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Calc correlated and smoothed each block

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This commit is contained in:
jl777
2019-04-11 02:48:20 -11:00
parent 348c7a970c
commit 18f884c56f
2 changed files with 68 additions and 21 deletions
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66
src/komodo_gateway.h
View File

@@ -2516,9 +2516,11 @@ void smooth64(int64_t dest[],int64_t src[],int32_t width,int32_t smoothiters)
} else memcpy(dest,src,width*sizeof(*dest));
}
int64_t komodo_pricesmoothed(int64_t *correlated,int32_t cskip,int64_t *rawprices,int32_t numprices)
// http://www.holoborodko.com/pavel/numerical-methods/noise-robust-smoothing-filter/
//const int64_t coeffs[7] = { -2, 0, 18, 32, 18, 0, -2 };
int64_t komodo_pricesmoothed(int64_t *correlated,int32_t cskip)
{
//const int64_t coeffs[7] = { -2, 0, 18, 32, 18, 0, -2 };
int32_t i; int64_t sum=0,nonzprice,price;
if ( PRICES_DAYWINDOW < 2 )
return(0);
@@ -2533,12 +2535,9 @@ int64_t komodo_pricesmoothed(int64_t *correlated,int32_t cskip,int64_t *rawprice
{
if ( (price= correlated[i*cskip]) != 0 )
nonzprice = price;
//correlated2[i] = nonzprice / PRICES_DAYWINDOW; // reduce precision
sum += nonzprice;
}
price = sum / PRICES_DAYWINDOW;
// improve smoothing with correlated2 processing
// price = smooth(correlated2,PRICES_DAYWINDOW,price/daywindow) * PRICES_DAYWINDOW;
return(price);
}
@@ -2573,20 +2572,67 @@ void komodo_pricesinit()
void komodo_pricesupdate(int32_t height,CBlock *pblock)
{
static int numprices;
int32_t i; uint64_t seed; uint32_t rawprices[KOMODO_MAXPRICES];
static int numprices; static uint32_t *ptr32,*ptr64;
int32_t ind,offset,width; int64_t correlated,smoothed; uint64_t seed,rngval; uint32_t rawprices[KOMODO_MAXPRICES],buf[4];
width = (2*PRICES_DAYWINDOW + PRICES_SMOOTHWIDTH);
if ( numprices == 0 )
{
numprices = (int32_t)(komodo_cbopretsize(ASSETCHAINS_CBOPRET) / sizeof(uint32_t));
ptr32 = (uint32_t *)calloc(sizeof(uint32_t),numprices * width);
ptr64 = (int64_t *)calloc(sizeof(int64_t),PRICES_DAYWINDOW*3);
}
if ( _komodo_heightpricebits(&seed,rawprices,pblock) == numprices )
{
for (i=0; i<numprices; i++)
fprintf(stderr,"%u ",rawprices[i]);
fprintf(stderr,"numprices.%d\n",numprices);
//for (i=0; i<numprices; i++)
// fprintf(stderr,"%u ",rawprices[i]);
//fprintf(stderr,"numprices.%d\n",numprices);
if ( PRICES[0].fp != 0 )
{
fseek(PRICES[0].fp,height * numprices * sizeof(uint32_t),SEEK_SET);
if ( fwrite(rawprices,sizeof(uint32_t),numprices,PRICES[0].fp) != numprices )
fprintf(stderr,"error writing rawprices for ht.%d\n",height);
else fflush(PRICES[0].fp);
if ( height > width )
{
fseek(PRICES[0].fp,(height-width+1) * numprices * sizeof(uint32_t),SEEK_SET);
if ( fread(ptr32,sizeof(uint32_t),width*numprices,PRICES[0].fp) == width*numprices )
{
rngval = seed;
for (ind=1; ind<numprices; ind++)
{
offset = (width-1)*numprices + ind;
rngval = (rngval*11109 + 13849);
if ( (correlated= komodo_pricecorrelated(rngval,ind,&ptr32[offset],-numprices,0,PRICES_SMOOTHWIDTH)) > 0 )
{
fseek(PRICES[ind].fp,height * sizeof(int64_t) * 3,SEEK_SET);
buf[0] = rawprices[ind];
buf[1] = rawprices[0]; // timestamp
memcpy(&buf[2],&correlated,sizeof(correlated));
if ( fwrite(buf,1,sizeof(buf),PRICES[ind].fp) != sizeof(buf) )
fprintf(stderr,"error fwrite buf for ht.%d ind.%d\n",height,ind);
else
{
fseek(PRICES[ind].fp,(height-PRICES_DAYWINDOW+1) * 3 * sizeof(int64_t),SEEK_SET);
if ( fread(ptr64,sizeof(int64_t),PRICES_DAYWINDOW*3,PRICES[ind].fp) == PRICES_DAYWINDOW*3 )
{
if ( (smoothed= komodo_pricesmoothed(&ptr64[PRICES_DAYWINDOW*3-1],-3)) > 0 )
{
fseek(PRICES[ind].fp,(height * 3 + 2) * sizeof(int64_t),SEEK_SET);
if ( fwrite(&smoothed,1,sizeof(smoothed),PRICES[ind].fp) != sizeof(smoothed) )
fprintf(stderr,"error fwrite smoothed for ht.%d ind.%d\n",height,ind);
else
{
fprintf(stderr,"%.4f ",(double)smoothed/COIN);
fflush(PRICES[ind].fp);
}
} else fprintf(stderr,"error price_smoothed ht.%d ind.%d\n",height,ind);
} else fprintf(stderr,"error fread ptr64 for ht.%d ind.%d\n",height,ind);
}
} else fprintf(stderr,"error komodo_pricecorrelated for ht.%d ind.%d\n",height,ind);
}
fprintf(stderr,"height.%d\n",height);
} else fprintf(stderr,"error reading rawprices for ht.%d\n",height);
}
}
} else fprintf(stderr,"numprices mismatch\n");

23
src/rpc/blockchain.cpp
View File

@@ -1176,7 +1176,7 @@ UniValue paxprice(const UniValue& params, bool fHelp)
int32_t komodo_heightpricebits(uint64_t *seedp,uint32_t *heightbits,int32_t nHeight);
char *komodo_pricename(char *name,int32_t ind);
int64_t komodo_pricesmoothed(int64_t *correlated,int32_t cskip,int64_t *correlated2,int32_t numprices);
int64_t komodo_pricesmoothed(int64_t *correlated,int32_t cskip);
int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int32_t rawskip,uint32_t *nonzprices,int32_t smoothwidth);
int32_t komodo_nextheight();
uint32_t komodo_heightstamp(int32_t height);
@@ -1185,7 +1185,7 @@ int64_t komodo_pricemult(int32_t ind);
int32_t prices_extract(int64_t *pricedata,int32_t firstheight,int32_t numblocks,int32_t ind)
{
int32_t height,i,n,width,numpricefeeds = -1; uint64_t seed,ignore,rngval; int64_t *correlated2; uint32_t rawprices[1440*6],*ptr;
int32_t height,i,n,width,numpricefeeds = -1; uint64_t seed,ignore,rngval; uint32_t rawprices[1440*6],*ptr;
//daywindow = (3600*24/ASSETCHAINS_BLOCKTIME) + 1;
//pricedata = (uint32_t *)calloc(sizeof(*prices)*3,numblocks + daywindow*2 + PRICES_SMOOTHWIDTH);
width = numblocks+PRICES_DAYWINDOW*2+PRICES_SMOOTHWIDTH;
@@ -1205,20 +1205,21 @@ int32_t prices_extract(int64_t *pricedata,int32_t firstheight,int32_t numblocks,
ptr[1] = rawprices[0]; // timestamp
}
rngval = seed;
correlated2 = (int64_t *)calloc(sizeof(*correlated2),width);
//correlated2 = (int64_t *)calloc(sizeof(*correlated2),width);
for (i=0; i<numblocks+PRICES_DAYWINDOW+PRICES_SMOOTHWIDTH; i++)
{
rngval = (rngval*11109 + 13849);
ptr = (uint32_t *)&pricedata[i*3];
correlated2[i] = ptr[0];
//correlated2[i] = ptr[0];
if ( (pricedata[i*3+1]= komodo_pricecorrelated(rngval,ind,(uint32_t *)&pricedata[i*3],6,0,PRICES_SMOOTHWIDTH)) < 0 )
{
free(correlated2);
//free(correlated2);
return(-3);
}
}
for (i=0; i<numblocks; i++)
pricedata[i*3+2] = komodo_pricesmoothed(&pricedata[i*3+1],3,correlated2,numblocks+PRICES_DAYWINDOW+PRICES_SMOOTHWIDTH);
pricedata[i*3+2] = komodo_pricesmoothed(&pricedata[i*3+1],3);//,correlated2,numblocks+PRICES_DAYWINDOW+PRICES_SMOOTHWIDTH);
//free(correlated2);
return(0);
}
@@ -1227,7 +1228,7 @@ UniValue prices(const UniValue& params, bool fHelp)
if ( fHelp || params.size() != 1 )
throw runtime_error("prices maxsamples\n");
LOCK(cs_main);
UniValue ret(UniValue::VOBJ); uint64_t seed,rngval; int64_t smoothed,*correlated,*correlated2; char name[64],*str; uint32_t rawprices[1440*6],*prices; uint32_t i,width,j,numpricefeeds=-1,n,numsamples,nextheight,offset,ht;
UniValue ret(UniValue::VOBJ); uint64_t seed,rngval; int64_t smoothed,*correlated; char name[64],*str; uint32_t rawprices[1440*6],*prices; uint32_t i,width,j,numpricefeeds=-1,n,numsamples,nextheight,offset,ht;
if ( ASSETCHAINS_CBOPRET == 0 )
throw JSONRPCError(RPC_INVALID_PARAMETER, "only -ac_cbopret chains have prices");
@@ -1244,7 +1245,7 @@ UniValue prices(const UniValue& params, bool fHelp)
throw JSONRPCError(RPC_INVALID_PARAMETER, "illegal numpricefeeds");
prices = (uint32_t *)calloc(sizeof(*prices),width*numpricefeeds);
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);
i = 0;
for (ht=nextheight-1,i=0; i<width&&ht>2; i++,ht--)
@@ -1287,14 +1288,14 @@ UniValue prices(const UniValue& params, bool fHelp)
{
offset = j*width + i;
rngval = (rngval*11109 + 13849);
correlated2[i] = prices[offset];
//correlated2[i] = prices[offset];
if ( (correlated[i]= komodo_pricecorrelated(rngval,j,&prices[offset],1,0,PRICES_SMOOTHWIDTH)) < 0 )
throw JSONRPCError(RPC_INVALID_PARAMETER, "null correlated price");
}
for (i=0; i<maxsamples&&i<numsamples; i++)
{
offset = j*width + i;
smoothed = komodo_pricesmoothed(&correlated[i],1,correlated2,maxsamples+PRICES_DAYWINDOW+PRICES_SMOOTHWIDTH);
smoothed = komodo_pricesmoothed(&correlated[i],1)//,correlated2,maxsamples+PRICES_DAYWINDOW+PRICES_SMOOTHWIDTH);
UniValue parr(UniValue::VARR);
parr.push_back(ValueFromAmount((int64_t)prices[offset] * komodo_pricemult(j)));
parr.push_back(ValueFromAmount(correlated[i]));
@@ -1328,7 +1329,7 @@ UniValue prices(const UniValue& params, bool fHelp)
free(prices);
//free(prices2);
free(correlated);
free(correlated2);
//free(correlated2);
return ret;
}