Mirror/brk
1
0
Fork 0
mirror of https://github.com/bitcoinresearchkit/brk.git synced 2026-07-09 01:58:14 -07:00
Code Issues Packages Projects Releases Wiki Activity

global: snapshot

Browse Source
This commit is contained in:
nym21
2026-02-13 16:54:09 +01:00
parent d18c872072
commit dfcb04484b
17 changed files with 485 additions and 265 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/brk_oracle/src/lib.rs
+41 -16
View File
@@ -132,6 +132,7 @@ fn find_best_bin(
best_bin as f64 + sub_bin
}
#[derive(Clone)]
pub struct Config {
/// EMA decay: 2/(N+1) where N is span in blocks. 2/7 = 6-block span.
pub alpha: f64,
@@ -162,29 +163,39 @@ impl Default for Config {
}
}
#[derive(Clone)]
pub struct Oracle {
histograms: Vec<[u32; NUM_BINS]>,
ema: Box<[f64; NUM_BINS]>,
weights: Vec<f64>,
cursor: usize,
filled: usize,
ref_bin: f64,
config: Config,
weights: Vec<f64>,
excluded_mask: u16,
warmup: bool,
}
impl Oracle {
pub fn new(start_bin: f64, config: Config) -> Self {
let weights: Vec<f64> = (0..config.window_size)
.map(|age| config.alpha * (1.0 - config.alpha).powi(age as i32))
.collect();
let window_size = config.window_size;
let decay = 1.0 - config.alpha;
let weights: Vec<f64> = (0..window_size)
.map(|i| config.alpha * decay.powi(i as i32))
.collect();
let excluded_mask = config
.excluded_output_types
.iter()
.fold(0u16, |mask, ot| mask | (1 << *ot as u8));
Self {
histograms: vec![[0u32; NUM_BINS]; window_size],
ema: Box::new([0.0; NUM_BINS]),
weights,
cursor: 0,
filled: 0,
ref_bin: start_bin,
weights,
excluded_mask,
warmup: false,
config,
}
}
@@ -215,7 +226,10 @@ impl Oracle {
/// ref_bin is anchored to the checkpoint regardless of warmup drift.
pub fn from_checkpoint(ref_bin: f64, config: Config, fill: impl FnOnce(&mut Self)) -> Self {
let mut oracle = Self::new(ref_bin, config);
oracle.warmup = true;
fill(&mut oracle);
oracle.warmup = false;
oracle.recompute_ema();
oracle.ref_bin = ref_bin;
oracle
}
@@ -236,12 +250,19 @@ impl Oracle {
self.price_cents().into()
}
#[inline(always)]
pub fn output_to_bin(&self, sats: Sats, output_type: OutputType) -> Option<usize> {
self.eligible_bin(sats, output_type)
}
#[inline(always)]
fn eligible_bin(&self, sats: Sats, output_type: OutputType) -> Option<usize> {
if self.config.excluded_output_types.contains(&output_type) {
if self.excluded_mask & (1 << output_type as u8) != 0 {
return None;
}
if *sats < self.config.min_sats || (self.config.exclude_common_round_values && sats.is_common_round_value()) {
if *sats < self.config.min_sats
|| (self.config.exclude_common_round_values && sats.is_common_round_value())
{
return None;
}
sats_to_bin(sats)
@@ -254,24 +275,28 @@ impl Oracle {
self.filled += 1;
}
self.recompute_ema();
if !self.warmup {
self.recompute_ema();
self.ref_bin = find_best_bin(
&self.ema,
self.ref_bin,
self.config.search_below,
self.config.search_above,
);
self.ref_bin = find_best_bin(
&self.ema,
self.ref_bin,
self.config.search_below,
self.config.search_above,
);
}
self.ref_bin
}
fn recompute_ema(&mut self) {
self.ema.fill(0.0);
for age in 0..self.filled {
let idx = (self.cursor + self.config.window_size - 1 - age) % self.config.window_size;
let idx =
(self.cursor + self.config.window_size - 1 - age) % self.config.window_size;
let weight = self.weights[age];
let h = &self.histograms[idx];
for bin in 0..NUM_BINS {
self.ema[bin] += weight * self.histograms[idx][bin] as f64;
self.ema[bin] += weight * h[bin] as f64;
}
}
}