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_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)