Package com.polytechnik.trading
Class QVMData
java.lang.Object
com.polytechnik.trading.QVMData
Moments data in monomials basis, use
QVMDataDirectAccess
to extract.- See Also:
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Nested Class Summary
Nested Classes -
Field Summary
FieldsModifier and TypeFieldDescription(package private) final double[]
(package private) final double[]
(package private) final long
(package private) final double[]
(package private) final double[]
(package private) final com.polytechnik.realtimebook.Trade
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) static final int
Possible momentwhatmom
forshiftOffset(double, double, double, int)
.(package private) final int
(package private) final int
(package private) final int
(package private) final double
(package private) final double[]
(package private) final double[]
(package private) final double
(package private) final double[]
(package private) final double[]
(package private) final long
(package private) final double
(package private) final long
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final com.polytechnik.realtimebook.Trade
(package private) final double[]
(package private) final double[]
(package private) final double
(package private) final double
(package private) final double[]
(package private) final double[]
(package private) final double[]
(package private) final long
(package private) final double[]
(package private) final double[]
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Constructor Summary
ConstructorsConstructorDescriptionQVMData
(long currenttime, long tau, long vol, long svol, double p_offset, double pt_sum, double t_sum, double v_sum, double v_scale, double[] tmoments_vol_x_tau_x_p, double[] vmoments_vol_x_tau_x_p, double[] Tvmoments_vol_x_tau_x_p, double[] VdPmoments_vol_x_tau_x_p, double[] Dp_tmoments_vol_x_tau_x_p, double[] Dp_vmoments_vol_x_tau_x_p, double[] Da_tmoments_vol_x_tau_x_p, double[] Da_vmoments_vol_x_tau_x_p, double[] vbuymoments_vol_x_tau_x_p, double[] vsellmoments_vol_x_tau_x_p, double[] pmoments_vol_x_tau_x_p, double[] Tpmoments_vol_x_tau_x_p, double[] pluspmoments_vol_x_tau_x_p, double[] minuspmoments_vol_x_tau_x_p, double[] amoments_vol_x_tau_x_p, double[] admoments_vol_x_tau_x_p, double[] tsmoments_vol_x_tau_x_p, double[] vsmoments_vol_x_tau_x_p, double[] rtsmoments_vol_x_tau_x_p, double[] rvsmoments_vol_x_tau_x_p, double[] tauvbuymoments_vol_x_tau_x_p, double[] tauvsellmoments_vol_x_tau_x_p, int nvm, int ntm, int npm, com.polytechnik.realtimebook.Trade trade_last, com.polytechnik.realtimebook.Trade dp_diff_last) -
Method Summary
Modifier and TypeMethodDescriptionstatic QVMData
calculateQVMData
(int nvm, int ntm, int npm, long currenttime, long tau, com.polytechnik.realtimebook.Trade[] tb, int tsize, QVMData ref) private static void
checkCalculations
(int tsize, Random r, int nvm, int ntm, int npm, int n_price_quants, double eps) private static void
checkMatching
(QVMData r, QVMData ref, double eps, double epssum) private static void
checkMatchingTradeIPVMData
(QVMData r, com.polytechnik.trading.CalculateKendall.TradeIPVMData ref, double eps) private static void
checkPOffset
(QVMData o, Random r, double eps) private static void
checkVTProjections
(QVMData o, double eps) (package private) static double[][][]
get3ArrayFromArrayForTesting
(double[] mom, int na, int nb, int nc) (package private) static double[][][][]
get4ArrayFromArrayForTesting
(double[] mom, int na, int nb, int nc, int nd) Used for unit tests ofQVM.QVMDataMU
.(package private) static double[]
getArrayFrom3ArrayForTesting
(double[][][] abc, int na, int nb, int nc) Used for unit tests ofQVM.QVMCoefs
.static void
private static void
matchWithTest
(String description, QVMData r, com.polytechnik.realtimebook.Trade[] tb, int tsize, double eps) (package private) double[]
projecToVT
(int nd) Used in old code ofQVM.QVMAverage
.(package private) double[]
shiftOffset
(double dv, double dt, double dp, int whatmom) private static double[]
shiftOffset
(int nvm, int ntm, int npm, double[] in, double dv, double dt, double dp) private static double[]
shiftPOffsetOnly
(double[] moments, int nxm, int npm, double dp) (package private) static void
test_Self
(long initrandom)
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Field Details
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currenttime
final long currenttime -
tau
final long tau -
vol
final long vol -
svol
final long svol -
p_offset
final double p_offset -
pt_sum
final double pt_sum -
t_sum
final double t_sum -
v_sum
final double v_sum -
v_scale
final double v_scale -
nvm
final int nvm -
ntm
final int ntm -
npm
final int npm -
tmoments_vol_x_tau_x_p
final double[] tmoments_vol_x_tau_x_p -
vmoments_vol_x_tau_x_p
final double[] vmoments_vol_x_tau_x_p -
Tvmoments_vol_x_tau_x_p
final double[] Tvmoments_vol_x_tau_x_p -
VdPmoments_vol_x_tau_x_p
final double[] VdPmoments_vol_x_tau_x_p -
Dp_tmoments_vol_x_tau_x_p
final double[] Dp_tmoments_vol_x_tau_x_p -
Dp_vmoments_vol_x_tau_x_p
final double[] Dp_vmoments_vol_x_tau_x_p -
Da_tmoments_vol_x_tau_x_p
final double[] Da_tmoments_vol_x_tau_x_p -
Da_vmoments_vol_x_tau_x_p
final double[] Da_vmoments_vol_x_tau_x_p -
vbuymoments_vol_x_tau_x_p
final double[] vbuymoments_vol_x_tau_x_p -
vsellmoments_vol_x_tau_x_p
final double[] vsellmoments_vol_x_tau_x_p -
pmoments_vol_x_tau_x_p
final double[] pmoments_vol_x_tau_x_p -
Tpmoments_vol_x_tau_x_p
final double[] Tpmoments_vol_x_tau_x_p -
pluspmoments_vol_x_tau_x_p
final double[] pluspmoments_vol_x_tau_x_p -
minuspmoments_vol_x_tau_x_p
final double[] minuspmoments_vol_x_tau_x_p -
amoments_vol_x_tau_x_p
final double[] amoments_vol_x_tau_x_p -
admoments_vol_x_tau_x_p
final double[] admoments_vol_x_tau_x_p -
tsmoments_vol_x_tau_x_p
final double[] tsmoments_vol_x_tau_x_p -
vsmoments_vol_x_tau_x_p
final double[] vsmoments_vol_x_tau_x_p -
rtsmoments_vol_x_tau_x_p
final double[] rtsmoments_vol_x_tau_x_p -
rvsmoments_vol_x_tau_x_p
final double[] rvsmoments_vol_x_tau_x_p -
tauvbuymoments_vol_x_tau_x_p
final double[] tauvbuymoments_vol_x_tau_x_p -
tauvsellmoments_vol_x_tau_x_p
final double[] tauvsellmoments_vol_x_tau_x_p -
trade_last
final com.polytechnik.realtimebook.Trade trade_last -
dp_diff_last
final com.polytechnik.realtimebook.Trade dp_diff_last -
MOM_dV
static final int MOM_dVPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
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MOM_dT
static final int MOM_dTPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_TdV
static final int MOM_TdVPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_VdPdt
static final int MOM_VdPdtPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
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MOM_VBUY
static final int MOM_VBUYPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_VSELL
static final int MOM_VSELLPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_DP
static final int MOM_DPPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_TDP
static final int MOM_TDPPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_DPPLUS
static final int MOM_DPPLUSPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
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MOM_DPMINUS
static final int MOM_DPMINUSPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_A
static final int MOM_APossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_AD
static final int MOM_ADPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_TS
static final int MOM_TSPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_VS
static final int MOM_VSPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_RTS
static final int MOM_RTSPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_RVS
static final int MOM_RVSPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_TAUIBUY
static final int MOM_TAUIBUYPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_TAUISELL
static final int MOM_TAUISELLPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_DPV
static final int MOM_DPVPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_DPT
static final int MOM_DPTPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_DAV
static final int MOM_DAVPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
MOM_DAT
static final int MOM_DATPossible momentwhatmom
forshiftOffset(double, double, double, int)
. Contrary toDataInterfaceDirectTradesHistorical
these IDs are internal andQVMData
class specific.- See Also:
-
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Constructor Details
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QVMData
QVMData(long currenttime, long tau, long vol, long svol, double p_offset, double pt_sum, double t_sum, double v_sum, double v_scale, double[] tmoments_vol_x_tau_x_p, double[] vmoments_vol_x_tau_x_p, double[] Tvmoments_vol_x_tau_x_p, double[] VdPmoments_vol_x_tau_x_p, double[] Dp_tmoments_vol_x_tau_x_p, double[] Dp_vmoments_vol_x_tau_x_p, double[] Da_tmoments_vol_x_tau_x_p, double[] Da_vmoments_vol_x_tau_x_p, double[] vbuymoments_vol_x_tau_x_p, double[] vsellmoments_vol_x_tau_x_p, double[] pmoments_vol_x_tau_x_p, double[] Tpmoments_vol_x_tau_x_p, double[] pluspmoments_vol_x_tau_x_p, double[] minuspmoments_vol_x_tau_x_p, double[] amoments_vol_x_tau_x_p, double[] admoments_vol_x_tau_x_p, double[] tsmoments_vol_x_tau_x_p, double[] vsmoments_vol_x_tau_x_p, double[] rtsmoments_vol_x_tau_x_p, double[] rvsmoments_vol_x_tau_x_p, double[] tauvbuymoments_vol_x_tau_x_p, double[] tauvsellmoments_vol_x_tau_x_p, int nvm, int ntm, int npm, com.polytechnik.realtimebook.Trade trade_last, com.polytechnik.realtimebook.Trade dp_diff_last)
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Method Details
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checkMatching
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calculateQVMData
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matchWithTest
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checkMatchingTradeIPVMData
private static void checkMatchingTradeIPVMData(QVMData r, com.polytechnik.trading.CalculateKendall.TradeIPVMData ref, double eps) -
checkVTProjections
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checkPOffset
-
checkCalculations
private static void checkCalculations(int tsize, Random r, int nvm, int ntm, int npm, int n_price_quants, double eps) -
projecToVT
double[] projecToVT(int nd) Used in old code ofQVM.QVMAverage
. -
shiftOffset
-
shiftOffset
private static double[] shiftOffset(int nvm, int ntm, int npm, double[] in, double dv, double dt, double dp) -
getArrayFrom3ArrayForTesting
static double[] getArrayFrom3ArrayForTesting(double[][][] abc, int na, int nb, int nc) Used for unit tests ofQVM.QVMCoefs
. -
get3ArrayFromArrayForTesting
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get4ArrayFromArrayForTesting
static double[][][][] get4ArrayFromArrayForTesting(double[] mom, int na, int nb, int nc, int nd) Used for unit tests ofQVM.QVMDataMU
. -
shiftPOffsetOnly
private static double[] shiftPOffsetOnly(double[] moments, int nxm, int npm, double dp) -
test_Self
static void test_Self(long initrandom) -
main
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