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Smooth coifs

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jl777
2019-04-02 10:16:03 -11:00
parent 480349a221
commit 05bd8d8af6
2 changed files with 33 additions and 14 deletions
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36
src/komodo_gateway.h
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@@ -2312,7 +2312,7 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
if ( (price= nonzprices[i]) != 0 )
{
den += (daywindow - i);
sum += ((daywindow - i) * (price + firstprice*9)) / 10;
sum += ((daywindow - i) * (price + firstprice*2)) / 3;
n++;
}
}
@@ -2334,11 +2334,17 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
}
int64_t komodo_pricesmoothed(int64_t *correlated,int32_t daywindow,int64_t *nonzprices)
int64_t komodo_pricesmoothed(int64_t *correlated,int32_t daywindow,int64_t *nonzprices,int32_t smoothwidth)
{
int32_t i; int64_t sum,den,smoothed=0,firstprice = correlated[0];
const int64_t coeffs[7] = { 7, 13, 5, 4, 6, 7, 3 };
int32_t i,iter; int64_t smoothedden,smoothedsum,sum,den,smoothed[7],firstprice = correlated[0];
if ( daywindow < 2 )
return(0);
if ( sizeof(smoothed)/sizeof(*smoothed) )
{
fprintf(stderr,"smoothwidth %d != %d\n",smoothwidth,(int32_t)(sizeof(smoothed)/sizeof(*smoothed)));
return(0);
}
memset(nonzprices,0,sizeof(*nonzprices)*daywindow);
for (i=1; i<daywindow; i++)
{
@@ -2358,14 +2364,26 @@ int64_t komodo_pricesmoothed(int64_t *correlated,int32_t daywindow,int64_t *nonz
correlated[i] = firstprice;
else break;
}
sum = den = 0;
for (i=0; i<daywindow; i++)
for (iter=0; iter<smoothwidth; iter++)
{
sum += ((daywindow - i) * (correlated[i] + firstprice*9))/10;
den += (daywindow - i);
sum = den = 0;
for (i=0; i<daywindow; i++)
{
sum += ((daywindow - i) * (correlated[i+iter] + firstprice*9))/10;
den += (daywindow - i);
}
smoothed[iter] = (sum / den);
}
smoothed = (sum / den);
smoothedsum = smoothedden = 0;
for (i=0; i<7; i++)
{
fprintf(stderr,"%.4f ",(double)smoothed[i]/10000);
smoothedsum += coeffs[i] * smoothed[i];
smoothedden += coeffs[i];
}
fprintf(stderr,"-> %.4f\n",(double)(smoothedsum/smoothedden)/10000);
return(smoothedsum/smoothedden);
}
return(smoothed);
return(0);
}