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фиксация

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vlad zverzhkhovskiy 2025-09-29 14:51:50 +03:00
parent 3a865a117a
commit 1c3c4f6e97
2 changed files with 73 additions and 0 deletions
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52
KLHZ.Trader.Core.Math/Declisions/Utils/FFT.cs
View File

@ -65,6 +65,58 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
}
}
internal static (DateTime[] timestamps, decimal[] values) TrimValues(DateTime[] timestamps, decimal[] values, TimeSpan period)
{
int i = 0;
var lastTime = timestamps[timestamps.Length - 1];
for (i=0;i< timestamps.Length; i++)
{
if ((lastTime - timestamps[timestamps.Length - i-1]) > period)
{
break;
}
}
var resDt = new DateTime[i];
var resVs = new decimal[i];
Array.Copy(timestamps, timestamps.Length - i, resDt, 0, i);
Array.Copy(values, values.Length - i, resVs, 0, i);
return (resDt, resVs);
}
public static FFTAnalyzeResult GetMainHarmonic(DateTime[] timestamps, decimal[] values, string key, TimeSpan minPeriod, TimeSpan maxPeriod)
{
var harmonics = GetHarmonics(values, timestamps[timestamps.Length - 1] - timestamps[0], minPeriod, maxPeriod);
var newValues = new decimal[timestamps.Length];
var newValues2 = new decimal[timestamps.Length];
var startTime = timestamps[0];
for (int i = 0; i < timestamps.Length; i++)
{
newValues[i] = (decimal)CalcAmplitude(harmonics, startTime, timestamps[i]);
newValues2[i] = (decimal)CalcExtremum(harmonics, startTime, timestamps[i]);
}
newValues = newValues.Order().ToArray();
var ma = newValues2.Max();
var mi = newValues2.Min();
return new FFTAnalyzeResult()
{
Key = key,
Harmonics = harmonics,
LastTime = timestamps[timestamps.Length - 1],
StartTime = startTime,
Mediana = newValues[newValues.Length / 2],
Upper30Decil = newValues[(int)(newValues.Length * 0.7)],
Lower30Decil = newValues[(int)(newValues.Length * 0.3)],
Max = newValues.Max(),
Min = newValues.Min(),
Length = values.Length,
};
}
public static FFTAnalyzeResult Analyze(DateTime[] timestamps, decimal[] values, string key, TimeSpan minPeriod, TimeSpan maxPeriod)
{
var harmonics = GetHarmonics(values, timestamps[timestamps.Length - 1] - timestamps[0], minPeriod, maxPeriod);

21
KLHZ.Trader.Core.Tests/FFTTests.cs
View File

@ -219,5 +219,26 @@ namespace KLHZ.Trader.Core.Tests
Assert.IsTrue(res.max > System.Math.PI / 2);
Assert.IsTrue(res.max < System.Math.PI / 2 * 1.1);
}
[Test]
public static void TrimValues_Test1()
{
var da = new List<decimal>();
var dates = new List<DateTime>();
var dt = DateTime.UtcNow;
var dt1 = dt;
var dt2 = dt.AddSeconds(3600);
var i = 0;
while (dt < dt2)
{
da.Add(i);
dates.Add(dt);
dt = dt.AddSeconds(1);
i++;
}
var res = FFT.TrimValues(dates.ToArray(), da.ToArray(), TimeSpan.FromSeconds(30));
var res2 = FFT.TrimValues(dates.ToArray(), da.ToArray(), TimeSpan.FromSeconds(4011));
}
}
}