File size: 2,460 Bytes
79b3eee | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 | // cpp_engine/src/simd_alpha_calculator.cpp
#include "../include/simd_alpha_calculator.hpp"
#include <algorithm>
#include <numeric>
std::vector<double> SIMDAlphaCalculator::calculate_ofi_vectorized(
const std::vector<double>& bid_prices,
const std::vector<double>& bid_sizes,
const std::vector<double>& ask_prices,
const std::vector<double>& ask_sizes
) {
size_t n = bid_prices.size();
std::vector<double> ofi(n, 0.0);
if (n < 2) return ofi;
for (size_t t = 1; t < n; ++t) {
double delta_e_bid = 0.0;
if (bid_prices[t] > bid_prices[t - 1]) {
delta_e_bid = bid_sizes[t];
} else if (bid_prices[t] == bid_prices[t - 1]) {
delta_e_bid = bid_sizes[t] - bid_sizes[t - 1];
} else {
delta_e_bid = -bid_sizes[t - 1];
}
double delta_e_ask = 0.0;
if (ask_prices[t] < ask_prices[t - 1]) {
delta_e_ask = ask_sizes[t];
} else if (ask_prices[t] == ask_prices[t - 1]) {
delta_e_ask = ask_sizes[t] - ask_sizes[t - 1];
} else {
delta_e_ask = -ask_sizes[t - 1];
}
ofi[t] = delta_e_bid - delta_e_ask;
}
return ofi;
}
std::vector<double> SIMDAlphaCalculator::calculate_microprice_velocity(
const std::vector<double>& mid_prices,
const std::vector<double>& ofi_signals,
size_t window
) {
size_t n = mid_prices.size();
std::vector<double> velocity(n, 0.0);
if (n <= window) return velocity;
for (size_t i = window; i < n; ++i) {
double price_change = mid_prices[i] - mid_prices[i - window];
double ofi_sum = 0.0;
for (size_t j = i - window; j <= i; ++j) {
ofi_sum += ofi_signals[j];
}
velocity[i] = price_change * 0.7 + (ofi_sum / window) * 0.3;
}
return velocity;
}
double SIMDAlphaCalculator::calculate_vpin_toxicity(
const std::vector<double>& trade_volumes,
const std::vector<double>& price_changes,
size_t bucket_size
) {
size_t n = trade_volumes.size();
if (n == 0) return 0.0;
double buy_vol = 0.0;
double sell_vol = 0.0;
double total_vol = 0.0;
for (size_t i = 0; i < n; ++i) {
double v = trade_volumes[i];
total_vol += v;
if (price_changes[i] >= 0) {
buy_vol += v;
} else {
sell_vol += v;
}
}
return total_vol > 0.0 ? std::abs(buy_vol - sell_vol) / total_vol : 0.0;
}
|