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parser: added ratio and co datasets

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This commit is contained in:
k
2024-07-10 18:34:01 +02:00
parent 6976f5af0f
commit 4a82ee0b05
20 changed files with 624 additions and 237 deletions
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4
parser/src/datasets/cointime.rs
View File

@@ -86,7 +86,7 @@ impl CointimeDataset {
cointime_value_stored: BiMap::new_bin(1, &f("cointime_value_stored")),
concurrent_liveliness: BiMap::new_bin(1, &f("concurrent_liveliness")),
concurrent_liveliness_2w_median: BiMap::new_bin(
1,
2,
&f("concurrent_liveliness_2w_median"),
),
cumulative_coinblocks_created: BiMap::new_bin(1, &f("cumulative_coinblocks_created")),
@@ -100,7 +100,7 @@ impl CointimeDataset {
liveliness: BiMap::new_bin(1, &f("liveliness")),
liveliness_net_change: BiMap::new_bin(1, &f("liveliness_net_change")),
liveliness_net_change_2w_median: BiMap::new_bin(
1,
2,
&f("liveliness_net_change_2w_median"),
),
producerness: BiMap::new_bin(1, &f("producerness")),

2
parser/src/datasets/price/mod.rs
View File

@@ -24,6 +24,7 @@ pub struct PriceDatasets {
kraken_1mn: Option<BTreeMap<u32, OHLC>>,
binance_1mn: Option<BTreeMap<u32, OHLC>>,
binance_har: Option<BTreeMap<u32, OHLC>>,
satonomics_by_height: BTreeMap<usize, Option<BTreeMap<usize, OHLC>>>,
// Inserted
pub ohlcs: BiMap<OHLC>,
@@ -74,6 +75,7 @@ impl PriceDatasets {
binance_har: None,
kraken_1mn: None,
kraken_daily: None,
satonomics_by_height: BTreeMap::default(),
ohlcs: BiMap::new_json(1, &format!("{price_path}/ohlc")),
closes: BiMap::new_json(1, &f("close")),

42
parser/src/datasets/subs/capitalization.rs
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@@ -7,6 +7,8 @@ use crate::{
utils::ONE_MONTH_IN_DAYS,
};
use super::RatioDataset;
#[derive(Default, Allocative)]
pub struct CapitalizationDataset {
min_initial_states: MinInitialStates,
@@ -16,8 +18,8 @@ pub struct CapitalizationDataset {
// Computed
pub realized_price: BiMap<f32>,
mvrv: BiMap<f32>,
realized_cap_1m_net_change: BiMap<f32>,
ratio: RatioDataset,
}
impl CapitalizationDataset {
@@ -30,7 +32,7 @@ impl CapitalizationDataset {
realized_cap: BiMap::new_bin(1, &f("realized_cap")),
realized_cap_1m_net_change: BiMap::new_bin(1, &f("realized_cap_1m_net_change")),
realized_price: BiMap::new_bin(1, &f("realized_price")),
mvrv: BiMap::new_bin(1, &f("mvrv")),
ratio: RatioDataset::import(parent_path, "realized_price")?,
};
s.min_initial_states
@@ -61,10 +63,12 @@ impl CapitalizationDataset {
pub fn compute(
&mut self,
&ComputeData { heights, dates }: &ComputeData,
compute_data: &ComputeData,
closes: &mut BiMap<f32>,
cohort_supply: &mut BiMap<f64>,
) {
let &ComputeData { heights, dates } = compute_data;
self.realized_price.multi_insert_divide(
heights,
dates,
@@ -72,21 +76,15 @@ impl CapitalizationDataset {
cohort_supply,
);
self.mvrv.height.multi_insert_divide(
heights,
&mut closes.height,
&mut self.realized_price.height,
);
self.mvrv
.date
.multi_insert_divide(dates, &mut closes.date, &mut self.realized_price.date);
self.realized_cap_1m_net_change.multi_insert_net_change(
heights,
dates,
&mut self.realized_cap,
ONE_MONTH_IN_DAYS,
)
);
self.ratio
.compute(compute_data, closes, &mut self.realized_price);
}
}
@@ -104,18 +102,20 @@ impl AnyDataset for CapitalizationDataset {
}
fn to_computed_bi_map_vec(&self) -> Vec<&(dyn AnyBiMap + Send + Sync)> {
vec![
&self.realized_price,
&self.mvrv,
let mut v = vec![
&self.realized_price as &(dyn AnyBiMap + Send + Sync),
&self.realized_cap_1m_net_change,
]
];
v.append(&mut self.ratio.to_computed_bi_map_vec());
v
}
fn to_computed_mut_bi_map_vec(&mut self) -> Vec<&mut dyn AnyBiMap> {
vec![
&mut self.realized_price,
&mut self.mvrv,
let mut v = vec![
&mut self.realized_price as &mut dyn AnyBiMap,
&mut self.realized_cap_1m_net_change,
]
];
v.append(&mut self.ratio.to_computed_mut_bi_map_vec());
v
}
}

2
parser/src/datasets/subs/input.rs
View File

@@ -10,8 +10,10 @@ use crate::{
pub struct InputSubDataset {
min_initial_states: MinInitialStates,
// Inserted
pub count: BiMap<u64>,
pub volume: BiMap<f64>,
// Computed
// add inputs_per_second
}

2
parser/src/datasets/subs/mod.rs
View File

@@ -2,6 +2,7 @@ use allocative::Allocative;
mod capitalization;
mod input;
mod ratio;
// mod output;
mod price_paid;
mod realized;
@@ -11,6 +12,7 @@ mod utxo;
pub use capitalization::*;
pub use input::*;
pub use ratio::*;
// pub use output::*;
pub use price_paid::*;
pub use realized::*;

207
parser/src/datasets/subs/ratio.rs Normal file
View File

@@ -0,0 +1,207 @@
use allocative::Allocative;
use crate::{
datasets::{AnyDataset, ComputeData, MinInitialStates},
structs::{AnyBiMap, BiMap},
utils::{ONE_MONTH_IN_DAYS, ONE_WEEK_IN_DAYS, ONE_YEAR_IN_DAYS},
};
#[derive(Default, Allocative)]
pub struct RatioDataset {
min_initial_states: MinInitialStates,
// Computed
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(parent_path: &str, name: &str) -> color_eyre::Result<Self> {
let f_ratio = |s: &str| format!("{parent_path}/market_price_to_{name}_{s}");
let f_price = |s: &str| format!("{parent_path}/{name}_{s}");
let mut s = Self {
min_initial_states: MinInitialStates::default(),
ratio: BiMap::new_bin(1, &f_ratio("ratio")),
ratio_1w_sma: BiMap::new_bin(1, &f_ratio("ratio_1w_sma")),
ratio_1m_sma: BiMap::new_bin(1, &f_ratio("ratio_1m_sma")),
ratio_1y_sma: BiMap::new_bin(1, &f_ratio("ratio_1y_sma")),
ratio_1y_sma_momentum_oscillator: BiMap::new_bin(
1,
&f_ratio("ratio_1y_sma_momentum_oscillator"),
),
ratio_99p: BiMap::new_bin(1, &f_ratio("ratio_99p")),
ratio_99_5p: BiMap::new_bin(1, &f_ratio("ratio_99_5p")),
ratio_99_9p: BiMap::new_bin(1, &f_ratio("ratio_99_9p")),
ratio_1p: BiMap::new_bin(1, &f_ratio("ratio_1p")),
ratio_0_5p: BiMap::new_bin(1, &f_ratio("ratio_0_5p")),
ratio_0_1p: BiMap::new_bin(1, &f_ratio("ratio_0_1p")),
price_99p: BiMap::new_bin(1, &f_price("99p")),
price_99_5p: BiMap::new_bin(1, &f_price("99_5p")),
price_99_9p: BiMap::new_bin(1, &f_price("99_9p")),
price_1p: BiMap::new_bin(1, &f_price("1p")),
price_0_5p: BiMap::new_bin(1, &f_price("0_5p")),
price_0_1p: BiMap::new_bin(1, &f_price("0_1p")),
};
s.min_initial_states
.consume(MinInitialStates::compute_from_dataset(&s));
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)) - 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, market_price, &mut self.ratio_99p);
self.price_99_5p
.multi_insert_multiply(heights, dates, market_price, &mut self.ratio_99_5p);
self.price_99_9p
.multi_insert_multiply(heights, dates, market_price, &mut self.ratio_99_9p);
self.price_1p
.multi_insert_multiply(heights, dates, market_price, &mut self.ratio_1p);
self.price_0_5p
.multi_insert_multiply(heights, dates, market_price, &mut self.ratio_0_5p);
self.price_0_1p
.multi_insert_multiply(heights, dates, market_price, &mut self.ratio_0_1p);
}
}
impl AnyDataset for RatioDataset {
fn get_min_initial_states(&self) -> &MinInitialStates {
&self.min_initial_states
}
fn to_computed_bi_map_vec(&self) -> Vec<&(dyn AnyBiMap + Send + Sync)> {
vec![
&self.ratio,
&self.ratio_1w_sma,
&self.ratio_1m_sma,
&self.ratio_1y_sma,
&self.ratio_1y_sma_momentum_oscillator,
&self.ratio_99p,
&self.ratio_99_5p,
&self.ratio_99_9p,
&self.ratio_1p,
&self.ratio_0_5p,
&self.ratio_0_1p,
&self.price_99p,
&self.price_99_5p,
&self.price_99_9p,
&self.price_1p,
&self.price_0_5p,
&self.price_0_1p,
]
}
fn to_computed_mut_bi_map_vec(&mut self) -> Vec<&mut dyn AnyBiMap> {
vec![
&mut self.ratio,
&mut self.ratio_1w_sma,
&mut self.ratio_1m_sma,
&mut self.ratio_1y_sma,
&mut self.ratio_1y_sma_momentum_oscillator,
&mut self.ratio_99p,
&mut self.ratio_99_5p,
&mut self.ratio_99_9p,
&mut self.ratio_1p,
&mut self.ratio_0_5p,
&mut self.ratio_0_1p,
&mut self.price_99p,
&mut self.price_99_5p,
&mut self.price_99_9p,
&mut self.price_1p,
&mut self.price_0_5p,
&mut self.price_0_1p,
]
}
}

55
parser/src/datasets/subs/realized.rs
View File

@@ -3,11 +3,10 @@ use allocative::Allocative;
use crate::{
datasets::{AnyDataset, ComputeData, InsertData, MinInitialStates},
states::RealizedState,
structs::{AnyBiMap, BiMap},
structs::{AnyBiMap, BiMap, Price},
utils::ONE_MONTH_IN_DAYS,
};
/// TODO: Fix fees not taken into account ?
#[derive(Default, Allocative)]
pub struct RealizedSubDataset {
min_initial_states: MinInitialStates,
@@ -15,6 +14,9 @@ pub struct RealizedSubDataset {
// Inserted
realized_profit: BiMap<f32>,
realized_loss: BiMap<f32>,
value_destroyed: BiMap<f32>,
value_created: BiMap<f32>,
spent_output_profit_ratio: BiMap<f32>,
// Computed
negative_realized_loss: BiMap<f32>,
@@ -35,6 +37,10 @@ impl RealizedSubDataset {
realized_profit: BiMap::new_bin(1, &f("realized_profit")),
realized_loss: BiMap::new_bin(1, &f("realized_loss")),
value_created: BiMap::new_bin(1, &f("value_created")),
value_destroyed: BiMap::new_bin(1, &f("value_destroyed")),
spent_output_profit_ratio: BiMap::new_bin(2, &f("spent_output_profit_ratio")),
negative_realized_loss: BiMap::new_bin(2, &f("negative_realized_loss")),
net_realized_profit_and_loss: BiMap::new_bin(1, &f("net_realized_profit_and_loss")),
net_realized_profit_and_loss_to_market_cap_ratio: BiMap::new_bin(
@@ -78,12 +84,41 @@ impl RealizedSubDataset {
.height
.insert(height, height_state.realized_loss.to_dollar() as f32);
self.value_created
.height
.insert(height, height_state.value_created.to_dollar() as f32);
self.value_destroyed
.height
.insert(height, height_state.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
}
});
if is_date_last_block {
self.realized_profit
.date_insert_sum_range(date, date_blocks_range);
self.realized_loss
.date_insert_sum_range(date, date_blocks_range);
self.value_created
.date_insert_sum_range(date, date_blocks_range);
self.value_destroyed
.date_insert_sum_range(date, date_blocks_range);
self.spent_output_profit_ratio.date.insert(
date,
self.value_created.height.sum_range(date_blocks_range)
/ self.value_destroyed.height.sum_range(date_blocks_range),
);
}
}
@@ -145,11 +180,23 @@ impl AnyDataset for RealizedSubDataset {
}
fn to_inserted_bi_map_vec(&self) -> Vec<&(dyn AnyBiMap + Send + Sync)> {
vec![&self.realized_loss, &self.realized_profit]
vec![
&self.realized_loss,
&self.realized_profit,
&self.value_created,
&self.value_destroyed,
&self.spent_output_profit_ratio,
]
}
fn to_inserted_mut_bi_map_vec(&mut self) -> Vec<&mut dyn AnyBiMap> {
vec![&mut self.realized_loss, &mut self.realized_profit]
vec![
&mut self.realized_loss,
&mut self.realized_profit,
&mut self.value_created,
&mut self.value_destroyed,
&mut self.spent_output_profit_ratio,
]
}
fn to_computed_bi_map_vec(&self) -> Vec<&(dyn AnyBiMap + Send + Sync)> {