stock_price_imitation 0.0.1 → 0.0.2

checksums.yaml

@@ -1,7 +1,7 @@
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data/README.md

@@ -21,6 +21,8 @@ Or install it yourself as:
 ## Usage
 
 ```ruby
+require 'stock_price_imitation'
+
 step = 100
 first_step_price_range = 10..10000
 volatility = 0.2

data/bin/price-imi

@@ -4,14 +4,13 @@ $LOAD_PATH.unshift File.expand_path('../../lib', __FILE__)
 require 'stock_price_imitation'
 
 step = ARGV.pop || 100
-first_step_price_range = 10..10000
-volatility = 0.2
+first_seed_price = 1000
 
-prices = StockPriceImitation::Generator.new(step, first_step_price_range, volatility).execute
+prices = StockPriceImitation::Generator.new(step, first_seed_price).execute
 
 header = prices.first.keys.join("\t")
 puts header
 
 prices.each do |price|
-  puts price.values.join("\t")
+  puts price.values.map{|p|p.round(2)}.join("\t")
 end

data/lib/stock_price_imitation/generator.rb

@@ -1,49 +1,49 @@
+require 'random_bell'
+
 class StockPriceImitation::Generator
-  def initialize(step_count, first_step_price_range=100..1000, volatility=0.1)
+  def initialize(step_count, first_seed_price=1000)
     @step_count = step_count
-    @first_step_price_range = first_step_price_range
-    @volatility = volatility
+    @first_seed_price = first_seed_price
+    @bell = RandomBell.new(mu: 1.0, range: 0.0..2.0)
 
     @steps = []
   end
 
   def execute
-    generate_steps!
-    @steps.map{|s| to_hash(s) }
+    prices_by(seed_prices)
   end
 
   private
 
-  def generate_steps!
-    @step_count.times.each.with_index do |i|
-      seed_price = rand seed_price_range(i)
-      @steps << Step.new(seed_price, @volatility)
-    end
-  end
+  def seed_prices
+    @seeds = []
 
-  def seed_price_range(index)
-    case index
-    when 0
-      @first_step_price_range
-    else
-      previous_step = @steps[index - 1]
-      previous_step.low_price..previous_step.high_price
+    @step_count.times.each do |i|
+      if i == 0
+        @seeds << @first_seed_price
+      else
+        previous = @seeds[i-1]
+        @seeds << previous * @bell.rand
+      end
     end
+
+    @seeds
   end
 
-  def to_hash(step)
-    {
-      opening_price: step.opening_price,
-      closing_price: step.closing_price,
-      low_price:     step.low_price,
-      high_price:    step.high_price,
-    }
+  def prices_by(seed_prices)
+    seed_prices.map do |seed|
+      Step.new(seed, @volatility).to_hash
+    end
   end
 
   class Step
     def initialize(seed_price, volatility)
-      @low_price = (seed_price - (seed_price * volatility)).round
-      @high_price = (seed_price + (seed_price * volatility)).round
+      bell = RandomBell.new
+
+      @seed_price = seed_price
+
+      prices = 2.times.map{ @seed_price * bell.rand }
+      @low_price, @high_price = prices.sort
     end
 
     def low_price
@@ -55,11 +55,20 @@ class StockPriceImitation::Generator
     end
 
     def opening_price
-      rand low_price..high_price
+      (rand low_price..high_price)
     end
 
     def closing_price
-      rand low_price..high_price
+      (rand low_price..high_price)
+    end
+
+    def to_hash
+      {
+        opening_price: self.opening_price,
+        closing_price: self.closing_price,
+        low_price:     self.low_price,
+        high_price:    self.high_price,
+      }
     end
   end
 end

data/lib/stock_price_imitation/version.rb

@@ -1,3 +1,3 @@
 module StockPriceImitation
-  VERSION = "0.0.1"
+  VERSION = "0.0.2"
 end

data/stock_price_imitation.gemspec

@@ -21,4 +21,5 @@ Gem::Specification.new do |spec|
   spec.add_development_dependency "bundler", "~> 1.6"
   spec.add_development_dependency "rake", "~> 10.0"
   spec.add_development_dependency "minitest"
+  spec.add_dependency "random_bell"
 end

data/test/test_generator.rb

@@ -13,10 +13,9 @@ describe StockPriceImitation::Generator do
   describe '#execute' do
     before do
       @step_count = 100
-      @first_price_range = 100..10000
-      @volatility = 0.1
+      @first_price = 1000
 
-      @generator = StockPriceImitation::Generator.new(@step_count, @first_price_range, @volatility)
+      @generator = StockPriceImitation::Generator.new(@step_count, @first_price)
       @price_movement = @generator.execute
     end
 
@@ -34,36 +33,21 @@ describe StockPriceImitation::Generator do
       end
     end
 
-    it 'high price is bigger than low price' do
+    it 'high is bigger than low' do
       @price_movement.each do |step|
         assert step[:high_price] >= step[:low_price]
       end
     end
 
-    it 'opening_price between low_price and high_price' do
-      @price_movement.each do |step|
-        expect_price_range = (step[:low_price]..step[:high_price])
-        assert expect_price_range.include? step[:opening_price]
+    it 'open between high and low' do
+      @price_movement.each do |price|
+        assert (price[:low_price]..price[:high_price]).include? price[:opening_price]
       end
     end
 
-    it 'first step between first_price_range' do
-      first_step = @price_movement.first
-      assert @first_price_range.include? first_step[:low_price]
-      assert @first_price_range.include? first_step[:high_price]
-    end
-
-    it 'step between (previous * volatility)' do
-      @price_movement.each.with_index do |step, i|
-        next if i == 0
-
-        previous_low_price = @price_movement[i - 1][:low_price]
-        current_low_price = step[:low_price]
-
-        min = previous_low_price - (previous_low_price * @volatility)
-        max = previous_low_price + (previous_low_price * @volatility)
-
-        assert (min..max).include? current_low_price
+    it 'close between high and low' do
+      @price_movement.each do |price|
+        assert (price[:low_price]..price[:high_price]).include? price[:closing_price]
       end
     end
   end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: stock_price_imitation
 version: !ruby/object:Gem::Version
-  version: 0.0.1
+  version: 0.0.2
 platform: ruby
 authors:
 - Shinya131
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2015-03-08 00:00:00.000000000 Z
+date: 2015-03-11 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -52,6 +52,20 @@ dependencies:
     - - ">="
       - !ruby/object:Gem::Version
         version: '0'
+- !ruby/object:Gem::Dependency
+  name: random_bell
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
 description: Stock price movement imitation generator. It is generate by random number.
 email:
 - nagai3mt5b@gmail.com
@@ -102,4 +116,3 @@ test_files:
 - test/minitest_helper.rb
 - test/test_generator.rb
 - test/test_stock_price_imitation.rb
-has_rdoc: