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analyzer2.py
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194 lines (159 loc) · 6.21 KB
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'''
Created on Jun 6, 2018
@author: dpolyakov
'''
import statistics, math
class Analyzer2(object):
'''
Class for keeping track of various values from the data.
Intended to work by being fed one data point at a time and do calculations based on that
'''
def __init__(self, val):
#declare some class variables
self.data = []
self.data.append(val)
self.count = 0
self.prev = val
#so we are gonna have a couple averages to be calculated out below.
#we are gonna have moving averages over the last x ticks and a
#variable that tracks the first and second order derivative of
#the actual price
self.changelist=[]
self.first_order = 0
self.second_order = 0
self._5 = 0
self._5roc = 0
self._5roc2 = 0
self._10 = 0
self._10roc = 0
self._10roc2 = 0
self._30 = 0
self._30roc = 0
self._30roc2 = 0
self._60 = 0
self._60roc = 0
self._60roc2 = 0
self._300 = 0
self._300roc = 0
self._300roc2 = 0
self._RMSD_5 = 0
self._Var_5 = 0
self._chisq_5 = 0
def add(self, val):
#add a new ticker value to the analyzer
self.data.insert(0, val) #put the incoming value into the data List
self.prev = val #set incoming value as prev value
if(len(self.data) > 360): #list max length is 360. This translates to 6 hours of data since an entry is a minute
self.data.pop(len(self.data)-1)
self.count += 1 #keep track of entry
self.compute() #run compute function
self.delta() #run change function
if(len(self.changelist) > 1000):
self.changelist.pop(len(self.changelist)-1)
def compute(self): #computes various averages
self.priceAverages()
if len(self.data) >= 5:
self.com_5()
if len(self.data) >= 10:
self.com_10()
if len(self.data) >= 30:
self.com_30()
if len(self.data) >= 60:
self.com_60()
if len(self.data) >= 300:
self.com_300()
#change in value function
def delta(self):
if(self.first_order > 0):
self.changelist.insert(0, 1)
elif(self.first_order < 0):
self.changelist.insert(0, -1)
else:
self.changelist.insert(0, 0)
# maxperinc=0.05
# lastval=self.data[0]
# curval=self.data[1]
# change=curval-lastval
# perdif=change/(0.5*(curval+lastval))
# if perdif>0 and perdif<=maxperinc:
# self.changelist.insert(0,1)
# elif perdif<0:
# self.changelist.insert(0,-1)
# else:
# self.changelist.insert(0,0)
def specdelta(self): # Weighted Delta
maxperinc=0.05
maxperdec=-0.05
lastval=self.data[0]
curval=self.data[1]
perdif=(lastval-curval)/(0.5*(curval+lastval))
if perdif>=maxperdec and perdif<=maxperinc:
self.changelist.insert(0,perdif)
else:
self.changelist.insert(0,0)
#averages
def priceAverages(self):
prev_roc = self.first_order
self.first_order = (self.data[0] - self.data[1])
self.second_order = (prev_roc - self.first_order)
def com_5(self): # 5 tick
sums = 0.0
prev = self._5
prev_roc = self._5roc
for i in range(5):
sums += self.data[i]
self._5 = sums / 5
self._5roc = (prev - self._5)
self._5roc2 = (prev_roc - self._5roc)
RMSD5=0.0
for i in range(5):
RMSD5 += (self.data[i]-self._5)
self._RMSD_5 = (RMSD5/5)**.5
self._var_5 = (self._5)**2
sumdiff = 0.0
for i in range(5):
sumdiff += (self.data[i]-self._5)
self._chisq_5 = sumdiff/self._5
def com_10(self): # 10 tick
sums = 0.0
prev = self._10
prev_roc = self._10roc
for i in range(10):
sums += self.data[i]
self._10 = sums / 10
self._10roc = (prev - self._10)
self._10roc2 = (prev_roc - self._10roc)
def com_30(self): # 30 tick
sums = 0.0
prev = self._30
prev_roc = self._30roc
for i in range(30):
sums += self.data[i]
self._30 = sums / 30
self._30roc = (prev - self._30)
self._30roc2 = (prev_roc - self._30roc)
def com_60(self): # 60 tick
sums = 0.0
prev = self._60
prev_roc = self._60roc
for i in range(60):
sums += self.data[i]
self._60 = sums / 60
self._60roc = (prev - self._60)
self._60roc2 = (prev_roc - self._60roc)
def com_300(self): # 300 tick
sums = 0.0
prev = self._300
prev_roc = self._300roc
for i in range(300):
sums += self.data[i]
self._300 = sums / 300
self._300roc = (prev - self._300)
self._300roc2 = (prev_roc - self._300roc)
def toString(self):
return ("Price tick: " + str(self.prev) + " || Price ROC: " + str(self.first_order) + " || Price ROC 2: "+str(self.second_order) +
# "\n5 tick: " + str(self._5) + " || 5 tick ROC: " + str(self._5roc) + " || 5 tick ROC 2: "+str(self._5roc2) +
# "\n10 tick: " + str(self._10) + " || 10 tick ROC: " + str(self._10roc) + " || 10 tick ROC 2: "+str(self._10roc2) +
# "\n30 tick: " + str(self._30) + " || 30 tick ROC: " + str(self._30roc) + " || 30 tick ROC 2: "+str(self._30roc2) +
# "\n60 tick: " + str(self._60) + " || 60 tick ROC: " + str(self._60roc) + " || 60 tick ROC 2: "+str(self._60roc2) +
"\nLast 10 Entries:" + str(self.data[0:9]) +'\n\n')