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SuperNET/iguana/exchanges/DEXstats.h

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/******************************************************************************
* Copyright © 2014-2018 The SuperNET Developers. *
* *
* See the AUTHORS, DEVELOPER-AGREEMENT and LICENSE files at *
* the top-level directory of this distribution for the individual copyright *
* holder information and the developer policies on copyright and licensing. *
* *
* Unless otherwise agreed in a custom licensing agreement, no part of the *
* SuperNET software, including this file may be copied, modified, propagated *
* or distributed except according to the terms contained in the LICENSE file *
* *
* Removal or modification of this copyright notice is prohibited. *
* *
******************************************************************************/
//
// DEXstats.h
// marketmaker
//
#ifndef DEXstats_h
#define DEXstats_h
#define LEFTMARGIN 40
#define MAX_SPLINES 1024
#define MAX_LOOKAHEAD 7
struct stats_spline { char name[64]; int32_t splineid,lasti,basenum,num,firstx,dispincr,spline32[MAX_SPLINES][4]; uint32_t utc32[MAX_SPLINES]; int64_t spline64[MAX_SPLINES][4]; double dSplines[MAX_SPLINES][4],pricevals[MAX_SPLINES+MAX_LOOKAHEAD],lastutc,lastval,aveslopeabs; };
#define _extrapolate_Spline(Splines,gap) ((double)(Splines)[0] + ((gap) * ((double)(Splines)[1] + ((gap) * ((double)(Splines)[2] + ((gap) * (double)(Splines)[3]))))))
#define _extrapolate_Slope(Splines,gap) ((double)(Splines)[1] + ((gap) * ((double)(Splines)[2] + ((gap) * (double)(Splines)[3]))))
#define dto64(x) ((int64_t)((x) * (double)SATOSHIDEN * SATOSHIDEN))
#define dto32(x) ((int32_t)((x) * (double)SATOSHIDEN))
#define i64tod(x) ((double)(x) / ((double)SATOSHIDEN * SATOSHIDEN))
#define i32tod(x) ((double)(x) / (double)SATOSHIDEN)
#define _extrapolate_spline64(spline64,gap) ((double)i64tod((spline64)[0]) + ((gap) * ((double)i64tod(.001*.001*(spline64)[1]) + ((gap) * ((double)i64tod(.001*.001*.001*.001*(spline64)[2]) + ((gap) * (double)i64tod(.001*.001*.001*.001*.001*.001*(spline64)[3])))))))
#define _extrapolate_spline32(spline32,gap) ((double)i32tod((spline32)[0]) + ((gap) * ((double)i32tod(.001*.001*(spline32)[1]) + ((gap) * ((double)i32tod(.001*.001*.001*.001*(spline32)[2]) + ((gap) * (double)i32tod(.001*.001*.001*.001*.001*.001*(spline32)[3])))))))
uint32_t forex_colors[16];
double Display_scale = 0.25;
struct DEXstats_disp { double pricesum,volumesum; };
struct DEXstats_pricepoint
{
double price,volume;
uint32_t height;
uint16_t seconds;
int8_t hour,dir;
};
struct DEXstats_pairinfo
{
char dest[128];
int32_t numprices;
struct DEXstats_pricepoint *prices;
};
struct DEXstats_datenuminfo
{
int32_t numpairs,datenum;
struct DEXstats_pairinfo *pairs;
};
struct DEXstats_priceinfo
{
char symbol[128];
int32_t firstdatenum,numdates;
struct DEXstats_datenuminfo *dates;
} Prices[1024];
int32_t Num_priceinfos;
void stats_pricepoint(int32_t dir,struct DEXstats_pricepoint *ptr,uint8_t hour,uint16_t seconds,int32_t height,double volume,double price)
{
ptr->price = price;
ptr->volume = volume;
ptr->height = height;
ptr->hour = hour;
ptr->dir = dir;
ptr->seconds = seconds;
}
void stats_pairupdate(int32_t dir,struct DEXstats_datenuminfo *date,char *symbol,char *dest,int32_t datenum,int32_t hour,int32_t seconds,int32_t height,double volume,double price)
{
int32_t i; struct DEXstats_pairinfo *pair = 0;
if ( date->datenum != datenum || seconds < 0 || seconds >= 3600 || hour < 0 || hour >= 24 )
{
printf("date->datenum %d != %d? hour.%d seconds.%d\n",date->datenum,datenum,hour,seconds);
return;
}
//printf("%d numpairs.%d %p %p\n",date->datenum,date->numpairs,date,date->pairs);
for (i=0; i<date->numpairs; i++)
if ( strcmp(dest,date->pairs[i].dest) == 0 )
{
pair = &date->pairs[i];
break;
}
if ( date->pairs == 0 || i == date->numpairs )
{
date->pairs = realloc(date->pairs,sizeof(*date->pairs) * (date->numpairs + 1));
pair = &date->pairs[date->numpairs++];
memset(pair,0,sizeof(*pair));
strcpy(pair->dest,dest);
printf("%d new pair.%d (%s) -> dest.(%s)\n",date->datenum,date->numpairs,symbol,dest);
}
pair->prices = realloc(pair->prices,sizeof(*pair->prices) * (pair->numprices+1));
stats_pricepoint(dir,&pair->prices[pair->numprices++],hour,seconds,height,volume,price);
//printf("(%s/%s).%d numprices.%d h.%d s.%-4d %.8f %.6f\n",symbol,dest,date->datenum,pair->numprices,hour,seconds,price,volume);
}
void stats_datenumupdate(int32_t dir,struct DEXstats_priceinfo *pp,int32_t datenum,int32_t hour,int32_t seconds,int32_t height,double volume,char *dest,double price)
{
int32_t offset,i,n; struct DEXstats_datenuminfo *date;
if ( (offset= datenum - pp->firstdatenum) < 0 )
{
printf("illegal datenum.%d for %s when 1st.%d\n",datenum,pp->symbol,pp->firstdatenum);
return;
}
if ( offset == 0 || offset > pp->numdates )
{
pp->dates = realloc(pp->dates,sizeof(*pp->dates) * (offset+1));
n = (offset - pp->numdates);
printf("allocate %s.[%d to %d]\n",pp->symbol,pp->numdates,pp->numdates+n);
for (i=0; i<=n; i++)
{
date = &pp->dates[pp->numdates + i];
if ( date->datenum != pp->firstdatenum + pp->numdates + i )
{
memset(date,0,sizeof(*date));
date->datenum = pp->firstdatenum + pp->numdates + i;
}
}
pp->numdates = offset;
}
stats_pairupdate(dir,&pp->dates[offset],pp->symbol,dest,datenum,hour,seconds,height,volume,price);
}
struct DEXstats_priceinfo *stats_priceinfo(char *symbol,int32_t datenum)
{
int32_t i; struct DEXstats_priceinfo *pp = 0;
if ( Num_priceinfos >= sizeof(Prices)/sizeof(*Prices) )
return(0);
for (i=0; i<Num_priceinfos; i++)
if ( strcmp(Prices[i].symbol,symbol) == 0 )
{
pp = &Prices[i];
break;
}
if ( i == Num_priceinfos )
{
pp = &Prices[Num_priceinfos++];
strcpy(pp->symbol,symbol);
pp->firstdatenum = datenum;
}
return(pp);
}
void stats_LPpubkeyupdate(char *LPpubkey,uint32_t timestamp)
{
printf("LP.(%s) t.%u\n",LPpubkey,timestamp);
}
void stats_priceupdate(int32_t datenum,int32_t hour,int32_t seconds,uint32_t timestamp,int32_t height,char *key,char *LPpubkey,cJSON *tradejson)
{
int32_t dir = 0; uint64_t srcamount,destamount; char *source,*dest; double price; struct DEXstats_priceinfo *pp;
if ( LPpubkey != 0 )
stats_LPpubkeyupdate(LPpubkey,timestamp);
if ( tradejson != 0 )
{
source = jstr(jitem(tradejson,0),0);
srcamount = SATOSHIDEN * jdouble(jitem(tradejson,1),0);
dest = jstr(jitem(tradejson,2),0);
destamount = SATOSHIDEN * jdouble(jitem(tradejson,3),0);
if ( srcamount != 0 && destamount != 0 )
{
price = (double)destamount / srcamount;
if ( key != 0 )
{
dir = 1;
if ( (pp= stats_priceinfo(source,datenum)) != 0 )
stats_datenumupdate(-1,pp,datenum,hour,seconds,height,dstr(srcamount),dest,price);
if ( (pp= stats_priceinfo(dest,datenum)) != 0 )
stats_datenumupdate(1,pp,datenum,hour,seconds,height,dstr(destamount),source,1. / price);
}
else if ( (pp= stats_priceinfo(source,datenum)) != 0 )
stats_datenumupdate(0,pp,datenum,hour,seconds,height,dstr(srcamount),dest,price);
} else price = 0.;
if ( dir != 0 )
printf("dir.%-2d %d.%02d.%04d ht.%-4d %s (%s %12.8f) -> (%s %12.8f) %16.8f %16.8f\n",dir,datenum,hour,seconds,height,key!=0?key:"",source,dstr(srcamount),dest,dstr(destamount),price,1./price);
}
}
double _pairaved(double valA,double valB)
{
if ( valA != 0. && valB != 0. )
return((valA + valB) / 2.);
else if ( valA != 0. ) return(valA);
else return(valB);
}
double calc_loganswer(double pastlogprice,double futurelogprice)
{
if ( fabs(pastlogprice) < .0000001 || fabs(futurelogprice) < .0000001 )
return(0);
return(10000. * (exp(futurelogprice - pastlogprice)-1.));
}
double _pairdiff(register double valA,register double valB)
{
if ( valA != 0. && valB != 0. )
return((valA - valB));
else return(0.);
}
double balanced_ave(double buf[],int32_t i,int32_t width)
{
register int32_t nonz,j; register double sum,price;
nonz = 0;
sum = 0.0;
for (j=-width; j<=width; j++)
{
price = buf[i + j];
if ( price != 0.0 )
{
sum += price;
nonz++;
}
}
if ( nonz != 0 )
sum /= nonz;
return(sum);
}
void buf_trioave(double dest[],double src[],int32_t n)
{
register int32_t i,j,width = 3;
for (i=0; i<128; i++)
src[i] = 0;
//for (i=n-width-1; i>width; i--)
// dest[i] = balanced_ave(src,i,width);
//for (i=width; i>0; i--)
// dest[i] = balanced_ave(src,i,i);
for (i=1; i<width; i++)
dest[i] = balanced_ave(src,i,i);
for (i=width; i<1024-width; i++)
dest[i] = balanced_ave(src,i,width);
dest[0] = _pairaved(dest[0],dest[1] - _pairdiff(dest[2],dest[1]));
j = width-1;
for (i=1024-width; i<1023; i++,j--)
dest[i] = balanced_ave(src,i,j);
if ( dest[1021] != 0. && dest[1021] != 0. )
dest[1023] = ((2.0 * dest[1022]) - dest[1021]);
else dest[1023] = 0.;
}
void smooth1024(double dest[],double src[],int32_t smoothiters)
{
double smoothbufA[1024],smoothbufB[1024]; int32_t i;
buf_trioave(smoothbufA,src,1024);
for (i=0; i<smoothiters; i++)
{
buf_trioave(smoothbufB,smoothbufA,1024);
buf_trioave(smoothbufA,smoothbufB,1024);
}
buf_trioave(dest,smoothbufA,1024);
}
float _calc_pricey(register double price,register double weekave)
{
if ( price != 0. && weekave != 0. )
return(0.1 * calc_loganswer(weekave,price));
else return(0.f);
}
float pixelwt(register int32_t color)
{
return(((float)((color>>16)&0x0ff) + (float)((color>>8)&0x0ff) + (float)((color>>0)&0x0ff))/0x300);
}
int32_t pixel_ratios(uint32_t red,uint32_t green,uint32_t blue)
{
float max;
/*if ( red > green )
max = red;
else
max = green;
if ( blue > max )
max = blue;*/
max = (red + green + blue);
if ( max == 0. )
return(0);
if ( max > 0xff )
{
red = (uint32_t)(((float)red / max) * 0xff);
green = (uint32_t)(((float)green / max) * 0xff);
blue = (uint32_t)(((float)blue / max) * 0xff);
}
if ( red > 0xff )
red = 0xff;
if ( green > 0xff )
green = 0xff;
if ( blue > 0xff )
blue = 0xff;
return((red << 16) | (green << 8) | blue);
}
int32_t conv_yval_to_y(register float yval,register int32_t height)
{
register int32_t y;
height = (height>>1) - 2;
y = (int32_t)-yval;
if ( y > height )
y = height;
else if ( y < -height )
y = -height;
y += height;
if ( y < 0 )
y = 0;
height <<= 1;
if ( y >= height-1 )
y = height-1;
return(y);
}
uint32_t scale_color(uint32_t color,float strength)
{
int32_t red,green,blue;
if ( strength < 0. )
strength = -strength;
red = (color>>16) & 0xff;
green = (color>>8) & 0xff;
blue = color & 0xff;
red = (int32_t)((float)red * (strength/100.f));
green = (int32_t)((float)green * (strength/100.f));
blue = (int32_t)((float)blue * (strength/100.f));
if ( red > 0xff )
red = 0xff;
if ( green > 0xff )
green = 0xff;
if ( blue > 0xff )
blue = 0xff;
return((red<<16) | (green<<8) | blue);
}
uint32_t pixel_blend(uint32_t pixel,uint32_t color)//,int32_t groupsize)
{
int32_t red,green,blue,sum,n,n2,groupsize = 1;
float red2,green2,blue2,sum2;
if ( color == 0 )
return(pixel);
if ( pixel == 0 )
{
return((1<<24) | scale_color(color,100.f/(float)groupsize));
}
n = (pixel>>24) & 0xff;
if ( n == 0 )
n = 1;
pixel &= 0xffffff;
red = (pixel>>16) & 0xff;
green = (pixel>>8) & 0xff;
blue = pixel & 0xff;
sum = red + green + blue;
n2 = (color>>24) & 0xff;
if ( n2 == 0 )
n2 = 1;
red2 = ((float)((color>>16) & 0xff)) / groupsize;
green2 = ((float)((color>>8) & 0xff)) / groupsize;
blue2 = ((float)(color & 0xff)) / groupsize;
sum2 = (red2 + green2 + blue2);
//printf("gs %d (%d x %d,%d,%d: %d) + (%d x %.1f,%.1f,%.1f: %.1f) = ",groupsize,n,red,green,blue,sum,n2,red2,green2,blue2,sum2);
red = (uint32_t)(((((((float)red / (float) sum) * n) + (((float)red2 / (float) sum2) * n2)) / (n+n2)) * ((sum+sum2)/2)));
green = (uint32_t)(((((((float)green / (float) sum) * n) + (((float)green2 / (float) sum2) * n2)) / (n+n2)) * ((sum+sum2)/2)));
blue = (uint32_t)(((((((float)blue / (float) sum) * n) + (((float)blue2 / (float) sum2) * n2)) / (n+n2)) * ((sum+sum2)/2)));
n += n2;
if ( n > 0xff )
n = 0xff;
///printf("%x (%d,%d,%d) ",color,red,green,blue);
color = (n<<24) | pixel_ratios(red,green,blue);//pixel_overflow(&red,&green,&blue);
//printf("%x (%d,%d,%d)\n",color,(color>>16)&0xff,(color>>8)&0xff,color&0xff);
return(color);
}
void init_forex_colors(uint32_t *forex_colors)
{
int32_t i;
forex_colors[0] = 0x00ff00;
forex_colors[1] = 0x0033ff;
forex_colors[2] = 0xff0000;
forex_colors[3] = 0x00ffff;
forex_colors[4] = 0xffff00;
forex_colors[5] = 0xff00ff;
forex_colors[6] = 0xffffff;
forex_colors[7] = 0xff8800;
forex_colors[8] = 0xff88ff;
for (i=9; i<16; i++)
forex_colors[i] = pixel_blend(forex_colors[i-8],0xffffff);
}
int32_t is_primary_color(register uint32_t color)
{
static uint32_t forex_colors[16];
register int32_t i;
if ( forex_colors[0] == 0 )
init_forex_colors(forex_colors);
for (i=0; i<8; i++)
if ( color == forex_colors[i] )
return(1);
return(0);
}
void disp_yval(register int32_t color,register float yval,register uint32_t *bitmap,register int32_t x,register int32_t rowwidth,register int32_t height)
{
register int32_t y;
if ( forex_colors[0] == 0 )
init_forex_colors(forex_colors);
x += LEFTMARGIN;
if ( x < 0 || x >= rowwidth )
return;
//y = conv_yval_to_y(yval,height/Display_scale) * Display_scale;
y = conv_yval_to_y(yval * Display_scale,height);
if ( 1 && is_primary_color(color) != 0 )
{
bitmap[y*rowwidth + x] = color;
//printf("(%d, %d) <- %x, ",x,y,color);
return;
}
//if ( pixelwt(color) > pixelwt(bitmap[y*rowwidth + x]) )
bitmap[y*rowwidth + x] = pixel_blend(bitmap[y*rowwidth + x],color);
return;
//if ( is_primary_color(color) != 0 || (is_primary_color(bitmap[y*rowwidth+x]) == 0 && pixelwt(color) > pixelwt(bitmap[y*rowwidth + x])) )
// bitmap[y*rowwidth + x] = color;
}
void disp_yvalsum(register int32_t color,register float yval,register uint32_t *bitmap,register int32_t x,register int32_t rowwidth,register int32_t height)
{
int32_t y,red,green,blue,dispcolor;
x += LEFTMARGIN;
if ( x < 0 || x >= rowwidth )
return;
y = conv_yval_to_y(yval * Display_scale,height);
red = (color>>16) & 0xff;
green = (color>>8) & 0xff;
blue = color & 0xff;
dispcolor = bitmap[y*rowwidth + x];
red += (dispcolor>>16) & 0xff;
green += (dispcolor>>8) & 0xff;
blue += dispcolor & 0xff;
bitmap[y*rowwidth + x] = pixel_ratios(red,green,blue);
}
void disp_dot(register float radius,register int32_t color,register float yval,register uint32_t *bitmap,register int32_t x,register int32_t rowwidth,register int32_t height)
{
register float i,j,sq,val;
if ( radius > 1 )
{
sq = radius * radius;
for (i=-radius; i<=radius; i++)
{
for (j=-radius; j<=radius; j++)
{
val = ((j*j + i*i) / sq);
if ( val <= 1. )
{
val = 1. - val;
disp_yval(scale_color(color,(100 * val * val * val * val)),yval+j,bitmap,x+i,rowwidth,height);
}
}
}
}
else disp_yval(color,yval,bitmap,x,rowwidth,height);
}
void horizline(int32_t calclogflag,int32_t rowwidth,int32_t height,uint32_t *bitmap,double rawprice,double ave)
{
int32_t x;
double yval;
if ( calclogflag != 0 )
yval = _calc_pricey(log(rawprice),log(ave));
else yval = _calc_pricey(rawprice,ave);
for (x=0; x<rowwidth; x++)
disp_yval(0x888888,yval,bitmap,x,rowwidth,height);
}
void rescale_floats(float *line,int32_t width,double scale)
{
int32_t i;
for (i=0; i<width; i++)
line[i] *= scale;
}
void rescale_doubles(double *line,int32_t width,double scale)
{
int32_t i;
for (i=0; i<width; i++)
line[i] *= scale;
}
double _output_line(int32_t calclogflag,double ave,double *output,double *buf,int32_t n,int32_t color,uint32_t *bitmap,int32_t rowwidth,int32_t height)
{
int32_t x,nonz = 0;
double yval,val,aveabs = 0.;
if ( ave == 0. )
return(0.);
if ( calclogflag != 0 )
ave = log(ave);
for (x=0; x<n; x++)
{
if ( (val= buf[x]) != 0. )
{
//if ( calclogflag != 0 )
{
val = log(buf[x]);
if ( ave != 1. )
yval = _calc_pricey(val,ave);
else yval = val;
} //else yval = (val / ave) * height / 3;
//printf("(%f -> %f) ",val,yval);
if ( fabs(yval) > .0000000001 )
{
aveabs += fabs(yval);
nonz++;
if ( color != 0 )
disp_yval(color,yval,bitmap,x,rowwidth,height);
}
} else yval = 0.;
output[x] = yval;
}
if ( nonz != 0 )
aveabs /= nonz;
return(aveabs);
//
//printf("ave %f rowwidth.%d\n",ave,rowwidth);
}
double stats_splineval(struct stats_spline *spline,uint32_t timestamp,int32_t lookahead)
{
int32_t i,gap,ind = (spline->num - 1);
if ( timestamp >= spline->utc32[ind] )
{
gap = (timestamp - spline->utc32[ind]);
if ( gap < lookahead )
return(_extrapolate_spline64(spline->spline64[ind],gap));
else return(0.);
}
else if ( timestamp <= spline->utc32[0] )
{
gap = (spline->utc32[0] - timestamp);
if ( gap < lookahead )
return(_extrapolate_spline64(spline->spline64[0],gap));
else return(0.);
}
for (i=0; i<spline->num-1; i++)
{
ind = (i + spline->lasti) % (spline->num - 1);
if ( timestamp >= spline->utc32[ind] && timestamp < spline->utc32[ind+1] )
{
spline->lasti = ind;
return(_extrapolate_spline64(spline->spline64[ind],timestamp - spline->utc32[ind]));
}
}
return(0.);
}
double stats_calcspline(struct stats_spline *spline,double *outputs,double *slopes,int32_t dispwidth,uint32_t *utc32,double *splinevals,int32_t num)
{
static double errsums[3]; static int errcount;
double c[MAX_SPLINES],f[MAX_SPLINES],dd[MAX_SPLINES],dl[MAX_SPLINES],du[MAX_SPLINES],gaps[MAX_SPLINES];
int32_t n,i,lasti,x,numsplines,nonz; double vx,vy,vw,vz,gap,sum,xval,yval,abssum,lastval,lastxval,yval64,yval32,yval3; uint32_t gap32;
sum = lastxval = n = lasti = nonz = 0;
for (i=0; i<MAX_SPLINES&&i<num; i++)
{
if ( (f[n]= splinevals[i]) != 0. && utc32[i] != 0 )
{
//printf("i%d.(%u %f) ",i,utc32[i],splinevals[i]);
//printf("%f ",splinevals[i]);
if ( n > 0 )
{
if ( (gaps[n-1]= utc32[i] - lastxval) < 0 )
{
printf("illegal gap %f to t%d\n",lastxval,utc32[i]);
return(0);
}
}
spline->utc32[n] = lastxval = utc32[i];
n++;
}
}
if ( (numsplines= n) < 4 )
return(0);
for (i=0; i<n-3; i++)
dl[i] = du[i] = gaps[i+1];
for (i=0; i<n-2; i++)
{
dd[i] = 2.0 * (gaps[i] + gaps[i+1]);
c[i] = (3.0 / (double)gaps[i+1]) * (f[i+2] - f[i+1]) - (3.0 / (double)gaps[i]) * (f[i+1] - f[i]);
}
//for (i=0; i<n; i++)
// printf("%f ",f[i]);
//printf("F2[%d]\n",n);
dd[0] += (gaps[0] + (double)gaps[0]*gaps[0] / gaps[1]);
du[0] -= ((double)gaps[0]*gaps[0] / gaps[1]);
dd[n-3] += (gaps[n-2] + (double)gaps[n-2]*gaps[n-2] / gaps[n-3]);
dl[n-4] -= ((double)gaps[n-2]*gaps[n-2] / gaps[n-3]);
//tridiagonal(n-2, dl, dd, du, c);
for (i=0; i<n-1-2; i++)
{
du[i] /= dd[i];
dd[i+1] -= dl[i]*du[i];
}
c[0] /= dd[0];
for (i=1; i<n-2; i++)
c[i] = (c[i] - dl[i-1] * c[i-1]) / dd[i];
for (i=n-2-4; i>=0; i--)
c[i] -= c[i+1] * du[i];
//tridiagonal(n-2, dl, dd, du, c);
for (i=n-3; i>=0; i--)
c[i+1] = c[i];
c[0] = (1.0 + (double)gaps[0] / gaps[1]) * c[1] - ((double)gaps[0] / gaps[1] * c[2]);
c[n-1] = (1.0 + (double)gaps[n-2] / gaps[n-3] ) * c[n-2] - ((double)gaps[n-2] / gaps[n-3] * c[n-3]);
//printf("c[n-1] %f, n-2 %f, n-3 %f\n",c[n-1],c[n-2],c[n-3]);
abssum = nonz = lastval = 0;
outputs[spline->firstx] = f[0];
spline->num = numsplines;
for (i=0; i<n; i++)
{
vx = f[i];
vz = c[i];
if ( i < n-1 )
{
gap = gaps[i];
vy = ((f[i+1] - f[i]) / gap) - (gap * (c[i+1] + 2.*c[i]) / 3.);
vw = (c[i+1] - c[i]) / (3. * gap);
}
else
{
vy = 0;
vw = 0;
}
//printf("%3d: t%u [%14.11f %14.11f %14.11f %14.11f] gap %f | %d\n",i,spline->utc32[i],(vx),vy*1000*1000,vz*1000*1000*1000*1000,vw*1000*1000*1000*1000*1000*1000,gap,conv_unixtime(&tmp,spline->utc32[i]));
spline->dSplines[i][0] = vx, spline->dSplines[i][1] = vy, spline->dSplines[i][2] = vz, spline->dSplines[i][3] = vw;
spline->spline64[i][0] = dto64(vx), spline->spline64[i][1] = dto64(vy*1000*1000), spline->spline64[i][2] = dto64(vz*1000*1000*1000*1000), spline->spline64[i][3] = dto64(vw*1000*1000*1000*1000*1000*1000);
spline->spline32[i][0] = dto32(vx), spline->spline32[i][1] = dto32(vy*1000*1000), spline->spline32[i][2] = dto32(vz*1000*1000*1000*1000), spline->spline32[i][3] = dto32(vw*1000*1000*1000*1000*1000*1000);
gap32 = gap = spline->dispincr;
xval = spline->utc32[i] + gap;
lastval = vx;
while ( i < n-1 )
{
x = spline->firstx + ((xval - spline->utc32[0]) / spline->dispincr);
if ( x > dispwidth-1 ) x = dispwidth-1;
if ( x < 0 ) x = 0;
if ( (i < n-2 && gap > gaps[i] + spline->dispincr) )
break;
if ( i == n-2 && xval > spline->utc32[n-1] + MAX_LOOKAHEAD*spline->dispincr )
{
//printf("x.%d dispwidth.%d xval %f > utc[n-1] %f + %f\n",x,dispwidth,xval,utc[n-1],MAX_LOOKAHEAD*incr);
break;
}
if ( x >= 0 )
{
yval = _extrapolate_Spline(spline->dSplines[i],gap);
yval64 = _extrapolate_spline64(spline->spline64[i],gap32);
if ( (yval3 = stats_splineval(spline,gap32 + spline->utc32[i],MAX_LOOKAHEAD*spline->dispincr)) != 0 )
{
yval32 = _extrapolate_spline32(spline->spline32[i],gap32);
errsums[0] += fabs(yval - yval64), errsums[1] += fabs(yval - yval32), errsums[2] += fabs(yval - yval3), errcount++;
if ( fabs(yval - yval3) > SMALLVAL )
printf("(%.10f vs %.10f %.10f %.10f [%.16f %.16f %.16f]) ",yval,yval64,yval32,yval3, errsums[0]/errcount,errsums[1]/errcount,errsums[2]/errcount);
}
if ( yval > 5000. ) yval = 5000.;
else if ( yval < -5000. ) yval = -5000.;
if ( isnan(yval) == 0 )
{
outputs[x] = yval;
spline->lastval = outputs[x], spline->lastutc = xval;
if ( 1 && fabs(lastval) > SMALLVAL )
{
if ( lastval != 0 && outputs[x] != 0 )
{
if ( slopes != 0 )
slopes[x] = (outputs[x] - lastval), abssum += fabs(slopes[x]);
nonz++;
}
}
}
//else outputs[x] = 0.;
//printf("x.%-4d %d %f %f %f i%-4d: gap %9.6f %9.6f last %9.6f slope %9.6f | %9.1f [%9.1f %9.6f %9.6f %9.6f %9.6f]\n",x,firstx,xval,utc[0],incr,i,gap,yval,lastval,slopes[x],xval,utc[i+1],dSplines[i][0],dSplines[i][1]*1000*1000,dSplines[i][2]*1000*1000*1000*1000,dSplines[i][3]*1000*1000*1000*1000*1000*1000);
}
gap32 += spline->dispincr, gap += spline->dispincr, xval += spline->dispincr;
}
//double pred = (i>0) ? _extrapolate_Spline(dSplines[i-1],gaps[i-1]) : 0.;
//printf("%2d: w%8.1f [gap %f -> %9.6f | %9.6f %9.6f %9.6f %9.6f %9.6f]\n",i,weekinds[i],gap,pred,f[i],dSplines[i].x,1000000*dSplines[i].y,1000000*1000000*dSplines[i].z,1000000*1000000*1000*dSplines[i].w);
}
if ( nonz != 0 )
abssum /= nonz;
spline->aveslopeabs = abssum;
return(lastval);
}
int32_t stats_genspline(double output[2048],double slopes[2048],struct stats_spline *spline,int32_t splineid,char *name,uint32_t *utc32,double *splinevals,int32_t numsplines,double *refvals)
{
int32_t i; double origvals[MAX_SPLINES];
if ( numsplines > MAX_SPLINES )
{
printf("numsplines.%d > MAX_SPLINES.%d\n",numsplines,MAX_SPLINES);
return(-1);
}
memset(spline,0,sizeof(*spline)), memset(output,0,sizeof(*output)*2048), memset(slopes,0,sizeof(*slopes)*2048);
spline->dispincr = 3600, spline->basenum = splineid, strcpy(spline->name,name);
memcpy(origvals,splinevals,sizeof(*splinevals) * MAX_SPLINES);
spline->lastval = stats_calcspline(spline,output,slopes,2048,utc32,splinevals,numsplines);
if ( refvals != 0 )
{
for (i=0; i<spline->num; i++)
{
if ( i < spline->num )
{
if ( 0 && refvals[i] != 0 && output[i * 24] != refvals[i] )
printf("{%.8f != %.8f}.%d ",output[i * 24],refvals[i],i);
spline->pricevals[i] = output[i * 24];
}
}
}
//printf("spline.%s num.%d\n",name,spline->num);
return(spline->num);
}
void output_line(int32_t calclogflag,double ave,double *buf,int32_t n,int32_t color,uint32_t *bitmap,int32_t rowwidth,int32_t height)
{
double src[1024],dest[1024]; int32_t i;
memset(src,0,sizeof(src));
memset(dest,0,sizeof(dest));
if ( (1) )
{
for (i=0; i<1024; i++)
src[1023-i] = dest[1023-i] = buf[i];
smooth1024(dest,src,3);
for (i=0; i<1024; i++)
src[1023-i] = dest[i];
}
else
{
for (i=0; i<1024; i++)
src[i] = buf[i];
}
_output_line(calclogflag,ave,buf,src,1024,color,bitmap,rowwidth,height);
}
void stats_updatedisp(struct DEXstats_disp *disp,double price,double volume)
{
if ( price > SMALLVAL && volume > SMALLVAL )
{
disp->pricesum += (price * volume);
disp->volumesum += volume;
}
}
void stats_dispprices(struct DEXstats_disp *prices,int32_t leftdatenum,int32_t numdates,struct DEXstats_datenuminfo *date,char *dest,int32_t current_daysecond)
{
int32_t i,j,offset,datenum = date->datenum; struct DEXstats_pairinfo *pair; struct DEXstats_pricepoint *ptr; uint32_t timestamp,lefttimestamp,righttimestamp;
offset = datenum - leftdatenum;
lefttimestamp = OS_conv_datenum(leftdatenum,0,0,0);
righttimestamp = OS_conv_datenum(leftdatenum+numdates,0,0,0);
//printf("search dest.%s datenum.%d vs leftdatenum.%d numdates.%d offset.%d numpairs.%d\n",dest,datenum,leftdatenum,numdates,offset,date->numpairs);
for (i=0; i<date->numpairs; i++)
{
if ( strcmp(dest,date->pairs[i].dest) == 0 )
{
pair = &date->pairs[i];
//printf("found dest.(%s) numprices.%d\n",dest,pair->numprices);
for (j=0; j<pair->numprices; j++)
{
ptr = &pair->prices[j];
timestamp = OS_conv_datenum(date->datenum,ptr->hour,ptr->seconds/60,ptr->seconds%60);
timestamp += (24*3600 - current_daysecond);
offset = (timestamp - lefttimestamp) / (24*3600);
if ( offset >= 0 && offset < numdates )
{
//printf("found dest.(%s) numprices.%d offset.%d (%.8f %.6f)\n",dest,pair->numprices,offset,ptr->price,ptr->volume);
stats_updatedisp(&prices[offset],ptr->price,ptr->volume);
}
}
break;
}
}
}
#include "../../crypto777/jpeg/jinclude.h"
#include "../../crypto777/jpeg/jpeglib.h"
#include "../../crypto777/jpeg/jerror.h"
void gen_jpegfile(char *fname,int32_t quality,uint8_t *bitmap,int32_t width,int32_t height)
{
struct jpeg_compress_struct cinfo;
struct jpeg_error_mgr jerr;
FILE * outfile; /* target file */
JSAMPROW row_pointer[1]; /* pointer to JSAMPLE row[s] */
int row_stride; /* physical row width in image buffer */
cinfo.err = jpeg_std_error(&jerr);
jpeg_create_compress(&cinfo);
if ( (outfile= fopen(fname,"wb")) == NULL)
{
fprintf(stderr, "can't open %s\n", fname);
return;
}
jpeg_stdio_dest(&cinfo, outfile);
cinfo.image_width = width; /* image width and height, in pixels */
cinfo.image_height = height;
cinfo.input_components = 3; /* # of color components per pixel */
cinfo.in_color_space = JCS_RGB; /* colorspace of input image */
jpeg_set_defaults(&cinfo);
jpeg_set_quality(&cinfo, quality, TRUE /* limit to baseline-JPEG values */);
jpeg_start_compress(&cinfo, TRUE);
row_stride = width * 3; /* JSAMPLEs per row in image_buffer */
while (cinfo.next_scanline < cinfo.image_height)
{
row_pointer[0] = &bitmap[cinfo.next_scanline * row_stride];
(void) jpeg_write_scanlines(&cinfo, row_pointer, 1);
}
jpeg_finish_compress(&cinfo);
fclose(outfile);
jpeg_destroy_compress(&cinfo);
}
char *stats_prices(char *symbol,char *dest,struct DEXstats_disp *prices,int32_t leftdatenum,int32_t numdates)
{
int32_t i,j,n; struct DEXstats_priceinfo *pp; uint32_t *utc32,tmp,timestamp,lefttimestamp,righttimestamp; double *splinevals,total; char fname[1024]; cJSON *retjson,*array,*item;
timestamp = (uint32_t)time(NULL);
if ( Num_priceinfos >= sizeof(Prices)/sizeof(*Prices) )
return(0);
lefttimestamp = OS_conv_datenum(leftdatenum-1,0,0,0);
righttimestamp = OS_conv_datenum(leftdatenum+numdates,0,0,0);
for (i=0; i<Num_priceinfos; i++)
if ( strcmp(Prices[i].symbol,symbol) == 0 )
{
pp = &Prices[i];
for (j=0; j<=pp->numdates; j++)
{
timestamp = OS_conv_datenum(pp->firstdatenum+j,0,0,0);
if ( timestamp < lefttimestamp ) // can speed up by calculating offset 0
{
//printf("skip (%s) datenums %d %d %d\n",symbol,datenum,pp->firstdatenum,pp->firstdatenum+pp->numdates);
continue;
}
stats_dispprices(prices,leftdatenum,numdates,&pp->dates[j],dest,timestamp % (3600*24));
}
break;
}
tmp = OS_conv_datenum(leftdatenum,0,0,0);
utc32 = calloc(sizeof(*utc32),numdates);
splinevals = calloc(sizeof(*splinevals),numdates);
for (total=i=n=0; i<numdates; i++,tmp+=24*3600)
{
if ( prices[i].volumesum != 0. )
{
total += prices[i].volumesum;
splinevals[n] = (prices[i].pricesum / prices[i].volumesum);
utc32[n] = tmp;
//printf("offset.%d splineval %.8f t%u n.%d\n",i,splinevals[n],tmp,n);
n++;
}
}
retjson = cJSON_CreateObject();
jaddstr(retjson,"source",symbol);
jaddstr(retjson,"dest",dest);
jaddnum(retjson,"totalvolume",total);
jaddnum(retjson,"start",leftdatenum);
jaddnum(retjson,"numdates",numdates);
if ( n > 3 )
{
double output[2048],slopes[2048],sum = 0.; struct stats_spline spline; int32_t splineid = 0;
memset(&spline,0,sizeof(spline));
stats_genspline(output,slopes,&spline,splineid,"spline",utc32,splinevals,n,0);
array = cJSON_CreateArray();
for (i=0; i<n; i++)
{
item = cJSON_CreateArray();
jaddinum(item,utc32[i]);
jaddinum(item,splinevals[i]);
jaddi(array,item);
}
jadd(retjson,"splinevals",array);
array = cJSON_CreateArray();
for (i=0; i<2048; i++)
{
if ( output[i] == 0. )
break;
jaddinum(array,output[i]);
sum += output[i];
}
if ( i != 2048 )
i++;
sum /= i;
uint32_t val,height = 400,*bitmap = calloc(sizeof(*bitmap),height * numdates*24);
uint8_t red,green,blue,*tmpptr,*bytemap = calloc(sizeof(*bytemap),3 * height * numdates*24);
horizline(1,numdates*24,height,bitmap,sum,sum);
output_line(1,sum,output,i,0x00ff00,bitmap,numdates*24,height);
tmpptr = bytemap;
for (j=0; j<height*numdates*24; j++)
{
val = bitmap[j];
red = val & 0xff;
green = (val >> 8) & 0xff;
blue = (val >> 16) & 0xff;
*tmpptr++ = red;
*tmpptr++ = green;
*tmpptr++ = blue;
}
sprintf(fname,"%s/bitmaps/%s_%s.jpg",STATS_DESTDIR,symbol,dest), OS_portable_path(fname);
gen_jpegfile(fname,100,bytemap,numdates*24,height);
free(bitmap), free(bytemap);
jaddstr(retjson,"bitmap",fname);
jadd(retjson,"hourly",array);
jaddnum(retjson,"average",sum);
}
free(utc32);
free(splinevals);
return(jprint(retjson,1));
}
#ifndef FROM_MARKETMAKER
#ifndef FROM_PRIVATEBET
char *stats_JSON(void *ctx,int32_t fastflag,char *myipaddr,int32_t mypubsock,cJSON *argjson,char *remoteaddr,uint16_t port)
{
char *method,*agent,*retstr,*source,*dest; struct tai T; uint32_t endtimestamp; struct DEXstats_disp prices[365]; int32_t leftdatenum,seconds,numdates;
if ( (method= jstr(argjson,"method")) == 0 )
return(clonestr("{\"error\":\"need method in request\"}"));
if ( (agent= jstr(argjson,"agent")) == 0 )
agent = "stats";
if ( strcmp(method,"bitmap") == 0 )
{
if ( (endtimestamp= juint(argjson,"endtimestamp")) == 0 )
endtimestamp = (uint32_t)time(NULL);
if ( (source= jstr(argjson,"source")) == 0 )
source = "KMD";
if ( (dest= jstr(argjson,"dest")) == 0 )
dest = "USD";
if ( (numdates= jint(argjson,"numdates")) <= 0 || numdates > 1024/24 )
numdates = 1024/24;
leftdatenum = OS_conv_unixtime(&T,&seconds,endtimestamp - numdates*24*3600);
printf("(%s/%s) endtimestamp.%u: leftdatenum.%d\n",source,dest,endtimestamp,leftdatenum);
memset(prices,0,sizeof(prices));
if ( (retstr= stats_prices(source,dest,prices,leftdatenum,numdates+1)) != 0 )
return(retstr);
}
return(clonestr(jprint(argjson,0)));
}
#endif
#endif
#endif /* DEXstats_h */