фиксация

KLHZ.Trader.Core.Math/Declisions/Utils/FFT.cs

@@ -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);

KLHZ.Trader.Core.Tests/FFTTests.cs

@@ -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));
+        }
     }
 }