mj-xmr · mj-xmr · Jan 21, 2022 · Jan 21, 2022 · Jan 21, 2022
diff --git a/src/lib-base/src/IHasCandles.h b/src/lib-base/src/IHasCandles.h
@@ -9,7 +9,8 @@ class IHasCandles
         IHasCandles();
         virtual ~IHasCandles();
 
-        virtual Candle GetCandle(int idx, int shift = 0) const = 0;
+        virtual Candle GetCandle0Based(int idx) const = 0;
+        virtual Candle GetCandleTS(int idx, int shift = 0) const = 0;
         virtual unsigned Len() const = 0;
 
     protected:

diff --git a/src/lib-base/src/ITSFun.cpp b/src/lib-base/src/ITSFun.cpp
@@ -11,7 +11,7 @@ ITSFun::~ITSFun()
     //dtor
 }
 
-
+/*
 EnjoLib::VecD ITSFun::ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const
 {
     EnjoLib::VecD reconstr;
@@ -21,4 +21,5 @@ EnjoLib::VecD ITSFun::ReconstructVec(const EnjoLib::VecD & input, const EnjoLib:
         reconstr.Add(rec.val);
     }
     return reconstr;
-}
+}
+*/
diff --git a/src/lib-base/src/ITSFun.h b/src/lib-base/src/ITSFun.h
@@ -15,8 +15,8 @@ class ITSFun : public IHasCandles, public IOptimizable
         virtual ~ITSFun();
 
         virtual TSRes OnDataPoint(int idx) const = 0;
-        virtual TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const = 0;
-        EnjoLib::VecD ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const;
+        //virtual TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const = 0;
+        virtual EnjoLib::VecD ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const = 0;
         virtual const char * GetName() const = 0;
         virtual void SetSilent() = 0;
 

diff --git a/src/lib-base/src/PredictorTrue.cpp b/src/lib-base/src/PredictorTrue.cpp
@@ -5,14 +5,15 @@ PredictorTrue::PredictorTrue(const IDataProvider & dat)
 {}
 PredictorTrue::~PredictorTrue(){}
 
+/*
 EnjoLib::VecD PredictorTrue::PredictVec(const EnjoLib::VecD & data) const
 {
     EnjoLib::VecD ret;
     //ret.reserve(horizon);
     //ret.Add(data.at(idx));
     return data;
 }
-
+*/
 double PredictorTrue::PredictNext(const BufferDouble & datExpanding) const
 {
     return datExpanding[0];

diff --git a/src/lib-base/src/PredictorTrue.h b/src/lib-base/src/PredictorTrue.h
@@ -10,7 +10,7 @@ class PredictorTrue : public PredictorBase
         PredictorTrue(const IDataProvider & dat);
         virtual ~PredictorTrue();
 
-        EnjoLib::VecD PredictVec(const EnjoLib::VecD & data) const override;
+        //EnjoLib::VecD PredictVec(const EnjoLib::VecD & data) const override;
         double PredictNext(const BufferDouble & datExpanding) const override;
         unsigned GetLags() const override;
 

diff --git a/src/lib-base/src/TSFunBase.cpp b/src/lib-base/src/TSFunBase.cpp
@@ -66,11 +66,16 @@ const IBufferCandles & TSFunBase::GetCandles() const
     return m_bufCan;
 }
 
-Candle TSFunBase::GetCandle(int idx, int shift) const
+Candle TSFunBase::GetCandleTS(int idx, int shift) const
 {
     return m_bufCan[idx + shift];
 }
 
+Candle TSFunBase::GetCandle0Based(int idx) const
+{
+    return m_bufCan.GetDataVec()[idx];
+}
+
 unsigned TSFunBase::Len() const
 {
     return LenProt();

diff --git a/src/lib-base/src/TSFunBase.h b/src/lib-base/src/TSFunBase.h
@@ -25,7 +25,8 @@ class TSFunBase : public ITSFun
         const IPeriod & GetPer() const;
         const IDataProvider & GetData() const;
         const IBufferCandles & GetCandles() const;
-        Candle GetCandle(int idx, int shift = 0) const override; // IHasCandles
+        Candle GetCandleTS(int idx, int shift = 0) const override; // IHasCandles
+        Candle GetCandle0Based(int idx) const override; // IHasCandles /// TODO: decide what kind of index to use
         OptiVarVec GetOptiFloat() override; // IOptimizable
 
     protected:

diff --git a/src/qt-lib/src/PlotElements.cpp b/src/qt-lib/src/PlotElements.cpp
@@ -162,6 +162,7 @@ void PlotElements::SetupReconstruction(QCustomPlot * p, const ISimulatorTS & sim
     const ConfigTS & confTS = *gcfgMan.cfgTS;
     Util::AddMA(d.GetTime(), Util::stdVectToQVectF(simTS.GetOutputSeries(PredictorOutputType::RECONSTRUCTION).Data()),               p, Qt::blue);
     Util::AddMA(d.GetTime(), Util::stdVectToQVectF(simTS.GetOutputSeries(PredictorOutputType::RECONSTRUCTION_PRED).Data()),          p, Qt::green);
+    //Util::AddMA(d.GetTime(), Util::stdVectToQVectF(simTS.GetOutputSeries(PredictorOutputType::PREDICTION).Data()),          p, Qt::yellow);
     if (confTS.PLOT_BASELINE)
     {
         Util::AddMA(d.GetTime(), Util::stdVectToQVectF(simTS.GetOutputSeries(PredictorOutputType::RECONSTRUCTION_PRED_BASELINE).Data()), p, Qt::gray);

diff --git a/src/tsqsim-lib/src/ITSXform.cpp b/src/tsqsim-lib/src/ITSXform.cpp
@@ -5,13 +5,15 @@
 ITSXform::ITSXform(){}
 ITSXform::~ITSXform(){}
 
+const double ITSXform::DATA_INITIAL = -100000;
+
 unsigned ITSXform::MaxShift() const
 {
     return 0;
 }
 
 double ITSXform::GetVal(const IHasCandles & input, const PriceType & priceType, int idx) const
 {
-    const Candle & can = input.GetCandle(idx);
+    const Candle & can = input.GetCandle0Based(idx);
     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
@@ -20,6 +20,8 @@ struct ITSXform
         virtual unsigned MaxShift() const;
 
         double GetVal(const IHasCandles & input, const PriceType & priceType, int idx) const;
+
+        static const double DATA_INITIAL;
 };
 
 #endif // ITSXFORM_H
diff --git a/src/tsqsim-lib/src/SimulatorTS.cpp b/src/tsqsim-lib/src/SimulatorTS.cpp
@@ -58,13 +58,12 @@ void SimulatorTS::RunRaw(const StartEnd & startEndFrame)
         idxFinish = startEndFrame.end;
     }
     const int len = idxFinish - idxStart;
-    
+
     const SimulatorTSReports reps;
 
     std::vector<Inp> input;
     VecD original;
-    const double initial = m_per.GetCandles().GetDataIter().at(idxStart).GetPriceByType(m_cfgTS.GetPriceType());
-    //const double initial = m_per.GetCandles().GetDataIter().at(idxStart).GetHigh();
+    //const double initial = m_per.GetCandles().GetDataIter().at(idxStart).GetPriceByType(m_cfgTS.GetPriceType());
     input.reserve(idxFinish - idxStart);
     {
          //LOGL << "Collecting input...\n";
@@ -170,18 +169,18 @@ EnjoLib::VecD SimulatorTS::PredAlgo(const IPredictor & predAlgo) const
     //const int horizon = 1;
     const EnjoLib::VecD & preds = PredCommon(predAlgo, m_dataMan.converted);
 
-    //LOGL << "Preds = " << preds.Print() << Nl;
-
     const std::vector<TSRes> & rec = GetReconstruction(&m_fun, preds, m_dataMan.convertedLost);
-    return GetReconstructionFiltered(rec);
+    const EnjoLib::VecD & recV = GetReconstructionFiltered(rec);
+    //LOGL << "Preds = " << preds.Print() << Nl << "Reconstr = " << recV.Print()<< Nl;
+    return recV;
 }
 
 EnjoLib::VecD SimulatorTS::PredCommon(const IPredictor & predAlgo, const EnjoLib::VecD & data) const
 {
     if (m_cfgTS.USE_VECTOR_PRED)
     {
         const EnjoLib::VecD & predVec = predAlgo.PredictVec(data);
-        
+
         // Assertion, checking if just some of the returned values are the same as predAlgo.Predict(data);
         BufferDouble buf(data);
         const double predLast = predAlgo.PredictNext(buf);
@@ -227,37 +226,28 @@ std::vector<TSRes> SimulatorTS::GetRets(const std::vector<Inp> & input) const
     }
 }
 
-std::vector<TSRes> SimulatorTS::GetReconstruction(const ITSFun * fun, const EnjoLib::VecD & input, const EnjoLib::Matrix & lostMat, bool additive) const
+std::vector<TSRes> SimulatorTS::GetReconstruction(const ITSFun * fun, const EnjoLib::VecD & input, const EnjoLib::Matrix & lostMat) const
 {   /// TODO: the double "initial" should probably be a vector of initial conditions, built from the 1st diffs (len = 1), 2nd diffs (len = 2), and so on.
     /// TODO: extract "lost information" from each transformation and apply here
     std::vector<TSRes> ret;
-    //double prev = additive ? initial : 0;
-    double prev = 0;
-    //TSRes r1st(true);
-    //r1st.val = prev;
-    //ret.push_back(r1st);
-    const size_t startIdx = 0; // Subject to transformation limits
-    for (size_t i = startIdx; i < input.size(); ++i)
+    const VecD & reconstr = fun->ReconstructVec(input, lostMat);
+    //LOGL << "Reconstr = " << reconstr.Print() << Nl;
+    for (int i = 0; i < reconstr.size(); ++i)
     {
-        //if (inp.valid)
+        TSRes res;
+        res.val = reconstr.at(i);
+        if (reconstr.at(i) == 0)
         {
-            const VecD & lost = lostMat.at(i);
-            TSRes res = fun->Reconstruct(i, input, lost);
-            //LOGL << "OUT = " << res.val << " " << res.valid << Nl;
-            //if (res.val != 0 && prev == 0 && i > 0)
-            if (res.val == 0)
+            if (i == 0)
+            {
+                res.val = m_original.at(0);
+            }
+            else
             {
-                if (i == 0)
-                {
-                    res.val = m_original.at(0);
-                }
-                else
-                {
-                    res.val = m_original.at(i-1);  // Simulate baseline
-                }
+                res.val = m_original.at(i-1);  // Simulate baseline
             }
-            ret.push_back(res);
         }
+        ret.push_back(res);
     }
     return ret;
 }
@@ -268,18 +258,12 @@ TSRes SimulatorTS::IterBet(const Inp & ele)
     const ITSFun * fun = Get<1>(ele);
     const int i = Get<2>(ele);
 
-    const unsigned sti = data->GetCandles().ConvertIndex(i);
-    const TSRes & res = fun->OnDataPoint(sti);
+    //const unsigned sti = data->GetCandles().ConvertIndex(i);
+    const TSRes & res = fun->OnDataPoint(i);
     return res;
     //LOGL << "i = " << i << ", res = " << res << Nl;
 }
 
-/*
-void SimulatorTS::ReinitOptiVars(const EnjoLib::IIterable<OptiVarF *> & optiVars)
-{
-    m_ppred->UpdateOptiVars(optiVars);
-}
-*/
 void SimulatorTS::ReinitOptiVars(const EnjoLib::VecD & optiVars)
 {
     m_ppred->UpdateOptiVars(optiVars);

diff --git a/src/tsqsim-lib/src/SimulatorTS.h b/src/tsqsim-lib/src/SimulatorTS.h
@@ -39,7 +39,7 @@ class SimulatorTS : public ISimulatorTS
 
         STDFWD::vector<TSRes> GetRets(const STDFWD::vector<Inp> & inp) const;
         TSXformDataMan GetRetsFiltered(const STDFWD::vector<Inp> & inp) const;
-        STDFWD::vector<TSRes> GetReconstruction(const ITSFun * fun, const EnjoLib::VecD & inp, const EnjoLib::Matrix & lost, bool additive = true) const;
+        STDFWD::vector<TSRes> GetReconstruction(const ITSFun * fun, const EnjoLib::VecD & inp, const EnjoLib::Matrix & lost) const;
         EnjoLib::VecD GetReconstructionFiltered(const STDFWD::vector<TSRes> & input) const;
 
         TSRes Reconstr(const ITSFun * fun, const double val) const;

diff --git a/src/tsqsim-lib/src/SimulatorTSReports.cpp b/src/tsqsim-lib/src/SimulatorTSReports.cpp
@@ -20,7 +20,10 @@ SimulatorTSReports::SimulatorTSReports()
 
 EnjoLib::VecD SimulatorTSReports::PrepPredsPlot(const EnjoLib::VecD & orig, const EnjoLib::VecD & predBaseline, const EnjoLib::VecD & pred) const
 {
-    const VecD & diff = (predBaseline - orig) - (pred - orig); /// TODO: this could make more sense using squares?
+    //const VecD & diff = (predBaseline - orig) - (pred - orig); /// TODO: this could make more sense using squares?
+    //const VecD & diff = (predBaseline - orig);// - (pred - orig);
+    const VecD & diff = (pred - orig);// - (predBaseline - orig);
+    //const VecD & diff = (predBaseline - orig) / (pred - orig); /// TODO: this could make more sense using squares?
     return Statistical().CumSum(diff);
 }
 

diff --git a/src/tsqsim-lib/src/TSFunLua.cpp b/src/tsqsim-lib/src/TSFunLua.cpp
@@ -65,8 +65,8 @@ TSRes TSFunLua::OnDataPointProt(int idx) const
 {
     const GMat gmat;
 
-    const Candle & canCurr = GetCandle(idx);
-    const Candle & canPrev = GetCandle(idx, 1);
+    const Candle & canCurr = GetCandle0Based(idx);
+    const Candle & canPrev = GetCandle0Based(idx - 1);
 
 
     const double ret = gmat.Fabs(canCurr.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()) - canPrev.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()));
@@ -77,9 +77,15 @@ TSRes TSFunLua::OnDataPointProt(int idx) const
     return res;
 }
 
+EnjoLib::VecD TSFunLua::ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const
+{
+    return EnjoLib::VecD();
+}
+
+/*
 TSRes TSFunLua::Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const
 {
     TSRes res(true);
     return res;
 }
-
+*/
diff --git a/src/tsqsim-lib/src/TSFunLua.h b/src/tsqsim-lib/src/TSFunLua.h
@@ -15,7 +15,8 @@ class TSFunLua : public TSFunBase
 
     protected:
         TSRes OnDataPointProt(int idx) const override;
-        TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const override;
+        //TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const override;
+        EnjoLib::VecD ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const override;
 
     private:
         // create new Lua state

diff --git a/src/tsqsim-lib/src/TSFunPrintAll.cpp b/src/tsqsim-lib/src/TSFunPrintAll.cpp
@@ -22,8 +22,14 @@ TSRes TSFunPrintAll::OnDataPointProt(int idx) const
     return res;
 }
 
+EnjoLib::VecD TSFunPrintAll::ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const
+{
+    return EnjoLib::VecD();
+}
+/*
 TSRes TSFunPrintAll::Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const
 {
     TSRes res(true);
     return res;
 }
+*/
diff --git a/src/tsqsim-lib/src/TSFunPrintAll.h b/src/tsqsim-lib/src/TSFunPrintAll.h
@@ -13,7 +13,8 @@ class TSFunPrintAll : public TSFunBase
 
     protected:
         TSRes OnDataPointProt(int idx) const override;
-        TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const override;
+        //TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const override;
+        EnjoLib::VecD ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const override;
 
     private:
 };

diff --git a/src/tsqsim-lib/src/TSFunPrintCumul.cpp b/src/tsqsim-lib/src/TSFunPrintCumul.cpp
@@ -23,8 +23,8 @@ TSRes TSFunPrintCumul::OnDataPointProt(int idx) const
 {
     const GMat gmat;
 
-    const Candle & canCurr = GetCandle(idx);
-    const Candle & canPrev = GetCandle(idx, 1);
+    const Candle & canCurr = GetCandle0Based(idx);
+    const Candle & canPrev = GetCandle0Based(idx - 1);
 
     const double ret = gmat.Sqrt(gmat.Fabs(canCurr.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType()) - canPrev.GetPriceByType(GetTSIn().m_cfgTS.GetPriceType())));// - 0.035;
 
@@ -34,9 +34,16 @@ TSRes TSFunPrintCumul::OnDataPointProt(int idx) const
     return res;
 }
 
+
+EnjoLib::VecD TSFunPrintCumul::ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const
+{
+    return EnjoLib::VecD();
+}
+
+/*
 TSRes TSFunPrintCumul::Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const
 {
     TSRes res(true);
     return res;
 }
-
+*/
diff --git a/src/tsqsim-lib/src/TSFunPrintCumul.h b/src/tsqsim-lib/src/TSFunPrintCumul.h
@@ -13,7 +13,8 @@ class TSFunPrintCumul : public TSFunBase
 
     protected:
         TSRes OnDataPointProt(int idx) const override;
-        TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const override;
+        //TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const override;
+        EnjoLib::VecD ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const override;
 
     private:
 };

diff --git a/src/tsqsim-lib/src/TSFunTxt.cpp b/src/tsqsim-lib/src/TSFunTxt.cpp
@@ -39,9 +39,9 @@ TSRes TSFunTxt::OnDataPointProt(int idx) const
     return m_xformMan.OnDataPointProt(*this, idx);
 }
 
-TSRes TSFunTxt::Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const
+VecD TSFunTxt::ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const
 {
-    return m_xformMan.Reconstruct(input.at(idx), lost);
+    return m_xformMan.ReconstructVec(input, lost);
 }
 
 unsigned TSFunTxt::LenProt() const

diff --git a/src/tsqsim-lib/src/TSFunTxt.h b/src/tsqsim-lib/src/TSFunTxt.h
@@ -19,7 +19,7 @@ class TSFunTxt : public TSFunBase
 
     protected:
         TSRes OnDataPointProt(int idx) const override;
-        TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const override;
+        EnjoLib::VecD ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const override;
 
         unsigned LenProt() const override;