def create_moving_avg_simple(self, num_history_pts):
self.output_table_name = self.output_table_name.replace("TREND", "POINT")
self.output_table_name = self.output_table_name.replace("CANDLE", "POINT")
self.output_table_name = self.output_table_name + self.SIMPLE_AVG + "_" + str(num_history_pts)
if self.to_save:
##if already exists, drop it first and then recreate
if DBManager.exists_table(self.output_table_name):
DBManager.drop_table(self.output_table_name)
pt = PointTable(self.output_table_name)
pt.save()
points = self.input_points
mv = MovingAverage(self.output_table_name, points)
pt_array = mv.simple(num_history_pts)
if self.to_save:
self.save_pts(pt_array)
## possible delete the temporary point table created from candle
##if CandleTable.TEMP in self.input_point_table_name:
## DBManager.drop_table(self.input_point_table_name)
return pt_array
class LIDARAltitudeMA:
# Node initialization
def __init__(self):
# Create the publisher and subscriber
self.moving_average = MovingAverage(5)
self.pub = rospy.Publisher('/uav/sensors/lidar_altitude_ma',
AltitudeStamped,
queue_size=1)
self.sub = rospy.Subscriber('/uav/sensors/lidar_position',
PointStamped,
self.process_altitude,
queue_size=1)
self.lidar_error = float(
rospy.get_param('/uav/sensors/lidar_position_noise', str(0)))
self.altitude = AltitudeStamped()
self.lidar_point = PointStamped()
rospy.spin()
def process_altitude(self, msg):
self.lidar_point = msg
self.moving_average.add(self.lidar_point.point.z)
self.altitude.value = self.moving_average.get_average()
self.altitude.stamp = self.lidar_point.header.stamp
self.altitude.error = self.lidar_error / math.sqrt(
self.moving_average.window_size)
self.pub.publish(self.altitude)
class GPSAltitudeMovingAverage():
# Node initialization
def __init__(self):
window_size = rospy.get_param("/gps_altitude_ma/gps_window_size", 4)
self.ma = MovingAverage(window_size)
# Create the publisher and subscriber
self.pub = rospy.Publisher('/uav/sensors/gps_altitude_ma',
AltitudeStamped,
queue_size=1)
self.sub = rospy.Subscriber('/uav/sensors/gps',
PoseStamped,
self.process_altitude,
queue_size=1)
rospy.spin()
def process_altitude(self, msg):
# add new value to the moving average list
# use MovingAverage to calculate the new moving average
# use the same timestamp as in msg
# publish
self.ma.add(msg.pose.position.z)
avg = self.ma.get_average()
altStamped = AltitudeStamped()
altStamped.value = avg
altStamped.stamp = msg.header.stamp
self.pub.publish(altStamped)
def test_window(self):
mw = MovingAverage(5)
values = [random() for i in range(10)]
for v in values:
mw.add(v)
self.assertTrue(
abs(mw.get_average() - np.average(values[5:]) <= 0.0001))
def __init__(self):
self.main_iteration = 0 #iteration in the main file
self.SAMPLE_TIME = 10 #record a sample every 20 iterations
self.MAX_SAMPLES = 6 #the number of samples in the array
self.MIN_TEMP = 30 #minimum temperature to consider burner on
#create a moving average list for each burner
self.moving_average_ur = MovingAverage(self.MAX_SAMPLES)
self.moving_average_ul = MovingAverage(self.MAX_SAMPLES)
self.moving_average_ll = MovingAverage(self.MAX_SAMPLES)
self.moving_average_lr = MovingAverage(self.MAX_SAMPLES)
def __init__(self):
window_size = rospy.get_param("/gps_altitude_ma/gps_window_size", 4)
self.ma = MovingAverage(window_size)
# Create the publisher and subscriber
self.pub = rospy.Publisher('/uav/sensors/gps_altitude_ma',
AltitudeStamped,
queue_size=1)
self.sub = rospy.Subscriber('/uav/sensors/gps',
PoseStamped,
self.process_altitude,
queue_size=1)
rospy.spin()
def __init__(self):
# Create the publisher and subscriber
self.moving_average = MovingAverage(5)
self.pub = rospy.Publisher('/uav/sensors/altitude_ma',
AltitudeStamped,
queue_size=1)
self.sub = rospy.Subscriber('/uav/sensors/gps_noisy',
PoseStamped, self.process_altitude,
queue_size=1)
self.gps_error = float(rospy.get_param('/uav/sensors/position_noise_lvl', str(0)))
self.altitude = AltitudeStamped()
self.gps_pose = PoseStamped()
rospy.spin()
class TimerFps(Timer):
def __init__(self, name='', average_width=10, is_verbose=True):
super().__init__(name, is_verbose)
self.moving_average = MovingAverage(average_width)
def refresh(self):
elapsed = self.elapsed()
self.moving_average.getAverage(elapsed)
self.start()
if self._is_verbose is True:
dT = self.moving_average.getAverage()
name = self._name
if self._is_paused:
name += ' [paused]'
message = 'Timer::' + name + ' - fps: ' + str(
1. / dT) + ', T: ' + str(dT)
timer_print(message)
def __init__(self, filename):
# initialize relay controller
self.relay = Relay()
# initialize voltage reader
self.vreader = VReader()
# initialize voltage-to-temp converter
self.v_to_t = VtoT()
# initialize moving average with an appropriate number of samples
self.ma = MovingAverage(20)
# initialize the target temperature vs time
self.t_profile = TProfile(filename)
# initialize data logger
self.logger = Logger(chop_off_end(chop_off_folder(filename), ".csv"))
def test_window_changing(self):
mw = MovingAverage(5)
zero_values = [random() for i in range(5)]
for v in zero_values:
mw.add(v)
self.assertTrue(
abs(mw.get_average() - np.average(zero_values) <= 0.0001))
five_values = [5 + random() for i in range(5)]
for v in five_values:
mw.add(v)
self.assertTrue(
abs(mw.get_average() - np.average(five_values) <= 5.0001))
def create_moving_avg_exp(self): self.output_table_name += self.EXP_AVG pt_name = self.table_name if DBManager.exists_table(self.output_table_name): DBManager.drop_table(self.output_table_name) pt = PointTable(self.output_table_name) pt.save() points = self.input_points mv = MovingAverage(self.output_table_name, points) pt_array = mv.exponential() self.save_pts(pt_array) ## possible delete the temporary point table created from candle ##if CandleTable.TEMP in self.input_point_table_name: ## DBManager.drop_table(self.input_point_table_name) return self.output_table_name
def __init__(self):
self.TEMPON = 45
#low range of the sensor (this will be blue on the screen)
self.MINTEMP = 18
#high range of the sensor (this will be red on the screen)
self.MAXTEMP = 100
#initialize the sensor
self.sensor = Adafruit_AMG88xx()
self.points = [(math.floor(ix / 8), (ix % 8)) for ix in range(0, 64)]
self.grid_x, self.grid_y = np.mgrid[0:7:32j, 0:7:32j]
#height and width of processed image
self.HEIGHT = 32
self.WIDTH = 32
#minimum contour area
self.MIN_AREA = 50
#minimum temperature
self.MIN_TEMP = 30
#cap on maximum temperature for input picture
self.TEMP_CAP = 80
#maximum color mapping
self.MAX_COLOR = 240
#the number of samples in the temperature average array
self.MAX_SAMPLES = 20
#create a moving average list for each burner
self.moving_average_ur = MovingAverage(self.MAX_SAMPLES)
self.moving_average_ul = MovingAverage(self.MAX_SAMPLES)
self.moving_average_ll = MovingAverage(self.MAX_SAMPLES)
self.moving_average_lr = MovingAverage(self.MAX_SAMPLES)
def begin(self, range, config_fname):
self.range = range
self.config_fname = config_fname
options = self.read_shape_config()
for option in options:
if option == 'gains':
self.gains = [float(i) for i in options['gains']]
self.gains = np.array(self.gains)
# print gains
# gains = options['gains']
elif option == 'master_gain':
self.master_gain = float(options['master_gain'][0])
# print master_gain
elif option == 'washouts':
washout_time = [int(i) for i in options['washouts']]
for idx, t in enumerate(washout_time):
self.set_washout(idx, washout_time[idx])
# print washout_time
elif option == 'moving_averages':
self.ma_samples = [int(i) for i in options['moving_averages']]
for count in self.ma_samples:
self.moving_average.append(MovingAverage(count))
def calc_vol_tables(self):
if self.calc_stats:
self.strat_stat_array = []
self.ss_tn = StratStatTable.calc_name(self.table_name, self.NAME)
if DBManager.exists_table(self.ss_tn):
DBManager.drop_table(self.ss_tn)
sst = StratStatTable(self.ss_tn)
sst.save()
pt_name = CandleTable.to_point_table(self.table_name, "volume")
pt_close = CandleTable.to_point_table(self.table_name, "close")
self.points = PointTable.get_point_array(pt_name)
self.points_close = PointTable.get_point_array(pt_close)
pt_name_1 = "TEMP1"
mv1 = MovingAverage(pt_name_1, self.points)
pt_name_2 = "TEMP2"
mv2 = MovingAverage(pt_name_2, self.points)
self.vol_pts_short = mv1.simple(self.VOL_PERIOD_SHORT)
self.vol_pts_long = mv2.simple(self.VOL_PERIOD_LONG)
##pp = PointPopulator(self.table_name)
##self.stddev_pts_short = pp.create_stddev(self.STDDEV_PERIOD_SHORT)
##self.stddev_pts_long = pp.create_stddev(self.STDDEV_PERIOD_LONG)
DBManager.drop_matching_tables("TEMP")
class TestMovingAverage(unittest.TestCase):
def setUp(self):
self.moving_average = MovingAverage()
def test_compute_moving_average_example_1(self):
result = self.moving_average.compute(3, [0, 1, 2, 3])
output = [0, 0.5, 1, 2]
self.assertEqual(result, output)
def test_compute_moving_average_example_2(self):
result = self.moving_average.compute(
5, [0, 1, -2, 3, -4, 5, -6, 7, -8, 9])
output = [
0, 0.5, -0.3333333333333333, 0.5, -0.4, 0.6, -0.8, 1, -1.2, 1.4
]
self.assertEqual(result, output)
def test_compute_fails_with_non_int_window_size(self):
err_msg = 'window_size must be an int'
with self.assertRaises(TypeError) as err:
self.moving_average.compute('3', [0, 1, 2, 3])
self.assertEqual(str(err.exception), err_msg)
def test_compute_fails_with_non_list_values(self):
err_msg = 'values nust be an array'
with self.assertRaises(TypeError) as err:
self.moving_average.compute(3, '[0, 1, 2, 3]')
self.assertEqual(str(err.exception), err_msg)
def test_compute_fails_with_an_empty_list_values(self):
err_msg = 'values cannot be an empty array'
with self.assertRaises(ValueError) as err:
self.moving_average.compute(3, [])
self.assertEqual(str(err.exception), err_msg)
def test_compute_fails_with_window_size_smaller_than_2(self):
err_msg = 'window_size cannot be less than 2'
with self.assertRaises(ValueError) as err:
self.moving_average.compute(1, [0, 1, 2, 3])
self.assertEqual(str(err.exception), err_msg)
def test_compute_fails_with_values_smaller_than_2(self):
err_msg = 'values cannot have less than 2 items'
with self.assertRaises(ValueError) as err:
self.moving_average.compute(3, [0])
self.assertEqual(str(err.exception), err_msg)
def test_compute_fails_with_window_size_greater_than_values_list(self):
err_msg = 'window_size cannot be greater than the values array size'
with self.assertRaises(ValueError) as err:
self.moving_average.compute(5, [0, 1, 2, 3])
self.assertEqual(str(err.exception), err_msg)
def test_compute_fails_with_values_list_is_not_float(self):
err_msg = 'found a non-float value. values must be a list of floating point numbers'
with self.assertRaises(TypeError) as err:
self.moving_average.compute(3, [0, '1', 2, 3])
self.assertEqual(str(err.exception), err_msg)
def test_empty_window(self):
mw = MovingAverage(10)
self.assertEqual(mw.get_average(), 0.0)
from zipline.utils.factory import load_from_yahoo
from pandas import DataFrame
from moving_average import MovingAverage
import datetime
import logging
import os
logging.basicConfig(level=logging.INFO)
logger = logging.getLogger(__name__)
start = datetime.datetime.today() - datetime.timedelta(days=500)
end = datetime.datetime.today()
stocks = [row.strip() for row in open('indexes.csv') if row.strip() != ""]
data_cache_path = 'data_cache.csv'
if not os.path.exists(data_cache_path):
logger.info("No Data Cache found, loading from Yahoo")
data = load_from_yahoo(indexes={}, stocks=[stocks[0]], start=start, end=end, adjusted=False)
data.to_csv(data_cache_path)
else:
logger.info("Loading data from cache")
data = DataFrame.from_csv(data_cache_path)
mavg = MovingAverage()
perf = mavg.run(data)
parser.add_argument("-d",
"--device",
dest=DEVICE,
required=True,
help="Device ('left' or 'right'")
cli.verbose(parser)
args = vars(parser.parse_args())
# Setup logging
setup_logging(level=args[LOG_LEVEL])
userdata = {
TOPIC: "lidar/{0}/mm".format(args[DEVICE]),
COMMAND: "lidar/{0}/command".format(args[DEVICE]),
ENABLED: True,
MOVING_AVERAGE: MovingAverage(size=3),
OOR_VALUES: OutOfRangeValues(size=args[OOR_SIZE]),
OOR_TIME: args[OOR_TIME],
OOR_UPPER: args[OOR_UPPER]
}
with SerialReader(func=fetch_data,
userdata=userdata,
port=SerialReader.lookup_port(args[DEVICE_ID])
if args.get(DEVICE_ID) else args[SERIAL_PORT],
baudrate=args[BAUD_RATE],
debug=True):
with MqttConnection(hostname=args[MQTT_HOST],
userdata=userdata,
on_connect=on_connect,
on_message=frc_utils.on_message):
def __init__(self, name='', average_width=10, is_verbose=True):
super().__init__(name, is_verbose)
self.moving_average = MovingAverage(average_width)
def compute(window_size, values):
moving_average = MovingAverage()
result = moving_average.compute(window_size, values)
print("window size: %s\nvalues: %s\nmoving avg: %s" %
(window_size, values, result))
def setUp(self):
self.moving_average = MovingAverage()
import logging
from optibook.synchronous_client import Exchange
from strategy import should_kill_attempt, arbitrage, stoikov_mm
from utils import balance_positions
from moving_average import MovingAverage
logging.getLogger('client').setLevel('ERROR')
exchange = Exchange()
exchange.connect()
START_PNL = exchange.get_pnl()
ma_A = MovingAverage(exchange, "PHILIPS_A")
tick = 1
while not should_kill_attempt(exchange, START_PNL):
time.sleep(0.11)
print(f"tick {tick}")
tick += 1
ma_A.update()
# Don't want to balance our trades from our MM positions
exchange.delete_orders("PHILIPS_A")
if balance_positions(exchange, total_threshold=40):
class PController:
# initializes with the filename of the temperature profile csv
def __init__(self, filename):
# initialize relay controller
self.relay = Relay()
# initialize voltage reader
self.vreader = VReader()
# initialize voltage-to-temp converter
self.v_to_t = VtoT()
# initialize moving average with an appropriate number of samples
self.ma = MovingAverage(20)
# initialize the target temperature vs time
self.t_profile = TProfile(filename)
# initialize data logger
self.logger = Logger(chop_off_end(chop_off_folder(filename), ".csv"))
# update the relay state
# based on the given target temperature
# and the read temperature
# arguments are:
# target temp
def update(self, target):
# determine the temperature in the kiln right now
v = self.vreader.get()
T = self.v_to_t.get(v)
T_avg = self.ma.append(T)
# determine what the temperature in the kiln should be right now
T_target = self.t_profile.get_target()
# determine if the coil state needs to be switched
# if it switches, log it
switched = False
if not self.relay.is_on() and T_avg < T_target - T_tolerance:
self.relay.turn_on()
switched = True
elif self.relay.is_on() and T_avg > T_target + T_tolerance:
self.relay.turn_off()
switched = True
# log the data
self.logger.log(time.time(), T_avg, self.relay.is_on(), switched)
# output to the console
print("target temp = " + str(int(T_target)) + " C (" +
str(int(C_to_F(T_target))) + " F) ")
print("actual temp = " + str(int(T_avg)) + " C (" +
str(int(C_to_F(T_avg))) + " F) [V = " + str(v) + " V, T = " +
str(int(T)) + " C (" + str(int(C_to_F(T))) + " F)] ")
if self.relay.is_on():
print("relay: " + Back.GREEN + Fore.BLACK + "ON" +
Style.RESET_ALL + " ")
else:
print("relay: " + Back.RED + Fore.BLACK + "OFF" + Style.RESET_ALL +
" ")
print("\033[A\033[A\033[A\033[A\r"
) # reset print location to beginning of the above text block
parser.add_argument("--avg_size",
dest=AVG_SIZE,
default=10,
type=int,
help="Moving average size [10]")
cli.verbose(parser)
args = vars(parser.parse_args())
# Setup logging
setup_logging(level=args[LOG_LEVEL])
userdata = {
TOPIC: "lidar/{0}/cm".format(args[DEVICE]),
COMMAND: "lidar/{0}/command".format(args[DEVICE]),
ENABLED: True,
MOVING_AVERAGE: MovingAverage(args[AVG_SIZE]),
OOR_VALUES: OutOfRangeValues(size=args[OOR_SIZE]),
OOR_TIME: args[OOR_TIME]
}
with SerialReader(func=fetch_data,
userdata=userdata,
port=SerialReader.lookup_port(args[DEVICE_ID])
if args.get(DEVICE_ID) else args[SERIAL_PORT],
baudrate=args[BAUD_RATE]):
with MqttConnection(hostname=args[MQTT_HOST],
userdata=userdata,
on_connect=on_connect,
on_message=frc_utils.on_message):
waitForKeyboardInterrupt()