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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
View File

@@ -2312,7 +2312,7 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
if ( (price= nonzprices[i]) != 0 ) if ( (price= nonzprices[i]) != 0 )
{ {
den += (daywindow - i); den += (daywindow - i);
sum += ((daywindow - i) * (price + firstprice*9)) / 10; sum += ((daywindow - i) * (price + firstprice*2)) / 3;
n++; 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 ) if ( daywindow < 2 )
return(0); 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); memset(nonzprices,0,sizeof(*nonzprices)*daywindow);
for (i=1; i<daywindow; i++) 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; correlated[i] = firstprice;
else break; else break;
} }
sum = den = 0; for (iter=0; iter<smoothwidth; iter++)
for (i=0; i<daywindow; i++)
{ {
sum += ((daywindow - i) * (correlated[i] + firstprice*9))/10; sum = den = 0;
den += (daywindow - i); 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);
} }

11
src/rpc/blockchain.cpp
View File

@@ -1183,6 +1183,7 @@ uint32_t komodo_heightstamp(int32_t height);
UniValue prices(const UniValue& params, bool fHelp) UniValue prices(const UniValue& params, bool fHelp)
{ {
int32_t smoothwidth = 7;
if ( fHelp || params.size() != 1 ) if ( fHelp || params.size() != 1 )
throw runtime_error("prices maxsamples\n"); throw runtime_error("prices maxsamples\n");
LOCK(cs_main); LOCK(cs_main);
@@ -1197,7 +1198,7 @@ UniValue prices(const UniValue& params, bool fHelp)
UniValue a(UniValue::VARR); UniValue a(UniValue::VARR);
if ( daywindow < 7 ) if ( daywindow < 7 )
daywindow = 7; daywindow = 7;
width = maxsamples+2*daywindow; width = maxsamples+2*daywindow+smoothwidth;
numpricefeeds = komodo_heightpricebits(&seed,rawprices,nextheight-1); numpricefeeds = komodo_heightpricebits(&seed,rawprices,nextheight-1);
if ( numpricefeeds <= 0 ) if ( numpricefeeds <= 0 )
throw JSONRPCError(RPC_INVALID_PARAMETER, "illegal numpricefeeds"); throw JSONRPCError(RPC_INVALID_PARAMETER, "illegal numpricefeeds");
@@ -1205,7 +1206,7 @@ UniValue prices(const UniValue& params, bool fHelp)
correlated = (int64_t *)calloc(sizeof(*correlated),width); correlated = (int64_t *)calloc(sizeof(*correlated),width);
correlated2 = (int64_t *)calloc(sizeof(*correlated2),width); correlated2 = (int64_t *)calloc(sizeof(*correlated2),width);
prices2 = (uint32_t *)calloc(sizeof(*prices2),width); prices2 = (uint32_t *)calloc(sizeof(*prices2),width);
for (ht=nextheight-1,i=0; i<width&&ht>2*daywindow+2; i++,ht--) for (ht=nextheight-1,i=0; i<width&&ht>2*daywindow+2+smoothwidth; i++,ht--)
{ {
if ( ht < 0 || ht > chainActive.Height() ) if ( ht < 0 || ht > chainActive.Height() )
throw JSONRPCError(RPC_INVALID_PARAMETER, "Block height out of range"); throw JSONRPCError(RPC_INVALID_PARAMETER, "Block height out of range");
@@ -1238,17 +1239,17 @@ UniValue prices(const UniValue& params, bool fHelp)
if ( (str= komodo_pricename(name,j)) != 0 ) if ( (str= komodo_pricename(name,j)) != 0 )
{ {
item.push_back(Pair("name",str)); item.push_back(Pair("name",str));
for (i=0; i<maxsamples+daywindow; i++) for (i=0; i<maxsamples+daywindow+smoothwidth; i++)
{ {
offset = j*width + i; offset = j*width + i;
rngval = (rngval*11109 + 13849); rngval = (rngval*11109 + 13849);
if ( (correlated[i]= komodo_pricecorrelated(rngval,j,&prices[offset],daywindow,prices2)) < 0 ) if ( (correlated[i]= komodo_pricecorrelated(rngval,j,&prices[offset],daywindow+smoothwidth,prices2)) < 0 )
throw JSONRPCError(RPC_INVALID_PARAMETER, "null correlated price"); throw JSONRPCError(RPC_INVALID_PARAMETER, "null correlated price");
} }
for (i=0; i<maxsamples; i++) for (i=0; i<maxsamples; i++)
{ {
offset = j*width + i; offset = j*width + i;
smoothed = komodo_pricesmoothed(&correlated[i],daywindow,correlated2); smoothed = komodo_pricesmoothed(&correlated[i],daywindow,correlated2,smoothwidth);
UniValue parr(UniValue::VARR); UniValue parr(UniValue::VARR);
parr.push_back(ValueFromAmount((int64_t)prices[offset] * (j<36?10000:1))); parr.push_back(ValueFromAmount((int64_t)prices[offset] * (j<36?10000:1)));
parr.push_back(ValueFromAmount(correlated[i])); parr.push_back(ValueFromAmount(correlated[i]));