71 lines
2.4 KiB
C#
71 lines
2.4 KiB
C#
namespace KLHZ.Trader.Core.Math.Declisions.Utils
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{
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public static class SignalProcessing
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{
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public static (DateTime[] timestamps, decimal[] values) InterpolateData(DateTime[] timestamps, decimal[] values, TimeSpan timeStep)
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{
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var res = new List<decimal>();
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var res2 = new List<DateTime>();
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var startTime = new DateTime(timestamps[0].Year, timestamps[0].Month, timestamps[0].Day, 0, 0, 0, DateTimeKind.Utc);
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var dt = timestamps[0] - startTime;
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var totalSteps = System.Math.Ceiling((timestamps[timestamps.Length - 1] - timestamps[0]).TotalSeconds / timeStep.TotalSeconds);
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var deltaSeconds = System.Math.Floor(dt.TotalSeconds / timeStep.TotalSeconds);
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startTime = startTime.AddSeconds(deltaSeconds * timeStep.TotalSeconds);
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var firstBound = startTime;
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var secondBound = startTime + timeStep;
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var bound = 0;
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for (int i = 0; i < totalSteps; i++)
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{
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var count = 0;
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var sum = 0m;
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for (int i1 = bound; i1 < timestamps.Length; i1++)
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{
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if (timestamps[i1] > firstBound && timestamps[i1] <= secondBound)
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{
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count++;
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sum += values[i1];
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}
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else if (count != 0)
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{
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bound = i1;
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break;
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}
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}
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if (count != 0)
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{
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res.Add(sum / count);
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res2.Add(secondBound);
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}
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else if (bound < timestamps.Length - 2)
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{
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res.Add(values[bound]);
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res2.Add(secondBound);
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}
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firstBound += timeStep;
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secondBound += timeStep;
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}
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return (res2.ToArray(), res.ToArray());
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}
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public static decimal[] CalcDiffs(decimal[] values)
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{
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if (values.Length < 1) throw new ArgumentException();
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var resArray = new decimal[values.Length - 1];
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for (int i = 1; i < values.Length; i++)
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{
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resArray[i - 1] = values[i] - values[i - 1];
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}
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return resArray;
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}
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}
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}
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