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Calc correlated and smoothed each block

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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
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@@ -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");