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nym21
2025-05-31 20:45:59 +02:00
parent cfc3081e8a
commit f976f672cf
34 changed files with 2109 additions and 497 deletions
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84
crates/brk_computer/src/vecs/grouped/from_dateindex.rs
View File

@@ -5,7 +5,7 @@ use brk_core::{
};
use brk_exit::Exit;
use brk_indexer::Indexer;
use brk_vec::{AnyCollectableVec, Compressed, EagerVec};
use brk_vec::{AnyCollectableVec, AnyIterableVec, Compressed, EagerVec};
use crate::vecs::{Indexes, indexes};
@@ -16,7 +16,7 @@ pub struct ComputedVecsFromDateIndex<T>
where
T: ComputedType + PartialOrd,
{
pub dateindex: EagerVec<DateIndex, T>,
pub dateindex: Option<EagerVec<DateIndex, T>>,
pub dateindex_extra: ComputedVecBuilder<DateIndex, T>,
pub weekindex: ComputedVecBuilder<WeekIndex, T>,
pub monthindex: ComputedVecBuilder<MonthIndex, T>,
@@ -34,10 +34,16 @@ where
pub fn forced_import(
path: &Path,
name: &str,
compute_source: bool,
version: Version,
compressed: Compressed,
options: StorableVecGeneatorOptions,
) -> color_eyre::Result<Self> {
let dateindex = compute_source.then(|| {
EagerVec::forced_import(path, name, version + VERSION + Version::ZERO, compressed)
.unwrap()
});
let dateindex_extra = ComputedVecBuilder::forced_import(
path,
name,
@@ -49,12 +55,7 @@ where
let options = options.remove_percentiles();
Ok(Self {
dateindex: EagerVec::forced_import(
path,
name,
version + VERSION + Version::ZERO,
compressed,
)?,
dateindex,
dateindex_extra,
weekindex: ComputedVecBuilder::forced_import(
path,
@@ -94,7 +95,7 @@ where
})
}
pub fn compute<F>(
pub fn compute_all<F>(
&mut self,
indexer: &Indexer,
indexes: &indexes::Vecs,
@@ -112,14 +113,15 @@ where
) -> Result<()>,
{
compute(
&mut self.dateindex,
self.dateindex.as_mut().unwrap(),
indexer,
indexes,
starting_indexes,
exit,
)?;
self.compute_rest(indexes, starting_indexes, exit)
let dateindex: Option<&EagerVec<DateIndex, T>> = None;
self.compute_rest(indexes, starting_indexes, exit, dateindex)
}
pub fn compute_rest(
@@ -127,25 +129,49 @@ where
indexes: &indexes::Vecs,
starting_indexes: &Indexes,
exit: &Exit,
dateindex: Option<&impl AnyIterableVec<DateIndex, T>>,
) -> color_eyre::Result<()> {
self.dateindex_extra
.extend(starting_indexes.dateindex, &self.dateindex, exit)?;
if let Some(dateindex) = dateindex {
self.dateindex_extra
.extend(starting_indexes.dateindex, dateindex, exit)?;
self.weekindex.compute(
starting_indexes.weekindex,
&self.dateindex,
&indexes.weekindex_to_first_dateindex,
&indexes.weekindex_to_dateindex_count,
exit,
)?;
self.weekindex.compute(
starting_indexes.weekindex,
dateindex,
&indexes.weekindex_to_first_dateindex,
&indexes.weekindex_to_dateindex_count,
exit,
)?;
self.monthindex.compute(
starting_indexes.monthindex,
&self.dateindex,
&indexes.monthindex_to_first_dateindex,
&indexes.monthindex_to_dateindex_count,
exit,
)?;
self.monthindex.compute(
starting_indexes.monthindex,
dateindex,
&indexes.monthindex_to_first_dateindex,
&indexes.monthindex_to_dateindex_count,
exit,
)?;
} else {
let dateindex = self.dateindex.as_ref().unwrap();
self.dateindex_extra
.extend(starting_indexes.dateindex, dateindex, exit)?;
self.weekindex.compute(
starting_indexes.weekindex,
dateindex,
&indexes.weekindex_to_first_dateindex,
&indexes.weekindex_to_dateindex_count,
exit,
)?;
self.monthindex.compute(
starting_indexes.monthindex,
dateindex,
&indexes.monthindex_to_first_dateindex,
&indexes.monthindex_to_dateindex_count,
exit,
)?;
}
self.quarterindex.from_aligned(
starting_indexes.quarterindex,
@@ -176,7 +202,9 @@ where
pub fn vecs(&self) -> Vec<&dyn AnyCollectableVec> {
[
vec![&self.dateindex as &dyn AnyCollectableVec],
self.dateindex
.as_ref()
.map_or(vec![], |v| vec![v as &dyn AnyCollectableVec]),
self.dateindex_extra.vecs(),
self.weekindex.vecs(),
self.monthindex.vecs(),

12
crates/brk_computer/src/vecs/grouped/from_height.rs
View File

@@ -17,7 +17,7 @@ pub struct ComputedVecsFromHeight<T>
where
T: ComputedType + PartialOrd,
{
pub height: Option<Box<EagerVec<Height, T>>>,
pub height: Option<EagerVec<Height, T>>,
pub height_extra: ComputedVecBuilder<Height, T>,
pub dateindex: ComputedVecBuilder<DateIndex, T>,
pub weekindex: ComputedVecBuilder<WeekIndex, T>,
@@ -45,10 +45,8 @@ where
options: StorableVecGeneatorOptions,
) -> color_eyre::Result<Self> {
let height = compute_source.then(|| {
Box::new(
EagerVec::forced_import(path, name, version + VERSION + Version::ZERO, compressed)
.unwrap(),
)
EagerVec::forced_import(path, name, version + VERSION + Version::ZERO, compressed)
.unwrap()
});
let height_extra = ComputedVecBuilder::forced_import(
@@ -169,7 +167,7 @@ where
exit,
)?;
} else {
let height = self.height.as_ref().unwrap().as_ref();
let height = self.height.as_ref().unwrap();
self.height_extra
.extend(starting_indexes.height, height, exit)?;
@@ -238,7 +236,7 @@ where
[
self.height
.as_ref()
.map_or(vec![], |v| vec![v.as_ref() as &dyn AnyCollectableVec]),
.map_or(vec![], |v| vec![v as &dyn AnyCollectableVec]),
self.height_extra.vecs(),
self.dateindex.vecs(),
self.weekindex.vecs(),

414
crates/brk_computer/src/vecs/grouped/ratio_from_dateindex.rs
View File

@@ -69,6 +69,7 @@ impl ComputedRatioVecsFromDateIndex {
ComputedVecsFromDateIndex::forced_import(
path,
name,
true,
version + VERSION,
compressed,
options,
@@ -78,6 +79,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -85,6 +87,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_sma: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_sma"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -92,6 +95,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_1w_sma: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_1w_sma"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -99,6 +103,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_1m_sma: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_1m_sma"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -106,6 +111,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_1y_sma: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_1y_sma"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -113,6 +119,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_1y_sma_momentum_oscillator: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_1y_sma_momentum_oscillator"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -120,6 +127,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_standard_deviation: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_standard_deviation"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -127,6 +135,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p99_9: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p99_9"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -134,6 +143,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p99_5: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p99_5"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -141,6 +151,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p99: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p99"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -148,6 +159,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p1: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p1"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -155,6 +167,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p0_5: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p0_5"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -162,6 +175,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p0_1: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p0_1"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -169,6 +183,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p1sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p1sd"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -176,6 +191,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p2sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p2sd"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -183,6 +199,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p3sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p3sd"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -190,6 +207,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_m1sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_m1sd"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -197,6 +215,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_m2sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_m2sd"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -204,6 +223,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_m3sd: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_m3sd"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -211,6 +231,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p99_9_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p99_9_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -218,6 +239,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p99_5_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p99_5_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -225,6 +247,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p99_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p99_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -232,6 +255,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p1_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p1_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -239,6 +263,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p0_5_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p0_5_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -246,6 +271,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p0_1_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p0_1_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -253,6 +279,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p1sd_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p1sd_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -260,6 +287,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p2sd_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p2sd_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -267,6 +295,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_p3sd_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_p3sd_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -274,6 +303,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_m1sd_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_m1sd_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -281,6 +311,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_m2sd_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_m2sd_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -288,6 +319,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_m3sd_as_price: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_m3sd_as_price"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -295,6 +327,7 @@ impl ComputedRatioVecsFromDateIndex {
ratio_zscore: ComputedVecsFromDateIndex::forced_import(
path,
&format!("{name}_ratio_zscore"),
true,
version + VERSION + Version::ZERO,
compressed,
options,
@@ -320,10 +353,13 @@ impl ComputedRatioVecsFromDateIndex {
&Exit,
) -> Result<()>,
{
self.price
.as_mut()
.unwrap()
.compute(indexer, indexes, starting_indexes, exit, compute)?;
self.price.as_mut().unwrap().compute_all(
indexer,
indexes,
starting_indexes,
exit,
compute,
)?;
let date_to_price_opt: Option<&EagerVec<DateIndex, Dollars>> = None;
self.compute_rest(
@@ -349,9 +385,9 @@ impl ComputedRatioVecsFromDateIndex {
std::mem::transmute(&self.price.as_ref().unwrap().dateindex)
});
let closes = &fetched.timeindexes_to_close.dateindex;
let closes = fetched.timeindexes_to_close.dateindex.as_ref().unwrap();
self.ratio.compute(
self.ratio.compute_all(
indexer,
indexes,
starting_indexes,
@@ -376,7 +412,7 @@ impl ComputedRatioVecsFromDateIndex {
let min_ratio_date = DateIndex::try_from(Date::MIN_RATIO).unwrap();
self.ratio_sma.compute(
self.ratio_sma.compute_all(
indexer,
indexes,
starting_indexes,
@@ -384,7 +420,7 @@ impl ComputedRatioVecsFromDateIndex {
|v, _, _, starting_indexes, exit| {
v.compute_sma_(
starting_indexes.dateindex,
&self.ratio.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
usize::MAX,
exit,
Some(min_ratio_date),
@@ -392,7 +428,7 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_1w_sma.compute(
self.ratio_1w_sma.compute_all(
indexer,
indexes,
starting_indexes,
@@ -400,7 +436,7 @@ impl ComputedRatioVecsFromDateIndex {
|v, _, _, starting_indexes, exit| {
v.compute_sma_(
starting_indexes.dateindex,
&self.ratio.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
7,
exit,
Some(min_ratio_date),
@@ -408,7 +444,7 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_1m_sma.compute(
self.ratio_1m_sma.compute_all(
indexer,
indexes,
starting_indexes,
@@ -416,7 +452,7 @@ impl ComputedRatioVecsFromDateIndex {
|v, _, _, starting_indexes, exit| {
v.compute_sma_(
starting_indexes.dateindex,
&self.ratio.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
30,
exit,
Some(min_ratio_date),
@@ -424,7 +460,7 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_1y_sma.compute(
self.ratio_1y_sma.compute_all(
indexer,
indexes,
starting_indexes,
@@ -432,7 +468,7 @@ impl ComputedRatioVecsFromDateIndex {
|v, _, _, starting_indexes, exit| {
v.compute_sma_(
starting_indexes.dateindex,
&self.ratio.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
365,
exit,
Some(min_ratio_date),
@@ -440,16 +476,17 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_1y_sma_momentum_oscillator.compute(
self.ratio_1y_sma_momentum_oscillator.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|v, _, _, starting_indexes, exit| {
let mut ratio_1y_sma_iter = self.ratio_1y_sma.dateindex.into_iter();
let mut ratio_1y_sma_iter =
self.ratio_1y_sma.dateindex.as_ref().unwrap().into_iter();
v.compute_transform(
starting_indexes.dateindex,
&self.ratio.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
|(i, ratio, ..)| {
(
i,
@@ -461,7 +498,7 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
let ratio_version = self.ratio.dateindex.version();
let ratio_version = self.ratio.dateindex.as_ref().unwrap().version();
self.mut_ratio_vecs()
.iter_mut()
.try_for_each(|v| -> Result<()> {
@@ -478,7 +515,7 @@ impl ComputedRatioVecsFromDateIndex {
.unwrap()
.min(starting_indexes.dateindex);
let mut sorted = self.ratio.dateindex.collect_range(
let mut sorted = self.ratio.dateindex.as_ref().unwrap().collect_range(
Some(min_ratio_date.unwrap_to_usize()),
Some(starting_dateindex.unwrap_to_usize()),
)?;
@@ -489,68 +526,116 @@ impl ComputedRatioVecsFromDateIndex {
// unreachable!();
// }
let mut sma_iter = self.ratio_sma.dateindex.into_iter();
let mut sma_iter = self.ratio_sma.dateindex.as_ref().unwrap().into_iter();
let nan = StoredF32::from(f32::NAN);
self.ratio
.dateindex
.as_ref()
.unwrap()
.iter_at(starting_dateindex)
.try_for_each(|(index, ratio)| -> Result<()> {
if index < min_ratio_date {
self.ratio_p0_1.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_p0_5.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_p1.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_p99.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_p0_1
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p0_5
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p1
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p99
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p99_5
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p99_9
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_standard_deviation
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p1sd.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_p2sd.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_p3sd.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_m1sd.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_m2sd.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_m3sd.dateindex.forced_push_at(index, nan, exit)?;
self.ratio_p1sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p2sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_p3sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_m1sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_m2sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
self.ratio_m3sd
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, nan, exit)?;
} else {
let ratio = ratio.into_inner();
let pos = sorted.binary_search(&ratio).unwrap_or_else(|pos| pos);
sorted.insert(pos, ratio);
self.ratio_p0_1.dateindex.forced_push_at(
self.ratio_p0_1.dateindex.as_mut().unwrap().forced_push_at(
index,
get_percentile(&sorted, 0.001),
exit,
)?;
self.ratio_p0_5.dateindex.forced_push_at(
self.ratio_p0_5.dateindex.as_mut().unwrap().forced_push_at(
index,
get_percentile(&sorted, 0.005),
exit,
)?;
self.ratio_p1.dateindex.forced_push_at(
self.ratio_p1.dateindex.as_mut().unwrap().forced_push_at(
index,
get_percentile(&sorted, 0.01),
exit,
)?;
self.ratio_p99.dateindex.forced_push_at(
self.ratio_p99.dateindex.as_mut().unwrap().forced_push_at(
index,
get_percentile(&sorted, 0.99),
exit,
)?;
self.ratio_p99_5.dateindex.forced_push_at(
index,
get_percentile(&sorted, 0.995),
exit,
)?;
self.ratio_p99_9.dateindex.forced_push_at(
index,
get_percentile(&sorted, 0.999),
exit,
)?;
self.ratio_p99_5
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, get_percentile(&sorted, 0.995), exit)?;
self.ratio_p99_9
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, get_percentile(&sorted, 0.999), exit)?;
let avg = sma_iter.unwrap_get_inner(index);
@@ -562,26 +647,40 @@ impl ComputedRatioVecsFromDateIndex {
self.ratio_standard_deviation
.dateindex
.as_mut()
.unwrap()
.forced_push_at(index, sd, exit)?;
self.ratio_p1sd
.dateindex
.forced_push_at(index, avg + sd, exit)?;
self.ratio_p2sd
.dateindex
.forced_push_at(index, avg + 2 * sd, exit)?;
self.ratio_p3sd
.dateindex
.forced_push_at(index, avg + 3 * sd, exit)?;
self.ratio_m1sd
.dateindex
.forced_push_at(index, avg - sd, exit)?;
self.ratio_m2sd
.dateindex
.forced_push_at(index, avg - 2 * sd, exit)?;
self.ratio_m3sd
.dateindex
.forced_push_at(index, avg - 3 * sd, exit)?;
self.ratio_p1sd.dateindex.as_mut().unwrap().forced_push_at(
index,
avg + sd,
exit,
)?;
self.ratio_p2sd.dateindex.as_mut().unwrap().forced_push_at(
index,
avg + 2 * sd,
exit,
)?;
self.ratio_p3sd.dateindex.as_mut().unwrap().forced_push_at(
index,
avg + 3 * sd,
exit,
)?;
self.ratio_m1sd.dateindex.as_mut().unwrap().forced_push_at(
index,
avg - sd,
exit,
)?;
self.ratio_m2sd.dateindex.as_mut().unwrap().forced_push_at(
index,
avg - 2 * sd,
exit,
)?;
self.ratio_m3sd.dateindex.as_mut().unwrap().forced_push_at(
index,
avg - 3 * sd,
exit,
)?;
}
Ok(())
@@ -591,44 +690,96 @@ impl ComputedRatioVecsFromDateIndex {
.into_iter()
.try_for_each(|v| v.safe_flush(exit))?;
self.ratio_p99_9
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p99_5
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p99
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p1
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p0_5
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p0_1
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_standard_deviation
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p1sd
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p2sd
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p3sd
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_m1sd
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_m2sd
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_m3sd
.compute_rest(indexes, starting_indexes, exit)?;
self.ratio_p99_9.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p99_5.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p99.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p1.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p0_5.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p0_1.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_standard_deviation.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p1sd.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p2sd.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_p3sd.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_m1sd.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_m2sd.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
self.ratio_m3sd.compute_rest(
indexes,
starting_indexes,
exit,
None as Option<&EagerVec<_, _>>,
)?;
let date_to_price = date_to_price_opt.unwrap_or_else(|| unsafe {
std::mem::transmute(&self.price.as_ref().unwrap().dateindex)
});
self.ratio_p99_as_price.compute(
self.ratio_p99_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p99.dateindex.into_iter();
let mut iter = self.ratio_p99.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -641,13 +792,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p99_5_as_price.compute(
self.ratio_p99_5_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p99_5.dateindex.into_iter();
let mut iter = self.ratio_p99_5.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -660,13 +811,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p99_9_as_price.compute(
self.ratio_p99_9_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p99_9.dateindex.into_iter();
let mut iter = self.ratio_p99_9.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -679,13 +830,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p1_as_price.compute(
self.ratio_p1_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p1.dateindex.into_iter();
let mut iter = self.ratio_p1.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -698,13 +849,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p0_5_as_price.compute(
self.ratio_p0_5_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p0_5.dateindex.into_iter();
let mut iter = self.ratio_p0_5.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -717,13 +868,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p0_1_as_price.compute(
self.ratio_p0_1_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p0_1.dateindex.into_iter();
let mut iter = self.ratio_p0_1.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -736,13 +887,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p1sd_as_price.compute(
self.ratio_p1sd_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p1sd.dateindex.into_iter();
let mut iter = self.ratio_p1sd.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -755,13 +906,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p2sd_as_price.compute(
self.ratio_p2sd_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p2sd.dateindex.into_iter();
let mut iter = self.ratio_p2sd.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -774,13 +925,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_p3sd_as_price.compute(
self.ratio_p3sd_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_p3sd.dateindex.into_iter();
let mut iter = self.ratio_p3sd.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -793,13 +944,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_m1sd_as_price.compute(
self.ratio_m1sd_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_m1sd.dateindex.into_iter();
let mut iter = self.ratio_m1sd.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -812,13 +963,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_m2sd_as_price.compute(
self.ratio_m2sd_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_m2sd.dateindex.into_iter();
let mut iter = self.ratio_m2sd.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -831,13 +982,13 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_m3sd_as_price.compute(
self.ratio_m3sd_as_price.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut iter = self.ratio_m3sd.dateindex.into_iter();
let mut iter = self.ratio_m3sd.dateindex.as_ref().unwrap().into_iter();
vec.compute_transform(
starting_indexes.dateindex,
date_to_price,
@@ -850,17 +1001,22 @@ impl ComputedRatioVecsFromDateIndex {
},
)?;
self.ratio_zscore.compute(
self.ratio_zscore.compute_all(
indexer,
indexes,
starting_indexes,
exit,
|vec, _, _, starting_indexes, exit| {
let mut sma_iter = self.ratio_sma.dateindex.into_iter();
let mut sd_iter = self.ratio_standard_deviation.dateindex.into_iter();
let mut sma_iter = self.ratio_sma.dateindex.as_ref().unwrap().into_iter();
let mut sd_iter = self
.ratio_standard_deviation
.dateindex
.as_ref()
.unwrap()
.into_iter();
vec.compute_transform(
starting_indexes.dateindex,
&self.ratio.dateindex,
self.ratio.dateindex.as_ref().unwrap(),
|(i, ratio, ..)| {
let sma = sma_iter.unwrap_get_inner(i);
let sd = sd_iter.unwrap_get_inner(i);
@@ -876,19 +1032,19 @@ impl ComputedRatioVecsFromDateIndex {
fn mut_ratio_vecs(&mut self) -> Vec<&mut EagerVec<DateIndex, StoredF32>> {
vec![
&mut self.ratio_standard_deviation.dateindex,
&mut self.ratio_p99_9.dateindex,
&mut self.ratio_p99_5.dateindex,
&mut self.ratio_p99.dateindex,
&mut self.ratio_p1.dateindex,
&mut self.ratio_p0_5.dateindex,
&mut self.ratio_p0_1.dateindex,
&mut self.ratio_p1sd.dateindex,
&mut self.ratio_p2sd.dateindex,
&mut self.ratio_p3sd.dateindex,
&mut self.ratio_m1sd.dateindex,
&mut self.ratio_m2sd.dateindex,
&mut self.ratio_m3sd.dateindex,
self.ratio_standard_deviation.dateindex.as_mut().unwrap(),
self.ratio_p99_9.dateindex.as_mut().unwrap(),
self.ratio_p99_5.dateindex.as_mut().unwrap(),
self.ratio_p99.dateindex.as_mut().unwrap(),
self.ratio_p1.dateindex.as_mut().unwrap(),
self.ratio_p0_5.dateindex.as_mut().unwrap(),
self.ratio_p0_1.dateindex.as_mut().unwrap(),
self.ratio_p1sd.dateindex.as_mut().unwrap(),
self.ratio_p2sd.dateindex.as_mut().unwrap(),
self.ratio_p3sd.dateindex.as_mut().unwrap(),
self.ratio_m1sd.dateindex.as_mut().unwrap(),
self.ratio_m2sd.dateindex.as_mut().unwrap(),
self.ratio_m3sd.dateindex.as_mut().unwrap(),
]
}

4
crates/brk_computer/src/vecs/grouped/value_from_height.rs
View File

@@ -127,14 +127,14 @@ impl ComputedValueVecsFromHeight {
|v, _, _, starting_indexes, exit| {
v.compute_from_sats(
starting_indexes.height,
self.sats.height.as_ref().unwrap().as_ref(),
self.sats.height.as_ref().unwrap(),
exit,
)
},
)?;
}
let height_to_bitcoin = self.bitcoin.height.as_ref().unwrap().as_ref();
let height_to_bitcoin = self.bitcoin.height.as_ref().unwrap();
let height_to_close = &fetched.as_ref().unwrap().chainindexes_to_close.height;
if let Some(dollars) = self.dollars.as_mut() {