def __init__(self): self.m1_rate = EWMA.one_minute_EWMA() self.m5_rate = EWMA.five_minute_EWMA() self.m15_rate = EWMA.fifteen_minute_EWMA() self.count = 0 self.start_time = time.time() self.last_tick = self.start_time
def test_fifteen_minute_EWMA(): expected_rates = [ 0.6, 0.56130419, 0.52510399, 0.49123845, 0.45955700, 0.42991879, 0.40219203, 0.37625345, 0.35198773, 0.32928698, 0.30805027, 0.28818318, 0.26959738, 0.25221023, 0.23594443, 0.22072766, ] ewma = EWMA.fifteen_minute_EWMA() assert_ewma(ewma, expected_rates)
def test_five_minute_EWMA(): expected_rates = [ 0.6, 0.49123845, 0.40219203, 0.32928698, 0.26959738, 0.22072766, 0.18071653, 0.14795818, 0.12113791, 0.09917933, 0.08120117, 0.06648190, 0.05443077, 0.04456415, 0.03648604, 0.02987224 ] ewma = EWMA.five_minute_EWMA() assert_ewma(ewma, expected_rates)
def test_one_minute_EWMA(): expected_rates = [ 0.6, 0.22072766, 0.08120117, 0.02987224, 0.01098938, 0.00404277, 0.00148725, 0.00054713, 0.00020128, 0.00007405, 0.00002724, 0.00001002, 0.00000369, 0.00000136, 0.00000050, 0.00000018, ] ewma = EWMA.one_minute_EWMA() assert_ewma(ewma, expected_rates)
def test_five_minute_EWMA(): expected_rates = [ 0.6, 0.49123845, 0.40219203, 0.32928698, 0.26959738, 0.22072766, 0.18071653, 0.14795818, 0.12113791, 0.09917933, 0.08120117, 0.06648190, 0.05443077, 0.04456415, 0.03648604, 0.02987224, ] ewma = EWMA.five_minute_EWMA() assert_ewma(ewma, expected_rates)