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brk: first commit
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nym21
387
_src/parser/datasets/subs/realized.rs
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387
_src/parser/datasets/subs/realized.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::{
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datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
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states::RealizedState,
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},
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structs::{BiMap, Config, DateMap, HeightMap, MapKind, MapPath, Price},
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utils::ONE_MONTH_IN_DAYS,
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};
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#[derive(Allocative, Iterable)]
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pub struct RealizedSubDataset {
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min_initial_states: MinInitialStates,
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realized_profit: HeightMap<f32>,
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realized_loss: HeightMap<f32>,
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value_created: HeightMap<f32>,
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adjusted_value_created: HeightMap<f32>,
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value_destroyed: HeightMap<f32>,
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adjusted_value_destroyed: HeightMap<f32>,
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realized_profit_1d_sum: DateMap<f32>,
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realized_loss_1d_sum: DateMap<f32>,
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value_created_1d_sum: DateMap<f32>,
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adjusted_value_created_1d_sum: DateMap<f32>,
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value_destroyed_1d_sum: DateMap<f32>,
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adjusted_value_destroyed_1d_sum: DateMap<f32>,
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spent_output_profit_ratio: BiMap<f32>,
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adjusted_spent_output_profit_ratio: BiMap<f32>,
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negative_realized_loss: HeightMap<f32>,
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negative_realized_loss_1d_sum: DateMap<f32>,
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net_realized_profit_and_loss: HeightMap<f32>,
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net_realized_profit_and_loss_1d_sum: DateMap<f32>,
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net_realized_profit_and_loss_1d_sum_to_market_cap_ratio: DateMap<f32>,
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cumulative_realized_profit: BiMap<f32>,
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cumulative_realized_loss: BiMap<f32>,
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cumulative_net_realized_profit_and_loss: BiMap<f32>,
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cumulative_net_realized_profit_and_loss_1m_net_change: BiMap<f32>,
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realized_value: HeightMap<f32>,
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realized_value_1d_sum: DateMap<f32>,
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sell_side_risk_ratio: DateMap<f32>,
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realized_profit_to_loss_ratio: HeightMap<f32>,
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realized_profit_to_loss_1d_sum_ratio: DateMap<f32>,
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}
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impl RealizedSubDataset {
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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_profit: HeightMap::new_bin(1, MapKind::Inserted, &f("realized_profit")),
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realized_loss: HeightMap::new_bin(1, MapKind::Inserted, &f("realized_loss")),
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value_created: HeightMap::new_bin(1, MapKind::Inserted, &f("value_created")),
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adjusted_value_created: HeightMap::new_bin(
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1,
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MapKind::Inserted,
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&f("adjusted_value_created"),
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),
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value_destroyed: HeightMap::new_bin(1, MapKind::Inserted, &f("value_destroyed")),
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adjusted_value_destroyed: HeightMap::new_bin(
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1,
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MapKind::Inserted,
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&f("adjusted_value_destroyed"),
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),
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realized_profit_1d_sum: DateMap::new_bin(
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1,
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MapKind::Inserted,
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&f("realized_profit_1d_sum"),
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),
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realized_loss_1d_sum: DateMap::new_bin(
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1,
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MapKind::Inserted,
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&f("realized_loss_1d_sum"),
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),
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value_created_1d_sum: DateMap::new_bin(
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1,
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MapKind::Inserted,
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&f("value_created_1d_sum"),
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),
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adjusted_value_created_1d_sum: DateMap::new_bin(
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1,
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MapKind::Inserted,
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&f("adjusted_value_created_1d_sum"),
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),
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value_destroyed_1d_sum: DateMap::new_bin(
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1,
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MapKind::Inserted,
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&f("value_destroyed_1d_sum"),
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),
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adjusted_value_destroyed_1d_sum: DateMap::new_bin(
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1,
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MapKind::Inserted,
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&f("adjusted_value_destroyed_1d_sum"),
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),
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spent_output_profit_ratio: BiMap::new_bin(
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2,
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MapKind::Inserted,
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&f("spent_output_profit_ratio"),
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),
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adjusted_spent_output_profit_ratio: BiMap::new_bin(
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2,
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MapKind::Inserted,
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&f("adjusted_spent_output_profit_ratio"),
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),
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// ---
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// Computed
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// ---
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negative_realized_loss: HeightMap::new_bin(
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2,
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MapKind::Computed,
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&f("negative_realized_loss"),
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),
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negative_realized_loss_1d_sum: DateMap::new_bin(
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2,
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MapKind::Computed,
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&f("negative_realized_loss_1d_sum"),
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),
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net_realized_profit_and_loss: HeightMap::new_bin(
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1,
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MapKind::Computed,
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&f("net_realized_profit_and_loss"),
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),
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net_realized_profit_and_loss_1d_sum: DateMap::new_bin(
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1,
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MapKind::Computed,
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&f("net_realized_profit_and_loss_1d_sum"),
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),
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net_realized_profit_and_loss_1d_sum_to_market_cap_ratio: DateMap::new_bin(
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2,
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MapKind::Computed,
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&f("net_realized_profit_and_loss_to_market_cap_ratio"),
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),
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cumulative_realized_profit: BiMap::new_bin(
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1,
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MapKind::Computed,
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&f("cumulative_realized_profit"),
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),
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cumulative_realized_loss: BiMap::new_bin(
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1,
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MapKind::Computed,
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&f("cumulative_realized_loss"),
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),
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cumulative_net_realized_profit_and_loss: BiMap::new_bin(
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1,
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MapKind::Computed,
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&f("cumulative_net_realized_profit_and_loss"),
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),
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cumulative_net_realized_profit_and_loss_1m_net_change: BiMap::new_bin(
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1,
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MapKind::Computed,
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&f("cumulative_net_realized_profit_and_loss_1m_net_change"),
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),
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realized_value: HeightMap::new_bin(1, MapKind::Computed, &f("realized_value")),
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realized_value_1d_sum: DateMap::new_bin(
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1,
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MapKind::Computed,
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&f("realized_value_1d_sum"),
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),
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sell_side_risk_ratio: DateMap::new_bin(
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1,
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MapKind::Computed,
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&f("sell_side_risk_ratio"),
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),
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realized_profit_to_loss_ratio: HeightMap::new_bin(
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1,
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MapKind::Computed,
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&f("realized_profit_to_loss_ratio"),
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),
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realized_profit_to_loss_1d_sum_ratio: DateMap::new_bin(
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1,
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MapKind::Computed,
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&f("realized_profit_to_loss_1d_sum_ratio"),
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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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date_blocks_range,
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..
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}: &InsertData,
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height_state: &RealizedState,
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) {
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self.realized_profit
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.insert(height, height_state.realized_profit().to_dollar() as f32);
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self.realized_loss
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.insert(height, height_state.realized_loss().to_dollar() as f32);
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self.value_created
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.insert(height, height_state.value_created().to_dollar() as f32);
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self.adjusted_value_created.insert(
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height,
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height_state.adjusted_value_created().to_dollar() as f32,
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);
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self.value_destroyed
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.insert(height, height_state.value_destroyed().to_dollar() as f32);
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self.adjusted_value_destroyed.insert(
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height,
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height_state.adjusted_value_destroyed().to_dollar() as f32,
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);
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self.spent_output_profit_ratio.height.insert(height, {
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if height_state.value_destroyed() > Price::ZERO {
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(height_state.value_created().to_cent() as f64
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/ height_state.value_destroyed().to_cent() as f64) as f32
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} else {
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1.0
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}
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});
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self.adjusted_spent_output_profit_ratio
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.height
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.insert(height, {
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if height_state.adjusted_value_destroyed() > Price::ZERO {
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(height_state.adjusted_value_created().to_cent() as f64
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/ height_state.adjusted_value_destroyed().to_cent() as f64)
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as f32
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} else {
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1.0
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}
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});
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if is_date_last_block {
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self.realized_profit_1d_sum
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.insert(date, self.realized_profit.sum_range(date_blocks_range));
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self.realized_loss_1d_sum
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.insert(date, self.realized_loss.sum_range(date_blocks_range));
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let value_created_1d_sum = self
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.value_created_1d_sum
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.insert(date, self.value_created.sum_range(date_blocks_range));
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let adjusted_value_created_1d_sum = self.adjusted_value_created_1d_sum.insert(
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date,
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self.adjusted_value_created.sum_range(date_blocks_range),
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);
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let value_destroyed_1d_sum = self
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.value_destroyed_1d_sum
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.insert(date, self.value_destroyed.sum_range(date_blocks_range));
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let adjusted_value_destroyed_1d_sum = self.adjusted_value_destroyed_1d_sum.insert(
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date,
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self.adjusted_value_destroyed.sum_range(date_blocks_range),
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);
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self.spent_output_profit_ratio
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.date
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.insert(date, value_created_1d_sum / value_destroyed_1d_sum);
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self.adjusted_spent_output_profit_ratio.date.insert(
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date,
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adjusted_value_created_1d_sum / adjusted_value_destroyed_1d_sum,
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);
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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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&ComputeData { heights, dates, .. }: &ComputeData,
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market_cap: &mut BiMap<f32>,
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) {
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self.negative_realized_loss.multi_insert_simple_transform(
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heights,
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&mut self.realized_loss,
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|v, _| v * -1.0,
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);
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self.negative_realized_loss_1d_sum
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.multi_insert_simple_transform(dates, &mut self.realized_loss_1d_sum, |v, _| v * -1.0);
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self.net_realized_profit_and_loss.multi_insert_subtract(
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heights,
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&mut self.realized_profit,
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&mut self.realized_loss,
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);
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self.net_realized_profit_and_loss_1d_sum
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.multi_insert_subtract(
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dates,
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&mut self.realized_profit_1d_sum,
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&mut self.realized_loss_1d_sum,
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);
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self.net_realized_profit_and_loss_1d_sum_to_market_cap_ratio
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.multi_insert_percentage(
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dates,
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&mut self.net_realized_profit_and_loss_1d_sum,
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&mut market_cap.date,
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);
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self.cumulative_realized_profit
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.height
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.multi_insert_cumulative(heights, &mut self.realized_profit);
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self.cumulative_realized_profit
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.date
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.multi_insert_cumulative(dates, &mut self.realized_profit_1d_sum);
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self.cumulative_realized_loss
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.height
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.multi_insert_cumulative(heights, &mut self.realized_loss);
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self.cumulative_realized_loss
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.date
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.multi_insert_cumulative(dates, &mut self.realized_loss_1d_sum);
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self.cumulative_net_realized_profit_and_loss
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.height
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.multi_insert_cumulative(heights, &mut self.net_realized_profit_and_loss);
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self.cumulative_net_realized_profit_and_loss
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.date
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.multi_insert_cumulative(dates, &mut self.net_realized_profit_and_loss_1d_sum);
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self.cumulative_net_realized_profit_and_loss_1m_net_change
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.multi_insert_net_change(
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heights,
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dates,
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&mut self.cumulative_net_realized_profit_and_loss,
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ONE_MONTH_IN_DAYS,
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);
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self.realized_value.multi_insert_add(
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heights,
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&mut self.realized_profit,
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&mut self.realized_loss,
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);
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self.realized_value_1d_sum.multi_insert_add(
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dates,
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&mut self.realized_profit_1d_sum,
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&mut self.realized_loss_1d_sum,
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);
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self.sell_side_risk_ratio.multi_insert_percentage(
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dates,
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&mut self.realized_value_1d_sum,
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&mut market_cap.date,
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);
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self.realized_profit_to_loss_ratio.multi_insert_divide(
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heights,
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&mut self.realized_profit,
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&mut self.realized_loss,
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);
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self.realized_profit_to_loss_1d_sum_ratio
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.multi_insert_divide(
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dates,
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&mut self.realized_profit_1d_sum,
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&mut self.realized_loss_1d_sum,
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);
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}
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}
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impl AnyDataset for RealizedSubDataset {
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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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Reference in New Issue
Block a user