use std::collections::VecDeque;
use std::fmt;
use std::time::Duration;
use crate::errors::{Result, TaError};
use crate::indicators::AdaptiveTimeDetector;
use crate::traits::{Next, NextBatch, Reset};
use chrono::{DateTime, Utc};
#[cfg(feature = "serde")]
use serde::{Deserialize, Serialize};
const MAX_WINDOW_SIZE: usize = 500;
const KEEP_OLDEST: usize = 10;
const KEEP_RECENT: usize = 100;
#[doc(alias = "ROC")]
#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
#[derive(Debug, Clone)]
pub struct RateOfChange {
duration: Duration,
window: VecDeque<(DateTime<Utc>, f64)>,
detector: AdaptiveTimeDetector,
#[cfg_attr(feature = "serde", serde(skip))]
cached_window: Option<i64>,
}
impl RateOfChange {
pub fn get_window(&self) -> VecDeque<(DateTime<Utc>, f64)> {
self.window.clone()
}
pub fn new(duration: Duration) -> Result<Self> {
if duration.as_secs() == 0 && duration.subsec_nanos() == 0 {
Err(TaError::InvalidParameter)
} else {
Ok(Self {
duration,
window: VecDeque::new(),
detector: AdaptiveTimeDetector::new(duration),
cached_window: None,
})
}
}
fn remove_old_data(&mut self, current_time: DateTime<Utc>) {
let dur_nanos = *self
.cached_window
.get_or_insert_with(|| self.duration.as_nanos() as i64);
let cutoff_nanos = current_time.timestamp_nanos_opt().unwrap_or(i64::MIN) - dur_nanos;
while self.window.front().map_or(false, |(time, _)| {
time.timestamp_nanos_opt().unwrap_or(i64::MIN) < cutoff_nanos
}) {
self.window.pop_front();
}
}
fn thin_window(&mut self) {
if self.window.len() <= MAX_WINDOW_SIZE {
return;
}
let len = self.window.len();
let middle_start = KEEP_OLDEST;
let middle_end = len.saturating_sub(KEEP_RECENT);
if middle_end <= middle_start {
return;
}
let mut new_window = VecDeque::with_capacity(MAX_WINDOW_SIZE);
for i in 0..middle_start.min(len) {
new_window.push_back(self.window[i]);
}
let mut keep = true;
for i in middle_start..middle_end {
if keep {
new_window.push_back(self.window[i]);
}
keep = !keep;
}
for i in middle_end..len {
new_window.push_back(self.window[i]);
}
self.window = new_window;
}
}
impl Next<f64> for RateOfChange {
type Output = f64;
fn next(&mut self, (timestamp, value): (DateTime<Utc>, f64)) -> Self::Output {
let should_replace = self.detector.should_replace(timestamp);
self.remove_old_data(timestamp);
if should_replace && !self.window.is_empty() {
self.window.pop_back();
}
self.window.push_back((timestamp, value));
self.thin_window();
if self.window.len() > 1 {
let (_, oldest_value) = self.window.front().expect("Window has at least one item");
let (_, newest_value) = self.window.back().expect("Window has at least one item");
if *oldest_value != 0.0 {
(newest_value - oldest_value) / oldest_value * 100.0
} else {
0.0
}
} else {
0.0
}
}
}
impl NextBatch<f64> for RateOfChange {}
impl Default for RateOfChange {
fn default() -> Self {
Self::new(Duration::from_secs(14 * 24 * 60 * 60)).unwrap() }
}
impl fmt::Display for RateOfChange {
fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
write!(f, "ROC({}s)", self.duration.as_secs())
}
}
impl Reset for RateOfChange {
fn reset(&mut self) {
self.window.clear();
self.detector.reset();
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::test_helper::*;
use chrono::{TimeZone, Utc};
test_indicator!(RateOfChange);
const EPSILON: f64 = 1e-10;
#[test]
fn test_new() {
assert!(RateOfChange::new(Duration::from_secs(0)).is_err());
assert!(RateOfChange::new(Duration::from_secs(1)).is_ok());
assert!(RateOfChange::new(Duration::from_secs(100_000)).is_ok());
}
#[test]
fn test_next_f64() {
let mut roc = RateOfChange::new(Duration::from_secs(3)).unwrap();
let start_time = Utc.ymd(2020, 1, 1).and_hms(0, 0, 0);
assert_eq!(round(roc.next((start_time, 10.0))), 0.0);
assert_eq!(
round(roc.next((start_time + chrono::Duration::seconds(1), 10.4))),
4.0
);
assert_eq!(
round(roc.next((start_time + chrono::Duration::seconds(2), 10.57))),
5.7
);
assert_eq!(
round(roc.next((start_time + chrono::Duration::seconds(3), 10.8))),
8.0
);
assert_eq!(
round(roc.next((start_time + chrono::Duration::seconds(4), 10.9))),
4.808
);
assert_eq!(
round(roc.next((start_time + chrono::Duration::seconds(5), 10.0))),
-5.393
);
}
#[test]
fn test_reset() {
let mut roc = RateOfChange::new(Duration::from_secs(3)).unwrap();
let start_time = Utc.ymd(2020, 1, 1).and_hms(0, 0, 0);
roc.next((start_time, 12.3));
roc.next((start_time + chrono::Duration::seconds(1), 15.0));
roc.reset();
assert_eq!(round(roc.next((start_time, 10.0))), 0.0);
assert_eq!(
round(roc.next((start_time + chrono::Duration::seconds(1), 10.4))),
4.0
);
assert_eq!(
round(roc.next((start_time + chrono::Duration::seconds(2), 10.57))),
5.7
);
}
}