Truncate trade rate wma window sizes

incr_update_backup
Tyler Goodlet 2022-04-27 17:17:40 -04:00
parent c985c01c62
commit 49f3e15a3c
2 changed files with 3 additions and 2 deletions

View File

@ -167,6 +167,7 @@ def _wma(
assert length == len(weights)
# lol, for long sequences this is nutso slow and expensive..
return np.convolve(signal, weights, 'valid')

View File

@ -309,7 +309,7 @@ async def flow_rates(
if period > 1:
trade_rate_wma = _wma(
dvlm_shm.array['trade_count'],
dvlm_shm.array['trade_count'][-period:],
period,
weights=weights,
)
@ -332,7 +332,7 @@ async def flow_rates(
if period > 1:
dark_trade_rate_wma = _wma(
dvlm_shm.array['dark_trade_count'],
dvlm_shm.array['dark_trade_count'][-period:],
period,
weights=weights,
)