massive improvement of market value
This commit is contained in:
Manuel Simon Hirsig
+107
-113
@@ -1,25 +1,38 @@
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local private, public = {}, {}
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Aux.stat_average = public
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Aux.history = public
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private.PUSH_INTERVAL = 57600
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private.NEW_RECORD = '0:0:0:0:0:0:0:0:0'
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private.NEW_RECORD = '0#0#0#0#'
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function private.load_data()
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local dataset = Aux.persistence.load_dataset()
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dataset.stat_average_data = dataset.stat_average_data or { next_push = time() + private.PUSH_INTERVAL, item_data = {} }
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return dataset.stat_average_data
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dataset.history = dataset.history or { next_push = time() + private.PUSH_INTERVAL, item_data = {} }
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return dataset.history
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end
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function public.read_record(item_key)
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local data = private.load_data()
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return Aux.util.map(Aux.persistence.deserialize(data.item_data[item_key] or private.NEW_RECORD, ':'), function(value)
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return tonumber(value)
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end)
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local record = Aux.persistence.deserialize(data.item_data[item_key] or private.NEW_RECORD, '#')
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return {
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auction_count = tonumber(record[1]),
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day_count = tonumber(record[2]),
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EMA5 = tonumber(record[3]),
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EMA30 = tonumber(record[4]),
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histogram = Aux.util.map(Aux.persistence.deserialize(record[5], ';'), function(value)
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return tonumber(value)
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end),
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}
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end
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function private.write_record(item_key, record)
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local data = private.load_data()
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data.item_data[item_key] = Aux.persistence.serialize(record, ':')
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data.item_data[item_key] = Aux.persistence.serialize({
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record.auction_count,
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record.day_count,
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record.EMA5,
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record.EMA30,
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Aux.persistence.serialize(record.histogram, ';'),
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},'#')
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end
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function public.process_auction(auction_info)
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@@ -38,97 +51,57 @@ function public.process_auction(auction_info)
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local item_record = public.read_record(auction_info.item_key)
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item_record[1] = item_record[1] + 1 -- auction count
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item_record[2] = item_record[2] + 1 -- daily auction count
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item_record[3] = item_record[3] + buyout -- daily accumulated buyout
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item_record[4] = item_record[4] ~= 0 and min(item_record[4], buyout) or buyout -- daily min buyout
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item_record.auction_count = item_record.auction_count + 1
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for i=1,225 do
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item_record.histogram[i] = item_record.histogram[i] or 0
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if buyout < 1.1 ^ i then
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item_record.histogram[i] = item_record.histogram[i] + 1
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break
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end
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end
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private.write_record(auction_info.item_key, item_record)
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end
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function public.get_price_data(item_key)
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local auction_count, daily_auction_count, daily_accumulated_buyout, daily_min_buyout, seen_days, avg_EMA5, avg_EMA30, min_EMA5, min_EMA30 = unpack(public.read_record(item_key))
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local daily_average = daily_accumulated_buyout / daily_auction_count
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return auction_count, seen_days, daily_average, daily_min_buyout, avg_EMA5, avg_EMA30, min_EMA5, min_EMA30
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local item_record = public.read_record(item_key)
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return item_record.auction_count, item_record.day_count, private.daily_market_value(item_record.histogram), item_record.EMA5, item_record.EMA30
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end
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function public.get_mean(item_key)
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local _, daily_auction_count, daily_accumulated_buyout, daily_min_buyout, seen_days, avg_EMA5, avg_EMA30, min_EMA5, min_EMA30 = unpack(public.read_record(item_key))
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--
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-- local mean = 0
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-- local daily_average = daily_accumulated_buyout / daily_auction_count
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--
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-- if seen_days == 0 then
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-- if daily_auction_count > 0 then
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-- mean = daily_average
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-- end
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-- elseif seen_days <= 3 then -- No EMAs before day 4
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-- mean = EMA3
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-- if daily_auction_count > 0 then
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-- mean = (mean * seen_days + daily_average) / (seen_days + 1)
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-- end
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-- else
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-- -- we have 4 or more days of data, potentially enough to perform mean and stddev calculations
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-- local count = 0
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-- local valueset, weightset = {}, {}
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--
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-- -- include daily data if available
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-- if daily_auction_count > 0 then
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-- count = 1
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-- valueset[count] = daily_average
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-- weightset[count] = 1
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-- end
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--
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-- -- EMA3: standard weight 3, reduced if seenDays < 6, reduced if there was daily data, but never less than 1
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-- local weight = 3 - count
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-- if seen_days < 6 then
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-- weight = seen_days - 3
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-- if weight > 1 then
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-- weight = weight - count
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-- end
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-- end
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-- count = count + 1
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-- valueset[count] = EMA3
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-- weightset[count] = weight
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--
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-- -- EMA7: standard weight 4, reduced if seenDays < 10
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-- if seen_days > 6 then
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-- count = count + 1
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-- valueset[count] = EMA7
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-- if seen_days < 10 then
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-- weightset[count] = seen_days - 6
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-- else
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-- weightset[count] = 4
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-- end
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-- end
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--
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-- -- EMA14: standard weight 7, reduced if seenDays < 17
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-- if seen_days > 10 then
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-- count = count + 1
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-- valueset[count] = EMA14
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-- if seen_days < 17 then
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-- weightset[count] = seen_days - 10
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-- else
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-- weightset[count] = 7
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-- end
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-- end
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--
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-- -- we will use a weighted incremental algorithm, based on sample code by West and Knuth http://en.wikipedia.org/wiki/Algorithms_for_calculating_variance
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-- local sumWeight, sumSquares = 0, 0 -- actually "sum of squares of differences from the (current) mean", but that's rather long for a variable name.
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-- for i=1,count do
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-- local value, weight = valueset[i], weightset[i]
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-- local nextweight = weight + sumWeight
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-- local valuediff = value - mean
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-- local meanadjust = valuediff * weight / nextweight
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-- mean = mean + meanadjust
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-- sumSquares = sumSquares + sumWeight * valuediff * meanadjust
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-- sumWeight = nextweight
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-- end
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--
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-- -- stddev = sqrt(sumSquares / sumWeight * count / (count - 1))
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-- end
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--
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-- return mean
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function public.get_market_value(item_key)
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local auction_count, day_count, daily_market_value, EMA5, EMA30 = public.get_price_data(item_key)
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if day_count == 0 then
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return daily_market_value
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else
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return EMA5
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end
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end
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function private.daily_market_value(histogram)
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local daily_auction_count = 0
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for _, frequency in ipairs(histogram) do
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daily_auction_count = daily_auction_count + frequency
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end
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if daily_auction_count == 0 then
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return 0
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end
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-- average of lowest 25%
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local sum, count = 0, 0
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local limit = daily_auction_count * 0.25
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for i, frequency in ipairs(histogram) do
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local limited_frequency = min(frequency, limit - count)
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sum = sum + 1.1 ^ (i - 1) * 1.05 * limited_frequency
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count = count + frequency
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if count >= limit then
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break
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end
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end
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return sum / limit
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end
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function private.push_data()
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@@ -138,36 +111,57 @@ function private.push_data()
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for item_key, _ in pairs(item_data) do
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local item_record = public.read_record(item_key)
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local _, daily_auction_count, daily_accumulated_buyout, daily_min_buyout, seen_days, avg_EMA5, avg_EMA30, min_EMA5, min_EMA30 = unpack(item_record)
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if daily_auction_count > 0 then
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if getn(item_record.histogram) ~= 0 then
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local daily_average = daily_accumulated_buyout / daily_auction_count
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local daily_market_value = private.daily_market_value(item_record.histogram)
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if seen_days == 0 then
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avg_EMA5 = daily_average
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avg_EMA30 = daily_average
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min_EMA5 = daily_min_buyout
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min_EMA30 = daily_min_buyout
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if item_record.day_count == 0 then
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item_record.EMA5 = daily_market_value
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item_record.EMA30 = daily_market_value
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else
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avg_EMA5 = 2/3 * avg_EMA5 + 1/3 * daily_average
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avg_EMA30 = 13/14 * avg_EMA30 + 1/14 * daily_average
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min_EMA5 = 2/3 * min_EMA5 + 1/3 * daily_min_buyout
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min_EMA30 = 13/14 * min_EMA30 + 1/14 * daily_min_buyout
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item_record.EMA5 = 2/3 * item_record.EMA5 + 1/3 * daily_market_value
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item_record.EMA30 = 13/14 * item_record.EMA30 + 1/14 * daily_market_value
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end
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item_record[2] = 0 -- daily auction count
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item_record[3] = 0 -- daily accumulated buyout
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item_record[4] = 0 -- daily min buyout
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item_record[5] = seen_days + 1 -- seen days
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item_record[6] = avg_EMA5 -- avg_EMA5
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item_record[7] = avg_EMA30 -- avg_EMA30
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item_record[8] = min_EMA5 -- min_EMA5
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item_record[9] = min_EMA30 -- min_EMA30
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item_record.day_count = item_record.day_count + 1
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item_record.histogram = {}
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private.write_record(item_key, item_record)
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end
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end
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data.next_push = time() + private.PUSH_INTERVAL
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end
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end
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--function private.max_heap(array)
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-- local self = {}
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--
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-- local ROOT = 1
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--
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-- local function parent(i)
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-- return floor((i - 2) / 2) + 1
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-- end
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--
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-- local function left_child(i)
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-- return 2 * (i - 1) + 2
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-- end
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--
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-- local function right_child(i)
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-- return 2 * (i - 1) + 3
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-- end
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--
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-- function self.insert(value)
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-- local index = getn(array) + 1
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--
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-- while index > ROOT and array[index - 1] > 0 do
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-- index = index - 1
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-- end
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-- end
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--
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-- function self.extract(signature)
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-- return data[signature] ~= nil and data[signature] >= time()
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-- end
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--
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-- return self
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--end
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