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brk: first commit
This commit is contained in:
123
_src/parser/datasets/subs/capitalization.rs
Normal file
123
_src/parser/datasets/subs/capitalization.rs
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@@ -0,0 +1,123 @@
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use allocative::Allocative;
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use struct_iterable::Iterable;
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use crate::{
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parser::{
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datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
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states::CapitalizationState,
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},
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structs::{BiMap, Config, MapKind, MapPath},
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utils::ONE_MONTH_IN_DAYS,
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};
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use super::RatioDataset;
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#[derive(Allocative, Iterable)]
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pub struct CapitalizationDataset {
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min_initial_states: MinInitialStates,
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pub realized_cap: BiMap<f32>,
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pub realized_price: BiMap<f32>,
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realized_cap_1m_net_change: BiMap<f32>,
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realized_price_ratio: RatioDataset,
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}
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impl CapitalizationDataset {
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pub fn import(
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path: &MapPath,
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name: &Option<String>,
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config: &Config,
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) -> color_eyre::Result<Self> {
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let f = |s: &str| {
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if let Some(name) = name {
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path.join(&format!("{name}/{s}"))
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} else {
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path.join(s)
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}
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};
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let mut s = Self {
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min_initial_states: MinInitialStates::default(),
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// ---
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// Inserted
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// ---
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realized_cap: BiMap::new_bin(1, MapKind::Inserted, &f("realized_cap")),
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// ---
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// Computed
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// ---
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realized_cap_1m_net_change: BiMap::new_bin(
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1,
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MapKind::Computed,
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&f("realized_cap_1m_net_change"),
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),
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realized_price: BiMap::new_bin(1, MapKind::Computed, &f("realized_price")),
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realized_price_ratio: RatioDataset::import(
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path,
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&format!(
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"{}realized_price",
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name.as_ref().map_or("".to_owned(), |n| format!("{n}-"))
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),
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config,
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)?,
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};
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s.min_initial_states
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.consume(MinInitialStates::compute_from_dataset(&s, config));
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Ok(s)
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}
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pub fn insert(
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&mut self,
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&InsertData {
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height,
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date,
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is_date_last_block,
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..
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}: &InsertData,
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state: &CapitalizationState,
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) {
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let realized_cap = self
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.realized_cap
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.height
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.insert(height, state.realized_cap().to_dollar() as f32);
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if is_date_last_block {
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self.realized_cap.date.insert(date, realized_cap);
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}
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}
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pub fn compute(
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&mut self,
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compute_data: &ComputeData,
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closes: &mut BiMap<f32>,
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cohort_supply: &mut BiMap<f64>,
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) {
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let &ComputeData { heights, dates, .. } = compute_data;
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self.realized_price.multi_insert_divide(
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heights,
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dates,
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&mut self.realized_cap,
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cohort_supply,
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);
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self.realized_cap_1m_net_change.multi_insert_net_change(
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heights,
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dates,
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&mut self.realized_cap,
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ONE_MONTH_IN_DAYS,
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);
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self.realized_price_ratio
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.compute(compute_data, closes, &mut self.realized_price);
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}
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}
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impl AnyDataset for CapitalizationDataset {
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fn get_min_initial_states(&self) -> &MinInitialStates {
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&self.min_initial_states
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}
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}
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86
_src/parser/datasets/subs/input.rs
Normal file
86
_src/parser/datasets/subs/input.rs
Normal file
@@ -0,0 +1,86 @@
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use allocative::Allocative;
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use struct_iterable::Iterable;
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use crate::{
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parser::{
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datasets::{AnyDataset, InsertData, MinInitialStates},
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states::InputState,
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},
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structs::{BiMap, Config, DateMap, HeightMap, MapKind, MapPath},
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};
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#[derive(Allocative, Iterable)]
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pub struct InputSubDataset {
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min_initial_states: MinInitialStates,
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// Inserted
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pub count: BiMap<u64>,
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pub volume: HeightMap<f64>,
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pub volume_1d_sum: DateMap<f64>,
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// Computed
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// add inputs_per_second
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}
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impl InputSubDataset {
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pub fn import(
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path: &MapPath,
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name: &Option<String>,
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config: &Config,
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) -> color_eyre::Result<Self> {
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let f = |s: &str| {
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if let Some(name) = name {
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path.join(&format!("{name}/{s}"))
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} else {
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path.join(s)
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}
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};
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let mut s = Self {
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min_initial_states: MinInitialStates::default(),
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// ---
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// Inserted
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// ---
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count: BiMap::new_bin(1, MapKind::Inserted, &f("input_count")),
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volume: HeightMap::new_bin(1, MapKind::Inserted, &f("input_volume")),
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volume_1d_sum: DateMap::new_bin(1, MapKind::Inserted, &f("input_volume_1d_sum")),
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};
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s.min_initial_states
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.consume(MinInitialStates::compute_from_dataset(&s, config));
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Ok(s)
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}
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pub fn insert(
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&mut self,
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&InsertData {
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height,
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date,
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is_date_last_block,
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date_blocks_range,
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..
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}: &InsertData,
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state: &InputState,
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) {
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let count = self
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.count
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.height
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.insert(height, state.count().round() as u64);
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self.volume.insert(height, state.volume().to_btc());
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if is_date_last_block {
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self.count.date.insert(date, count);
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self.volume_1d_sum
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.insert(date, self.volume.sum_range(date_blocks_range));
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}
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}
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}
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impl AnyDataset for InputSubDataset {
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fn get_min_initial_states(&self) -> &MinInitialStates {
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&self.min_initial_states
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}
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}
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90
_src/parser/datasets/subs/mod.rs
Normal file
90
_src/parser/datasets/subs/mod.rs
Normal file
@@ -0,0 +1,90 @@
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use allocative::Allocative;
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mod capitalization;
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mod input;
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mod price_paid;
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mod ratio;
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mod realized;
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mod recap;
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mod supply;
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mod unrealized;
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mod utxo;
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pub use capitalization::*;
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pub use input::*;
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pub use price_paid::*;
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pub use ratio::*;
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pub use realized::*;
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pub use recap::*;
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use struct_iterable::Iterable;
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pub use supply::*;
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pub use unrealized::*;
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pub use utxo::*;
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use crate::{
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parser::datasets::AnyDataset,
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structs::{Config, MapPath},
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};
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use super::AnyDatasetGroup;
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#[derive(Allocative, Iterable)]
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pub struct SubDataset {
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pub capitalization: CapitalizationDataset,
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pub input: InputSubDataset,
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// pub output: OutputSubDataset,
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pub price_paid: PricePaidSubDataset,
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pub realized: RealizedSubDataset,
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pub supply: SupplySubDataset,
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pub unrealized: UnrealizedSubDataset,
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pub utxo: UTXOSubDataset,
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}
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impl SubDataset {
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pub fn import(
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parent_path: &MapPath,
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name: &Option<String>,
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config: &Config,
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) -> color_eyre::Result<Self> {
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let s = Self {
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capitalization: CapitalizationDataset::import(parent_path, name, config)?,
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input: InputSubDataset::import(parent_path, name, config)?,
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// output: OutputSubDataset::import(parent_path)?,
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price_paid: PricePaidSubDataset::import(parent_path, name, config)?,
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realized: RealizedSubDataset::import(parent_path, name, config)?,
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supply: SupplySubDataset::import(parent_path, name, config)?,
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unrealized: UnrealizedSubDataset::import(parent_path, name, config)?,
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utxo: UTXOSubDataset::import(parent_path, name, config)?,
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};
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Ok(s)
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}
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}
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impl AnyDatasetGroup for SubDataset {
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fn as_vec(&self) -> Vec<&(dyn AnyDataset + Send + Sync)> {
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vec![
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&self.capitalization,
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&self.price_paid,
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&self.realized,
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&self.supply,
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&self.unrealized,
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&self.utxo,
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&self.input,
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// &self.output,
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]
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}
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fn as_mut_vec(&mut self) -> Vec<&mut dyn AnyDataset> {
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vec![
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&mut self.capitalization,
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&mut self.price_paid,
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&mut self.realized,
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&mut self.supply,
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&mut self.unrealized,
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&mut self.utxo,
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&mut self.input,
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// &mut self.output,
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]
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}
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}
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87
_src/parser/datasets/subs/output.rs
Normal file
87
_src/parser/datasets/subs/output.rs
Normal file
@@ -0,0 +1,87 @@
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use crate::{
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datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
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states::OutputState,
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structs::{AnyBiMap, BiMap},
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utils::ONE_YEAR_IN_DAYS,
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};
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pub struct OutputSubDataset {
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min_initial_states: MinInitialStates,
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// Inserted
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pub count: BiMap<f32>,
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pub volume: BiMap<f32>,
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// Computed
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pub annualized_volume: BiMap<f32>,
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pub velocity: BiMap<f32>,
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// add outputs_per_second
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}
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impl OutputSubDataset {
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pub fn import(parent_path: &str) -> color_eyre::Result<Self> {
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let f = |s: &str| format!("{parent_path}/{s}");
|
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|
||||
let mut s = Self {
|
||||
min_initial_states: MinInitialStates::default(),
|
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|
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count: BiMap::new_bin(1, &f("output_count")),
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volume: BiMap::new_bin(1, &f("output_volume")),
|
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annualized_volume: BiMap::new_bin(1, &f("annualized_output_volume")),
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velocity: BiMap::new_bin(1, &f("output_velocity")),
|
||||
};
|
||||
|
||||
s.min_initial_states
|
||||
.consume(MinInitialStates::compute_from_dataset(&s));
|
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|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn insert(
|
||||
&mut self,
|
||||
&InsertData {
|
||||
height,
|
||||
date,
|
||||
is_date_last_block,
|
||||
date_blocks_range,
|
||||
..
|
||||
}: &InsertData,
|
||||
state: &OutputState,
|
||||
) {
|
||||
let count = self.count.height.insert(height, state.count);
|
||||
|
||||
self.volume.height.insert(height, state.volume);
|
||||
|
||||
if is_date_last_block {
|
||||
self.count.date.insert(date, count);
|
||||
|
||||
self.volume.date_insert_sum_range(date, date_blocks_range);
|
||||
}
|
||||
}
|
||||
|
||||
pub fn compute(
|
||||
&mut self,
|
||||
&ComputeData { heights, dates }: &ComputeData,
|
||||
cohort_supply: &mut BiMap<f32>,
|
||||
) {
|
||||
self.annualized_volume.multi_insert_last_x_sum(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.volume,
|
||||
ONE_YEAR_IN_DAYS,
|
||||
);
|
||||
|
||||
self.velocity.multi_insert_divide(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.annualized_volume,
|
||||
cohort_supply,
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
impl AnyDataset for OutputSubDataset {
|
||||
fn get_min_initial_states(&self) -> &MinInitialStates {
|
||||
&self.min_initial_states
|
||||
}
|
||||
}
|
||||
266
_src/parser/datasets/subs/price_paid.rs
Normal file
266
_src/parser/datasets/subs/price_paid.rs
Normal file
@@ -0,0 +1,266 @@
|
||||
use allocative::Allocative;
|
||||
use struct_iterable::Iterable;
|
||||
|
||||
use crate::{
|
||||
parser::{
|
||||
datasets::{AnyDataset, InsertData, MinInitialStates},
|
||||
states::PricePaidState,
|
||||
},
|
||||
structs::{BiMap, Config, Date, Height, MapKind, MapPath},
|
||||
};
|
||||
|
||||
#[derive(Allocative, Iterable)]
|
||||
pub struct PricePaidSubDataset {
|
||||
min_initial_states: MinInitialStates,
|
||||
|
||||
pp_median: BiMap<f32>,
|
||||
pp_95p: BiMap<f32>,
|
||||
pp_90p: BiMap<f32>,
|
||||
pp_85p: BiMap<f32>,
|
||||
pp_80p: BiMap<f32>,
|
||||
pp_75p: BiMap<f32>,
|
||||
pp_70p: BiMap<f32>,
|
||||
pp_65p: BiMap<f32>,
|
||||
pp_60p: BiMap<f32>,
|
||||
pp_55p: BiMap<f32>,
|
||||
pp_45p: BiMap<f32>,
|
||||
pp_40p: BiMap<f32>,
|
||||
pp_35p: BiMap<f32>,
|
||||
pp_30p: BiMap<f32>,
|
||||
pp_25p: BiMap<f32>,
|
||||
pp_20p: BiMap<f32>,
|
||||
pp_15p: BiMap<f32>,
|
||||
pp_10p: BiMap<f32>,
|
||||
pp_05p: BiMap<f32>,
|
||||
}
|
||||
|
||||
impl PricePaidSubDataset {
|
||||
pub fn import(
|
||||
path: &MapPath,
|
||||
name: &Option<String>,
|
||||
config: &Config,
|
||||
) -> color_eyre::Result<Self> {
|
||||
let f = |s: &str| {
|
||||
if let Some(name) = name {
|
||||
path.join(&format!("{name}/{s}"))
|
||||
} else {
|
||||
path.join(s)
|
||||
}
|
||||
};
|
||||
|
||||
let mut s = Self {
|
||||
min_initial_states: MinInitialStates::default(),
|
||||
|
||||
// ---
|
||||
// Inserted
|
||||
// ---
|
||||
pp_median: BiMap::new_bin(1, MapKind::Inserted, &f("median_price_paid")),
|
||||
pp_95p: BiMap::new_bin(1, MapKind::Inserted, &f("95p_price_paid")),
|
||||
pp_90p: BiMap::new_bin(1, MapKind::Inserted, &f("90p_price_paid")),
|
||||
pp_85p: BiMap::new_bin(1, MapKind::Inserted, &f("85p_price_paid")),
|
||||
pp_80p: BiMap::new_bin(1, MapKind::Inserted, &f("80p_price_paid")),
|
||||
pp_75p: BiMap::new_bin(1, MapKind::Inserted, &f("75p_price_paid")),
|
||||
pp_70p: BiMap::new_bin(1, MapKind::Inserted, &f("70p_price_paid")),
|
||||
pp_65p: BiMap::new_bin(1, MapKind::Inserted, &f("65p_price_paid")),
|
||||
pp_60p: BiMap::new_bin(1, MapKind::Inserted, &f("60p_price_paid")),
|
||||
pp_55p: BiMap::new_bin(1, MapKind::Inserted, &f("55p_price_paid")),
|
||||
pp_45p: BiMap::new_bin(1, MapKind::Inserted, &f("45p_price_paid")),
|
||||
pp_40p: BiMap::new_bin(1, MapKind::Inserted, &f("40p_price_paid")),
|
||||
pp_35p: BiMap::new_bin(1, MapKind::Inserted, &f("35p_price_paid")),
|
||||
pp_30p: BiMap::new_bin(1, MapKind::Inserted, &f("30p_price_paid")),
|
||||
pp_25p: BiMap::new_bin(1, MapKind::Inserted, &f("25p_price_paid")),
|
||||
pp_20p: BiMap::new_bin(1, MapKind::Inserted, &f("20p_price_paid")),
|
||||
pp_15p: BiMap::new_bin(1, MapKind::Inserted, &f("15p_price_paid")),
|
||||
pp_10p: BiMap::new_bin(1, MapKind::Inserted, &f("10p_price_paid")),
|
||||
pp_05p: BiMap::new_bin(1, MapKind::Inserted, &f("05p_price_paid")),
|
||||
};
|
||||
|
||||
s.min_initial_states
|
||||
.consume(MinInitialStates::compute_from_dataset(&s, config));
|
||||
|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn insert(
|
||||
&mut self,
|
||||
&InsertData {
|
||||
height,
|
||||
is_date_last_block,
|
||||
date,
|
||||
..
|
||||
}: &InsertData,
|
||||
state: &PricePaidState,
|
||||
) {
|
||||
let pp_05p = state.pp_05p();
|
||||
let pp_10p = state.pp_10p();
|
||||
let pp_15p = state.pp_15p();
|
||||
let pp_20p = state.pp_20p();
|
||||
let pp_25p = state.pp_25p();
|
||||
let pp_30p = state.pp_30p();
|
||||
let pp_35p = state.pp_35p();
|
||||
let pp_40p = state.pp_40p();
|
||||
let pp_45p = state.pp_45p();
|
||||
let pp_median = state.pp_median();
|
||||
let pp_55p = state.pp_55p();
|
||||
let pp_60p = state.pp_60p();
|
||||
let pp_65p = state.pp_65p();
|
||||
let pp_70p = state.pp_70p();
|
||||
let pp_75p = state.pp_75p();
|
||||
let pp_80p = state.pp_80p();
|
||||
let pp_85p = state.pp_85p();
|
||||
let pp_90p = state.pp_90p();
|
||||
let pp_95p = state.pp_95p();
|
||||
|
||||
// Check if iter was empty
|
||||
if pp_05p.is_none() {
|
||||
self.insert_height_default(height);
|
||||
|
||||
if is_date_last_block {
|
||||
self.insert_date_default(date);
|
||||
}
|
||||
|
||||
return;
|
||||
}
|
||||
|
||||
let pp_05p = self
|
||||
.pp_05p
|
||||
.height
|
||||
.insert(height, pp_05p.unwrap().to_dollar() as f32);
|
||||
let pp_10p = self
|
||||
.pp_10p
|
||||
.height
|
||||
.insert(height, pp_10p.unwrap().to_dollar() as f32);
|
||||
let pp_15p = self
|
||||
.pp_15p
|
||||
.height
|
||||
.insert(height, pp_15p.unwrap().to_dollar() as f32);
|
||||
let pp_20p = self
|
||||
.pp_20p
|
||||
.height
|
||||
.insert(height, pp_20p.unwrap().to_dollar() as f32);
|
||||
let pp_25p = self
|
||||
.pp_25p
|
||||
.height
|
||||
.insert(height, pp_25p.unwrap().to_dollar() as f32);
|
||||
let pp_30p = self
|
||||
.pp_30p
|
||||
.height
|
||||
.insert(height, pp_30p.unwrap().to_dollar() as f32);
|
||||
let pp_35p = self
|
||||
.pp_35p
|
||||
.height
|
||||
.insert(height, pp_35p.unwrap().to_dollar() as f32);
|
||||
let pp_40p = self
|
||||
.pp_40p
|
||||
.height
|
||||
.insert(height, pp_40p.unwrap().to_dollar() as f32);
|
||||
let pp_45p = self
|
||||
.pp_45p
|
||||
.height
|
||||
.insert(height, pp_45p.unwrap().to_dollar() as f32);
|
||||
let pp_median = self
|
||||
.pp_median
|
||||
.height
|
||||
.insert(height, pp_median.unwrap().to_dollar() as f32);
|
||||
let pp_55p = self
|
||||
.pp_55p
|
||||
.height
|
||||
.insert(height, pp_55p.unwrap().to_dollar() as f32);
|
||||
let pp_60p = self
|
||||
.pp_60p
|
||||
.height
|
||||
.insert(height, pp_60p.unwrap().to_dollar() as f32);
|
||||
let pp_65p = self
|
||||
.pp_65p
|
||||
.height
|
||||
.insert(height, pp_65p.unwrap().to_dollar() as f32);
|
||||
let pp_70p = self
|
||||
.pp_70p
|
||||
.height
|
||||
.insert(height, pp_70p.unwrap().to_dollar() as f32);
|
||||
let pp_75p = self
|
||||
.pp_75p
|
||||
.height
|
||||
.insert(height, pp_75p.unwrap().to_dollar() as f32);
|
||||
let pp_80p = self
|
||||
.pp_80p
|
||||
.height
|
||||
.insert(height, pp_80p.unwrap().to_dollar() as f32);
|
||||
let pp_85p = self
|
||||
.pp_85p
|
||||
.height
|
||||
.insert(height, pp_85p.unwrap().to_dollar() as f32);
|
||||
let pp_90p = self
|
||||
.pp_90p
|
||||
.height
|
||||
.insert(height, pp_90p.unwrap().to_dollar() as f32);
|
||||
let pp_95p = self
|
||||
.pp_95p
|
||||
.height
|
||||
.insert(height, pp_95p.unwrap().to_dollar() as f32);
|
||||
|
||||
if is_date_last_block {
|
||||
self.pp_05p.date.insert(date, pp_05p);
|
||||
self.pp_10p.date.insert(date, pp_10p);
|
||||
self.pp_15p.date.insert(date, pp_15p);
|
||||
self.pp_20p.date.insert(date, pp_20p);
|
||||
self.pp_25p.date.insert(date, pp_25p);
|
||||
self.pp_30p.date.insert(date, pp_30p);
|
||||
self.pp_35p.date.insert(date, pp_35p);
|
||||
self.pp_40p.date.insert(date, pp_40p);
|
||||
self.pp_45p.date.insert(date, pp_45p);
|
||||
self.pp_median.date.insert(date, pp_median);
|
||||
self.pp_55p.date.insert(date, pp_55p);
|
||||
self.pp_60p.date.insert(date, pp_60p);
|
||||
self.pp_65p.date.insert(date, pp_65p);
|
||||
self.pp_70p.date.insert(date, pp_70p);
|
||||
self.pp_75p.date.insert(date, pp_75p);
|
||||
self.pp_80p.date.insert(date, pp_80p);
|
||||
self.pp_85p.date.insert(date, pp_85p);
|
||||
self.pp_90p.date.insert(date, pp_90p);
|
||||
self.pp_95p.date.insert(date, pp_95p);
|
||||
}
|
||||
}
|
||||
|
||||
fn insert_height_default(&mut self, height: Height) {
|
||||
self.inserted_as_mut_vec().into_iter().for_each(|bi| {
|
||||
bi.height.insert_default(height);
|
||||
})
|
||||
}
|
||||
|
||||
fn insert_date_default(&mut self, date: Date) {
|
||||
self.inserted_as_mut_vec().into_iter().for_each(|bi| {
|
||||
bi.date.insert_default(date);
|
||||
})
|
||||
}
|
||||
|
||||
pub fn inserted_as_mut_vec(&mut self) -> Vec<&mut BiMap<f32>> {
|
||||
vec![
|
||||
&mut self.pp_95p,
|
||||
&mut self.pp_90p,
|
||||
&mut self.pp_85p,
|
||||
&mut self.pp_80p,
|
||||
&mut self.pp_75p,
|
||||
&mut self.pp_70p,
|
||||
&mut self.pp_65p,
|
||||
&mut self.pp_60p,
|
||||
&mut self.pp_55p,
|
||||
&mut self.pp_median,
|
||||
&mut self.pp_45p,
|
||||
&mut self.pp_40p,
|
||||
&mut self.pp_35p,
|
||||
&mut self.pp_30p,
|
||||
&mut self.pp_25p,
|
||||
&mut self.pp_20p,
|
||||
&mut self.pp_15p,
|
||||
&mut self.pp_10p,
|
||||
&mut self.pp_05p,
|
||||
]
|
||||
}
|
||||
}
|
||||
|
||||
impl AnyDataset for PricePaidSubDataset {
|
||||
fn get_min_initial_states(&self) -> &MinInitialStates {
|
||||
&self.min_initial_states
|
||||
}
|
||||
}
|
||||
171
_src/parser/datasets/subs/ratio.rs
Normal file
171
_src/parser/datasets/subs/ratio.rs
Normal file
@@ -0,0 +1,171 @@
|
||||
use allocative::Allocative;
|
||||
use struct_iterable::Iterable;
|
||||
|
||||
use crate::{
|
||||
parser::datasets::{AnyDataset, ComputeData, MinInitialStates},
|
||||
structs::{BiMap, Config, MapKind, MapPath},
|
||||
utils::{ONE_MONTH_IN_DAYS, ONE_WEEK_IN_DAYS, ONE_YEAR_IN_DAYS},
|
||||
};
|
||||
|
||||
#[derive(Allocative, Iterable)]
|
||||
pub struct RatioDataset {
|
||||
min_initial_states: MinInitialStates,
|
||||
|
||||
ratio: BiMap<f32>,
|
||||
ratio_1w_sma: BiMap<f32>,
|
||||
ratio_1m_sma: BiMap<f32>,
|
||||
ratio_1y_sma: BiMap<f32>,
|
||||
ratio_1y_sma_momentum_oscillator: BiMap<f32>,
|
||||
ratio_99p: BiMap<f32>,
|
||||
ratio_99_5p: BiMap<f32>,
|
||||
ratio_99_9p: BiMap<f32>,
|
||||
ratio_1p: BiMap<f32>,
|
||||
ratio_0_5p: BiMap<f32>,
|
||||
ratio_0_1p: BiMap<f32>,
|
||||
price_99p: BiMap<f32>,
|
||||
price_99_5p: BiMap<f32>,
|
||||
price_99_9p: BiMap<f32>,
|
||||
price_1p: BiMap<f32>,
|
||||
price_0_5p: BiMap<f32>,
|
||||
price_0_1p: BiMap<f32>,
|
||||
}
|
||||
|
||||
impl RatioDataset {
|
||||
pub fn import(path: &MapPath, name: &str, config: &Config) -> color_eyre::Result<Self> {
|
||||
let f_ratio = |s: &str| path.join(&format!("market_price_to_{name}_{s}"));
|
||||
let f_price = |s: &str| path.join(&format!("{name}_{s}"));
|
||||
|
||||
let mut s = Self {
|
||||
min_initial_states: MinInitialStates::default(),
|
||||
|
||||
// ---
|
||||
// Computed
|
||||
// ---
|
||||
ratio: BiMap::new_bin(1, MapKind::Computed, &f_ratio("ratio")),
|
||||
ratio_1w_sma: BiMap::new_bin(2, MapKind::Computed, &f_ratio("ratio_1w_sma")),
|
||||
ratio_1m_sma: BiMap::new_bin(2, MapKind::Computed, &f_ratio("ratio_1m_sma")),
|
||||
ratio_1y_sma: BiMap::new_bin(2, MapKind::Computed, &f_ratio("ratio_1y_sma")),
|
||||
ratio_1y_sma_momentum_oscillator: BiMap::new_bin(
|
||||
2,
|
||||
MapKind::Computed,
|
||||
&f_ratio("ratio_1y_sma_momentum_oscillator"),
|
||||
),
|
||||
ratio_99p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_99p")),
|
||||
ratio_99_5p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_99_5p")),
|
||||
ratio_99_9p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_99_9p")),
|
||||
ratio_1p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_1p")),
|
||||
ratio_0_5p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_0_5p")),
|
||||
ratio_0_1p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_0_1p")),
|
||||
price_99p: BiMap::new_bin(4, MapKind::Computed, &f_price("99p")),
|
||||
price_99_5p: BiMap::new_bin(4, MapKind::Computed, &f_price("99_5p")),
|
||||
price_99_9p: BiMap::new_bin(4, MapKind::Computed, &f_price("99_9p")),
|
||||
price_1p: BiMap::new_bin(4, MapKind::Computed, &f_price("1p")),
|
||||
price_0_5p: BiMap::new_bin(4, MapKind::Computed, &f_price("0_5p")),
|
||||
price_0_1p: BiMap::new_bin(4, MapKind::Computed, &f_price("0_1p")),
|
||||
};
|
||||
|
||||
s.min_initial_states
|
||||
.consume(MinInitialStates::compute_from_dataset(&s, config));
|
||||
|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn compute(
|
||||
&mut self,
|
||||
&ComputeData { heights, dates, .. }: &ComputeData,
|
||||
market_price: &mut BiMap<f32>,
|
||||
other_price: &mut BiMap<f32>,
|
||||
) {
|
||||
self.ratio.height.multi_insert_divide(
|
||||
heights,
|
||||
&mut market_price.height,
|
||||
&mut other_price.height,
|
||||
);
|
||||
|
||||
self.ratio
|
||||
.date
|
||||
.multi_insert_divide(dates, &mut market_price.date, &mut other_price.date);
|
||||
|
||||
self.ratio_1w_sma.multi_insert_simple_average(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.ratio,
|
||||
ONE_WEEK_IN_DAYS,
|
||||
);
|
||||
|
||||
self.ratio_1m_sma.multi_insert_simple_average(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.ratio,
|
||||
ONE_MONTH_IN_DAYS,
|
||||
);
|
||||
|
||||
self.ratio_1m_sma.multi_insert_simple_average(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.ratio,
|
||||
ONE_MONTH_IN_DAYS,
|
||||
);
|
||||
|
||||
self.ratio_1y_sma.multi_insert_simple_average(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.ratio,
|
||||
ONE_YEAR_IN_DAYS,
|
||||
);
|
||||
|
||||
self.ratio_1y_sma_momentum_oscillator
|
||||
.height
|
||||
.multi_insert_complex_transform(
|
||||
heights,
|
||||
&mut self.ratio.height,
|
||||
|(ratio, height, ..)| {
|
||||
(ratio / self.ratio_1y_sma.height.get_or_import(height).unwrap()) - 1.0
|
||||
},
|
||||
);
|
||||
|
||||
self.ratio_1y_sma_momentum_oscillator
|
||||
.date
|
||||
.multi_insert_complex_transform(dates, &mut self.ratio.date, |(ratio, date, _, _)| {
|
||||
(ratio / self.ratio_1y_sma.date.get_or_import(date).unwrap()) - 1.0
|
||||
});
|
||||
|
||||
self.ratio.multi_insert_percentile(
|
||||
heights,
|
||||
dates,
|
||||
vec![
|
||||
(&mut self.ratio_99p, 0.99),
|
||||
(&mut self.ratio_99_5p, 0.995),
|
||||
(&mut self.ratio_99_9p, 0.999),
|
||||
(&mut self.ratio_1p, 0.1),
|
||||
(&mut self.ratio_0_5p, 0.005),
|
||||
(&mut self.ratio_0_1p, 0.001),
|
||||
],
|
||||
None,
|
||||
);
|
||||
|
||||
self.price_99p
|
||||
.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_99p);
|
||||
|
||||
self.price_99_5p
|
||||
.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_99_5p);
|
||||
|
||||
self.price_99_9p
|
||||
.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_99_9p);
|
||||
|
||||
self.price_1p
|
||||
.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_1p);
|
||||
|
||||
self.price_0_5p
|
||||
.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_0_5p);
|
||||
|
||||
self.price_0_1p
|
||||
.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_0_1p);
|
||||
}
|
||||
}
|
||||
|
||||
impl AnyDataset for RatioDataset {
|
||||
fn get_min_initial_states(&self) -> &MinInitialStates {
|
||||
&self.min_initial_states
|
||||
}
|
||||
}
|
||||
387
_src/parser/datasets/subs/realized.rs
Normal file
387
_src/parser/datasets/subs/realized.rs
Normal file
@@ -0,0 +1,387 @@
|
||||
use allocative::Allocative;
|
||||
use struct_iterable::Iterable;
|
||||
|
||||
use crate::{
|
||||
parser::{
|
||||
datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
|
||||
states::RealizedState,
|
||||
},
|
||||
structs::{BiMap, Config, DateMap, HeightMap, MapKind, MapPath, Price},
|
||||
utils::ONE_MONTH_IN_DAYS,
|
||||
};
|
||||
|
||||
#[derive(Allocative, Iterable)]
|
||||
pub struct RealizedSubDataset {
|
||||
min_initial_states: MinInitialStates,
|
||||
|
||||
realized_profit: HeightMap<f32>,
|
||||
realized_loss: HeightMap<f32>,
|
||||
value_created: HeightMap<f32>,
|
||||
adjusted_value_created: HeightMap<f32>,
|
||||
value_destroyed: HeightMap<f32>,
|
||||
adjusted_value_destroyed: HeightMap<f32>,
|
||||
realized_profit_1d_sum: DateMap<f32>,
|
||||
realized_loss_1d_sum: DateMap<f32>,
|
||||
value_created_1d_sum: DateMap<f32>,
|
||||
adjusted_value_created_1d_sum: DateMap<f32>,
|
||||
value_destroyed_1d_sum: DateMap<f32>,
|
||||
adjusted_value_destroyed_1d_sum: DateMap<f32>,
|
||||
spent_output_profit_ratio: BiMap<f32>,
|
||||
adjusted_spent_output_profit_ratio: BiMap<f32>,
|
||||
negative_realized_loss: HeightMap<f32>,
|
||||
negative_realized_loss_1d_sum: DateMap<f32>,
|
||||
net_realized_profit_and_loss: HeightMap<f32>,
|
||||
net_realized_profit_and_loss_1d_sum: DateMap<f32>,
|
||||
net_realized_profit_and_loss_1d_sum_to_market_cap_ratio: DateMap<f32>,
|
||||
cumulative_realized_profit: BiMap<f32>,
|
||||
cumulative_realized_loss: BiMap<f32>,
|
||||
cumulative_net_realized_profit_and_loss: BiMap<f32>,
|
||||
cumulative_net_realized_profit_and_loss_1m_net_change: BiMap<f32>,
|
||||
realized_value: HeightMap<f32>,
|
||||
realized_value_1d_sum: DateMap<f32>,
|
||||
sell_side_risk_ratio: DateMap<f32>,
|
||||
realized_profit_to_loss_ratio: HeightMap<f32>,
|
||||
realized_profit_to_loss_1d_sum_ratio: DateMap<f32>,
|
||||
}
|
||||
|
||||
impl RealizedSubDataset {
|
||||
pub fn import(
|
||||
path: &MapPath,
|
||||
name: &Option<String>,
|
||||
config: &Config,
|
||||
) -> color_eyre::Result<Self> {
|
||||
let f = |s: &str| {
|
||||
if let Some(name) = name {
|
||||
path.join(&format!("{name}/{s}"))
|
||||
} else {
|
||||
path.join(s)
|
||||
}
|
||||
};
|
||||
let mut s = Self {
|
||||
min_initial_states: MinInitialStates::default(),
|
||||
|
||||
// ---
|
||||
// Inserted
|
||||
// ---
|
||||
realized_profit: HeightMap::new_bin(1, MapKind::Inserted, &f("realized_profit")),
|
||||
realized_loss: HeightMap::new_bin(1, MapKind::Inserted, &f("realized_loss")),
|
||||
value_created: HeightMap::new_bin(1, MapKind::Inserted, &f("value_created")),
|
||||
adjusted_value_created: HeightMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("adjusted_value_created"),
|
||||
),
|
||||
value_destroyed: HeightMap::new_bin(1, MapKind::Inserted, &f("value_destroyed")),
|
||||
adjusted_value_destroyed: HeightMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("adjusted_value_destroyed"),
|
||||
),
|
||||
realized_profit_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("realized_profit_1d_sum"),
|
||||
),
|
||||
realized_loss_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("realized_loss_1d_sum"),
|
||||
),
|
||||
value_created_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("value_created_1d_sum"),
|
||||
),
|
||||
adjusted_value_created_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("adjusted_value_created_1d_sum"),
|
||||
),
|
||||
value_destroyed_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("value_destroyed_1d_sum"),
|
||||
),
|
||||
adjusted_value_destroyed_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Inserted,
|
||||
&f("adjusted_value_destroyed_1d_sum"),
|
||||
),
|
||||
spent_output_profit_ratio: BiMap::new_bin(
|
||||
2,
|
||||
MapKind::Inserted,
|
||||
&f("spent_output_profit_ratio"),
|
||||
),
|
||||
adjusted_spent_output_profit_ratio: BiMap::new_bin(
|
||||
2,
|
||||
MapKind::Inserted,
|
||||
&f("adjusted_spent_output_profit_ratio"),
|
||||
),
|
||||
|
||||
// ---
|
||||
// Computed
|
||||
// ---
|
||||
negative_realized_loss: HeightMap::new_bin(
|
||||
2,
|
||||
MapKind::Computed,
|
||||
&f("negative_realized_loss"),
|
||||
),
|
||||
negative_realized_loss_1d_sum: DateMap::new_bin(
|
||||
2,
|
||||
MapKind::Computed,
|
||||
&f("negative_realized_loss_1d_sum"),
|
||||
),
|
||||
net_realized_profit_and_loss: HeightMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("net_realized_profit_and_loss"),
|
||||
),
|
||||
net_realized_profit_and_loss_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("net_realized_profit_and_loss_1d_sum"),
|
||||
),
|
||||
net_realized_profit_and_loss_1d_sum_to_market_cap_ratio: DateMap::new_bin(
|
||||
2,
|
||||
MapKind::Computed,
|
||||
&f("net_realized_profit_and_loss_to_market_cap_ratio"),
|
||||
),
|
||||
cumulative_realized_profit: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("cumulative_realized_profit"),
|
||||
),
|
||||
cumulative_realized_loss: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("cumulative_realized_loss"),
|
||||
),
|
||||
cumulative_net_realized_profit_and_loss: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("cumulative_net_realized_profit_and_loss"),
|
||||
),
|
||||
cumulative_net_realized_profit_and_loss_1m_net_change: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("cumulative_net_realized_profit_and_loss_1m_net_change"),
|
||||
),
|
||||
realized_value: HeightMap::new_bin(1, MapKind::Computed, &f("realized_value")),
|
||||
realized_value_1d_sum: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("realized_value_1d_sum"),
|
||||
),
|
||||
sell_side_risk_ratio: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("sell_side_risk_ratio"),
|
||||
),
|
||||
realized_profit_to_loss_ratio: HeightMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("realized_profit_to_loss_ratio"),
|
||||
),
|
||||
realized_profit_to_loss_1d_sum_ratio: DateMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("realized_profit_to_loss_1d_sum_ratio"),
|
||||
),
|
||||
};
|
||||
|
||||
s.min_initial_states
|
||||
.consume(MinInitialStates::compute_from_dataset(&s, config));
|
||||
|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn insert(
|
||||
&mut self,
|
||||
&InsertData {
|
||||
height,
|
||||
date,
|
||||
is_date_last_block,
|
||||
date_blocks_range,
|
||||
..
|
||||
}: &InsertData,
|
||||
height_state: &RealizedState,
|
||||
) {
|
||||
self.realized_profit
|
||||
.insert(height, height_state.realized_profit().to_dollar() as f32);
|
||||
|
||||
self.realized_loss
|
||||
.insert(height, height_state.realized_loss().to_dollar() as f32);
|
||||
|
||||
self.value_created
|
||||
.insert(height, height_state.value_created().to_dollar() as f32);
|
||||
|
||||
self.adjusted_value_created.insert(
|
||||
height,
|
||||
height_state.adjusted_value_created().to_dollar() as f32,
|
||||
);
|
||||
|
||||
self.value_destroyed
|
||||
.insert(height, height_state.value_destroyed().to_dollar() as f32);
|
||||
|
||||
self.adjusted_value_destroyed.insert(
|
||||
height,
|
||||
height_state.adjusted_value_destroyed().to_dollar() as f32,
|
||||
);
|
||||
|
||||
self.spent_output_profit_ratio.height.insert(height, {
|
||||
if height_state.value_destroyed() > Price::ZERO {
|
||||
(height_state.value_created().to_cent() as f64
|
||||
/ height_state.value_destroyed().to_cent() as f64) as f32
|
||||
} else {
|
||||
1.0
|
||||
}
|
||||
});
|
||||
|
||||
self.adjusted_spent_output_profit_ratio
|
||||
.height
|
||||
.insert(height, {
|
||||
if height_state.adjusted_value_destroyed() > Price::ZERO {
|
||||
(height_state.adjusted_value_created().to_cent() as f64
|
||||
/ height_state.adjusted_value_destroyed().to_cent() as f64)
|
||||
as f32
|
||||
} else {
|
||||
1.0
|
||||
}
|
||||
});
|
||||
|
||||
if is_date_last_block {
|
||||
self.realized_profit_1d_sum
|
||||
.insert(date, self.realized_profit.sum_range(date_blocks_range));
|
||||
|
||||
self.realized_loss_1d_sum
|
||||
.insert(date, self.realized_loss.sum_range(date_blocks_range));
|
||||
|
||||
let value_created_1d_sum = self
|
||||
.value_created_1d_sum
|
||||
.insert(date, self.value_created.sum_range(date_blocks_range));
|
||||
|
||||
let adjusted_value_created_1d_sum = self.adjusted_value_created_1d_sum.insert(
|
||||
date,
|
||||
self.adjusted_value_created.sum_range(date_blocks_range),
|
||||
);
|
||||
|
||||
let value_destroyed_1d_sum = self
|
||||
.value_destroyed_1d_sum
|
||||
.insert(date, self.value_destroyed.sum_range(date_blocks_range));
|
||||
|
||||
let adjusted_value_destroyed_1d_sum = self.adjusted_value_destroyed_1d_sum.insert(
|
||||
date,
|
||||
self.adjusted_value_destroyed.sum_range(date_blocks_range),
|
||||
);
|
||||
|
||||
self.spent_output_profit_ratio
|
||||
.date
|
||||
.insert(date, value_created_1d_sum / value_destroyed_1d_sum);
|
||||
|
||||
self.adjusted_spent_output_profit_ratio.date.insert(
|
||||
date,
|
||||
adjusted_value_created_1d_sum / adjusted_value_destroyed_1d_sum,
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
pub fn compute(
|
||||
&mut self,
|
||||
&ComputeData { heights, dates, .. }: &ComputeData,
|
||||
market_cap: &mut BiMap<f32>,
|
||||
) {
|
||||
self.negative_realized_loss.multi_insert_simple_transform(
|
||||
heights,
|
||||
&mut self.realized_loss,
|
||||
|v, _| v * -1.0,
|
||||
);
|
||||
|
||||
self.negative_realized_loss_1d_sum
|
||||
.multi_insert_simple_transform(dates, &mut self.realized_loss_1d_sum, |v, _| v * -1.0);
|
||||
|
||||
self.net_realized_profit_and_loss.multi_insert_subtract(
|
||||
heights,
|
||||
&mut self.realized_profit,
|
||||
&mut self.realized_loss,
|
||||
);
|
||||
|
||||
self.net_realized_profit_and_loss_1d_sum
|
||||
.multi_insert_subtract(
|
||||
dates,
|
||||
&mut self.realized_profit_1d_sum,
|
||||
&mut self.realized_loss_1d_sum,
|
||||
);
|
||||
|
||||
self.net_realized_profit_and_loss_1d_sum_to_market_cap_ratio
|
||||
.multi_insert_percentage(
|
||||
dates,
|
||||
&mut self.net_realized_profit_and_loss_1d_sum,
|
||||
&mut market_cap.date,
|
||||
);
|
||||
|
||||
self.cumulative_realized_profit
|
||||
.height
|
||||
.multi_insert_cumulative(heights, &mut self.realized_profit);
|
||||
self.cumulative_realized_profit
|
||||
.date
|
||||
.multi_insert_cumulative(dates, &mut self.realized_profit_1d_sum);
|
||||
|
||||
self.cumulative_realized_loss
|
||||
.height
|
||||
.multi_insert_cumulative(heights, &mut self.realized_loss);
|
||||
self.cumulative_realized_loss
|
||||
.date
|
||||
.multi_insert_cumulative(dates, &mut self.realized_loss_1d_sum);
|
||||
|
||||
self.cumulative_net_realized_profit_and_loss
|
||||
.height
|
||||
.multi_insert_cumulative(heights, &mut self.net_realized_profit_and_loss);
|
||||
self.cumulative_net_realized_profit_and_loss
|
||||
.date
|
||||
.multi_insert_cumulative(dates, &mut self.net_realized_profit_and_loss_1d_sum);
|
||||
|
||||
self.cumulative_net_realized_profit_and_loss_1m_net_change
|
||||
.multi_insert_net_change(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.cumulative_net_realized_profit_and_loss,
|
||||
ONE_MONTH_IN_DAYS,
|
||||
);
|
||||
|
||||
self.realized_value.multi_insert_add(
|
||||
heights,
|
||||
&mut self.realized_profit,
|
||||
&mut self.realized_loss,
|
||||
);
|
||||
|
||||
self.realized_value_1d_sum.multi_insert_add(
|
||||
dates,
|
||||
&mut self.realized_profit_1d_sum,
|
||||
&mut self.realized_loss_1d_sum,
|
||||
);
|
||||
|
||||
self.sell_side_risk_ratio.multi_insert_percentage(
|
||||
dates,
|
||||
&mut self.realized_value_1d_sum,
|
||||
&mut market_cap.date,
|
||||
);
|
||||
|
||||
self.realized_profit_to_loss_ratio.multi_insert_divide(
|
||||
heights,
|
||||
&mut self.realized_profit,
|
||||
&mut self.realized_loss,
|
||||
);
|
||||
self.realized_profit_to_loss_1d_sum_ratio
|
||||
.multi_insert_divide(
|
||||
dates,
|
||||
&mut self.realized_profit_1d_sum,
|
||||
&mut self.realized_loss_1d_sum,
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
impl AnyDataset for RealizedSubDataset {
|
||||
fn get_min_initial_states(&self) -> &MinInitialStates {
|
||||
&self.min_initial_states
|
||||
}
|
||||
}
|
||||
277
_src/parser/datasets/subs/recap.rs
Normal file
277
_src/parser/datasets/subs/recap.rs
Normal file
@@ -0,0 +1,277 @@
|
||||
use std::{iter::Sum, ops::Add};
|
||||
|
||||
use allocative::Allocative;
|
||||
|
||||
use crate::{
|
||||
structs::{
|
||||
Date, DateMapChunkId, GenericMap, MapChunkId, MapKey, MapKind, MapPath, MapSerialized,
|
||||
MapValue, SerializedDateMap,
|
||||
},
|
||||
utils::{get_percentile, LossyFrom},
|
||||
};
|
||||
|
||||
pub type DateRecapDataset<T> = RecapDataset<Date, T, DateMapChunkId, SerializedDateMap<T>>;
|
||||
|
||||
#[derive(Allocative)]
|
||||
pub struct RecapDataset<Key, Value, ChunkId, Serialized> {
|
||||
average: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
sum: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
max: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
_90p: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
_75p: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
median: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
_25p: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
_10p: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
min: Option<GenericMap<Key, Value, ChunkId, Serialized>>,
|
||||
}
|
||||
|
||||
#[derive(Default)]
|
||||
pub struct RecapOptions {
|
||||
average: bool,
|
||||
sum: bool,
|
||||
max: bool,
|
||||
_90p: bool,
|
||||
_75p: bool,
|
||||
median: bool,
|
||||
_25p: bool,
|
||||
_10p: bool,
|
||||
min: bool,
|
||||
}
|
||||
|
||||
impl RecapOptions {
|
||||
pub fn add_min(mut self) -> Self {
|
||||
self.min = true;
|
||||
self
|
||||
}
|
||||
|
||||
pub fn add_max(mut self) -> Self {
|
||||
self.max = true;
|
||||
self
|
||||
}
|
||||
|
||||
pub fn add_median(mut self) -> Self {
|
||||
self.median = true;
|
||||
self
|
||||
}
|
||||
|
||||
pub fn add_average(mut self) -> Self {
|
||||
self.average = true;
|
||||
self
|
||||
}
|
||||
|
||||
#[allow(unused)]
|
||||
pub fn add_sum(mut self) -> Self {
|
||||
self.sum = true;
|
||||
self
|
||||
}
|
||||
|
||||
pub fn add_90p(mut self) -> Self {
|
||||
self._90p = true;
|
||||
self
|
||||
}
|
||||
|
||||
pub fn add_75p(mut self) -> Self {
|
||||
self._75p = true;
|
||||
self
|
||||
}
|
||||
|
||||
pub fn add_25p(mut self) -> Self {
|
||||
self._25p = true;
|
||||
self
|
||||
}
|
||||
|
||||
pub fn add_10p(mut self) -> Self {
|
||||
self._10p = true;
|
||||
self
|
||||
}
|
||||
}
|
||||
|
||||
impl<Key, Value, ChunkId, Serialized> RecapDataset<Key, Value, ChunkId, Serialized>
|
||||
where
|
||||
Value: MapValue,
|
||||
ChunkId: MapChunkId,
|
||||
Key: MapKey<ChunkId>,
|
||||
Serialized: MapSerialized<Key, Value, ChunkId>,
|
||||
{
|
||||
pub fn import(path: &MapPath, options: RecapOptions) -> color_eyre::Result<Self> {
|
||||
let f = |s: &str| path.join(s);
|
||||
|
||||
let s = Self {
|
||||
// ---
|
||||
// Computed
|
||||
// ---
|
||||
min: options
|
||||
.min
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("min"))),
|
||||
max: options
|
||||
.max
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("max"))),
|
||||
median: options
|
||||
.median
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("median"))),
|
||||
average: options
|
||||
.average
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("average"))),
|
||||
sum: options
|
||||
.sum
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("sum"))),
|
||||
_90p: options
|
||||
._90p
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("90p"))),
|
||||
_75p: options
|
||||
._75p
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("75p"))),
|
||||
_25p: options
|
||||
._25p
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("25p"))),
|
||||
_10p: options
|
||||
._10p
|
||||
.then(|| GenericMap::new_bin(1, MapKind::Computed, &f("10p"))),
|
||||
};
|
||||
|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn compute<'a, Value2>(&mut self, key: Key, values: &'a mut [Value2])
|
||||
where
|
||||
Value: LossyFrom<f32> + LossyFrom<Value2>,
|
||||
Value2: Sum<&'a Value2> + Ord + Add<Output = Value2> + Clone + Copy + LossyFrom<f32>,
|
||||
f32: LossyFrom<Value> + LossyFrom<Value2>,
|
||||
{
|
||||
if self.max.is_some()
|
||||
|| self._90p.is_some()
|
||||
|| self._75p.is_some()
|
||||
|| self.median.is_some()
|
||||
|| self._25p.is_some()
|
||||
|| self._10p.is_some()
|
||||
|| self.min.is_some()
|
||||
{
|
||||
values.sort_unstable();
|
||||
|
||||
if let Some(max) = self.max.as_mut() {
|
||||
max.insert_computed(key, Value::lossy_from(*values.last().unwrap()));
|
||||
}
|
||||
|
||||
if let Some(_90p) = self._90p.as_mut() {
|
||||
_90p.insert_computed(key, Value::lossy_from(get_percentile(values, 0.90)));
|
||||
}
|
||||
|
||||
if let Some(_75p) = self._75p.as_mut() {
|
||||
_75p.insert_computed(key, Value::lossy_from(get_percentile(values, 0.75)));
|
||||
}
|
||||
|
||||
if let Some(median) = self.median.as_mut() {
|
||||
median.insert_computed(key, Value::lossy_from(get_percentile(values, 0.50)));
|
||||
}
|
||||
|
||||
if let Some(_25p) = self._25p.as_mut() {
|
||||
_25p.insert_computed(key, Value::lossy_from(get_percentile(values, 0.25)));
|
||||
}
|
||||
|
||||
if let Some(_10p) = self._10p.as_mut() {
|
||||
_10p.insert_computed(key, Value::lossy_from(get_percentile(values, 0.10)));
|
||||
}
|
||||
|
||||
if let Some(min) = self.min.as_mut() {
|
||||
min.insert_computed(key, Value::lossy_from(*values.first().unwrap()));
|
||||
}
|
||||
}
|
||||
|
||||
if self.sum.is_some() || self.average.is_some() {
|
||||
let sum = Value::lossy_from(values.iter().sum::<Value2>());
|
||||
|
||||
if let Some(sum_map) = self.sum.as_mut() {
|
||||
sum_map.insert_computed(key, sum);
|
||||
}
|
||||
|
||||
if let Some(average) = self.average.as_mut() {
|
||||
let len = values.len() as f32;
|
||||
average.insert_computed(key, Value::lossy_from(f32::lossy_from(sum) / len));
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
pub fn as_vec(&self) -> Vec<&GenericMap<Key, Value, ChunkId, Serialized>> {
|
||||
let mut v = vec![];
|
||||
|
||||
if let Some(min) = self.min.as_ref() {
|
||||
v.push(min);
|
||||
}
|
||||
|
||||
if let Some(max) = self.max.as_ref() {
|
||||
v.push(max);
|
||||
}
|
||||
|
||||
if let Some(median) = self.median.as_ref() {
|
||||
v.push(median);
|
||||
}
|
||||
|
||||
if let Some(average) = self.average.as_ref() {
|
||||
v.push(average);
|
||||
}
|
||||
|
||||
if let Some(sum) = self.sum.as_ref() {
|
||||
v.push(sum);
|
||||
}
|
||||
|
||||
if let Some(_90p) = self._90p.as_ref() {
|
||||
v.push(_90p);
|
||||
}
|
||||
|
||||
if let Some(_75p) = self._75p.as_ref() {
|
||||
v.push(_75p);
|
||||
}
|
||||
|
||||
if let Some(_25p) = self._25p.as_ref() {
|
||||
v.push(_25p);
|
||||
}
|
||||
|
||||
if let Some(_10p) = self._10p.as_ref() {
|
||||
v.push(_10p);
|
||||
}
|
||||
|
||||
v
|
||||
}
|
||||
|
||||
pub fn as_mut_vec(&mut self) -> Vec<&mut GenericMap<Key, Value, ChunkId, Serialized>> {
|
||||
let mut v = vec![];
|
||||
|
||||
if let Some(min) = self.min.as_mut() {
|
||||
v.push(min);
|
||||
}
|
||||
|
||||
if let Some(max) = self.max.as_mut() {
|
||||
v.push(max);
|
||||
}
|
||||
|
||||
if let Some(median) = self.median.as_mut() {
|
||||
v.push(median);
|
||||
}
|
||||
|
||||
if let Some(average) = self.average.as_mut() {
|
||||
v.push(average);
|
||||
}
|
||||
|
||||
if let Some(sum) = self.sum.as_mut() {
|
||||
v.push(sum);
|
||||
}
|
||||
|
||||
if let Some(_90p) = self._90p.as_mut() {
|
||||
v.push(_90p);
|
||||
}
|
||||
|
||||
if let Some(_75p) = self._75p.as_mut() {
|
||||
v.push(_75p);
|
||||
}
|
||||
|
||||
if let Some(_25p) = self._25p.as_mut() {
|
||||
v.push(_25p);
|
||||
}
|
||||
|
||||
if let Some(_10p) = self._10p.as_mut() {
|
||||
v.push(_10p);
|
||||
}
|
||||
|
||||
v
|
||||
}
|
||||
}
|
||||
109
_src/parser/datasets/subs/supply.rs
Normal file
109
_src/parser/datasets/subs/supply.rs
Normal file
@@ -0,0 +1,109 @@
|
||||
use allocative::Allocative;
|
||||
use struct_iterable::Iterable;
|
||||
|
||||
use crate::{
|
||||
parser::{
|
||||
datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
|
||||
states::SupplyState,
|
||||
},
|
||||
structs::{BiMap, Config, MapKind, MapPath},
|
||||
};
|
||||
|
||||
#[derive(Allocative, Iterable)]
|
||||
pub struct SupplySubDataset {
|
||||
min_initial_states: MinInitialStates,
|
||||
|
||||
pub supply: BiMap<f64>,
|
||||
pub supply_to_circulating_supply_ratio: BiMap<f64>,
|
||||
pub halved_supply: BiMap<f64>,
|
||||
pub halved_supply_to_circulating_supply_ratio: BiMap<f64>,
|
||||
}
|
||||
|
||||
impl SupplySubDataset {
|
||||
pub fn import(
|
||||
path: &MapPath,
|
||||
name: &Option<String>,
|
||||
config: &Config,
|
||||
) -> color_eyre::Result<Self> {
|
||||
let f = |s: &str| {
|
||||
if let Some(name) = name {
|
||||
path.join(&format!("{name}/{s}"))
|
||||
} else {
|
||||
path.join(s)
|
||||
}
|
||||
};
|
||||
|
||||
let mut s = Self {
|
||||
min_initial_states: MinInitialStates::default(),
|
||||
|
||||
// ---
|
||||
// Inserted
|
||||
// ---
|
||||
supply: BiMap::new_bin(1, MapKind::Inserted, &f("supply")),
|
||||
|
||||
// ---
|
||||
// Computed,
|
||||
// ---
|
||||
supply_to_circulating_supply_ratio: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("supply_to_circulating_supply_ratio"),
|
||||
),
|
||||
halved_supply: BiMap::new_bin(1, MapKind::Computed, &f("halved_supply")),
|
||||
halved_supply_to_circulating_supply_ratio: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("halved_supply_to_circulating_supply_ratio"),
|
||||
),
|
||||
};
|
||||
|
||||
s.min_initial_states
|
||||
.consume(MinInitialStates::compute_from_dataset(&s, config));
|
||||
|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn insert(
|
||||
&mut self,
|
||||
&InsertData {
|
||||
height,
|
||||
date,
|
||||
is_date_last_block,
|
||||
..
|
||||
}: &InsertData,
|
||||
state: &SupplyState,
|
||||
) {
|
||||
let total_supply = self.supply.height.insert(height, state.supply().to_btc());
|
||||
|
||||
if is_date_last_block {
|
||||
self.supply.date.insert(date, total_supply);
|
||||
}
|
||||
}
|
||||
|
||||
#[allow(unused_variables)]
|
||||
pub fn compute(
|
||||
&mut self,
|
||||
&ComputeData { heights, dates, .. }: &ComputeData,
|
||||
circulating_supply: &mut BiMap<f64>,
|
||||
) {
|
||||
self.supply_to_circulating_supply_ratio
|
||||
.multi_insert_percentage(heights, dates, &mut self.supply, circulating_supply);
|
||||
|
||||
self.halved_supply
|
||||
.multi_insert_simple_transform(heights, dates, &mut self.supply, &|v| v / 2.0);
|
||||
|
||||
self.halved_supply_to_circulating_supply_ratio
|
||||
.multi_insert_simple_transform(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.supply_to_circulating_supply_ratio,
|
||||
&|v| v / 2.0,
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
impl AnyDataset for SupplySubDataset {
|
||||
fn get_min_initial_states(&self) -> &MinInitialStates {
|
||||
&self.min_initial_states
|
||||
}
|
||||
}
|
||||
199
_src/parser/datasets/subs/unrealized.rs
Normal file
199
_src/parser/datasets/subs/unrealized.rs
Normal file
@@ -0,0 +1,199 @@
|
||||
use allocative::Allocative;
|
||||
use struct_iterable::Iterable;
|
||||
|
||||
use crate::{
|
||||
parser::{
|
||||
datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
|
||||
states::UnrealizedState,
|
||||
},
|
||||
structs::{BiMap, Config, MapKind, MapPath},
|
||||
};
|
||||
|
||||
#[derive(Allocative, Iterable)]
|
||||
pub struct UnrealizedSubDataset {
|
||||
min_initial_states: MinInitialStates,
|
||||
|
||||
supply_in_profit: BiMap<f64>,
|
||||
unrealized_profit: BiMap<f32>,
|
||||
unrealized_loss: BiMap<f32>,
|
||||
supply_in_loss: BiMap<f64>,
|
||||
negative_unrealized_loss: BiMap<f32>,
|
||||
net_unrealized_profit_and_loss: BiMap<f32>,
|
||||
net_unrealized_profit_and_loss_to_market_cap_ratio: BiMap<f32>,
|
||||
supply_in_profit_to_own_supply_ratio: BiMap<f64>,
|
||||
supply_in_profit_to_circulating_supply_ratio: BiMap<f64>,
|
||||
supply_in_loss_to_own_supply_ratio: BiMap<f64>,
|
||||
supply_in_loss_to_circulating_supply_ratio: BiMap<f64>,
|
||||
}
|
||||
|
||||
impl UnrealizedSubDataset {
|
||||
pub fn import(
|
||||
path: &MapPath,
|
||||
name: &Option<String>,
|
||||
config: &Config,
|
||||
) -> color_eyre::Result<Self> {
|
||||
let f = |s: &str| {
|
||||
if let Some(name) = name {
|
||||
path.join(&format!("{name}/{s}"))
|
||||
} else {
|
||||
path.join(s)
|
||||
}
|
||||
};
|
||||
|
||||
let mut s = Self {
|
||||
min_initial_states: MinInitialStates::default(),
|
||||
|
||||
// ---
|
||||
// Inserted
|
||||
// ---
|
||||
supply_in_profit: BiMap::new_bin(1, MapKind::Inserted, &f("supply_in_profit")),
|
||||
unrealized_profit: BiMap::new_bin(1, MapKind::Inserted, &f("unrealized_profit")),
|
||||
unrealized_loss: BiMap::new_bin(1, MapKind::Inserted, &f("unrealized_loss")),
|
||||
|
||||
// ---
|
||||
// Inserted
|
||||
// ---
|
||||
supply_in_loss: BiMap::new_bin(1, MapKind::Computed, &f("supply_in_loss")),
|
||||
negative_unrealized_loss: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("negative_unrealized_loss"),
|
||||
),
|
||||
net_unrealized_profit_and_loss: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("net_unrealized_profit_and_loss"),
|
||||
),
|
||||
net_unrealized_profit_and_loss_to_market_cap_ratio: BiMap::new_bin(
|
||||
2,
|
||||
MapKind::Computed,
|
||||
&f("net_unrealized_profit_and_loss_to_market_cap_ratio"),
|
||||
),
|
||||
supply_in_profit_to_own_supply_ratio: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("supply_in_profit_to_own_supply_ratio"),
|
||||
),
|
||||
supply_in_profit_to_circulating_supply_ratio: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("supply_in_profit_to_circulating_supply_ratio"),
|
||||
),
|
||||
supply_in_loss_to_own_supply_ratio: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("supply_in_loss_to_own_supply_ratio"),
|
||||
),
|
||||
supply_in_loss_to_circulating_supply_ratio: BiMap::new_bin(
|
||||
1,
|
||||
MapKind::Computed,
|
||||
&f("supply_in_loss_to_circulating_supply_ratio"),
|
||||
),
|
||||
};
|
||||
|
||||
s.min_initial_states
|
||||
.consume(MinInitialStates::compute_from_dataset(&s, config));
|
||||
|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn insert(
|
||||
&mut self,
|
||||
&InsertData {
|
||||
height,
|
||||
date,
|
||||
is_date_last_block,
|
||||
..
|
||||
}: &InsertData,
|
||||
block_state: &UnrealizedState,
|
||||
date_state: &Option<UnrealizedState>,
|
||||
) {
|
||||
self.supply_in_profit
|
||||
.height
|
||||
.insert(height, block_state.supply_in_profit().to_btc());
|
||||
|
||||
self.unrealized_profit
|
||||
.height
|
||||
.insert(height, block_state.unrealized_profit().to_dollar() as f32);
|
||||
|
||||
self.unrealized_loss
|
||||
.height
|
||||
.insert(height, block_state.unrealized_loss().to_dollar() as f32);
|
||||
|
||||
if is_date_last_block {
|
||||
let date_state = date_state.as_ref().unwrap();
|
||||
|
||||
self.supply_in_profit
|
||||
.date
|
||||
.insert(date, date_state.supply_in_profit().to_btc());
|
||||
|
||||
self.unrealized_profit
|
||||
.date
|
||||
.insert(date, date_state.unrealized_profit().to_dollar() as f32);
|
||||
|
||||
self.unrealized_loss
|
||||
.date
|
||||
.insert(date, date_state.unrealized_loss().to_dollar() as f32);
|
||||
}
|
||||
}
|
||||
|
||||
pub fn compute(
|
||||
&mut self,
|
||||
&ComputeData { heights, dates, .. }: &ComputeData,
|
||||
own_supply: &mut BiMap<f64>,
|
||||
circulating_supply: &mut BiMap<f64>,
|
||||
market_cap: &mut BiMap<f32>,
|
||||
) {
|
||||
self.supply_in_loss.multi_insert_subtract(
|
||||
heights,
|
||||
dates,
|
||||
own_supply,
|
||||
&mut self.supply_in_profit,
|
||||
);
|
||||
|
||||
self.negative_unrealized_loss.multi_insert_simple_transform(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.unrealized_loss,
|
||||
&|v| v * -1.0,
|
||||
);
|
||||
|
||||
self.net_unrealized_profit_and_loss.multi_insert_subtract(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.unrealized_profit,
|
||||
&mut self.unrealized_loss,
|
||||
);
|
||||
|
||||
self.net_unrealized_profit_and_loss_to_market_cap_ratio
|
||||
.multi_insert_percentage(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.net_unrealized_profit_and_loss,
|
||||
market_cap,
|
||||
);
|
||||
|
||||
self.supply_in_profit_to_own_supply_ratio
|
||||
.multi_insert_percentage(heights, dates, &mut self.supply_in_profit, own_supply);
|
||||
|
||||
self.supply_in_profit_to_circulating_supply_ratio
|
||||
.multi_insert_percentage(
|
||||
heights,
|
||||
dates,
|
||||
&mut self.supply_in_profit,
|
||||
circulating_supply,
|
||||
);
|
||||
|
||||
self.supply_in_loss_to_own_supply_ratio
|
||||
.multi_insert_percentage(heights, dates, &mut self.supply_in_loss, own_supply);
|
||||
|
||||
self.supply_in_loss_to_circulating_supply_ratio
|
||||
.multi_insert_percentage(heights, dates, &mut self.supply_in_loss, circulating_supply);
|
||||
}
|
||||
}
|
||||
|
||||
impl AnyDataset for UnrealizedSubDataset {
|
||||
fn get_min_initial_states(&self) -> &MinInitialStates {
|
||||
&self.min_initial_states
|
||||
}
|
||||
}
|
||||
70
_src/parser/datasets/subs/utxo.rs
Normal file
70
_src/parser/datasets/subs/utxo.rs
Normal file
@@ -0,0 +1,70 @@
|
||||
use allocative::Allocative;
|
||||
use struct_iterable::Iterable;
|
||||
|
||||
use crate::{
|
||||
parser::{
|
||||
datasets::{AnyDataset, InsertData, MinInitialStates},
|
||||
states::UTXOState,
|
||||
},
|
||||
structs::{BiMap, Config, MapKind, MapPath},
|
||||
};
|
||||
|
||||
#[derive(Allocative, Iterable)]
|
||||
pub struct UTXOSubDataset {
|
||||
min_initial_states: MinInitialStates,
|
||||
|
||||
count: BiMap<f64>,
|
||||
}
|
||||
|
||||
impl UTXOSubDataset {
|
||||
pub fn import(
|
||||
path: &MapPath,
|
||||
name: &Option<String>,
|
||||
config: &Config,
|
||||
) -> color_eyre::Result<Self> {
|
||||
let f = |s: &str| {
|
||||
if let Some(name) = name {
|
||||
path.join(&format!("{name}/{s}"))
|
||||
} else {
|
||||
path.join(s)
|
||||
}
|
||||
};
|
||||
|
||||
let mut s = Self {
|
||||
min_initial_states: MinInitialStates::default(),
|
||||
|
||||
// ---
|
||||
// Inserted
|
||||
// ---
|
||||
count: BiMap::new_bin(1, MapKind::Inserted, &f("utxo_count")),
|
||||
};
|
||||
|
||||
s.min_initial_states
|
||||
.consume(MinInitialStates::compute_from_dataset(&s, config));
|
||||
|
||||
Ok(s)
|
||||
}
|
||||
|
||||
pub fn insert(
|
||||
&mut self,
|
||||
&InsertData {
|
||||
height,
|
||||
is_date_last_block,
|
||||
date,
|
||||
..
|
||||
}: &InsertData,
|
||||
state: &UTXOState,
|
||||
) {
|
||||
let count = self.count.height.insert(height, state.count());
|
||||
|
||||
if is_date_last_block {
|
||||
self.count.date.insert(date, count);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
impl AnyDataset for UTXOSubDataset {
|
||||
fn get_min_initial_states(&self) -> &MinInitialStates {
|
||||
&self.min_initial_states
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user