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https://github.com/bitcoinresearchkit/brk.git
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parser: added ratio and co datasets
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k
@@ -423,10 +423,10 @@ where
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&mut self,
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dates: &[WNaiveDate],
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source: &mut DateMap<K>,
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transform: F,
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mut transform: F,
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) where
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K: MapValue,
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F: Fn((K, &WNaiveDate, &mut DateMap<K>)) -> T,
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F: FnMut((K, &WNaiveDate, &mut DateMap<K>)) -> T,
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{
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dates.iter().for_each(|date| {
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self.insert(
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@@ -706,113 +706,129 @@ where
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) where
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T: FloatCore,
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{
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self.multi_insert_percentile(dates, source, 0.5, days);
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source.multi_insert_percentile(dates, vec![(self, 0.5)], days);
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}
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pub fn multi_insert_percentile(
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&mut self,
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dates: &[WNaiveDate],
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source: &mut DateMap<T>,
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percentile: f32,
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mut map_and_percentiles: Vec<(&mut DateMap<T>, f32)>,
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days: Option<usize>,
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) where
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T: FloatCore,
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{
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if !(0.0..=1.0).contains(&percentile) {
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panic!("The percentile should be between 0.0 and 1.0");
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}
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if days.map_or(false, |size| size < 3) {
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panic!("Computing a median for a size lower than 3 is useless");
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panic!("Computing a percentile for a size lower than 3 is useless");
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}
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let mut ordered_vec = None;
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let mut sorted_vec = None;
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dates.iter().for_each(|date| {
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let value = {
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if let Some(start) = days
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.map_or(chrono::NaiveDate::from_ymd_opt(2009, 3, 1), |size| {
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date.checked_sub_days(Days::new(size as u64))
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})
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{
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if ordered_vec.is_none() {
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let mut vec = start
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.iter_days()
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.take_while(|d| *d != **date)
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.flat_map(|date| source.get_or_import(&WNaiveDate::wrap(date)))
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.map(|f| OrderedFloat(f))
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.collect_vec();
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if let Some(start) = days.map_or(chrono::NaiveDate::from_ymd_opt(2009, 1, 3), |size| {
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date.checked_sub_days(Days::new(size as u64))
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}) {
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if sorted_vec.is_none() {
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let mut vec = start
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.iter_days()
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.take_while(|d| *d != **date)
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.flat_map(|date| self.get_or_import(&WNaiveDate::wrap(date)))
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.map(|f| OrderedFloat(f))
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.collect_vec();
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if days.is_some() {
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ordered_vec.replace(VecDeque::from(vec.clone()));
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}
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vec.sort_unstable();
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sorted_vec.replace(vec);
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} else {
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let float_value = OrderedFloat(source.get_or_import(date).unwrap());
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if let Some(days) = days {
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if let Some(ordered_vec) = ordered_vec.as_mut() {
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if ordered_vec.len() == days {
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let first = ordered_vec.pop_front().unwrap();
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let pos =
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sorted_vec.as_ref().unwrap().binary_search(&first).unwrap();
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sorted_vec.as_mut().unwrap().remove(pos);
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}
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ordered_vec.push_back(float_value);
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}
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}
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let pos = sorted_vec
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.as_ref()
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.unwrap()
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.binary_search(&float_value)
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.unwrap_or_else(|pos| pos);
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sorted_vec.as_mut().unwrap().insert(pos, float_value);
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if days.is_some() {
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ordered_vec.replace(VecDeque::from(vec.clone()));
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}
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let vec = sorted_vec.as_ref().unwrap();
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if vec.is_empty() {
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T::default()
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} else {
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let index = vec.len() as f32 * percentile;
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if index.fract() != 0.0 && vec.len() > 1 {
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(vec.get(index.ceil() as usize)
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.unwrap_or_else(|| {
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dbg!(vec, index, &self.path_all, &source.path_all, days);
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panic!()
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})
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.0
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+ vec
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.get(index.floor() as usize)
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.unwrap_or_else(|| {
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dbg!(vec, index, &self.path_all, &source.path_all, days);
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panic!()
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})
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.0)
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/ T::from(2.0).unwrap()
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} else {
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vec.get(index.floor() as usize)
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.unwrap_or_else(|| {
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dbg!(vec, index);
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panic!();
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})
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.0
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}
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}
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vec.sort_unstable();
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sorted_vec.replace(vec);
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} else {
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T::default()
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}
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};
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let float_value = OrderedFloat(self.get_or_import(date).unwrap());
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self.insert(*date, value);
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if let Some(days) = days {
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if let Some(ordered_vec) = ordered_vec.as_mut() {
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if ordered_vec.len() == days {
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let first = ordered_vec.pop_front().unwrap();
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let pos =
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sorted_vec.as_ref().unwrap().binary_search(&first).unwrap();
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sorted_vec.as_mut().unwrap().remove(pos);
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}
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ordered_vec.push_back(float_value);
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}
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}
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let pos = sorted_vec
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.as_ref()
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.unwrap()
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.binary_search(&float_value)
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.unwrap_or_else(|pos| pos);
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sorted_vec.as_mut().unwrap().insert(pos, float_value);
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}
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let vec = sorted_vec.as_ref().unwrap();
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let len = vec.len();
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map_and_percentiles
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.iter_mut()
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.for_each(|(map, percentile)| {
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if !(0.0..=1.0).contains(percentile) {
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panic!("The percentile should be between 0.0 and 1.0");
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}
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let value = {
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if vec.is_empty() {
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T::default()
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} else {
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let index = (len - 1) as f32 * *percentile;
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let fract = index.fract();
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let fract_t = T::from(fract).unwrap();
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if fract != 0.0 {
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(vec.get(index.ceil() as usize)
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.unwrap_or_else(|| {
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dbg!(vec, index, &self.path_all, &self.path_all, days);
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panic!()
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})
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.0
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* fract_t
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+ vec
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.get(index.floor() as usize)
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.unwrap_or_else(|| {
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dbg!(
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vec,
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index,
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&self.path_all,
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&self.path_all,
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days
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);
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panic!()
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})
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.0)
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* T::from(1.0 - fract).unwrap()
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} else {
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vec.get(index.floor() as usize)
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.unwrap_or_else(|| {
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dbg!(vec, index);
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panic!();
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})
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.0
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}
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}
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};
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(*map).insert(*date, value);
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});
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} else {
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map_and_percentiles.iter_mut().for_each(|(map, _)| {
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(*map).insert(*date, T::default());
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});
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}
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});
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}
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