_and(|x| ema[search_result.unwrap()-1].ema_value < rt_price_30m[rt_price_30m_len-2].close_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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}
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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)) = (macd_1d_map.get(symbol), alldata.rt_price_1d_vec.get(symbol)) {
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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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if macd_vec[macd_vec.len()-1].macd_value - macd_vec[macd_vec.len()-1].signal_value > macd_vec[macd_vec.len()-2].macd_value - 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(rt_price_vec.last().unwrap().close_price).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(3, &filtered_data).await?;
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insert_pre_suggested_coins(3, 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(3).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 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 server_epoch = get_server_epoch().await;
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let stoch_rsis = stoch_rsi(30, 30, 3, 3, &all_data.rt_price_30m_vec, &filtered_symbols).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), Some(stoch_rsi)) = (exchange_info_map.get(&element.symbol), stoch_rsis.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 =
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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_rsi.last().unwrap().k;
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let stoch_rsi_k_prev = stoch_rsi[stoch_rsi.len()-2].k;
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let stoch_rsi_d = stoch_rsi.last().unwrap().d;
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let stoch_rsi_d_prev = stoch_rsi[stoch_rsi.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.target_price
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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_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) * 35 {
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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 stoch_rsi_k >= 90.0 {
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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_map,
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&trade_fee_map,
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)
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.await;
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} else if stoch_rsi_k >= 20.0 && stoch_rsi_k >= 20.0 &&
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stoch_rsi_k_prev >= 20.0 && stoch_rsi_k_prev >= 20.0 &&
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stoch_rsi_k < stoch_rsi_d &&
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stoch_rsi_k_prev >= stoch_rsi_d_prev
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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_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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