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Engine Table: Implementation and closely-coupled utilities
package io.deephaven.engine.table.impl.updateby.em;
import io.deephaven.api.updateby.BadDataBehavior;
import io.deephaven.api.updateby.OperationControl;
import io.deephaven.chunk.Chunk;
import io.deephaven.chunk.ObjectChunk;
import io.deephaven.chunk.attributes.Values;
import io.deephaven.engine.rowset.RowSet;
import io.deephaven.engine.table.ColumnSource;
import io.deephaven.engine.table.impl.MatchPair;
import io.deephaven.engine.table.impl.locations.TableDataException;
import io.deephaven.engine.table.impl.updateby.UpdateByOperator;
import io.deephaven.engine.table.impl.updateby.internal.BaseObjectUpdateByOperator;
import io.deephaven.engine.table.impl.util.RowRedirection;
import org.jetbrains.annotations.NotNull;
import org.jetbrains.annotations.Nullable;
import java.math.BigDecimal;
import static io.deephaven.util.QueryConstants.NULL_LONG;
public abstract class BaseBigNumberEMOperator extends BaseObjectUpdateByOperator {
protected final ColumnSource> valueSource;
protected final OperationControl control;
/** For EM operators, we can allow floating-point tick/time units. */
protected final double reverseWindowScaleUnits;
protected final BigDecimal opAlpha;
protected final BigDecimal opOneMinusAlpha;
final EmFunction aggFunction;
public interface EmFunction {
BigDecimal apply(BigDecimal prevVal, BigDecimal curVal, BigDecimal alpha, BigDecimal oneMinusAlpha);
}
public abstract class Context extends BaseObjectUpdateByOperator.Context {
public ObjectChunk objectValueChunk;
protected BigDecimal alpha;
protected BigDecimal oneMinusAlpha;
protected long lastDt = NULL_LONG;
protected long lastStamp = NULL_LONG;
protected Context(final int chunkSize) {
super(chunkSize);
}
@Override
public void setValueChunks(@NotNull final Chunk extends Values>[] valueChunks) {
objectValueChunk = valueChunks[0].asObjectChunk();
}
@Override
public boolean isValueValid(long atKey) {
return valueSource.get(atKey) != null;
}
@Override
public void reset() {
curVal = null;
lastStamp = NULL_LONG;
lastDt = NULL_LONG;
alpha = null;
oneMinusAlpha = null;
}
}
/**
* An operator that computes an EM output from a big number column using an exponential decay function.
*
* @param pair the {@link MatchPair} that defines the input/output for this operation
* @param affectingColumns the names of the columns that affect this ema
* @param rowRedirection the {@link RowRedirection} to use for dense output sources
* @param control defines how to handle {@code null} input values.
* @param timestampColumnName the name of the column containing timestamps for time-based calcuations
* @param windowScaleUnits the smoothing window for the EMA. If no {@code timestampColumnName} is provided, this is
* measured in ticks, otherwise it is measured in nanoseconds
* @param valueSource a reference to the input column source for this operation
*/
public BaseBigNumberEMOperator(@NotNull final MatchPair pair,
@NotNull final String[] affectingColumns,
@Nullable final RowRedirection rowRedirection,
@NotNull final OperationControl control,
@Nullable final String timestampColumnName,
final double windowScaleUnits,
@NotNull final ColumnSource> valueSource,
@NotNull final EmFunction aggFunction) {
super(pair, affectingColumns, rowRedirection, timestampColumnName, 0, 0, false,
BigDecimal.class);
this.control = control;
this.valueSource = valueSource;
this.aggFunction = aggFunction;
this.reverseWindowScaleUnits = windowScaleUnits;
if (timestampColumnName == null) {
// tick-based, pre-compute alpha and oneMinusAlpha
opAlpha = computeAlpha(-1, reverseWindowScaleUnits);
opOneMinusAlpha = computeOneMinusAlpha(opAlpha);
} else {
// time-based, must compute alpha and oneMinusAlpha for each time delta
opAlpha = null;
opOneMinusAlpha = null;
}
}
@Override
public void initializeCumulative(@NotNull final UpdateByOperator.Context updateContext,
final long firstUnmodifiedKey,
final long firstUnmodifiedTimestamp,
@NotNull final RowSet bucketRowSet) {
super.initializeCumulative(updateContext, firstUnmodifiedKey, firstUnmodifiedTimestamp, bucketRowSet);
final Context ctx = (Context) updateContext;
// rely on the caller to validate this is a valid timestamp (or NULL_LONG when appropriate)
ctx.lastStamp = firstUnmodifiedTimestamp;
}
void handleBadData(@NotNull final Context ctx, final boolean isNull) {
boolean doReset = false;
if (isNull) {
if (control.onNullValueOrDefault() == BadDataBehavior.THROW) {
throw new TableDataException("Encountered invalid data during EM processing");
}
doReset = control.onNullValueOrDefault() == BadDataBehavior.RESET;
}
if (doReset) {
ctx.reset();
}
}
BigDecimal computeAlpha(final long dt, final double timeScaleUnits) {
return BigDecimal.valueOf(Math.exp(dt / timeScaleUnits));
}
BigDecimal computeOneMinusAlpha(final BigDecimal alpha) {
return BigDecimal.ONE.subtract(alpha, control.bigValueContextOrDefault());
}
}
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