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global: add sell side risk ratio

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This commit is contained in:
k
2024-09-21 14:22:27 +02:00
parent c8ded4ddb3
commit 2befa58fce
4 changed files with 147 additions and 84 deletions
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30
parser/src/datasets/subs/realized.rs
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@@ -3,8 +3,9 @@ use allocative::Allocative;
use crate::{
datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
states::RealizedState,
structs::{AnyBiMap, BiMap, Price},
structs::{AnyBiMap, AnyDateMap, BiMap, Price},
utils::ONE_MONTH_IN_DAYS,
DateMap,
};
#[derive(Default, Allocative)]
@@ -26,6 +27,8 @@ pub struct RealizedSubDataset {
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: BiMap<f32>,
sell_side_risk_ratio: DateMap<f32>,
}
impl RealizedSubDataset {
@@ -63,6 +66,8 @@ impl RealizedSubDataset {
1,
&f("cumulative_net_realized_profit_and_loss_1m_net_change"),
),
realized_value: BiMap::new_bin(1, &f("realized_value")),
sell_side_risk_ratio: DateMap::new_bin(1, &f("sell_side_risk_ratio")),
};
s.min_initial_states
@@ -177,6 +182,19 @@ impl RealizedSubDataset {
&mut self.cumulative_net_realized_profit_and_loss,
ONE_MONTH_IN_DAYS,
);
self.realized_value.multi_insert_add(
heights,
dates,
&mut self.realized_profit,
&mut self.realized_loss,
);
self.sell_side_risk_ratio.multi_insert_percentage(
dates,
&mut self.realized_value.date,
&mut market_cap.date,
);
}
}
@@ -214,9 +232,14 @@ impl AnyDataset for RealizedSubDataset {
&self.cumulative_realized_loss,
&self.cumulative_net_realized_profit_and_loss,
&self.cumulative_net_realized_profit_and_loss_1m_net_change,
&self.realized_value,
]
}
fn to_computed_date_map_vec(&self) -> Vec<&(dyn AnyDateMap + Send + Sync)> {
vec![&self.sell_side_risk_ratio]
}
fn to_computed_mut_bi_map_vec(&mut self) -> Vec<&mut dyn AnyBiMap> {
vec![
&mut self.negative_realized_loss,
@@ -226,6 +249,11 @@ impl AnyDataset for RealizedSubDataset {
&mut self.cumulative_realized_loss,
&mut self.cumulative_net_realized_profit_and_loss,
&mut self.cumulative_net_realized_profit_and_loss_1m_net_change,
&mut self.realized_value,
]
}
fn to_computed_mut_date_map_vec(&mut self) -> Vec<&mut dyn AnyDateMap> {
vec![&mut self.sell_side_risk_ratio]
}
}