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Weighted correlation

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jl777
2019-04-02 03:45:08 -11:00
parent 8209b487d8
commit c808e4c196
1 changed files with 35 additions and 5 deletions
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40
src/komodo_gateway.h
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@@ -2242,12 +2242,12 @@ int64_t komodo_pricesmoothed(int64_t *correlated,int32_t numprices)
int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int32_t daywindow)
{
int32_t i,j,iter,correlation,maxcorrelation=0; int64_t price,sum; uint32_t refprice,lowprice,highprice;
int32_t i,j,n,iter,correlation,maxcorrelation=0; int64_t price,sum,den; uint32_t refprice,lowprice,highprice;
if ( daywindow < 2 )
return(-1);
for (iter=0; iter<daywindow; iter++)
{
sum = correlation = 0;
correlation = 0;
i = (j + seed) % daywindow;
refprice = rawprices[i] * (ind < 36 ? 10000 : 1);
highprice = ((int64_t)refprice * (COIN + PRICES_MAXCHANGE)) / COIN;
@@ -2264,12 +2264,42 @@ int64_t komodo_pricecorrelated(uint64_t seed,int32_t ind,uint32_t *rawprices,int
return(-1);
if ( price >= lowprice && price <= highprice )
{
sum += price;
correlation++;
if ( correlation > (daywindow>>1) )
{
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);
return(sum / correlation);
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;
else
{
price = rawprices[i];
if ( price < lowprice || price > highprice )
rawprices[i] = 0;
else n++;
}
}
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 )
return(-1);
sum = den = n = 0;
for (i=0; i<daywindow; i++)
{
if ( (price= rawprices[i]) != 0 )
{
den += (daywindow - i);
sum += (daywindow - i) * price;
n++;
}
}
if ( n != correlation || sum == 0 || den == 0 )
return(-1);
fprintf(stderr,"weighted -> %.8f\n",((double)sum / den) / COIN);
return(sum / den);
}
}
}