klhztrader/KLHZ.Trader.Core.Math/Declisions/Utils/SignalProcessing.cs

using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;

namespace KLHZ.Trader.Core.Math.Declisions.Utils
{
    public static class SignalProcessing
    {
        public static (DateTime[] timestamps, decimal[] values) InterpolateData(DateTime[] timestamps, decimal[] values, TimeSpan timeStep)
        {
            var res = new List<decimal>();
            var res2 = new List<DateTime>();

            var startTime = new DateTime(timestamps[0].Year, timestamps[0].Month, timestamps[0].Day, 0, 0, 0, DateTimeKind.Utc);
            var dt = timestamps[0] - startTime;

            var totalSteps = System.Math.Ceiling((timestamps[timestamps.Length - 1] - timestamps[0]).TotalSeconds / timeStep.TotalSeconds);
            var deltaSeconds = System.Math.Floor(dt.TotalSeconds / timeStep.TotalSeconds);
            startTime = startTime.AddSeconds(deltaSeconds * timeStep.TotalSeconds);

            var firstBound = startTime;
            var secondBound = startTime + timeStep;
            var bound = 0;
            for (int i = 0; i < totalSteps; i++)
            {
                var count = 0;
                var sum = 0m;

                for (int i1 = bound; i1 < timestamps.Length; i1++)
                {
                    if (timestamps[i1] > firstBound && timestamps[i1] <= secondBound)
                    {
                        count++;
                        sum += values[i1];
                    }
                    else if (count != 0)
                    {
                        bound = i1;
                        break;
                    }
                }
                if (count != 0)
                {
                    res.Add(sum / count);
                    res2.Add(secondBound);
                }
                else if (bound < timestamps.Length - 2)
                {
                    res.Add(values[bound]);
                    res2.Add(secondBound);
                }


                firstBound += timeStep;
                secondBound += timeStep;
            }

            return (res2.ToArray(), res.ToArray());
        }

        public static ITradeDataItem[] InterpolateData(ITradeDataItem[] items, TimeSpan timeStep)
        {
            var result = new List<ITradeDataItem>();

            var firstItem = items[0];
            var startTime = new DateTime(firstItem.Time.Year, firstItem.Time.Month, firstItem.Time.Day, 0, 0, 0, DateTimeKind.Utc);
            var dt = items[0].Time - startTime;

            var totalSteps = System.Math.Ceiling((items[items.Length - 1].Time - firstItem.Time).TotalSeconds / timeStep.TotalSeconds);
            var deltaSeconds = System.Math.Floor(dt.TotalSeconds / timeStep.TotalSeconds);
            startTime = startTime.AddSeconds(deltaSeconds * timeStep.TotalSeconds);

            var firstBound = startTime;
            var secondBound = startTime + timeStep;
            var boundD1 = 0;
            var boundD2 = 0;
            for (int i = 0; i < totalSteps; i++)
            {
                var countD1 = 0;
                var sumD1 = 0m;
                var cD1 = 0L;

                var countD2 = 0;
                var sumD2 = 0m;
                var cD2 = 0L;

                for (int i1 = boundD1; i1 < items.Length; i1++)
                {
                    if (items[i1].Direction == 1)
                    {
                        if (items[i1].Time > firstBound && items[i1].Time <= secondBound)
                        {
                            countD1++;
                            sumD1 += items[i1].Price;
                            cD1 += items[i1].Count;
                        }
                        else if (countD1 != 0)
                        {
                            boundD1 = i1;
                            break;
                        }
                    }
                }

                for (int i1 = boundD2; i1 < items.Length; i1++)
                {
                    if (items[i1].Direction == 2)
                    {
                        if (items[i1].Time > firstBound && items[i1].Time <= secondBound)
                        {
                            countD2++;
                            sumD2 += items[i1].Price;
                            cD2 += items[i1].Count;
                        }
                        else if (countD2 != 0)
                        {
                            boundD2 = i1;
                            break;
                        }
                    }
                }

                if (countD1 != 0)
                {
                    result.Add(new TradeDataItem()
                    {
                        Figi = firstItem.Figi,
                        Ticker = firstItem.Ticker,
                        Price = sumD1 / countD1,
                        Time = secondBound,
                        IsHistoricalData = firstItem.IsHistoricalData,
                        Direction = 1,
                        Count = cD1
                    });
                }

                if (countD2 != 0)
                {
                    result.Add(new TradeDataItem()
                    {
                        Figi = firstItem.Figi,
                        Ticker = firstItem.Ticker,
                        Price = sumD2 / countD2,
                        Time = secondBound,
                        IsHistoricalData = firstItem.IsHistoricalData,
                        Direction = 2,
                        Count = cD2
                    });
                }

                firstBound += timeStep;
                secondBound += timeStep;
            }


            return result.OrderBy(r => r.Time).ToArray();
        }

        public static decimal[] CalcDiffs(decimal[] values)
        {
            if (values.Length < 1) throw new ArgumentException();

            var resArray = new decimal[values.Length - 1];
            for (int i = 1; i < values.Length; i++)
            {
                resArray[i - 1] = values[i] - values[i - 1];
            }
            return resArray;
        }
    }
}