public override double getValue(Time now)
{
double sum = 0;
for (int i = 1; i < prices1.Length; i++)
{
sum += Math.Sign((double)(prices1[i] - prices1[i - 1]) * (double)(prices2[i] - prices2[i - 1]));
}
return sum / prices1.Length;
}
public void update(Time time, FixedPointDecimal newPrice)
{
double thisReturn = (double)newPrice / (double)prevPrice - 1;
if (thisReturn > +returnThreshold || thisReturn < -returnThreshold)
{
times.Write(time);
prices.Write(newPrice);
prevPrice = newPrice;
}
}
public void EndRecord(Time now)
{
long duration = Stopwatch.GetTimestamp() - timeStamp;
stat.Add(duration);
if (duration > stat.Mean + ThresholdSigma * stat.StandardDeviation)
{
Time durationNs = new Time(unchecked((ulong)(duration * freq)));
Output.DoPerf(now, SensorType.DURATION, Name, 1, durationNs);
}
}
public override void Initialize()
{
int size = (int)cfg.getDouble("size", 10);
sampleTime = Time.fromSeconds(cfg.getDouble("timeSec", 5 * 60));
prices1 = new WrappedArray<FixedPointDecimal>(size);
prices2 = new WrappedArray<FixedPointDecimal>(size);
Id id2 = env.GetIdService().GetId(cfg.getString("ref"), cfg.getEnum<SymbolType>("symbolType"));
instr2 = env.GetUniverseService().GetInstrument(id2);
env.Scheduler.ScheduleAfterBackground(sampleTime, sample);
}
public void Record(Time now)
{
if (++hits >= ThresholdHits)
{
ulong deltaT = now - start;
if (deltaT >= ThresholdTime)
{
Output.DoPerf(now, SensorType.RATE, Name, hits, deltaT);
hits = 0;
start = now;
}
}
}
public double update(Time now, double newX)
{
Time deltaT = now - lastTime;
double deltaX = newX - lastX;
if (deltaX * 1e6 > newX || deltaT > minDeltaT)
{
lastX = newX;
lastTime = now;
if (!initStrat.Done)
{
value = initStrat.update(deltaT, newX);
}
else
{
double alpha = Math.Exp(-(double)deltaT / halfLife);
value = alpha * value + (1 - alpha) * newX;
}
}
return value;
}
public override double getValue(Time now)
{
return gc.getSpeed();
}
public RateSensor(string name, uint thresholdHits = 1, Time thresholdTime = default(Time))
{
Name = name;
ThresholdHits = thresholdHits;
ThresholdTime = thresholdTime;
}
public override double getValue(Time now)
{
double refPrice = avg.update(now, instr.MidPrice.ToDouble());
stat.Add(refPrice / instr.MidPrice.ToDouble() - 1);
return stat.StandardDeviation;
}
public ThirdMeanInitStragey(Time halfLife)
{
this.halfLife = halfLife;
}
public double update(Time deltaT, double newX)
{
if (3 * sumT > halfLife)
Done = true;
sumX += deltaT * newX;
sumT += deltaT;
return sumX / sumT;
}
// if you will have a new value after an event, but don't care to receive all updates, use these
protected void setDirtyOnTimer(Time halfLife)
{
// todo check the halflife here
instr.quoteChanged += setDirty;
}
public abstract double getValue(Time now);
// todo think about carefullt about the dirty model here
// todo propagate dirty as events
private void setDirty(Time time)
{
dirty = true;
}
private void sample(Time time)
{
prices1.Write(instr.MidPrice);
prices2.Write(instr2.MidPrice);
env.Scheduler.ScheduleAfterBackground(sampleTime, sample);
}
void Speed_midChanged(Time time)
{
gc.update(time, instr.MidPrice);
}
public EwmaComputer(Time halfLife)
: this(halfLife, new ThirdMeanInitStragey(halfLife))
{
}
public double getValue(Time now)
{
return update(now, lastX);
}
public EwmaComputer(Time halfLife, InitStrategy initStrat)
{
this.halfLife = halfLife;
this.minDeltaT = halfLife / 100UL;
this.initStrat = initStrat;
}