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First version correlator

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jl777
2019-04-02 03:16:20 -11:00
parent b952e57e95
commit 4b7a2ca365
2 changed files with 35 additions and 11 deletions
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42
src/komodo_gateway.h
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@@ -2232,17 +2232,39 @@ int64_t komodo_pricesmoothed(int64_t *correlated,int32_t numprices)
return(correlated[0]);
}
int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int32_t numprices)
int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int32_t daywindow)
{
int32_t i; int64_t price,sum = 0;
for (i=0; i<numprices; i++)
int32_t i,j,iter,correlation; int64_t price,sum; uint32_t refprice,lowprice,highprice;
if ( daywindow < 2 )
return(-1);
for (iter=0; iter<daywindow; iter++)
{
if ( (price= rawprices[i]) == 0 )
return(0);
if ( ind < 36 )
price *= 10000;
sum += price;
sum = correlation = 0;
i = (j + seed) % daywindow;
refprice = rawprices[i] * (ind < 36 ? 10000 : 1);
highprice = ((int64_t)refprice * (COIN + PRICES_MAXCHANGE/2)) / COIN;
lowprice = ((int64_t)refprice * (COIN - PRICES_MAXCHANGE/2)) / COIN;
if ( highprice == refprice )
highprice++;
if ( lowprice == refprice )
lowprice--;
for (j=0; j<daywindow; j++,i++)
{
if ( i >= daywindow )
i = 0;
if ( (price= rawprices[i]) == 0 )
return(-1);
if ( price >= lowprice && price <= highprice )
{
sum += price;
correlation++;
if ( correlation > (daywindow>>1) )
{
fprintf(stderr,"iter.%d j.%d i.%d correlation.%d ref %llu -> %llu\n",iter,j,i,correlation,(long long)refprice,(long long)sum/correlation);
return(sum / correlation)
}
}
}
}
//fprintf(stderr," ave %.8f [%d]\n",((double)sum/numprices)/COIN,numprices);
return(sum / numprices);
return(0);
}