io.deephaven.numerics.movingaverages.Ema Maven / Gradle / Ivy
/**
* Copyright (c) 2016-2022 Deephaven Data Labs and Patent Pending
*/
package io.deephaven.numerics.movingaverages;
import java.io.Serializable;
/**
* An EMA.
*/
public class Ema extends AbstractMa implements Serializable {
private static final long serialVersionUID = 5997048575951664518L;
private double emaState;
private boolean initialized = false;
/**
* Constructs a new EMA which use the given timescale.
*
* @param type type of EMA
* @param mode compute the ema by tick or time
* @param timeScale timescale for the EMAs.
*/
public Ema(Type type, Mode mode, double timeScale) {
super(type, mode, timeScale);
emaState = Double.NaN;
}
protected void processDoubleLocal(long timestamp, double data) {
if (!initialized) {
switch (type) {
case LEVEL:
// initialize the values to the first input
emaState = data;
break;
case DIFFERENCE:
// initialize the values to zero
emaState = 0;
break;
default:
throw new UnsupportedOperationException("Ema type is not yet supported: " + type);
}
initialized = true;
}
final long dt;
switch (mode) {
case TICK:
dt = 1;
break;
case TIME:
dt = timestamp - lastTimestamp;
break;
default:
throw new UnsupportedOperationException("Ema mode is not yet supported: " + mode);
}
double dtLimited = dt < 0 ? 0 : dt;
double alpha = Math.exp(-dtLimited / timeScale);
emaState = alpha * emaState + (1 - alpha) * data;
}
/**
* Gets the current value of the ema.
*
* @return current value of the ema.
*/
public double getCurrent() {
return emaState;
}
/**
* Sets the current value of the ema state.
*
* @param value new value of the ema state.
*/
public void setCurrent(double value) {
emaState = value;
}
public void reset() {
initialized = false;
emaState = Double.NaN;
lastTimestamp = Long.MIN_VALUE;
}
}