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nym21
2026-03-05 18:08:10 +01:00
parent 2ae542ecdb
commit 266342cd98
10 changed files with 684 additions and 556 deletions
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53
crates/brk_computer/src/distribution/metrics/realized/extended.rs
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@@ -6,8 +6,8 @@ use vecdb::{Exit, ReadableVec, Rw, StorageMode};
use crate::{
blocks,
internal::{
ComputedFromHeightRatioExtension, PercentFromHeight, RatioCents64, RatioDollarsBp32,
RollingWindows,
ComputedFromHeightRatioPercentiles, ComputedFromHeightRatioStdDevBands,
PercentFromHeight, RatioCents64, RatioDollarsBp32, RollingWindows,
},
};
@@ -24,8 +24,10 @@ pub struct RealizedExtended<M: StorageMode = Rw> {
pub realized_profit_to_loss_ratio: RollingWindows<StoredF64, M>,
pub realized_price_ratio_ext: ComputedFromHeightRatioExtension<M>,
pub investor_price_ratio_ext: ComputedFromHeightRatioExtension<M>,
pub realized_price_ratio_percentiles: ComputedFromHeightRatioPercentiles<M>,
pub realized_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands<M>,
pub investor_price_ratio_percentiles: ComputedFromHeightRatioPercentiles<M>,
pub investor_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands<M>,
}
impl RealizedExtended {
@@ -37,13 +39,27 @@ impl RealizedExtended {
realized_loss_sum: cfg.import_rolling("realized_loss", Version::ONE)?,
realized_profit_to_loss_ratio: cfg
.import_rolling("realized_profit_to_loss_ratio", Version::ONE)?,
realized_price_ratio_ext: ComputedFromHeightRatioExtension::forced_import(
realized_price_ratio_percentiles:
ComputedFromHeightRatioPercentiles::forced_import(
cfg.db,
&cfg.name("realized_price"),
cfg.version + Version::ONE,
cfg.indexes,
)?,
realized_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands::forced_import(
cfg.db,
&cfg.name("realized_price"),
cfg.version + Version::ONE,
cfg.indexes,
)?,
investor_price_ratio_ext: ComputedFromHeightRatioExtension::forced_import(
investor_price_ratio_percentiles:
ComputedFromHeightRatioPercentiles::forced_import(
cfg.db,
&cfg.name("investor_price"),
cfg.version,
cfg.indexes,
)?,
investor_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands::forced_import(
cfg.db,
&cfg.name("investor_price"),
cfg.version,
@@ -101,29 +117,36 @@ impl RealizedExtended {
)?;
}
// Extended ratio metrics
self.realized_price_ratio_ext.compute_rest(
// Realized price ratio: percentiles + stddev
self.realized_price_ratio_percentiles.compute(
blocks,
starting_indexes,
exit,
&base.realized_price_ratio.ratio.height,
)?;
self.realized_price_ratio_ext.compute_cents_bands(
starting_indexes,
&base.realized_price.cents.height,
)?;
self.realized_price_ratio_std_dev.compute(
blocks,
starting_indexes,
exit,
&base.realized_price_ratio.ratio.height,
&base.realized_price.cents.height,
)?;
self.investor_price_ratio_ext.compute_rest(
// Investor price ratio: percentiles + stddev
self.investor_price_ratio_percentiles.compute(
blocks,
starting_indexes,
exit,
&base.investor_price_ratio.ratio.height,
)?;
self.investor_price_ratio_ext.compute_cents_bands(
starting_indexes,
&base.investor_price.cents.height,
)?;
self.investor_price_ratio_std_dev.compute(
blocks,
starting_indexes,
exit,
&base.investor_price_ratio.ratio.height,
&base.investor_price.cents.height,
)?;
Ok(())