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Smoother

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jl777
2019-04-02 04:54:34 -11:00
parent cc1f225eca
commit 306314dcee
1 changed files with 29 additions and 9 deletions
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38
src/komodo_gateway.h
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@@ -2239,8 +2239,6 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
if ( ind < 36 ) if ( ind < 36 )
mult = 10000; mult = 10000;
else mult = 1; else mult = 1;
//if ( memcmp(rawprices,rawprices2,daywindow*sizeof(*rawprices)) != 0 )
// fprintf(stderr,"ind.%d rawprices2 != rawprices\n",ind);
for (iter=0; iter<daywindow; iter++) for (iter=0; iter<daywindow; iter++)
{ {
correlation = 0; correlation = 0;
@@ -2285,7 +2283,7 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
} }
} }
} }
fprintf(stderr,"ind.%d iter.%d j.%d i.%d n.%d correlation.%d ref %llu -> %llu\n",ind,iter,j,i,n,correlation,(long long)refprice,(long long)sum/correlation); //fprintf(stderr,"ind.%d iter.%d j.%d i.%d n.%d correlation.%d ref %llu -> %llu\n",ind,iter,j,i,n,correlation,(long long)refprice,(long long)sum/correlation);
if ( n != correlation ) if ( n != correlation )
return(-1); return(-1);
sum = den = n = 0; sum = den = n = 0;
@@ -2303,7 +2301,7 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
fprintf(stderr,"seed.%llu n.%d vs correlation.%d sum %llu, den %llu\n",(long long)seed,n,correlation,(long long)sum,(long long)den); fprintf(stderr,"seed.%llu n.%d vs correlation.%d sum %llu, den %llu\n",(long long)seed,n,correlation,(long long)sum,(long long)den);
return(-1); return(-1);
} }
fprintf(stderr,"weighted -> %.8f\n",((double)(sum*mult) / den) / COIN); //fprintf(stderr,"weighted -> %.8f\n",((double)(sum*mult) / den) / COIN);
return((sum * mult) / den); return((sum * mult) / den);
} }
} }
@@ -2318,10 +2316,32 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
int64_t komodo_pricesmoothed(int64_t *correlated,int32_t numprices) int64_t komodo_pricesmoothed(int64_t *correlated,int32_t numprices)
{ {
int32_t i; int32_t i; int64_t sum,den,smoothed=0,firstprice = correlated[0];
for (i=0; i<numprices; i++) if ( numprices < 2 )
if ( correlated[i] != 0 ) return(0);
return(correlated[i]); for (i=1; i<numprices; i++)
return(0); {
if ( correlated[i] == 0 )
correlated[i] = correlated[i-1];
if ( firstprice == 0 && correlated[i] != 0 )
firstprice = correlated[i];
}
if ( firstprice != 0 )
{
for (i=0; i<numprices; i++)
{
if ( correlated[i] == 0 )
correlated[i] = firstprice;
else break;
}
sum = den = 0;
for (i=0; i<numprices; i++)
{
sum += (numprices - i) * correlated[i];
den += (numprices - i);
}
smoothed = (sum / den);
}
return(smoothed);
} }