stock_price_imitation 0.0.4 → 0.0.5

checksums.yaml

@@ -1,7 +1,7 @@
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-  data.tar.gz: 4534e896315946b7753629e306002166e080d366
+  metadata.gz: 6b7d9f29ad69843f3ab91b37400f8d093064b8cd
+  data.tar.gz: 0416a3cf88e7976a8dd79e053f9e1e3af9b495c6
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+  data.tar.gz: b9788c3a948a082f345d578d8309efabb02ef349b40da31f981e6846d63562250e1111ac846aa31d0d0770e1b0f52c0172aa4d17fd22a795ac5747c99f8c428d

data/README.md

@@ -24,15 +24,44 @@ Or install it yourself as:
 require 'stock_price_imitation'
 
 step = 100
-first_seed_price = 10000
+first_price = 1000
 
-StockPriceImitation::Generator.new(step, first_seed_price).execute
+StockPriceImitation::Generator.new(step, first_price).execute
 #=>
 # [
-#   {:opening_price=>4159.493944357897,  :closing_price=>4569.307745093309,  :low_price=>3505.808433389255,  :high_price=>5912.357228503945},
-#   {:opening_price=>3541.7376008768974, :closing_price=>3887.9262834566866, :low_price=>3328.361828447127,  :high_price=>5535.742136147374},
-#   {:opening_price=>9048.18367848711,   :closing_price=>8573.694158336206,  :low_price=>8082.212918461541,  :high_price=>9735.473910738032},
-#   {:opening_price=>5117.8471523358085, :closing_price=>7558.560742729045,  :low_price=>3466.6265172827384, :high_price=>8218.548256191063},
+#   1000,
+#   938.3100086235717,
+#   981.4231014813671,
+#   1007.3571568991346,
+#   1029.2902431426667,
+#   982.9669793828307,
+#   929.9509085392571,
+#   939.4320731877888,
+#   896.687366210831,
+#   854.1886746209568,
+#   939.2926430659182,
+#   1003.6951479776594,
+#   982.4217723833527,
+#   983.7855205021697,
+#   903.1200400198854,
+#   928.4857252941681,
+#   919.9919046908392,
+#   844.3172053278877,
+#   818.9004760309148,
+#   769.859737021469,
+#   811.597212604147,
+#   868.6645681205346,
+#   842.275187071378,
+#   792.9731650742258,
+#   703.4481384978214,
+#   791.1553991795175,
+#   803.8125730300483,
+#   861.6376677943115,
+#   929.5894987271124,
+#   986.6277941318276,
+#   972.3996383854002,
+#   1034.2098291866168,
+#   1122.192642359364,
 #   ...
 # ]
 ```

data/bin/price-imi

@@ -8,14 +8,4 @@ step = ARGV.first.to_i if !ARGV.empty?
 first_seed_price = 1000
 
 prices = StockPriceImitation::Generator.new(step, first_seed_price).execute
-
-if prices.empty?
-  exit(0)
-end
-
-header = prices.first.keys.join("\t")
-puts header
-
-prices.each do |price|
-  puts price.values.map{|p|p.round(2)}.join("\t")
-end
+puts prices

data/lib/stock_price_imitation/generator.rb

@@ -1,82 +1,45 @@
-require 'random_bell'
-
 class StockPriceImitation::Generator
-  def initialize(step_count, first_seed_price=1000)
-    @step_count = step_count
-    @first_seed_price = first_seed_price
-    @bell = RandomBell.new(mu: 0.0, range: 0.0..2.0)
-
-    @steps = []
+  def initialize(tick_count, first_tick_price=1000)
+    @tick_count = tick_count
+    @first_tick_price = first_tick_price
+    @ticks = []
   end
 
   def execute
-    prices_by(seed_prices)
+    generate!
+    @ticks
   end
 
   private
 
-  def seed_prices
-    @seeds = []
-
-    @step_count.times.each do |i|
+  def generate!
+    @tick_count.times.each do |i|
       if i == 0
-        @seeds << @first_seed_price
-      else
-        previous = @seeds[i-1]
-        @seeds << previous + (@first_seed_price * @bell.rand * [-1,1].sample)
+        setup_first_tick
+        next
       end
-    end
-
-    @seeds
-  end
 
-  def prices_by(seed_prices)
-    seed_prices.map do |seed|
-      Step.new(seed, @volatility).to_hash
+      @ticks << generate_tick(@ticks[i-1])
     end
   end
 
-  class Step
-    def initialize(seed_price, volatility)
-      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
-      to_zero_if_negative @low_price
-    end
-
-    def high_price
-      to_zero_if_negative @high_price
-    end
-
-    def opening_price
-      to_zero_if_negative (rand low_price..high_price)
-    end
+  def setup_first_tick
+    @ticks << @first_tick_price
+  end
 
-    def closing_price
-      to_zero_if_negative (rand low_price..high_price)
-    end
+  def generate_tick(previous_price)
+    to_zero_if_negative(previous_price + increase)
+  end
 
-    def to_zero_if_negative(number)
-      if number < 0
-        return 0
-      end
+  def increase
+    @first_tick_price * rand(0..0.1) * [-1,1].sample
+  end
 
-      number
+  def to_zero_if_negative(number)
+    if number < 0
+      return 0
     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
+    number
   end
 end

data/lib/stock_price_imitation/version.rb

@@ -1,3 +1,3 @@
 module StockPriceImitation
-  VERSION = "0.0.4"
+  VERSION = "0.0.5"
 end

data/test/test_generator.rb

@@ -4,18 +4,18 @@ describe StockPriceImitation::Generator do
   describe '#initialize' do
     it 'new instance' do
       generator = StockPriceImitation::Generator
-      step_count = 10
+      tick_count = 10
 
-      assert generator.new(step_count).class == generator
+      assert generator.new(tick_count).class == generator
     end
   end
 
   describe '#execute' do
     before do
-      @step_count = 100
+      @tick_count = 100
       @first_price = 1000
 
-      @generator = StockPriceImitation::Generator.new(@step_count, @first_price)
+      @generator = StockPriceImitation::Generator.new(@tick_count, @first_price)
       @price_movement = @generator.execute
     end
 
@@ -23,31 +23,13 @@ describe StockPriceImitation::Generator do
       assert @price_movement.is_a? Array
     end
 
-    it 'length is step_count' do
-      assert @price_movement.size == @step_count
+    it 'length is tick_count' do
+      assert @price_movement.size == @tick_count
     end
 
-    it 'a step is a hash' do
-      @price_movement.each do |step|
-        assert step.is_a? Hash
-      end
-    end
-
-    it 'high is bigger than low' do
-      @price_movement.each do |step|
-        assert step[:high_price] >= step[:low_price]
-      end
-    end
-
-    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 'close between high and low' do
-      @price_movement.each do |price|
-        assert (price[:low_price]..price[:high_price]).include? price[:closing_price]
+    it 'a tick is a Float' do
+      @price_movement.each do |tick|
+        assert tick.is_a? Numeric
       end
     end
 
@@ -56,7 +38,7 @@ describe StockPriceImitation::Generator do
       price_movement = generator.execute
 
       price_movement.each do |price|
-        assert price.values.all?{|v| v >= 0 }
+        assert price >= 0
       end
     end
   end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: stock_price_imitation
 version: !ruby/object:Gem::Version
-  version: 0.0.4
+  version: 0.0.5
 platform: ruby
 authors:
 - Shinya131