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io.deephaven.numerics.movingaverages.ByEma Maven / Gradle / Ivy
/**
* Copyright (c) 2016-2022 Deephaven Data Labs and Patent Pending
*/
package io.deephaven.numerics.movingaverages;
import io.deephaven.base.verify.Require;
import io.deephaven.function.Basic;
import io.deephaven.time.DateTimeUtils;
import java.io.Serializable;
import java.time.Instant;
import java.util.Arrays;
import java.util.HashMap;
import java.util.Map;
/**
* An EMA which can compute aggregated EMAs without grouping and then ungrouping.
*/
public abstract class ByEma implements Serializable {
private static final long serialVersionUID = -6541641502689292655L;
public static class Key implements Serializable {
private static final long serialVersionUID = 8481816497504935854L;
final Object[] values;
public Key(Object... values) {
this.values = values;
}
@Override
public boolean equals(Object o) {
if (this == o)
return true;
if (o == null || getClass() != o.getClass())
return false;
Key key = (Key) o;
return Arrays.equals(values, key.values);
}
@Override
public int hashCode() {
return values != null ? Arrays.hashCode(values) : 0;
}
@Override
public String toString() {
return "Key{" +
"values=" + (values == null ? null : Arrays.asList(values)) +
'}';
}
}
public enum BadDataBehavior {
BD_RESET(true, false, true), BD_SKIP(false, false, false), BD_PROCESS(false, true, false);
private final boolean reset;
private final boolean process;
private final boolean returnNan;
BadDataBehavior(boolean reset, boolean process, boolean returnNan) {
this.reset = reset;
this.process = process;
this.returnNan = returnNan;
}
}
private final BadDataBehavior nullBehavior;
private final BadDataBehavior nanBehavior;
private final Map emas = new HashMap<>();
protected ByEma(BadDataBehavior nullBehavior, BadDataBehavior nanBehavior) {
this.nullBehavior = nullBehavior;
this.nanBehavior = nanBehavior;
Require.neqNull(nullBehavior, "nullBehavior");
Require.neqNull(nanBehavior, "nanBehavior");
}
// Engine automatic type conversion takes care of converting all non-double nulls into double nulls so we don't have
// to duplicate the null checking for each type.
public synchronized double update(double value) {
return update(value, (Object) null);
}
public synchronized double update(double value, Object... by) {
return update(Long.MIN_VALUE, value, by);
}
public synchronized double update(Instant timestamp, double value) {
return update(timestamp, value, (Object) null);
}
public synchronized double update(Instant timestamp, double value, Object... by) {
return update(DateTimeUtils.epochNanos(timestamp), value, by);
}
public synchronized double update(long timestampNanos, double value, Object... by) {
return updateInternal(timestampNanos, value, Basic.isNull(value), Double.isNaN(value), by);
}
private static boolean resetEma(boolean isNull, BadDataBehavior nullBehavior, boolean isNaN,
BadDataBehavior nanBehavior) {
return (isNull && nullBehavior.reset) || (isNaN && nanBehavior.reset);
}
private static boolean returnNan(boolean isNull, BadDataBehavior nullBehavior, boolean isNaN,
BadDataBehavior nanBehavior) {
return (isNull && nullBehavior.returnNan) || (isNaN && nanBehavior.returnNan);
}
private static boolean processSample(boolean isNull, BadDataBehavior nullBehavior, boolean isNaN,
BadDataBehavior nanBehavior) {
return (!isNull && !isNaN) || (isNull && nullBehavior.process) || (isNaN && nanBehavior.process);
}
private synchronized double updateInternal(long timestampNanos, double value, boolean isNull, boolean isNaN,
Object... by) {
Key key = new Key(by);
AbstractMa ema = emas.get(key);
if (ema == null || resetEma(isNull, nullBehavior, isNaN, nanBehavior)) {
ema = createEma(key);
emas.put(key, ema);
}
if (processSample(isNull, nullBehavior, isNaN, nanBehavior)) {
ema.processDouble(timestampNanos, value);
}
return returnNan(isNull, nullBehavior, isNaN, nanBehavior) ? Double.NaN : ema.getCurrent();
}
protected abstract AbstractMa createEma(Key key);
}