mj-xmr · mj-xmr · Jan 14, 2022 · Jan 13, 2022
diff --git a/externals/EnjoLib b/externals/EnjoLib
diff --git a/src/lib-base/src/Candle.cpp b/src/lib-base/src/Candle.cpp
@@ -232,6 +232,7 @@ float Candle::GetPriceByType(const PriceType & type) const
     case PriceType::TYPICAL:
         return GetTypical();
     }
-
-    throw EnjoLib::ExceptRuntimeError("Candle::GetPriceByType(): unimplemented type");
+    Osstream oss;
+    oss << "Candle::GetPriceByType(): unimplemented type = " << int(type);
+    throw EnjoLib::ExceptRuntimeError(oss.str());
 }
diff --git a/src/lib-base/src/ConfigTS.cpp b/src/lib-base/src/ConfigTS.cpp
@@ -37,6 +37,7 @@ void ConfigTS::RegisterAndReadBools(EnjoLib::Istream & f)
 void ConfigTS::RegisterAndReadInts(EnjoLib::Istream & f)
 {
     RegisterAndReadInt (f, PRED_TYPE, 0);
+    RegisterAndReadInt (f, PRICE_TYPE, 0);
 }
 void ConfigTS::RegisterAndReadFloats(EnjoLib::Istream & f)
 {
@@ -55,3 +56,12 @@ void ConfigTS::SetPredType(const PredictorType & type)
 {
     PRED_TYPE = static_cast<long int>(type);
 }
+
+PriceType ConfigTS::GetPriceType() const
+{
+    return static_cast<PriceType>(PRICE_TYPE);
+}
+void ConfigTS::SetPriceType(const PriceType & type)
+{
+    PRICE_TYPE = static_cast<long int>(type);
+}
diff --git a/src/lib-base/src/ConfigTS.h b/src/lib-base/src/ConfigTS.h
@@ -5,6 +5,7 @@
 #include <Util/Str.hpp>
 
 enum class PredictorType;
+enum class PriceType;
 
 class ConfigTS : public ConfigBase
 {
@@ -18,19 +19,24 @@ class ConfigTS : public ConfigBase
         void RegisterAndReadStrs  (EnjoLib::Istream & ifs) override;
 
         void FromOptsNumeric(const OptionsNumeric & optsNum) override;
-        
+
         PredictorType GetPredType() const;
         void SetPredType(const PredictorType & type);
 
+        PriceType GetPriceType() const;
+        void SetPriceType(const PriceType & type);
+
+
         static const char * DEFAULT_SCRIPT_FILE_NAME;
 
         EnjoLib::Str m_scriptPathTxt;
         bool crashOnRecoverableErrors = false;
         bool PLOT_SERIES = true;
         bool MT_REPORT = false;
         bool MT_XFORM = false;
-        
+
         long int PRED_TYPE = 0;
+        long int PRICE_TYPE = 0;
 
     protected:
         EnjoLib::Str GetFileNameProt() const override;

diff --git a/src/lib-base/src/OptiHigh.cpp b/src/lib-base/src/OptiHigh.cpp
@@ -13,7 +13,7 @@
 #include "ConfigTF2.h"
 #include "OptimizerFactoryAbstract.h"
 
-#include "OptiVar.h" /// TODO: Remove
+//#include "OptiVar.h" /// TODO: Remove
 
 #include <Ios/Osstream.hpp>
 #include <Util/Str.hpp>
@@ -50,6 +50,7 @@ EnjoLib::Str OptiHigh::WalkForwardOptiIndiv(const ISymbol & sym, const IPeriod &
     const OptiXValid & optiXvalidInitial = cvc.GetPass(i);
     OptiXValid optiXvalid = optiXvalidInitial;
 
+    // This is how you'd create a simulator and pass it the accumulator:
     //const SimulatorFactory simFact;
     //Corrade::Containers::Pointer<ISimulatorStd> simul = simFact.CreateStandard(*stratPtr, 0, false, ConfigGlob().MIN_SCORE);
     //simul->SetAccumulator(&simAccum);
@@ -63,12 +64,7 @@ EnjoLib::Str OptiHigh::WalkForwardOptiIndiv(const ISymbol & sym, const IPeriod &
         ossPassed << "X-Valid - " +  per.GetSymbolPeriodId() << " " << gm.round(iprogress / double(totalSize) * 100) << "%";
         progressMonitHigh.PrintProgressBarTime(optiXvalid.xvalid.end, optiConst.Len(), ossPassed.str(), false);
         {
-            //cout << "OPTI\n";
-            //gcfg.OPTI_USE = false;
-            //Optimizer opti(stratType, sym, period, fact.GetStrat(), optiXvalid.opti);
-            //confOpti.SetOptimizer(OptiType::OPTI_TYPE_FIND); /// TODO: Make it implicit in the optiBase(); and make OPTI_TYPE_XVALID?
             CorPtr<IOptimizer> opti = optiFact.Create(optiXvalid.opti);
-            //optiBase.SetStartEnd(optiXvalid.opti);
             (*opti)();
             {
                 //{LOGL << "\nValid:\n";}

diff --git a/src/lib-base/src/PriceTypeStr.cpp b/src/lib-base/src/PriceTypeStr.cpp
@@ -0,0 +1,23 @@
+#include "PriceTypeStr.h"
+#include "PriceType.h"
+
+PriceTypeStr::PriceTypeStr()
+{
+    for (int i = 0; i <= int(PriceType::TYPICAL); ++i)
+    {
+        const PriceType type = PriceType(i);
+        switch (type) // Generate compiler warnings
+        {
+            case PriceType::CLOSE:          Add(i, "Close"); break;
+            case PriceType::OPEN:           Add(i, "Open"); break;
+            case PriceType::LOW:            Add(i, "Low"); break;
+            case PriceType::HIGH:           Add(i, "High"); break;
+            case PriceType::WEIGHTED_CLOSE: Add(i, "Weighted close"); break;
+            case PriceType::TYPICAL:        Add(i, "Typical"); break;
+        }
+    }
+}
+
+PriceTypeStr::~PriceTypeStr()
+{
+}
diff --git a/src/lib-base/src/PriceTypeStr.h b/src/lib-base/src/PriceTypeStr.h
@@ -0,0 +1,18 @@
+#ifndef PRICETYPESTR_H
+#define PRICETYPESTR_H
+
+#include <Util/EnumStringMap.hpp>
+
+
+class PriceTypeStr : public EnjoLib::EnumStringMap
+{
+    public:
+        PriceTypeStr();
+        virtual ~PriceTypeStr();
+
+    protected:
+
+    private:
+};
+
+#endif // PRICETYPESTR_H
diff --git a/src/lib-base/src/URTWrap.cpp b/src/lib-base/src/URTWrap.cpp
@@ -1,5 +1,6 @@
 #include "URTWrap.h"
 
+#include <Statistical/3rdParty/EigenUtil.hpp>
 #include <Template/CorradePointer.h>
 
 #include <STD/VectorCpp.hpp>
@@ -8,18 +9,6 @@ using namespace std;
 
 URTWrap::URTWrap(){}
 
-#include <Eigen/Dense>
-/// TODO: Upstream to EnjoLib 3rd
-static Eigen::VectorXd ConvertVector1( const EnjoLib::VecD & vec )
-{
-    const int nrows = vec.size();
-    Eigen::VectorXd veceig(nrows);
-    for ( int i = 0; i < nrows; ++i )
-            veceig(i) = vec.at(i);
-
-    return veceig;
-}
-
 //#define USE_URT
 #ifdef USE_URT
 #include <URT.hpp>
@@ -62,11 +51,11 @@ class URTAlgo : public IURTAlgo
         {
             if (lags == 0)
             {
-                m_algo = CorPtr<Algo>(new Algo(ConvertVector1(data.Data()), "AIC", "c"));
+                m_algo = CorPtr<Algo>(new Algo(EigenUtil::ConvertVector2Eigen(data.Data()), "AIC", "c"));
             }
             else
             {
-                m_algo = CorPtr<Algo>(new Algo(ConvertVector1(data.Data()), lags, "c"));
+                m_algo = CorPtr<Algo>(new Algo(EigenUtil::ConvertVector2Eigen(data.Data()), lags, "c"));
             }
         }
         virtual ~URTAlgo(){}

diff --git a/src/tsqsim-lib/src/ITSXform.cpp b/src/tsqsim-lib/src/ITSXform.cpp
@@ -10,8 +10,8 @@ unsigned ITSXform::MaxShift() const
     return 0;
 }
 
-double ITSXform::GetVal(const IHasCandles & input, int idx) const
+double ITSXform::GetVal(const IHasCandles & input, const PriceType & priceType, int idx) const
 {
     const Candle & can = input.GetCandle(idx);
-    return can.GetClose(); /// TODO: Return a common value
+    return can.GetPriceByType(priceType); /// TODO: Return a common value
 }
diff --git a/src/tsqsim-lib/src/ITSXform.h b/src/tsqsim-lib/src/ITSXform.h
@@ -3,6 +3,7 @@
 
 #include <Util/VecD.hpp>
 
+enum class PriceType;
 class IHasCandles;
 struct XformRes;
 
@@ -11,14 +12,14 @@ struct ITSXform
         ITSXform();
         virtual ~ITSXform();
 
-        virtual XformRes Run(const IHasCandles & input, int idx, double prevConverted) const = 0; /// TODO: remove valPrev
+        virtual XformRes Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const = 0; /// TODO: remove valPrev
         virtual XformRes Run(const EnjoLib::VecD & vals) const = 0;
         virtual double Invert(const EnjoLib::VecD & vals, double lost) const = 0;
 
         /// virtual double Invert(const IHasCandles & input, int idx) const = 0; /// TODO HI-level iface
         virtual unsigned MaxShift() const;
 
-        double GetVal(const IHasCandles & input, int idx) const;
+        double GetVal(const IHasCandles & input, const PriceType & priceType, int idx) const;
 };
 
 #endif // ITSXFORM_H
diff --git a/src/tsqsim-lib/src/SimulatorTS.cpp b/src/tsqsim-lib/src/SimulatorTS.cpp
@@ -63,7 +63,7 @@ void SimulatorTS::RunRaw(const StartEnd & startEndFrame)
 
     std::vector<Inp> input;
     VecD original;
-    const double initial = m_per.GetCandles().GetDataIter().at(idxStart).GetClose();
+    const double initial = m_per.GetCandles().GetDataIter().at(idxStart).GetPriceByType(m_cfgTS.GetPriceType());
     //const double initial = m_per.GetCandles().GetDataIter().at(idxStart).GetHigh();
     input.reserve(idxFinish - idxStart);
     {
@@ -78,7 +78,7 @@ void SimulatorTS::RunRaw(const StartEnd & startEndFrame)
         Get<2>(ele) = i;
         input.push_back(ele);
 
-        original.Add(m_per.GetCandles().GetDataIter().at(i).GetClose());
+        original.Add(m_per.GetCandles().GetDataIter().at(i).GetPriceByType(m_cfgTS.GetPriceType()));
     }
     {
          //LOGL << "Calculating... " << startEndFrame.ToStr() << "\n";

diff --git a/src/tsqsim-lib/src/TSFunLua.cpp b/src/tsqsim-lib/src/TSFunLua.cpp
@@ -2,6 +2,7 @@
 
 #include "Candle.h"
 //#include "IBufferCandles.h"
+#include "ConfigTS.h"
 
 #include <Util/FileUtils.hpp>
 #include <Util/CoutBuf.hpp>
@@ -67,7 +68,8 @@ TSRes TSFunLua::OnDataPointProt(int idx) const
     const Candle & canCurr = GetCandle(idx);
     const Candle & canPrev = GetCandle(idx, 1);
 
-    const double ret = gmat.Fabs(canCurr.GetClose() - canPrev.GetClose());
+
+    const double ret = gmat.Fabs(canCurr.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()) - canPrev.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()));
 
     TSRes res(true);
     res.val = ret;

diff --git a/src/tsqsim-lib/src/TSFunPrintCumul.cpp b/src/tsqsim-lib/src/TSFunPrintCumul.cpp
@@ -1,6 +1,7 @@
 #include "TSFunPrintCumul.h"
 
 #include "Candle.h"
+#include "ConfigTS.h"
 
 #include <Math/GeneralMath.hpp>
 #include <Util/CoutBuf.hpp>
@@ -25,7 +26,7 @@ TSRes TSFunPrintCumul::OnDataPointProt(int idx) const
     const Candle & canCurr = GetCandle(idx);
     const Candle & canPrev = GetCandle(idx, 1);
 
-    const double ret = gmat.Sqrt(gmat.Fabs(canCurr.GetClose() - canPrev.GetClose()));// - 0.035;
+    const double ret = gmat.Sqrt(gmat.Fabs(canCurr.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()) - canPrev.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType())));// - 0.035;
 
     TSRes res(true);
     res.val = ret;

diff --git a/src/tsqsim-lib/src/TSFunTxt.cpp b/src/tsqsim-lib/src/TSFunTxt.cpp
@@ -16,6 +16,7 @@ using namespace EnjoLib;
 
 TSFunTxt::TSFunTxt(const TSInput & tsin)
 : TSFunBase(tsin)
+, m_xformMan(tsin.m_cfgTS.GetPriceType())
 {      
     //const CharManipulations cman;
     const Tokenizer tok;

diff --git a/src/tsqsim-lib/src/TSFunXForm.cpp b/src/tsqsim-lib/src/TSFunXForm.cpp
@@ -1,4 +1,5 @@
 #include "TSFunXForm.h"
+#include "ConfigTS.h"
 
 #include "Candle.h"
 
@@ -20,7 +21,7 @@ TSRes TSFunXForm::OnDataPointProt(int idx) const
     const Candle & canCurr = GetCandle(idx);
     const Candle & canPrev = GetCandle(idx, 1);
 
-    const double ret = gmat.Fabs(canCurr.GetClose() - canPrev.GetClose());
+    const double ret = gmat.Fabs(canCurr.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()) - canPrev.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()));
 
     TSRes res(true);
     res.val = ret;

diff --git a/src/tsqsim-lib/src/TSXformImpl.cpp b/src/tsqsim-lib/src/TSXformImpl.cpp
@@ -19,25 +19,22 @@ TSXformDiff::TSXformDiff(const VecStr & params)
          m_order = CharManipulations().ToInt(params.at(0));
     }
 }
-XformRes TSXformDiff::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformDiff::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     const Candle & canCurr = input.GetCandle(idx);
     double prev = prevConverted ;
     if (idx < int(input.Len()) - int(MaxShift())) /// TODO: Retarded from a user's perspective. It should be: "if (i > 0)" ?
     {
         const Candle & canPrev = input.GetCandle(idx, 1);
-        prev = canPrev.GetClose();
+        prev = canPrev.GetPriceByType(priceType);
         //prev = 0;
     }
     else
     {
         //LOGL << "Prev = " << prev << Nl;
     }
-    //const double diff = canCurr.GetClose() - prev;
-    //const double diff = canCurr.GetHigh() - prev;
-    //return diff;
     VecD inp;
-    inp.Add(canCurr.GetClose());
+    inp.Add(canCurr.GetPriceByType(priceType));
     inp.Add(prev);
     const XformRes & diff = Run(inp);
     return diff;
@@ -64,12 +61,12 @@ unsigned TSXformDiff::MaxShift() const
     return m_order;
 }
 
-XformRes TSXformOrig::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformOrig::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     XformRes res;
 
     const Candle & canCurr = input.GetCandle(idx);
-    res.conv = canCurr.GetClose();
+    res.conv = canCurr.GetPriceByType(priceType);
 
     return res; /// TODO: Get a common value of candle
 }
@@ -84,7 +81,7 @@ double TSXformOrig::Invert(const EnjoLib::VecD & vals, double lost) const
     return vals.at(0);
 }
 
-XformRes TSXformFabs::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformFabs::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     return Run(VecD(1, prevConverted));
 }
@@ -100,7 +97,7 @@ double TSXformFabs::Invert(const EnjoLib::VecD & vals, double lost) const
     return vals.at(0) * lost;
 }
 
-XformRes TSXformSqrt::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformSqrt::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     return Run(VecD(1, prevConverted));
 }
@@ -131,7 +128,7 @@ double TSXformSqrt::Invert(const EnjoLib::VecD & vals, double lost) const
     return valPrev < 0 ? -pow : pow;
 }
 
-XformRes TSXformLog::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformLog::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     return Run(VecD(1, prevConverted));
 }
@@ -174,7 +171,7 @@ TSXformAdd::TSXformAdd(const VecStr & params)
 : m_add(CharManipulations().ToDouble(params.at(0)))
 {
 }
-XformRes TSXformAdd::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformAdd::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     return Run(VecD(1, prevConverted));
 }
@@ -192,7 +189,7 @@ TSXformMul::TSXformMul(const VecStr & params)
 {
     Assertions::IsNonZero(m_mul, "TSXformMul::TSXformMul()");
 }
-XformRes TSXformMul::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformMul::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     return Run(VecD(1, prevConverted));
 }
@@ -210,7 +207,7 @@ TSXformDiv::TSXformDiv(const VecStr & params)
 {
     Assertions::IsNonZero(m_div, "TSXformDiv::TSXformDiv()");
 }
-XformRes TSXformDiv::Run(const IHasCandles & input, int idx, double prevConverted) const
+XformRes TSXformDiv::Run(const IHasCandles & input, const PriceType & priceType, int idx, double prevConverted) const
 {
     return Run(VecD(1, prevConverted));
 }
+1 −1		libStat3rd/CMakeLists.txt
+23 −0		libStat3rd/Statistical/3rdParty/EigenUtil.cpp
+20 −0		libStat3rd/Statistical/3rdParty/EigenUtil.hpp