mirror of
https://github.com/bitcoinresearchkit/brk.git
synced 2026-07-20 15:38:11 -07:00
global: MASSIVE snapshot
This commit is contained in:
nym21
@@ -0,0 +1,334 @@
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use brk_error::Result;
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use brk_types::{Bitcoin, CheckedSub, Close, Date, DateIndex, Dollars, Sats, StoredF32};
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use vecdb::{
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AnyStoredVec, AnyVec, EagerVec, Exit, GenericStoredVec, IterableVec, PcoVec, VecIndex, Version,
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};
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mod pricing;
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// TODO: Re-export when Phase 3 (Pricing migration) is complete
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// pub use pricing::{Priced, Pricing, Unpriced};
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const DCA_AMOUNT: Dollars = Dollars::mint(100.0);
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pub trait ComputeDCAStackViaLen {
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fn compute_dca_stack_via_len(
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&mut self,
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max_from: DateIndex,
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closes: &impl IterableVec<DateIndex, Close<Dollars>>,
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len: usize,
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exit: &Exit,
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) -> Result<()>;
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fn compute_dca_stack_via_from(
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&mut self,
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max_from: DateIndex,
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closes: &impl IterableVec<DateIndex, Close<Dollars>>,
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from: DateIndex,
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exit: &Exit,
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) -> Result<()>;
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}
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impl ComputeDCAStackViaLen for EagerVec<PcoVec<DateIndex, Sats>> {
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fn compute_dca_stack_via_len(
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&mut self,
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max_from: DateIndex,
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closes: &impl IterableVec<DateIndex, Close<Dollars>>,
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len: usize,
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exit: &Exit,
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) -> Result<()> {
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self.validate_computed_version_or_reset(closes.version())?;
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let index = max_from.to_usize().min(self.len());
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// Initialize prev before the loop to avoid checking on every iteration
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let mut prev = if index == 0 {
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Sats::ZERO
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} else {
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self.read_at_unwrap_once(index - 1)
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};
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let mut lookback = closes.create_lookback(index, len, 0);
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closes
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.iter()
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.enumerate()
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.skip(index)
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.try_for_each(|(i, closes)| {
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let price = *closes;
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let i_usize = i.to_usize();
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let mut stack = Sats::ZERO;
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if price != Dollars::ZERO {
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stack = prev + Sats::from(Bitcoin::from(DCA_AMOUNT / price));
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let prev_price =
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*lookback.get_and_push(i_usize, Close::new(price), Close::default());
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if prev_price != Dollars::ZERO {
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stack = stack
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.checked_sub(Sats::from(Bitcoin::from(DCA_AMOUNT / prev_price)))
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.unwrap();
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}
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}
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prev = stack;
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self.truncate_push_at(i, stack)
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})?;
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let _lock = exit.lock();
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self.write()?;
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Ok(())
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}
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fn compute_dca_stack_via_from(
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&mut self,
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max_from: DateIndex,
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closes: &impl IterableVec<DateIndex, Close<Dollars>>,
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from: DateIndex,
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exit: &Exit,
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) -> Result<()> {
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self.validate_computed_version_or_reset(closes.version())?;
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let from = from.to_usize();
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let index = max_from.min(DateIndex::from(self.len()));
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// Initialize prev before the loop to avoid checking on every iteration
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let mut prev = if index.to_usize() == 0 {
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Sats::ZERO
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} else {
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self.read_at_unwrap_once(index.to_usize() - 1)
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};
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closes
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.iter()
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.enumerate()
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.skip(index.to_usize())
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.try_for_each(|(i, closes)| {
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let price = *closes;
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let mut stack = Sats::ZERO;
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if price != Dollars::ZERO && i >= from {
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stack = prev + Sats::from(Bitcoin::from(DCA_AMOUNT / price));
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}
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prev = stack;
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self.truncate_push_at(i, stack)
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})?;
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let _lock = exit.lock();
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self.write()?;
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Ok(())
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}
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}
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pub trait ComputeDCAAveragePriceViaLen {
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fn compute_dca_average_price_via_len(
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&mut self,
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max_from: DateIndex,
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stacks: &impl IterableVec<DateIndex, Sats>,
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len: usize,
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exit: &Exit,
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) -> Result<()>;
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fn compute_dca_average_price_via_from(
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&mut self,
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max_from: DateIndex,
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stacks: &impl IterableVec<DateIndex, Sats>,
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from: DateIndex,
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exit: &Exit,
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) -> Result<()>;
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}
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impl ComputeDCAAveragePriceViaLen for EagerVec<PcoVec<DateIndex, Dollars>> {
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fn compute_dca_average_price_via_len(
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&mut self,
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max_from: DateIndex,
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stacks: &impl IterableVec<DateIndex, Sats>,
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len: usize,
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exit: &Exit,
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) -> Result<()> {
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self.validate_computed_version_or_reset(Version::ONE + stacks.version())?;
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let index = max_from.min(DateIndex::from(self.len()));
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let first_price_date = DateIndex::try_from(Date::new(2010, 7, 12))
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.unwrap()
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.to_usize();
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stacks
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.iter()
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.enumerate()
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.skip(index.to_usize())
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.try_for_each(|(i, stack)| {
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let mut average_price = Dollars::from(f64::NAN);
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if i > first_price_date {
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average_price = DCA_AMOUNT
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* len
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.min(i.to_usize() + 1)
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.min(i.checked_sub(first_price_date).unwrap().to_usize() + 1)
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/ Bitcoin::from(stack);
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}
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self.truncate_push_at(i, average_price)
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})?;
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let _lock = exit.lock();
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self.write()?;
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Ok(())
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}
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fn compute_dca_average_price_via_from(
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&mut self,
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max_from: DateIndex,
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stacks: &impl IterableVec<DateIndex, Sats>,
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from: DateIndex,
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exit: &Exit,
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) -> Result<()> {
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self.validate_computed_version_or_reset(stacks.version())?;
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let index = max_from.min(DateIndex::from(self.len()));
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let from = from.to_usize();
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stacks
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.iter()
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.enumerate()
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.skip(index.to_usize())
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.try_for_each(|(i, stack)| {
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let mut average_price = Dollars::from(f64::NAN);
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if i >= from {
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average_price = DCA_AMOUNT * (i.to_usize() + 1 - from) / Bitcoin::from(stack);
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}
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self.truncate_push_at(i, average_price)
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})?;
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let _lock = exit.lock();
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self.write()?;
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Ok(())
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}
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}
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pub trait ComputeLumpSumStackViaLen {
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fn compute_lump_sum_stack_via_len(
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&mut self,
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max_from: DateIndex,
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closes: &impl IterableVec<DateIndex, Close<Dollars>>,
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lookback_prices: &impl IterableVec<DateIndex, Dollars>,
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len: usize,
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exit: &Exit,
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) -> Result<()>;
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}
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impl ComputeLumpSumStackViaLen for EagerVec<PcoVec<DateIndex, Sats>> {
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/// Compute lump sum stack: sats you would have if you invested (len * DCA_AMOUNT) at the lookback price
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fn compute_lump_sum_stack_via_len(
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&mut self,
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max_from: DateIndex,
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closes: &impl IterableVec<DateIndex, Close<Dollars>>,
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lookback_prices: &impl IterableVec<DateIndex, Dollars>,
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len: usize,
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exit: &Exit,
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) -> Result<()> {
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self.validate_computed_version_or_reset(closes.version())?;
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let index = max_from.to_usize().min(self.len());
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let total_invested = DCA_AMOUNT * len;
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lookback_prices
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.iter()
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.enumerate()
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.skip(index)
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.try_for_each(|(i, lookback_price)| {
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let stack = if lookback_price == Dollars::ZERO {
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Sats::ZERO
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} else {
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Sats::from(Bitcoin::from(total_invested / lookback_price))
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};
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self.truncate_push_at(i, stack)
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})?;
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let _lock = exit.lock();
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self.write()?;
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Ok(())
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}
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}
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pub trait ComputeFromBitcoin<I> {
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fn compute_from_bitcoin(
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&mut self,
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max_from: I,
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bitcoin: &impl IterableVec<I, Bitcoin>,
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price: &impl IterableVec<I, Close<Dollars>>,
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exit: &Exit,
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) -> Result<()>;
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}
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impl<I> ComputeFromBitcoin<I> for EagerVec<PcoVec<I, Dollars>>
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where
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I: VecIndex,
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{
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fn compute_from_bitcoin(
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&mut self,
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max_from: I,
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bitcoin: &impl IterableVec<I, Bitcoin>,
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price: &impl IterableVec<I, Close<Dollars>>,
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exit: &Exit,
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) -> Result<()> {
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self.compute_transform2(
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max_from,
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bitcoin,
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price,
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|(i, bitcoin, price, _)| (i, *price * bitcoin),
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exit,
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)?;
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Ok(())
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}
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}
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pub trait ComputeDrawdown<I> {
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fn compute_drawdown(
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&mut self,
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max_from: I,
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close: &impl IterableVec<I, Close<Dollars>>,
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ath: &impl IterableVec<I, Dollars>,
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exit: &Exit,
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) -> Result<()>;
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}
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impl<I> ComputeDrawdown<I> for EagerVec<PcoVec<I, StoredF32>>
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where
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I: VecIndex,
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{
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fn compute_drawdown(
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&mut self,
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max_from: I,
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close: &impl IterableVec<I, Close<Dollars>>,
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ath: &impl IterableVec<I, Dollars>,
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exit: &Exit,
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) -> Result<()> {
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self.compute_transform2(
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max_from,
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ath,
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close,
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|(i, ath, close, _)| {
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if ath == Dollars::ZERO {
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(i, StoredF32::default())
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} else {
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let drawdown = StoredF32::from((*ath - **close) / *ath * -100.0);
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(i, drawdown)
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}
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},
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exit,
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)?;
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Ok(())
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}
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}
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@@ -0,0 +1,123 @@
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//! Compile-time type-state for price-dependent data.
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//!
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// TODO: Remove this once Phase 3 (Pricing migration) is complete
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#![allow(dead_code)]
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//!
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//! This module provides the `Pricing` trait which enables compile-time
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//! differentiation between priced and unpriced data variants. Instead of
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//! using `Option<T>` for price-dependent fields, structs use `P: Pricing`
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//! with associated types that are either concrete types (for `Priced`) or
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//! `()` (for `Unpriced`).
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//!
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//! Benefits:
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//! - LSP/autocomplete visibility: no Options cluttering suggestions
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//! - Compile-time guarantees: cannot access price data on `Unpriced` variants
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//! - Zero runtime overhead: `()` is a ZST (zero-sized type)
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use brk_traversable::Traversable;
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/// Type-state trait for price-dependent data.
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///
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/// Implements the type-state pattern using associated types:
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/// - `Priced`: associated types resolve to concrete data types
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/// - `Unpriced`: associated types resolve to `()`
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///
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/// # Associated Types
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///
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/// | Type | Usage | Priced | Unpriced |
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/// |------|-------|--------|----------|
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/// | `Data` | Computer top-level | `PricingData` | `()` |
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/// | `PriceRef<'a>` | Function params | `&price::Vecs` | `()` |
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/// | `ComputedDollarsHeight` | Value wrappers (Height) | `ComputedBlock<Dollars>` | `()` |
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/// | `ComputedDollarsDateIndex` | Value wrappers (DateIndex) | `ComputedVecsDate<Dollars>` | `()` |
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/// | `StdDevBandsUsd` | StdDev USD bands | `StdDevBandsUsdData` | `()` |
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/// | `RatioUsd` | Ratio USD variants | `RatioUsdData` | `()` |
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/// | `BasePriced` | Base metrics | `BasePricedData` | `()` |
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/// | `ExtendedPriced` | Extended metrics | `ExtendedPricedData` | `()` |
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/// | `AdjustedPriced` | Adjusted metrics | `AdjustedPricedData` | `()` |
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/// | `RelToAllPriced` | Rel-to-all metrics | `RelToAllPricedData` | `()` |
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pub trait Pricing: 'static + Clone + Send + Sync {
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// === Top-level ===
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/// Top-level pricing data - PricingData for Priced, () for Unpriced
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type Data: Clone + Send + Sync + Traversable;
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/// Reference to price vecs for import functions
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type PriceRef<'a>: Copy;
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// === Value wrappers (used in 20+ places) ===
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/// Computed dollars with Height index
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type ComputedDollarsHeight: Clone + Send + Sync + Traversable;
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/// Computed dollars with DateIndex index
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type ComputedDollarsDateIndex: Clone + Send + Sync + Traversable;
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// === Specialized structs ===
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/// StdDev USD bands (13 fields grouped)
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type StdDevBandsUsd: Clone + Send + Sync + Traversable;
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/// Ratio USD data
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type RatioUsd: Clone + Send + Sync + Traversable;
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// === Distribution metrics ===
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/// Base-level priced metrics (realized + unrealized)
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type BasePriced: Clone + Send + Sync + Traversable;
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/// Extended-level priced metrics
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type ExtendedPriced: Clone + Send + Sync + Traversable;
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/// Adjusted metrics
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type AdjustedPriced: Clone + Send + Sync + Traversable;
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/// Dollar-based relative-to-all metrics
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type RelToAllPriced: Clone + Send + Sync + Traversable;
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}
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/// Marker type for priced data.
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///
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/// When `P = Priced`, all associated types resolve to their concrete
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/// data types containing price-denominated values.
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#[derive(Clone, Copy, Default, Debug)]
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pub struct Priced;
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/// Marker type for unpriced data.
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///
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/// When `P = Unpriced`, all associated types resolve to `()`,
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/// effectively removing those fields at compile time with zero overhead.
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#[derive(Clone, Copy, Default, Debug)]
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pub struct Unpriced;
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// Note: The actual type implementations for `Priced` and `Unpriced`
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// will be added in Phase 3 when we migrate the concrete data types.
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// For now, we provide placeholder implementations using () for all types
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// to allow incremental migration.
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impl Pricing for Priced {
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// Placeholder implementations - will be replaced with concrete types in Phase 3
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type Data = ();
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type PriceRef<'a> = ();
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type ComputedDollarsHeight = ();
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type ComputedDollarsDateIndex = ();
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type StdDevBandsUsd = ();
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type RatioUsd = ();
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type BasePriced = ();
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type ExtendedPriced = ();
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type AdjustedPriced = ();
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type RelToAllPriced = ();
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}
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impl Pricing for Unpriced {
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type Data = ();
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type PriceRef<'a> = ();
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type ComputedDollarsHeight = ();
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type ComputedDollarsDateIndex = ();
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type StdDevBandsUsd = ();
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type RatioUsd = ();
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type BasePriced = ();
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type ExtendedPriced = ();
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type AdjustedPriced = ();
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type RelToAllPriced = ();
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}
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