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jl777
2019-04-02 11:24:20 -11:00
parent 587fb820fc
commit 9b72450a1f
1 changed files with 5 additions and 5 deletions
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10
src/komodo_gateway.h
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@@ -2411,7 +2411,7 @@ int64_t komodo_pricesmoothed(int64_t *correlated,int32_t daywindow,int64_t *nonz
{ {
//const int64_t coeffs[7] = { -1, 9, -45, 1, 45, -9, 1 }; // / 60 //const int64_t coeffs[7] = { -1, 9, -45, 1, 45, -9, 1 }; // / 60
const int64_t coeffs[7] = { -2, 0, 18, 32, 18, 0, -2 }; const int64_t coeffs[7] = { -2, 0, 18, 32, 18, 0, -2 };
int32_t i,iter; int64_t dest[1440*3],orig[1440*3],smoothedden,smoothedsum,sum,den,smoothed[7],firstprice = correlated[0]; int32_t i,iter; int64_t smoothedden,smoothedsum,sum,den,smoothed[7],firstprice = correlated[0];
if ( daywindow < 2 ) if ( daywindow < 2 )
return(0); return(0);
if ( smoothwidth != sizeof(smoothed)/sizeof(*smoothed) ) if ( smoothwidth != sizeof(smoothed)/sizeof(*smoothed) )
@@ -2438,19 +2438,19 @@ int64_t komodo_pricesmoothed(int64_t *correlated,int32_t daywindow,int64_t *nonz
correlated[i] = firstprice; correlated[i] = firstprice;
else break; else break;
} }
memcpy(orig,correlated,(daywindow+smoothwidth)*sizeof(*correlated)); //memcpy(orig,correlated,(daywindow+smoothwidth)*sizeof(*correlated));
for (iter=0; iter<smoothwidth; iter++) for (iter=0; iter<smoothwidth; iter++)
{ {
sum = den = 0; sum = den = 0;
smooth64(dest,correlated+iter,daywindow,1); //smooth64(dest,correlated+iter,daywindow,1);
smooth64(correlated+iter,dest,daywindow,1); //smooth64(correlated+iter,dest,daywindow,1);
for (i=0; i<daywindow; i++) for (i=0; i<daywindow; i++)
{ {
sum += ((daywindow - i) * (correlated[i+iter] + firstprice*4)) / 5; sum += ((daywindow - i) * (correlated[i+iter] + firstprice*4)) / 5;
den += (daywindow - i); den += (daywindow - i);
} }
smoothed[iter] = (sum / den); smoothed[iter] = (sum / den);
memcpy(correlated,orig,(daywindow+smoothwidth)*sizeof(*correlated)); //memcpy(correlated,orig,(daywindow+smoothwidth)*sizeof(*correlated));
} }
smoothedsum = 0; smoothedsum = 0;
smoothedden = 64; smoothedden = 64;