Hello JBTers,
Consider this challenge: over a time window of fixed length (let's say 2
hour time window), I'd like to know the high price and low price in that
window. The straightforward solution is to iterate over the prices in the
window and compute the min and max values, which has to be done every time
an old price drops from the window and the new price is added to the
window. This works, but it's very inefficient. It requires N operations
where N is the length of the time window. This makes strategy optimization
which uses this indicator painfully slow. All other indicators in JBT
require just one operation to update the indicator.
So, the challenge is to to make the min/max calculation in a moving window
more computationally efficient. I attached the inefficient solution, where
the update() method has to be called every time before min or max can be
returned.
Any takers to improve this?
Thanks,
Eugene.
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package com.jbooktrader.platform.util.movingwindow;
/**
* @author Eugene Kononov
*/
public class MovingWindow {
protected final double[] elements;
private int start, end;
protected boolean isFull;
private final int capacity;
public MovingWindow(int capacity) {
this.capacity = capacity;
elements = new double[capacity];
}
public int getCapacity() {
return capacity;
}
public double get(int position) {
int index = (start + position - 1) % capacity;
if (index < 0) {
index = capacity + index;
}
return elements[index];
}
public double getFirst() {
return get(0);
}
public double getLast() {
return get(capacity - 1);
}
public void add(double value) {
elements[end] = value;
end = (end + 1) % capacity;
if (end == start) {
start = (start + 1) % capacity;
isFull = true;
}
}
public boolean isFull() {
return isFull;
}
public void clear() {
isFull = false;
start = end = 0;
for (int index = 0; index < capacity; index++) {
elements[index] = 0;
}
}
}
package com.jbooktrader.platform.util.movingwindow;
/**
* @author Eugene Kononov
*/
public class MovingWindowMinMax extends MovingWindow {
private double min, max;
public MovingWindowMinMax(int capacity) {
super(capacity);
}
public double getMin() {
return min;
}
public double getMax() {
return max;
}
public void update() {
min = max = elements[0];
int capacity = getCapacity();
for (int index = 1; index < capacity; index++) {
double element = elements[index];
if (element > max) {
max = element;
} else if (element < min) {
min = element;
}
}
}
}
