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brk: first commit
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nym21
171
_src/parser/datasets/subs/ratio.rs
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171
_src/parser/datasets/subs/ratio.rs
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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::datasets::{AnyDataset, ComputeData, MinInitialStates},
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structs::{BiMap, Config, MapKind, MapPath},
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utils::{ONE_MONTH_IN_DAYS, ONE_WEEK_IN_DAYS, ONE_YEAR_IN_DAYS},
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};
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#[derive(Allocative, Iterable)]
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pub struct RatioDataset {
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min_initial_states: MinInitialStates,
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ratio: BiMap<f32>,
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ratio_1w_sma: BiMap<f32>,
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ratio_1m_sma: BiMap<f32>,
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ratio_1y_sma: BiMap<f32>,
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ratio_1y_sma_momentum_oscillator: BiMap<f32>,
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ratio_99p: BiMap<f32>,
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ratio_99_5p: BiMap<f32>,
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ratio_99_9p: BiMap<f32>,
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ratio_1p: BiMap<f32>,
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ratio_0_5p: BiMap<f32>,
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ratio_0_1p: BiMap<f32>,
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price_99p: BiMap<f32>,
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price_99_5p: BiMap<f32>,
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price_99_9p: BiMap<f32>,
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price_1p: BiMap<f32>,
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price_0_5p: BiMap<f32>,
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price_0_1p: BiMap<f32>,
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}
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impl RatioDataset {
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pub fn import(path: &MapPath, name: &str, config: &Config) -> color_eyre::Result<Self> {
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let f_ratio = |s: &str| path.join(&format!("market_price_to_{name}_{s}"));
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let f_price = |s: &str| path.join(&format!("{name}_{s}"));
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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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// Computed
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// ---
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ratio: BiMap::new_bin(1, MapKind::Computed, &f_ratio("ratio")),
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ratio_1w_sma: BiMap::new_bin(2, MapKind::Computed, &f_ratio("ratio_1w_sma")),
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ratio_1m_sma: BiMap::new_bin(2, MapKind::Computed, &f_ratio("ratio_1m_sma")),
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ratio_1y_sma: BiMap::new_bin(2, MapKind::Computed, &f_ratio("ratio_1y_sma")),
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ratio_1y_sma_momentum_oscillator: BiMap::new_bin(
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2,
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MapKind::Computed,
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&f_ratio("ratio_1y_sma_momentum_oscillator"),
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),
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ratio_99p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_99p")),
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ratio_99_5p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_99_5p")),
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ratio_99_9p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_99_9p")),
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ratio_1p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_1p")),
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ratio_0_5p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_0_5p")),
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ratio_0_1p: BiMap::new_bin(3, MapKind::Computed, &f_ratio("ratio_0_1p")),
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price_99p: BiMap::new_bin(4, MapKind::Computed, &f_price("99p")),
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price_99_5p: BiMap::new_bin(4, MapKind::Computed, &f_price("99_5p")),
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price_99_9p: BiMap::new_bin(4, MapKind::Computed, &f_price("99_9p")),
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price_1p: BiMap::new_bin(4, MapKind::Computed, &f_price("1p")),
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price_0_5p: BiMap::new_bin(4, MapKind::Computed, &f_price("0_5p")),
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price_0_1p: BiMap::new_bin(4, MapKind::Computed, &f_price("0_1p")),
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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 compute(
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&mut self,
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&ComputeData { heights, dates, .. }: &ComputeData,
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market_price: &mut BiMap<f32>,
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other_price: &mut BiMap<f32>,
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) {
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self.ratio.height.multi_insert_divide(
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heights,
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&mut market_price.height,
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&mut other_price.height,
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);
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self.ratio
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.date
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.multi_insert_divide(dates, &mut market_price.date, &mut other_price.date);
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self.ratio_1w_sma.multi_insert_simple_average(
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heights,
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dates,
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&mut self.ratio,
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ONE_WEEK_IN_DAYS,
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);
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self.ratio_1m_sma.multi_insert_simple_average(
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heights,
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dates,
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&mut self.ratio,
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ONE_MONTH_IN_DAYS,
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);
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self.ratio_1m_sma.multi_insert_simple_average(
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heights,
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dates,
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&mut self.ratio,
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ONE_MONTH_IN_DAYS,
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);
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self.ratio_1y_sma.multi_insert_simple_average(
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heights,
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dates,
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&mut self.ratio,
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ONE_YEAR_IN_DAYS,
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);
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self.ratio_1y_sma_momentum_oscillator
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.height
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.multi_insert_complex_transform(
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heights,
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&mut self.ratio.height,
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|(ratio, height, ..)| {
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(ratio / self.ratio_1y_sma.height.get_or_import(height).unwrap()) - 1.0
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},
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);
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self.ratio_1y_sma_momentum_oscillator
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.date
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.multi_insert_complex_transform(dates, &mut self.ratio.date, |(ratio, date, _, _)| {
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(ratio / self.ratio_1y_sma.date.get_or_import(date).unwrap()) - 1.0
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});
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self.ratio.multi_insert_percentile(
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heights,
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dates,
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vec![
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(&mut self.ratio_99p, 0.99),
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(&mut self.ratio_99_5p, 0.995),
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(&mut self.ratio_99_9p, 0.999),
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(&mut self.ratio_1p, 0.1),
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(&mut self.ratio_0_5p, 0.005),
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(&mut self.ratio_0_1p, 0.001),
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],
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None,
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);
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self.price_99p
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.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_99p);
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self.price_99_5p
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.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_99_5p);
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self.price_99_9p
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.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_99_9p);
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self.price_1p
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.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_1p);
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self.price_0_5p
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.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_0_5p);
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self.price_0_1p
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.multi_insert_multiply(heights, dates, other_price, &mut self.ratio_0_1p);
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}
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}
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impl AnyDataset for RatioDataset {
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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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