Added resolution to sampling to avoid duplicate draws

neurallayer · Dec 26, 2023 · 8dacef1 · 8dacef1
1 parent 7c22009
commit 8dacef1
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Showing 5 changed files with 22 additions and 10 deletions.
diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/TimeSeriesChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/TimeSeriesChart.kt
@@ -105,7 +105,10 @@ class TimeSeriesChart(
         val xAxis = if (useTime) TimeAxis() else ValueAxis()
         val yAxis = ValueAxis().setScale(true)
 
-        val tooltip = if (data.size > 5) "item" else "axis"
+        // Deal with many series on a single chart
+        val showSymbol = data.size > 5
+        val tooltip = if (showSymbol) "item" else "axis"
+
         val chart = Line()
             .setTitle(title)
             .addXAxis(xAxis)
@@ -118,7 +121,7 @@ class TimeSeriesChart(
             val d = reduce(entries.toSeriesData())
             val lineSeries = LineSeries()
                 .setData(d)
-                .setShowSymbol(false)
+                .setShowSymbol(showSymbol)
                 .setName(name.removeSuffix(suffix))
                 .setLineStyle(LineStyle().setWidth(1))
 

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/TimeSpan.kt b/roboquant/src/main/kotlin/org/roboquant/common/TimeSpan.kt
@@ -128,7 +128,7 @@ class TimeSpan internal constructor(internal val period: Period, internal val du
     override fun hashCode(): Int {
         return period.hashCode() + duration.hashCode()
     }
-
+    
 }
 
 /*********************************************************************************************

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/Timeframe.kt b/roboquant/src/main/kotlin/org/roboquant/common/Timeframe.kt
@@ -20,6 +20,7 @@ import java.io.Serializable
 import java.time.*
 import java.time.format.DateTimeFormatter
 import java.time.temporal.ChronoUnit
+import java.time.temporal.TemporalUnit
 import kotlin.math.pow
 import kotlin.random.Random
 
@@ -319,19 +320,25 @@ data class Timeframe(val start: Instant, val end: Instant, val inclusive: Boolea
 
     /**
      * Sample one or more timeframes each of a [period] length. Common use case is a Monte Carlo simulation. It uses
-     * millisecond resolution for the start of timeframes.
+     * [resolution] for the start of timeframes, default being [ChronoUnit.DAYS].
+     * The minimum resolution is milliseconds.
      *
      * The returned list will not contain duplicate timeframes (sampling without replacement).
      */
-    fun sample(period: TimeSpan, samples: Int = 1, random: Random = Config.random): List<Timeframe> {
+    fun sample(
+        period: TimeSpan,
+        samples: Int = 1,
+        resolution: TemporalUnit = ChronoUnit.DAYS,
+        random: Random = Config.random,
+    ): List<Timeframe> {
         require(samples >= 1) { "samples need to be >= 1" }
         require(end - period > start) { "period=$period to large for timeframe=$this" }
         val duration = Timeframe(start, end - period).duration.toMillis()
         require(duration > samples) { "not enough data to sample $samples" }
         val result = mutableSetOf<Timeframe>()
         while (result.size < samples) {
             val offset = random.nextLong(duration)
-            val newStart = start.plusMillis(offset)
+            val newStart = start.plusMillis(offset).truncatedTo(resolution)
             result.add(Timeframe(newStart, newStart + period))
         }
         return result.toList()

diff --git a/roboquant/src/test/kotlin/org/roboquant/common/TimeframeTest.kt b/roboquant/src/test/kotlin/org/roboquant/common/TimeframeTest.kt
@@ -16,12 +16,13 @@
 
 package org.roboquant.common
 
-import kotlin.test.Test
 import org.junit.jupiter.api.assertThrows
 import java.time.Duration
 import java.time.Instant
 import java.time.ZoneId
+import java.time.temporal.ChronoUnit
 import kotlin.math.absoluteValue
+import kotlin.test.Test
 import kotlin.test.assertEquals
 import kotlin.test.assertFalse
 import kotlin.test.assertTrue
@@ -93,7 +94,7 @@ internal class TimeframeTest {
             tf.sample(10.millis, 1200)
         }
 
-        val tfs = tf.sample(10.millis, 700)
+        val tfs = tf.sample(10.millis, 700, resolution = ChronoUnit.MILLIS)
         assertEquals(700, tfs.size)
         assertEquals(700, tfs.toSet().size)
     }

diff --git a/roboquant/src/test/kotlin/org/roboquant/feeds/LiveFeedTest.kt b/roboquant/src/test/kotlin/org/roboquant/feeds/LiveFeedTest.kt
@@ -17,14 +17,15 @@
 package org.roboquant.feeds
 
 import kotlinx.coroutines.*
-import kotlin.test.Test
 import org.junit.jupiter.api.assertDoesNotThrow
 import org.roboquant.Roboquant
 import org.roboquant.common.*
 import org.roboquant.loggers.LastEntryLogger
 import org.roboquant.metrics.ProgressMetric
 import org.roboquant.strategies.EMAStrategy
 import java.time.Instant
+import java.time.temporal.ChronoUnit
+import kotlin.test.Test
 import kotlin.test.assertTrue
 
 internal class LiveFeedTest {
@@ -87,7 +88,7 @@ internal class LiveFeedTest {
         val jobs = ParallelJobs()
 
         var run = 0
-        tf.sample(200.millis, 10).forEach {
+        tf.sample(200.millis, 10, resolution = ChronoUnit.MILLIS).forEach {
             val name = "run-${run++}"
             jobs.add {
                 val rq = Roboquant(EMAStrategy(), ProgressMetric(), logger = LastEntryLogger())