Redesign i-faces + new tests confirming "diff" failure (#49)

Author: mj-xmr

src/lib-base/src/IHasCandles.cpp

@@ -0,0 +1,11 @@
+#include "IHasCandles.h"
+
+IHasCandles::IHasCandles()
+{
+    //ctor
+}
+
+IHasCandles::~IHasCandles()
+{
+    //dtor
+}

src/lib-base/src/IHasCandles.h

@@ -0,0 +1,20 @@
+#ifndef IHASCANDLES_H
+#define IHASCANDLES_H
+
+class Candle;
+
+class IHasCandles
+{
+    public:
+        IHasCandles();
+        virtual ~IHasCandles();
+        
+        virtual Candle GetCandle(int idx, int shift = 0) const = 0;
+        virtual unsigned Len() const = 0;
+
+    protected:
+
+    private:
+};
+
+#endif // IHASCANDLE_H

src/lib-base/src/IPredictor.cpp

@@ -2,26 +2,31 @@
 
 using namespace EnjoLib;
 
+const double IPredictor::ERROR = 0; // Try for example -10000 as well, or a boolean EnjoLib::Result
+
 IPredictor::IPredictor(){}
 IPredictor::~IPredictor(){}
 
-double IPredictor::PredictNext(const EnjoLib::VecD & data, size_t idx) const
+/*
+double IPredictor::PredictNext(const EnjoLib::VecD & orig, const EnjoLib::VecD & data, size_t idx) const
 {
     if (idx >= data.size())
     {
         return 0;
     }
-    const VecD & ret = Predict(data, idx, 1);
+    const VecD & ret = Predict(orig, data, idx, 1);
     return ret.at(0);
 }
-
-EnjoLib::VecD IPredictor::PredictNextVec(const EnjoLib::VecD & data) const
+*/
+/*
+EnjoLib::VecD IPredictor::PredictNextVec(const EnjoLib::VecD & orig, const EnjoLib::VecD & data) const
 {
     VecD ret;
     for (size_t i = 0; i < data.size(); ++i)
     {
-        const double pred = PredictNext(data, i);
+        const double pred = PredictNext(orig, data, i);
         ret.Add(pred);
     }
     return ret;
 }
+*/

src/lib-base/src/IPredictor.h

@@ -3,15 +3,20 @@
 
 #include <Util/VecD.hpp>
 
+class ITSFun;
+
 class IPredictor
 {
     public:
         IPredictor();
         virtual ~IPredictor();
+
+        //double PredictNext(const EnjoLib::VecD & orig, const EnjoLib::VecD & data, size_t idx) const;
+        virtual EnjoLib::VecD Predict(const EnjoLib::VecD & data) const = 0;
+        virtual unsigned GetLags() const = 0;
+        //virtual EnjoLib::VecD Predict(const EnjoLib::VecD & orig, const EnjoLib::VecD & data, int horizon) const = 0;
 
-        double PredictNext(const EnjoLib::VecD & data, size_t idx) const;
-        EnjoLib::VecD PredictNextVec(const EnjoLib::VecD & data) const;
-        virtual EnjoLib::VecD Predict(const EnjoLib::VecD & data, size_t idx, int horizon) const = 0;
+        static const double ERROR;
 
     protected:
 

src/lib-base/src/ITSFun.cpp

@@ -1,4 +1,5 @@
 #include "ITSFun.h"
+#include "TSRes.h"
 
 ITSFun::ITSFun()
 {
@@ -9,3 +10,15 @@ ITSFun::~ITSFun()
 {
     //dtor
 }
+
+
+EnjoLib::VecD ITSFun::ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const
+{
+    EnjoLib::VecD reconstr;
+    for (int i = 0; i < int(input.size()); ++i)
+    {
+        const TSRes rec = Reconstruct(i, input, lost.at(i));
+        reconstr.Add(rec.val);
+    }
+    return reconstr;
+}

src/lib-base/src/ITSFun.h

@@ -1,18 +1,20 @@
 #ifndef ITSFUN_H
 #define ITSFUN_H
 
+#include "IHasCandles.h"
 #include <Util/VecD.hpp>
+#include <Statistical/Matrix.hpp>
 
 class TSRes;
-class ITSFun
+class ITSFun : public IHasCandles
 {
     public:
         ITSFun();
         virtual ~ITSFun();
 
         virtual TSRes OnDataPoint(int idx) const = 0;
-        virtual TSRes Reconstruct(int idx, const EnjoLib::VecD & input, double prev) const = 0;
-        virtual unsigned Len() const = 0;
+        virtual TSRes Reconstruct(int idx, const EnjoLib::VecD & input, const EnjoLib::VecD & lost) const = 0;
+        EnjoLib::VecD ReconstructVec(const EnjoLib::VecD & input, const EnjoLib::Matrix & lost) const;
         virtual const char * GetName() const = 0;
 
     protected:

src/lib-base/src/PredictorAR.cpp

@@ -0,0 +1,22 @@
+#include "PredictorAR.h"
+#include "PredictorUtil.h"
+#include "ITSFun.h"
+
+//#include <Util/CoutBuf.hpp>
+
+using namespace EnjoLib;
+
+PredictorAR::PredictorAR(){}
+PredictorAR::~PredictorAR(){}
+
+EnjoLib::VecD PredictorAR::Predict(const EnjoLib::VecD & data) const
+{
+    const int numSamples = GetLags();
+    const EnjoLib::VecD & predAR = PredictorUtil().Regression(numSamples, data, false);
+    return predAR;
+}
+
+unsigned PredictorAR::GetLags() const
+{
+    return 10;
+}

src/lib-base/src/PredictorAR.h

@@ -0,0 +1,21 @@
+#ifndef PREDICTORAR_H
+#define PREDICTORAR_H
+
+#include "IPredictor.h"
+
+
+class PredictorAR : public IPredictor
+{
+    public:
+        PredictorAR();
+        virtual ~PredictorAR();
+
+        EnjoLib::VecD Predict(const EnjoLib::VecD & data) const override;
+        unsigned GetLags() const override;
+
+    protected:
+
+    private:
+};
+
+#endif // PREDICTORAR_H

src/lib-base/src/PredictorARMA.cpp

@@ -0,0 +1,29 @@
+#include "PredictorARMA.h"
+
+#include "PredictorAR.h"
+#include "PredictorUtil.h"
+#include "ITSFun.h"
+
+#include <Util/CoutBuf.hpp>
+
+using namespace EnjoLib;
+
+PredictorARMA::PredictorARMA(){}
+PredictorARMA::~PredictorARMA(){}
+
+EnjoLib::VecD PredictorARMA::Predict(const EnjoLib::VecD & data) const
+{
+    const int numSamplesMA  = GetLags();  // ParQ
+    const PredictorUtil util;
+    const EnjoLib::VecD & predAR = PredictorAR().Predict(data);
+    const EnjoLib::VecD & errors = util.GetErrorsCorrected(predAR, data);
+    const EnjoLib::VecD & predMA = util.Regression(numSamplesMA, errors);
+    const EnjoLib::VecD & predARMA = predAR + predMA;
+
+    return predARMA;
+}
+
+unsigned PredictorARMA::GetLags() const
+{
+    return 10;
+}

src/lib-base/src/PredictorARMA.h

@@ -0,0 +1,21 @@
+#ifndef PREDICTORARMA_H
+#define PREDICTORARMA_H
+
+#include "IPredictor.h"
+
+
+class PredictorARMA : public IPredictor
+{
+    public:
+        PredictorARMA();
+        virtual ~PredictorARMA();
+
+        EnjoLib::VecD Predict(const EnjoLib::VecD & data) const override;
+        unsigned GetLags() const override;
+
+    protected:
+
+    private:
+};
+
+#endif // PREDICTORARMA_H