111 lines
4.1 KiB
C#
111 lines
4.1 KiB
C#
using KLHZ.Trader.Core.Contracts.Declisions.Dtos;
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namespace KLHZ.Trader.Core.Math.Declisions.Utils
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{
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public static class Statistics
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{
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public static decimal Mean(this CachedValue[] values)
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{
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return values.Sum(x => x.Count) / values.Length;
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}
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public static decimal Mean2(this CachedValue[] values)
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{
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return values.Sum(x => x.Price) / values.Length;
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}
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private static (decimal mean, decimal std) CaclSigma(decimal[] values)
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{
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var mean = values.Sum() / values.Length;
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var data = new decimal[values.Length];
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Array.Copy(values, data, data.Length);
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for (int i = 0; i < data.Length; i++)
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{
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var v = data[i] - mean;
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data[i] = v * v;
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}
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var std = System.Math.Pow((double)(data.Sum() / (data.Length - 1)), 0.5);
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return (mean, (decimal)std);
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}
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public static decimal[] ClearNSigmaReqursive(decimal[] values, int depth = 0, int sigmasCount = 3)
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{
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if (values.Length <= 1 || depth > 10) return values;
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var sigmaRes = CaclSigma(values);
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var std = sigmaRes.std;
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var mean = sigmaRes.mean;
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var forRes = new List<decimal>();
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var _3std = sigmasCount * std;
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foreach (var v in values)
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{
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if (System.Math.Abs(mean - v) < _3std)
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{
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forRes.Add(v);
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}
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}
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if (forRes.Count != values.Length)
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{
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return ClearNSigmaReqursive(forRes.ToArray(), depth + 1);
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}
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else
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{
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return forRes.ToArray();
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}
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}
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public static bool TryCalcTimeWindowsDiff(this CachedValue[] values, TimeSpan boundLeft, TimeSpan boundRight,
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Func<CachedValue, decimal> fieldSelector, bool calcMean, out decimal result)
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{
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result = default;
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if (values.Length > 1)
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{
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var shiftTimeR = values.Last().Time - boundRight;
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var shiftTimeL = values.Last().Time - boundLeft;
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var valuesOld = values.Where(b => b.Time < shiftTimeR && b.Time >= shiftTimeL).ToArray();
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var valuesNew = values.Where(b => b.Time >= shiftTimeR).ToArray();
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if (valuesOld.Length > 0 && valuesNew.Length > 0)
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{
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var valNew = valuesNew.Sum(fieldSelector);
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var valOld = valuesOld.Sum(fieldSelector);
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if (calcMean)
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{
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valNew = valNew / valuesNew.Length;
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valOld = valOld / valuesOld.Length;
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}
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result = valNew - valOld;
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return true;
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}
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}
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return false;
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}
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public static bool TryCalcPirsonCorrelation(this CachedValue[] values, TimeSpan period, out decimal result)
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{
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result = default;
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if (values.Any())
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{
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var shiftTimeDiffs1 = values.Last().Time - period;
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values = values.Where(b => b.Time >= shiftTimeDiffs1).ToArray();
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if (values.Any())
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{
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var tradevolume_diffMean = values.Mean();
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var dprice_diffMean = values.Mean2();
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var sum1 = (double)values.Sum(d => (d.Value2 - tradevolume_diffMean) * (d.Value - dprice_diffMean));
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var sum2 = values.Sum(d => (d.Value2 - tradevolume_diffMean) * (d.Value2 - tradevolume_diffMean));
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var sum3 = values.Sum(d => (d.Value - dprice_diffMean) * (d.Value - dprice_diffMean));
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if (sum2 != 0 && sum3 != 0)
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{
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result = (decimal)(sum1 / System.Math.Sqrt((double)(sum2 * sum3)));
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return true;
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}
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}
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}
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return false;
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}
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}
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}
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