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SuperNET/iguana/peggy_price.c

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/******************************************************************************
* Copyright © 2014-2016 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. *
* *
******************************************************************************/
#include "peggy.h"
#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 PRICE_BLEND(oldval,newval,decay,oppodecay) ((oldval == 0.) ? newval : ((oldval * decay) + (oppodecay * newval)))
#define PRICE_BLEND64(oldval,newval,decay,oppodecay) ((oldval == 0) ? newval : ((oldval * decay) + (oppodecay * newval) + 0.499))
#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])))))))
static char *Yahoo_metals[] = { YAHOO_METALS };
uint64_t Currencymasks[NUM_CURRENCIES+1];
short Contract_base[NUM_COMBINED+1] = { 7, 7, 7, 7, 3, 1, 4, 5, 5, 0, 1, 3, 4, 0, 6, 1, 3, 4, 1, 1, 1, 1, 3, 3, 3, 0, 4, 4, 0,1,2,3,4,5,6,7, 8 };// Contract_base };
short Contract_rel[NUM_COMBINED+1] = { 0, 6, 5, 2, 7, 7, 7, 2, 6, 5, 5, 5, 5, 6, 2, 6, 6, 6, 0, 4, 2, 3, 0, 2, 4, 2, 2, 0, 0,1,2,3,4,5,6,7,8 };// Contract_rel
short Baserel_contractdir[NUM_CURRENCIES+1][NUM_CURRENCIES+1] =
{
{ 1, -1, 1, -1, -1, 1, 1, -1, -1 },
{ 1, 1, 1, 1, 1, 1, 1, 1, -1 },
{ -1, -1, 1, -1, -1, -1, -1, -1, 0 },
{ 1, -1, 1, 1, 1, 1, 1, 1, -1 },
{ 1, -1, 1, -1, 1, 1, 1, 1, -1 },
{ -1, -1, 1, -1, -1, 1, 1, -1, 0 },
{ -1, -1, 1, -1, -1, -1, 1, -1, -1 },
{ 1, -1, 1, -1, -1, 1, 1, 1, 0 },
{ -1, -1, 0, -1, -1, 0, -1, 0, 1 },
};
short Currency_contracts[NUM_CURRENCIES+1][NUM_CURRENCIES] =
{
{ 0, 9, 13, 18, 22, 25, 27, 28, },
{ 5, 10, 15, 18, 19, 20, 21, 29, },
{ 3, 7, 14, 20, 23, 25, 26, 30, },
{ 4, 11, 16, 21, 22, 23, 24, 31, },
{ 6, 12, 17, 19, 24, 26, 27, 32, },
{ 2, 7, 8, 9, 10, 11, 12, 33, },
{ 1, 8, 13, 14, 15, 16, 17, 34, },
{ 0, 1, 2, 3, 4, 5, 6, 35, },
{ 36, 37, -1, 38, 39, -1, 40, 41, },
};
short Currency_contractothers[NUM_CURRENCIES+1][NUM_CURRENCIES] = // buggy!
{
{ 7, 5, 6, 1, 3, 2, 4, 0, },
{ 7, 5, 6, 0, 4, 2, 3, 1, },
{ 7, 5, 6, 1, 3, 0, 4, 2, },
{ 7, 5, 6, 1, 0, 2, 4, 3, },
{ 7, 5, 6, 1, 3, 2, 0, 4, },
{ 7, 2, 6, 0, 1, 3, 4, 5, },
{ 7, 5, 0, 2, 1, 3, 4, 6, },
{ 0, 6, 5, 2, 1, 3, 4, 7, },
{ 0, 1,-1, 3, 4,-1, 5,-1, },
};
int32_t MINDENOMS[] = { 1000, 1000, 100000, 1000, 1000, 1000, 1000, 1000, // major currencies
10000, 100000, 10000, 1000, 100000, 10000, 1000, 10000, 1000, 10000, 10000, 10000, 10000, 100000, 1000, 1000000, 1000, 10000, 1000, 1000, 10000, 1000, 10000000, 10000, // end of currencies
1, 100, 1, 1, // metals, gold must be first
1, 10, 100000, 100, 100, 10000000, 10000, 1000, 1000, 1000, 100000, 100000, 1000000 // cryptos
};
int32_t PAX_mindenomination(int32_t base)
{
return(MINDENOMS[base]);
}
void norm_smooth_wts(int32_t j,double *smoothwts,int32_t n)
{
double wt; int32_t iter,i;
for (iter=0; iter<13; iter++)
{
wt = 0.;
for (i=0; i<n; i++)
wt += smoothwts[i];
//printf("wtsum.j%d %.40f ",j,wt);
for (i=0; i<n; i++)
smoothwts[i] /= wt;
}
//printf("\n");
}
void calc_smooth_code(int32_t smoothwidth,int32_t _maxprimes)
{
double _coeffs[5000],sum,coeffs[60][10000],smoothbuf[10000]; int32_t x,p,prime,numprimes; uint64_t val,isum = 0;
_maxprimes = MIN((int32_t)(sizeof(coeffs)/(sizeof(double)*10000))-1,_maxprimes);
smoothwidth = MIN((int32_t)(sizeof(_coeffs)/sizeof(*_coeffs)),smoothwidth);
x = 5000;
memset(smoothbuf,0,sizeof(smoothbuf));
coeffs[0][x-2] = coeffs[0][x] = coeffs[0][x+2] = 1./3.;
for (numprimes=_maxprimes; numprimes>=3; numprimes--)
{
for (p=1; p<numprimes; p++)
{
memcpy(coeffs[p],coeffs[p-1],sizeof(coeffs[p]));
prime = smallprimes[p];
for (x=0; x<10000; x++)
{
coeffs[p][x] += (coeffs[p-1][x - prime] / 3.);
coeffs[p][x] += (coeffs[p-1][x] / 3.);
coeffs[p][x] += (coeffs[p-1][x + prime] / 3.);
}
}
memcpy(smoothbuf,coeffs[numprimes-1],sizeof(smoothbuf));
memset(coeffs,0,sizeof(coeffs));
sum = 0.;
for (x=0; x<10000; x++)
{
if ( smoothbuf[x] != 0. )
{
sum += smoothbuf[x];
//printf("(%d %f) ",x-5000,smoothbuf[x]);
}
}
//printf("maxprimes.%d\n",maxprimes);
for (x=0; x<10000; x++)
coeffs[0][x] = (smoothbuf[x] / sum);
}
sum = 0.;
for (x=0; x<10000; x++)
sum += smoothbuf[x];
memset(coeffs,0,sizeof(coeffs));
if ( sum != 0. )
{
printf("double Smooth_coeffs[%d] = // numprimes.%d\n{\n",smoothwidth,_maxprimes);
for (x=0; x<10000; x++)
{
if ( smoothbuf[x] != 0. )
{
smoothbuf[x] = (1000000. * 1000000. * smoothbuf[x]) / sum;
//printf("(%d %f) ",x-5000,smoothbuf[x]);
}
}
_coeffs[0] = smoothbuf[5000];
for (x=1; x<=smoothwidth; x++)
{
if ( fabs(smoothbuf[5000 - x] - smoothbuf[5000 + x]) > SMALLVAL )
printf("x.%d error %.20f != %.20f [%.20f]\n",x,smoothbuf[5000 - x],smoothbuf[5000 + x],smoothbuf[5000 - x] - smoothbuf[5000 + x]);
_coeffs[x-1] = (smoothbuf[5000 - x] + smoothbuf[5000 + x]) / 2.;
}
sum = 0.;
for (x=0; x<smoothwidth; x++)
sum += _coeffs[x];
if ( sum != 0. )
{
for (x=0; x<smoothwidth; x++)
{
val = ((SATOSHIDEN * 1000. * _coeffs[x] + sum*.4825) / sum);
printf("%lld, ",(long long)val);
isum += val;
//printf("%.0f, ",SATOSHIDEN*1000*_coeffs[x]/sum);
if ( (x%9) == 8 )
printf("// x.%d\n",x);
}
printf("// isum %lld\n",(long long)isum);
}
}
printf("\n}; // %llu\n",(long long)isum);
//printf("_Constants size %d\n",(int)__constant_size);
}
uint32_t peggy_mils(int32_t i)
{
uint32_t minmils = 0;
if ( i == 0 )
return(1000000);
else if ( i <= 32 )
minmils = 10 * PAX_mindenomination(i-1);
else if ( i >= 64 )
return(10000);
else if ( peggy_bases[i] != 0 )
{
if ( is_decimalstr(peggy_bases[i]+strlen(peggy_bases[i])-2) != 0 || strcmp(peggy_bases[i],"BTCRUB") == 0 )
minmils = 1;
else if ( strncmp(peggy_bases[i],"XAU",3) == 0 || strcmp(peggy_bases[i],"BTCCNY") == 0 || strcmp(peggy_bases[i],"BTCUSD") == 0 || strncmp(peggy_bases[i],"XPD",3) == 0 || strncmp(peggy_bases[i],"XPT",3) == 0 )
minmils = 10;
else if ( strcmp(peggy_bases[i],"BUND") == 0 || strcmp(peggy_bases[i],"UKOIL") == 0 || strcmp(peggy_bases[i],"USOIL") == 0 )
minmils = 100;
else if ( strncmp(peggy_bases[i],"LTC",3) == 0 || strcmp(peggy_bases[i],"SuperNET") == 0 || strncmp(peggy_bases[i],"XAG",3) == 0 || strncmp(peggy_bases[i],"ETH",3) == 0 || strncmp(peggy_bases[i],"XCP",3) == 0 )
minmils = 1000;
else if ( strncmp(peggy_bases[i],"XMR",3) == 0 )
minmils = 10000;
else if ( strncmp(peggy_bases[i],"NXT",3) == 0 || strncmp(peggy_bases[i],"BTS",3) == 0 )
minmils = 1000000;
else if ( strncmp(peggy_bases[i],"DOGE",3) == 0 )
minmils = 100000000;
else minmils = 10000;
}
return(minmils);
}
int32_t peggy_prices(struct price_resolution prices[64],double btcusd,double btcdbtc,char *contracts[],int32_t num,double *cprices,double *basevals)
{
double btcdusd,price_in_btcd,dprice,usdcny,usdrub,btccny,btcrub,xauusd,usdprice=0.,usdval,btcprice=0.; int32_t contractnum,base,nonz = 0;
if ( btcusd > SMALLVAL && btcdbtc > SMALLVAL && (usdval= basevals[0]) > SMALLVAL )
{
xauusd = usdcny = usdrub = btccny = btcrub = 0.;
for (contractnum=0; contractnum<num; contractnum++)
if ( strcmp(contracts[contractnum],"XAUUSD") == 0 )
{
xauusd = cprices[contractnum];
break;
}
if ( basevals[8] > SMALLVAL )
{
usdcny = (basevals[0] * peggy_mils(8)) / (basevals[8] * peggy_mils(0));
btccny = 1000 * btcusd * usdcny;
}
if ( basevals[9] > SMALLVAL )
{
usdrub = (basevals[0] * peggy_mils(9)) / (basevals[9] * peggy_mils(0));
btcrub = 1000 * btcusd * usdrub;
}
btcdusd = (btcusd * btcdbtc);
printf("xauusd %f usdval %f %f %f usdcny %f usdrub %f btcusd %f btcdbtc %f btcdusd %f btccny %f btcrub %f\n",xauusd,usdval,basevals[8],basevals[9],usdcny,usdrub,btcusd,btcdbtc,btcdusd,btccny,btcrub);
prices[0].Pval = (PRICE_RESOLUTION * 100. * btcdbtc);
for (base=0,contractnum=1; base<32; base++,contractnum++)
{
if ( strcmp(contracts[contractnum],CURRENCIES[base]) == 0 )
{
if ( (dprice= basevals[base]) > SMALLVAL )
{
nonz++;
if ( base == 0 )
usdprice = price_in_btcd = (1. / btcdusd);
else price_in_btcd = (dprice / (btcdusd * usdval));
prices[contractnum].Pval = (PRICE_RESOLUTION * price_in_btcd);
}
} else printf("unexpected list entry %s vs %s at %d\n",contracts[contractnum],CURRENCIES[base],contractnum);
}
if ( strcmp(contracts[contractnum],"BTCUSD") != 0 )
printf("unexpected contract (%s) at %d\n",contracts[contractnum],contractnum);
btcprice = (1. / btcdbtc);
prices[contractnum++].Pval = (PRICE_RESOLUTION / btcdbtc) / 1000.;
printf("btcprice %f = 1/%f %llu\n",btcprice,1./btcdbtc,(long long)prices[contractnum-1].Pval);
for (; contractnum<64; contractnum++)
{
//dprice = 0;
if ( contractnum == 63 && strcmp(contracts[contractnum],"BTCUSD") == 0 )
dprice = btcusd;
else if ( contractnum == 62 && strcmp(contracts[contractnum],"BTCCNY") == 0 )
dprice = btccny;
else if ( contractnum == 61 && strcmp(contracts[contractnum],"BTCRUB") == 0 )
dprice = btcrub;
else if ( contractnum == 60 && strcmp(contracts[contractnum],"XAUUSD") == 0 )
dprice = xauusd;
else
{
dprice = cprices[contractnum];
if ( dprice > SMALLVAL && strlen(contracts[contractnum]) > 3 )
{
if ( strcmp(contracts[contractnum]+strlen(contracts[contractnum])-3,"USD") == 0 || strcmp(contracts[contractnum],"COPPER") == 0 || strcmp(contracts[contractnum],"NGAS") == 0 || strcmp(contracts[contractnum],"UKOIL") == 0 || strcmp(contracts[contractnum],"USOIL") == 0 )
dprice *= usdprice;
else if ( strcmp(contracts[contractnum],"SuperNET") == 0 )
{
printf("SuperNET %f -> %f\n",dprice,dprice*btcprice);
dprice *= btcprice;
}
else if ( strcmp(contracts[contractnum]+strlen(contracts[contractnum])-3,"BTC") == 0 )
dprice *= btcprice;
}
}
prices[contractnum].Pval = (uint64_t)((PRICE_RESOLUTION * dprice) * ((double)peggy_mils(contractnum) / 10000.));
//if ( Debuglevel > 2 )
{
struct price_resolution tmp;
tmp = peggy_scaleprice(prices[contractnum],peggy_mils(contractnum));
printf("%.8f btcprice %.6f %f -->>> %s %.6f -> %llu %.6f mils.%d\n",cprices[contractnum],btcprice,cprices[contractnum]*btcprice,contracts[contractnum],Pval(&tmp),(long long)prices[contractnum].Pval,Pval(&prices[contractnum]),peggy_mils(contractnum));
}
}
}
return(nonz);
}
void init_Currencymasks()
{
int32_t base,j,c; uint64_t basemask;
for (base=0; base<NUM_CURRENCIES; base++)
{
basemask = 0L;
for (j=0; j<7; j++)
{
if ( (c= Currency_contracts[base][j]) >= 0 )
{
basemask |= (1L << c);
//printf("(%s %lx) ",CONTRACTS[c],1L<<c);
}
}
Currencymasks[base] = basemask;
printf("0x%llx, ",(long long)basemask);
}
}
double calc_primary_currencies(double logmatrix[8][8],double *bids,double *asks)
{
uint64_t nonzmask; int32_t c,base,rel; double bid,ask;
memset(logmatrix,0,sizeof(double)*8*8);
nonzmask = 0;
for (c=0; c<28; c++)
{
bid = bids[c];
ask = asks[c];
if ( bid != 0 && ask != 0 )
{
base = Contract_base[c];
rel = Contract_rel[c];
nonzmask |= (1L << c);
logmatrix[base][rel] = log(bid);
logmatrix[rel][base] = -log(ask);
//printf("[%f %f] ",bid,ask);
}
}
//printf("%07lx\n",nonzmask);
if ( nonzmask != 0 )
{
bids[USDNUM] = (logmatrix[USD][EUR] + logmatrix[USD][JPY] + logmatrix[USD][GBP] + logmatrix[USD][AUD] + logmatrix[USD][CAD] + logmatrix[USD][CHF] + logmatrix[USD][NZD]) / 8.;
asks[USDNUM] = -(logmatrix[EUR][USD] + logmatrix[JPY][USD] + logmatrix[GBP][USD] + logmatrix[AUD][USD] + logmatrix[CAD][USD] + logmatrix[CHF][USD] + logmatrix[NZD][USD]) / 8.;
bids[EURNUM] = (logmatrix[EUR][USD] + logmatrix[EUR][JPY] + logmatrix[EUR][GBP] + logmatrix[EUR][AUD] + logmatrix[EUR][CAD] + logmatrix[EUR][CHF] + logmatrix[EUR][NZD]) / 8.;
asks[EURNUM] = -(logmatrix[USD][EUR] + logmatrix[JPY][EUR] + logmatrix[GBP][EUR] + logmatrix[AUD][EUR] + logmatrix[CAD][EUR] + logmatrix[CHF][EUR] + logmatrix[NZD][EUR]) / 8.;
bids[JPYNUM] = (logmatrix[JPY][USD] + logmatrix[JPY][EUR] + logmatrix[JPY][GBP] + logmatrix[JPY][AUD] + logmatrix[JPY][CAD] + logmatrix[JPY][CHF] + logmatrix[JPY][NZD]) / 8.;
asks[JPYNUM] = -(logmatrix[USD][JPY] + logmatrix[EUR][JPY] + logmatrix[GBP][JPY] + logmatrix[AUD][JPY] + logmatrix[CAD][JPY] + logmatrix[CHF][JPY] + logmatrix[NZD][JPY]) / 8.;
bids[GBPNUM] = (logmatrix[GBP][USD] + logmatrix[GBP][EUR] + logmatrix[GBP][JPY] + logmatrix[GBP][AUD] + logmatrix[GBP][CAD] + logmatrix[GBP][CHF] + logmatrix[GBP][NZD]) / 8.;
asks[GBPNUM] = -(logmatrix[USD][GBP] + logmatrix[EUR][GBP] + logmatrix[JPY][GBP] + logmatrix[AUD][GBP] + logmatrix[CAD][GBP] + logmatrix[CHF][GBP] + logmatrix[NZD][GBP]) / 8.;
bids[AUDNUM] = (logmatrix[AUD][USD] + logmatrix[AUD][EUR] + logmatrix[AUD][JPY] + logmatrix[AUD][GBP] + logmatrix[AUD][CAD] + logmatrix[AUD][CHF] + logmatrix[AUD][NZD]) / 8.;
asks[AUDNUM] = -(logmatrix[USD][AUD] + logmatrix[EUR][AUD] + logmatrix[JPY][AUD] + logmatrix[GBP][AUD] + logmatrix[CAD][AUD] + logmatrix[CHF][AUD] + logmatrix[NZD][AUD]) / 8.;
bids[CADNUM] = (logmatrix[CAD][USD] + logmatrix[CAD][EUR] + logmatrix[CAD][JPY] + logmatrix[CAD][GBP] + logmatrix[CAD][AUD] + logmatrix[CAD][CHF] + logmatrix[CAD][NZD]) / 8.;
asks[CADNUM] = -(logmatrix[USD][CAD] + logmatrix[EUR][CAD] + logmatrix[JPY][CAD] + logmatrix[GBP][CAD] + logmatrix[AUD][CAD] + logmatrix[CHF][CAD] + logmatrix[NZD][CAD]) / 8.;
bids[CHFNUM] = (logmatrix[CHF][USD] + logmatrix[CHF][EUR] + logmatrix[CHF][JPY] + logmatrix[CHF][GBP] + logmatrix[CHF][AUD] + logmatrix[CHF][CAD] + logmatrix[CHF][NZD]) / 8.;
asks[CHFNUM] = -(logmatrix[USD][CHF] + logmatrix[EUR][CHF] + logmatrix[JPY][CHF] + logmatrix[GBP][CHF] + logmatrix[AUD][CHF] + logmatrix[CAD][CHF] + logmatrix[NZD][CHF]) / 8.;
bids[NZDNUM] = (logmatrix[NZD][USD] + logmatrix[NZD][EUR] + logmatrix[NZD][JPY] + logmatrix[NZD][GBP] + logmatrix[NZD][AUD] + logmatrix[NZD][CAD] + logmatrix[NZD][CHF]) / 8.;
asks[NZDNUM] = -(logmatrix[USD][NZD] + logmatrix[EUR][NZD] + logmatrix[JPY][NZD] + logmatrix[GBP][NZD] + logmatrix[AUD][NZD] + logmatrix[CAD][NZD] + logmatrix[CHF][NZD]) / 8.;
if ( nonzmask != ((1<<28)-1) )
{
for (base=0; base<8; base++)
{
if ( (nonzmask & Currencymasks[base]) != Currencymasks[base] )
bids[base+28] = asks[base+28] = 0;
//else printf("%s %9.6f | ",CONTRACTS[base+28],_pairaved(bids[base+28],asks[base+28]));
}
//printf("keep.%07lx\n",nonzmask);
return(0);
}
if ( 0 && nonzmask != 0 )
{
for (base=0; base<8; base++)
printf("%9.6f | ",_pairaved(bids[base+28],asks[base+28]));
printf("%07llx\n",(long long)nonzmask);
}
}
return(0);
}
double PAX_splineval(struct PAX_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 PAX_calcspline(struct PAX_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.(%f %f) ",i,utc[i],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 = PAX_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 PAX_genspline(struct PAX_spline *spline,int32_t splineid,char *name,uint32_t *utc32,double *splinevals,int32_t maxsplines,double *refvals)
{
int32_t i; double output[2048],slopes[2048],origvals[MAX_SPLINES];
memset(spline,0,sizeof(*spline)), memset(output,0,sizeof(output)), memset(slopes,0,sizeof(slopes));
spline->dispincr = 3600, spline->basenum = splineid, strcpy(spline->name,name);
memcpy(origvals,splinevals,sizeof(*splinevals) * MAX_SPLINES);
spline->lastval = PAX_calcspline(spline,output,slopes,sizeof(output)/sizeof(*output),utc32,splinevals,maxsplines);
for (i=0; i<spline->num+3; i++)
{
if ( i < spline->num )
{
if ( refvals[i] != 0 && output[i * 24] != refvals[i] )
printf("{%.8f != %.8f}.%d ",output[i * 24],refvals[i],i);
}
else printf("{%.8f %.3f} ",output[i * 24],slopes[i * 24]/spline->aveslopeabs);
spline->pricevals[i] = output[i * 24];
}
printf("spline.%s num.%d\n",name,spline->num);
return(spline->num);
}
int32_t PAX_calcmatrix(double matrix[32][32])
{
int32_t basenum,relnum,nonz,vnum,iter,numbase,numerrs = 0; double sum,vsum,price,price2,basevals[32],errsum=0;
memset(basevals,0,sizeof(basevals));
for (iter=0; iter<2; iter++)
{
numbase = 32;
for (basenum=0; basenum<numbase; basenum++)
{
for (vsum=sum=vnum=nonz=relnum=0; relnum<numbase; relnum++)
{
if ( basenum != relnum )
{
if ( (price= matrix[basenum][relnum]) != 0. )
{
price /= (MINDENOMS[relnum] * .001);
price *= (MINDENOMS[basenum] * .001);
if ( iter == 0 )
sum += (price), nonz++;//, printf("%.8f ",price);
else sum += fabs((price) - (basevals[basenum] / basevals[relnum])), nonz++;
}
if ( (price2= matrix[relnum][basenum]) != 0. )
{
price2 *= (MINDENOMS[relnum] * .001);
price2 /= (MINDENOMS[basenum] * .001);
if ( iter == 0 )
vsum += (price2), vnum++;
else vsum += fabs(price2 - (basevals[relnum] / basevals[basenum])), vnum++;
}
//if ( iter == 0 && 1/price2 > price )
// printf("base.%d rel.%d price2 %f vs %f\n",basenum,relnum,1/price2,price);
}
}
if ( iter == 0 )
sum += 1., vsum += 1.;
if ( nonz != 0 )
sum /= nonz;
if ( vnum != 0 )
vsum /= vnum;
if ( iter == 0 )
basevals[basenum] = (sum + 1./vsum) / 2.;
else errsum += (sum + vsum)/2, numerrs++;//, printf("(%.8f %.8f) ",sum,vsum);
//printf("date.%d (%.8f/%d %.8f/%d).%02d -> %.8f\n",i,sum,nonz,vsum,vnum,basenum,basevals[basenum]);
}
if ( iter == 0 )
{
for (sum=relnum=0; relnum<numbase; relnum++)
sum += (basevals[relnum]);//, printf("%.8f ",(basevals[relnum]));
//printf("date.%d sums %.8f and vsums iter.%d\n",i,sum/7,iter);
sum /= (numbase - 1);
for (relnum=0; relnum<numbase; relnum++)
basevals[relnum] /= sum;//, printf("%.8f ",basevals[relnum]);
//printf("date.%d sums %.8f and vsums iter.%d\n",i,sum,iter);
}
else
{
for (basenum=0; basenum<numbase; basenum++)
matrix[basenum][basenum] = basevals[basenum];
}
}
if ( numerrs != 0 )
errsum /= numerrs;
return(errsum);
}
int32_t PAX_getmatrix(double *basevals,struct peggy_info *PEGS,double Hmatrix[32][32],double *RTprices,char *contracts[],int32_t num,uint32_t timestamp)
{
int32_t i,j,c; char name[16]; double btcusd,btcdbtc;
memcpy(Hmatrix,PEGS->data.ecbmatrix,sizeof(PEGS->data.ecbmatrix));
PAX_calcmatrix(Hmatrix);
/*for (i=0; i<32; i++)
{
for (j=0; j<32; j++)
printf("%.6f ",Hmatrix[i][j]);
printf("%s\n",CURRENCIES[i]);
}*/
btcusd = PEGS->data.btcusd;
btcdbtc = PEGS->data.btcdbtc;
if ( btcusd > SMALLVAL )
dxblend(&PEGS->btcusd,btcusd,.9);
if ( btcdbtc > SMALLVAL )
dxblend(&PEGS->btcdbtc,btcdbtc,.9);
// char *cryptostrs[8] = { "btc", "nxt", "unity", "eth", "ltc", "xmr", "bts", "xcp" };
// "BTCUSD", "NXTBTC", "SuperNET", "ETHBTC", "LTCBTC", "XMRBTC", "BTSBTC", "XCPBTC", // BTC priced
for (i=0; i<num; i++)
{
if ( contracts[i] == 0 )
continue;
if ( i == num-1 && strcmp(contracts[i],"BTCUSD") == 0 )
{
RTprices[i] = PEGS->btcusd;
continue;
}
else if ( i == num-2 && strcmp(contracts[i],"BTCCNY") == 0 )
{
continue;
}
else if ( i == num-3 && strcmp(contracts[i],"BTCRUB") == 0 )
{
continue;
}
else if ( i == num-4 && strcmp(contracts[i],"XAUUSD") == 0 )
{
continue;
}
if ( strcmp(contracts[i],"NXTBTC") == 0 )
RTprices[i] = PEGS->data.cryptos[1];
else if ( strcmp(contracts[i],"SuperNET") == 0 )
RTprices[i] = PEGS->data.cryptos[2];
else if ( strcmp(contracts[i],"ETHBTC") == 0 )
RTprices[i] = PEGS->data.cryptos[3];
else if ( strcmp(contracts[i],"LTCBTC") == 0 )
RTprices[i] = PEGS->data.cryptos[4];
else if ( strcmp(contracts[i],"XMRBTC") == 0 )
RTprices[i] = PEGS->data.cryptos[5];
else if ( strcmp(contracts[i],"BTSBTC") == 0 )
RTprices[i] = PEGS->data.cryptos[6];
else if ( strcmp(contracts[i],"XCPBTC") == 0 )
RTprices[i] = PEGS->data.cryptos[7];
else if ( i < 32 )
{
basevals[i] = Hmatrix[i][i];
//if ( Debuglevel > 2 )
printf("(%s %f).%d ",CURRENCIES[i],basevals[i],i);
}
else if ( (c= PAX_contractnum(contracts[i],0)) >= 0 )
{
RTprices[i] = PEGS->data.RTprices[c];
//if ( is_decimalstr(contracts[i]+strlen(contracts[i])-2) != 0 )
// cprices[i] *= .0001;
}
else
{
for (j=0; j<sizeof(Yahoo_metals)/sizeof(*Yahoo_metals); j++)
{
sprintf(name,"%sUSD",Yahoo_metals[j]);
if ( contracts[i] != 0 && strcmp(name,contracts[i]) == 0 )
{
RTprices[i] = PEGS->data.RTmetals[j];
break;
}
}
}
//if ( Debuglevel > 2 )
printf("(%f %f) i.%d num.%d %s %f\n",PEGS->btcusd,PEGS->btcdbtc,i,num,contracts[i],RTprices[i]);
//printf("RT.(%s %f) ",contracts[i],RTprices[i]);
}
return(PEGS->data.ecbdatenum);
}
char *peggy_emitprices(int32_t *nonzp,struct peggy_info *PEGS,uint32_t blocktimestamp,int32_t maxlockdays)
{
double matrix[32][32],RTmatrix[32][32],cprices[64],basevals[64]; struct price_resolution prices[256];
cJSON *json,*array; char *jsonstr,*opreturnstr = 0; int32_t i,nonz = 0;
memset(cprices,0,sizeof(cprices));
//printf("peggy_emitprices\n");
if ( PAX_getmatrix(basevals,PEGS,matrix,cprices+1,peggy_bases+1,sizeof(peggy_bases)/sizeof(*peggy_bases)-1,blocktimestamp) > 0 )
{
cprices[0] = PEGS->btcdbtc;
/*for (i=0; i<32; i++)
printf("%f ",basevals[i]);
printf("basevals\n");
for (i=0; i<64; i++)
printf("%f ",cprices[i]);
printf("cprices\n");*/
json = cJSON_CreateObject(), array = cJSON_CreateArray();
memset(prices,0,sizeof(prices));
memset(matrix,0,sizeof(matrix));
memset(RTmatrix,0,sizeof(RTmatrix));
peggy_prices(prices,PEGS->btcusd,PEGS->btcdbtc,peggy_bases,sizeof(peggy_bases)/sizeof(*peggy_bases),cprices,basevals);
for (i=0; i<sizeof(peggy_bases)/sizeof(*peggy_bases); i++)
{
jaddinum(array,prices[i].Pval);
if ( prices[i].Pval != 0 )
nonz++;
//if ( Debuglevel > 2 )
printf("{%s %.6f %u}.%d ",peggy_bases[i],Pval(&prices[i]),(uint32_t)prices[i].Pval,peggy_mils(i));
}
jaddnum(json,"txtype",PEGGY_TXPRICES);
//jaddnum(json,"btcusd",btc.Pval);
if ( maxlockdays != 0 )
{
jaddnum(json,"timestamp",blocktimestamp);
jaddnum(json,"maxlockdays",maxlockdays);
}
//jaddstr(json,"privkey","1259ec21d31a30898d7cd1609f80d9668b4778e3d97e941044b39f0c44d2e51b");
jadd(json,"details",array);
jsonstr = jprint(json,1);
//printf("%s\n",jsonstr);
opreturnstr = peggy_tx(jsonstr);
free(jsonstr);
} else printf("pricematrix returned null\n");
*nonzp = nonz;
//printf("nonz.%d\n",nonz);
return(opreturnstr);
}
double PAX_baseprice(struct peggy_info *PEGS,uint32_t timestamp,int32_t basenum)
{
double btc,btcd,btcdusd,usdval;
btc = 1000. * _pairaved(PAX_splineval(&PEGS->splines[MAX_CURRENCIES+0],timestamp,0),PAX_splineval(&PEGS->splines[MAX_CURRENCIES+1],timestamp,0));
btcd = .01 * PAX_splineval(&PEGS->splines[MAX_CURRENCIES+2],timestamp,0);
if ( btc != 0. && btcd != 0. )
{
btcdusd = (btc * btcd);
usdval = PAX_splineval(&PEGS->splines[USD],timestamp,0);
if ( basenum == USD )
return(1. / btcdusd);
else return(PAX_splineval(&PEGS->splines[basenum],timestamp,0) / (btcdusd * usdval));
}
return(0.);
}
double PAX_getprice(char *retbuf,char *base,char *rel,char *contract,struct peggy_info *PEGS)
{
int32_t i,c,basenum,relnum,n = 0; double yprice,daily,revdaily,price;
struct PAX_data *dp = &PEGS->data;
price = yprice = daily = revdaily = 0.;
PAX_ispair(base,rel,contract);
if ( base[0] != 0 && rel[0] != 0 )
{
basenum = PAX_basenum(base), relnum = PAX_basenum(rel);
if ( basenum >= 0 && relnum >= 0 && basenum < MAX_CURRENCIES && relnum < MAX_CURRENCIES )
daily = dp->dailyprices[basenum*MAX_CURRENCIES + relnum], revdaily = dp->dailyprices[relnum*MAX_CURRENCIES + basenum];
}
for (i=0; i<sizeof(Yahoo_metals)/sizeof(*Yahoo_metals); i++)
if ( strncmp(Yahoo_metals[i],contract,3) == 0 && strcmp(contract+3,"USD") == 0 )
{
yprice = dp->metals[i];
break;
}
sprintf(retbuf,"{\"result\":\"success\",\"contract\":\"%s\",\"base\":\"%s\",\"rel\":\"%s\"",contract,base,rel);
if ( (c= PAX_contractnum(contract,0)) >= 0 )
{
if ( dp->tbids[c] != 0. && dp->tasks[c] != 0. )
{
price += (dp->tbids[c] + dp->tasks[c]), n += 2;
sprintf(retbuf+strlen(retbuf),",\"truefx\":{\"timestamp\":\"%u\",\"bid\":%.8f,\"ask\":%.8f}",dp->ttimestamps[c],dp->tbids[c],dp->tasks[c]);
}
if ( dp->fbids[c] != 0. && dp->fasks[c] != 0. )
{
price += (dp->fbids[c] + dp->fasks[c]), n += 2;
sprintf(retbuf+strlen(retbuf),",\"fxcm\":{\"bid\":%.8f,\"ask\":%.8f}",dp->fbids[c],dp->fasks[c]);
}
if ( dp->ibids[c] != 0. && dp->iasks[c] != 0. )
{
price += (dp->ibids[c] + dp->iasks[c]), n += 2;
sprintf(retbuf+strlen(retbuf),",\"instaforex\":{\"timestamp\":%u,\"bid\":%.8f,\"ask\":%.8f}",dp->itimestamps[c],dp->ibids[c],dp->iasks[c]);
}
if ( yprice != 0. )
sprintf(retbuf+strlen(retbuf),",\"yahoo\":{\"price\":%.8f}",yprice);
if ( daily != 0. || revdaily != 0. )
sprintf(retbuf+strlen(retbuf),",\"ecb\":{\"date\":\"%s\",\"daily\":%.8f,\"reverse\":%.8f}",dp->edate,daily,revdaily);
}
if ( n > 0 )
price /= n;
sprintf(retbuf+strlen(retbuf),",\"aveprice\":%.8f,\"n\":%d}",price,n);
return(price);
}
#include "../includes/iguana_apidefs.h"
#include "../includes/iguana_apideclares.h"
void PAX_init(struct peggy_info *PEGS)
{
double commission = 0.;
init_Currencymasks();
tradebot_monitorall(0,0,0,0,"fxcm",commission);
tradebot_monitorall(0,0,0,0,"truefx",commission);
tradebot_monitorall(0,0,0,0,"instaforex",commission);
}
#include "../includes/iguana_apiundefs.h"