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<?php |
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/** |
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* User: alec |
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* Date: 19.11.18 |
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* Time: 17:27 |
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*/ |
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declare(strict_types=1); |
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namespace AlecRabbit\Counters; |
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use AlecRabbit\Structures\Trade; |
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class VolumeCounter extends EventsCounter |
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{ |
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protected const DOMAINS = [ |
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STR_TOTAL, |
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STR_SELL, |
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STR_BUY, |
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STR_VP_TOTAL, |
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STR_VP_SELL, |
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STR_VP_BUY, |
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STR_P_SUM_TOTAL, |
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STR_P_SUM_SELL, |
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STR_P_SUM_BUY, |
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]; |
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/** @var array */ |
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protected $volumes = []; |
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public function addTrade(Trade $trade): void |
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{ |
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$baseTimes = $this->getBaseTimes($trade->timestamp); |
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$volumePrice = $trade->amount * $trade->price; |
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foreach ($baseTimes as $period => $timestamp) { |
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$this->processPart(STR_TOTAL, $period, $timestamp, $volumePrice, $trade); |
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$this->processPart( |
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$trade->side === T_SELL ? STR_SELL : STR_BUY, |
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$period, |
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$timestamp, |
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$volumePrice, |
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$trade |
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); |
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$this->trim($period); |
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} |
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} |
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/** |
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* @param string $subdomain |
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* @param int $period |
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* @param int $timestamp |
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* @param float $volumePrice |
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* @param Trade $trade |
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*/ |
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protected function processPart( |
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string $subdomain, |
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int $period, |
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int $timestamp, |
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float $volumePrice, |
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Trade $trade |
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): void { |
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$this->volumes[STR_VP . $subdomain][$period][$timestamp] = |
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$this->volumes[STR_VP . $subdomain][$period][$timestamp] ?? 0; |
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$this->volumes[STR_VP . $subdomain][$period][$timestamp] += $volumePrice; |
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$this->volumes[STR_P_SUM . $subdomain][$period][$timestamp] = |
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$this->volumes[STR_P_SUM . $subdomain][$period][$timestamp] ?? 0; |
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$this->volumes[STR_P_SUM . $subdomain][$period][$timestamp] += $trade->price; |
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$this->volumes[$subdomain][$period][$timestamp] = $this->volumes[$subdomain][$period][$timestamp] ?? 0; |
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$this->volumes[$subdomain][$period][$timestamp] += $trade->amount; |
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$this->data[$subdomain][$period][$timestamp] = $this->data[$subdomain][$period][$timestamp] ?? 0; |
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$this->data[$subdomain][$period][$timestamp]++; |
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} |
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/** |
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* @param int $period |
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*/ |
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protected function trim(int $period): void |
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{ |
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$threshold = $this->getThreshold($period); |
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foreach (static::DOMAINS as $domain) { |
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if (null !== ($key = array_key_first($this->data[$domain][$period] ?? [])) && ($key <= $threshold)) { |
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unset($this->data[$domain][$period][$key]); |
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} |
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if (null !== ($key = array_key_first($this->volumes[$domain][$period] ?? [])) && ($key <= $threshold)) { |
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unset($this->volumes[$domain][$period][$key]); |
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} |
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} |
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} |
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/** |
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* @param bool|null $reset |
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* @return array |
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*/ |
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public function getVolumeArray(?bool $reset = null): array |
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{ |
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$volumes = []; |
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foreach (static::DOMAINS as $domain) { |
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foreach ($this->periods as $period => $groupBy) { |
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if (0 < ($sum = array_sum($this->volumes[$domain][$period] ?? []))) { |
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$volumes[$domain][$period] = $sum; |
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} |
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} |
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} |
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$events = $this->getEventsArray(); |
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$averages = []; |
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foreach ($this->periods as $period => $groupBy) { |
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if (isset($volumes[STR_VP_TOTAL][$period], $volumes[STR_TOTAL][$period])) { |
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$averages[STR_VWAP_TOTAL][$period] = $volumes[STR_VP_TOTAL][$period] / $volumes[STR_TOTAL][$period]; |
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} |
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if (isset($volumes[STR_VP_SELL][$period], $volumes[STR_SELL][$period])) { |
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$averages[STR_VWAP_SELL][$period] = $volumes[STR_VP_SELL][$period] / $volumes[STR_SELL][$period]; |
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} |
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if (isset($volumes[STR_VP_BUY][$period], $volumes[STR_BUY][$period])) { |
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$averages[STR_VWAP_BUY][$period] = $volumes[STR_VP_BUY][$period] / $volumes[STR_BUY][$period]; |
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} |
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if (isset($volumes[STR_P_SUM_TOTAL][$period], $events[STR_TOTAL][$period])) { |
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$averages[STR_AVG_PRICE_TOTAL][$period] = |
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$volumes[STR_P_SUM_TOTAL][$period] / $events[STR_TOTAL][$period]; |
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} |
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if (isset($volumes[STR_P_SUM_SELL][$period], $events[STR_SELL][$period])) { |
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$averages[STR_AVG_PRICE_SELL][$period] = |
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$volumes[STR_P_SUM_SELL][$period] / $events[STR_SELL][$period]; |
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} |
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if (isset($volumes[STR_P_SUM_BUY][$period], $events[STR_BUY][$period])) { |
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$averages[STR_AVG_PRICE_BUY][$period] = |
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$volumes[STR_P_SUM_BUY][$period] / $events[STR_BUY][$period]; |
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} |
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} |
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if ($reset) { |
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$this->reset(); |
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} |
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return [ |
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STR_VOLUMES => $volumes, |
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STR_AVERAGES => $averages, |
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STR_EVENTS => $events |
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]; |
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} |
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/** |
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* @inheritDoc |
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*/ |
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public function getEventsArray(?bool $reset = null): array |
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{ |
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$events = []; |
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foreach (static::DOMAINS as $domain) { |
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foreach ($this->periods as $period => $groupBy) { |
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if (0 < ($sum = array_sum($this->data[$domain][$period] ?? []))) { |
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$events[$domain][$period] = $sum; |
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} |
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} |
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} |
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if ($reset) { |
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$this->reset(); |
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} |
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return $events; |
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} |
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/** |
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* @inheritDoc |
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*/ |
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protected function reset(): void |
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{ |
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$this->data = []; |
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$this->volumes = []; |
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} |
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/** @return array */ |
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public function getRawData(): array |
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{ |
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return |
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[ |
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STR_VOLUMES => $this->volumes, |
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STR_EVENTS => parent::getRawData(), |
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]; |
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} |
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} |
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alecrabbit /
twrb-php-components
