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Weight correlated price

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This commit is contained in:
jl777
2019-04-02 04:29:54 -11:00
parent 2b1dff7b0c
commit 47f2069490
2 changed files with 25 additions and 17 deletions
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33
src/komodo_gateway.h
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@@ -2231,7 +2231,7 @@ char *komodo_pricename(char *name,int32_t ind)
return(0);
}
int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int32_t daywindow)
int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int32_t daywindow,uint32_t *rawprices2)
{
int32_t i,j,n,iter,correlation,maxcorrelation=0; int64_t price,sum,den,mult,refprice,lowprice,highprice;
if ( daywindow < 2 )
@@ -2239,13 +2239,15 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
if ( ind < 36 )
mult = 10000;
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++)
{
correlation = 0;
i = (j + seed) % daywindow;
refprice = rawprices[i];
highprice = (refprice * (COIN + PRICES_MAXCHANGE*2)) / COIN;
lowprice = (refprice * (COIN - PRICES_MAXCHANGE*2)) / COIN;
highprice = (refprice * (COIN + PRICES_MAXCHANGE*3)) / COIN;
lowprice = (refprice * (COIN - PRICES_MAXCHANGE*3)) / COIN;
if ( highprice == refprice )
highprice++;
if ( lowprice == refprice )
@@ -2263,29 +2265,33 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
correlation++;
if ( correlation > (daywindow>>1) )
{
/*n = 0;
n = 0;
i = (j + seed) % daywindow;
for (j=0; j<daywindow; j++,i++)
{
if ( i >= daywindow )
i = 0;
if ( n >= (daywindow>>1) )
rawprices[i] = 0;
rawprices2[i] = 0;
else
{
price = rawprices[i];
if ( price < lowprice || price > highprice )
rawprices[i] = 0;
else n++;
rawprices2[i] = 0;
else
{
rawprices2[i] = price;
n++;
}
}
}*/
//fprintf(stderr,"ind.%d iter.%d j.%d i.%d correlation.%d ref %llu -> %llu\n",ind,iter,j,i,correlation,(long long)refprice,(long long)sum/correlation);
/*if ( n != correlation )
}
fprintf(stderr,"ind.%d iter.%d j.%d i.%d correlation.%d ref %llu -> %llu\n",ind,iter,j,i,correlation,(long long)refprice,(long long)sum/correlation);
if ( n != correlation )
return(-1);
sum = den = n = 0;
for (i=0; i<daywindow; i++)
{
if ( (price= rawprices[i]) != 0 )
if ( (price= rawprices2[i]) != 0 )
{
den += (daywindow - i);
sum += (daywindow - i) * price;
@@ -2294,9 +2300,8 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
}
if ( n != correlation || sum == 0 || den == 0 )
return(-1);
fprintf(stderr,"weighted -> %.8f\n",((double)sum / den) / COIN);
return(sum / den);*/
return(sum / correlation);
fprintf(stderr,"weighted -> %.8f\n",((double)(sum*mult) / den) / COIN);
return((sum * mult) / den);
}
}
}