I am currently trying to figure out how to deal with this frustration of putting everything that i'm learning in practice. I've been studying for a long time and I don't know yet how to start my own project, and I have so many ideas. This feeling is very bad. Am I doing something wrong?

Maybe your ideas are getting a little out of scope for being a side project. That's certainly something I trip over a lot.

My first "successful" side project was when I aimed for something i knew I could finish just for the sake of trying to finish anything. It was just a utility that moved the mouse a set amount which I could use to normalize my sensitivity across games by finding the value which turned me 360 degrees (I digress, but turns out it's not as straight forward as you'd think, considering FoV and some games having their own acceleration curves).

I even ended up demonstrating it during the interview for my current job and they were more interested in that than my professional projects.

Well have you learnt anything about project management or project work? Personally I prefer setting some outline by writing a definition using the Moscow model

I would strongly suggest to find open source projects that you think are cool, go over Issues and Feature Requests, and contribute to them.

You will learn A LOT more than starting your own side project.

After a couple of months contributing to different open source projects, you will have the tools to define and follow your own side project which you can then release as open source, and manage commits and PRs from other developers AND you will get satisfaction by seeing your side project being used.

Another bonus will be that many business offers may follow from that as well. In a sense, your side project will be a mini-self-marketing tool for yourself.

For example, Apache Superset is an excellent project to contribute to if you are in the web-development scene.

In general, Apache Software Foundation is a great organization to contribute code to. Its well respected and known for high-quality open source projects, used by many businesses for decades now