48 lines
1.5 KiB
Ruby
48 lines
1.5 KiB
Ruby
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# frozen_string_literal: true
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# Recency-weighted averaging of rebased exchange rates. Rates within the grace period carry full weight.
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# Beyond it, weight decays exponentially so stale rates contribute less without a hard cutoff. Rates marked
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# `excluded: true` (e.g. consensus outliers) are surfaced in the providers list but do not contribute to the rate.
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class WeightedAverage
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DECAY_GRACE_DAYS = 3
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DECAY_RATE = 0.5
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def initialize(rates)
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@rates = rates
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end
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def calculate
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@rates.each { |r| r[:date] = Date.parse(r[:date]) unless r[:date].is_a?(Date) }
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reference_date = @rates.map { |r| r[:date] }.max
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return [] unless reference_date
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@rates.group_by { |r| r[:quote] }.sort.filter_map do |_, group|
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contributors = group.reject { |r| r[:excluded] }
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next if contributors.empty?
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weighted = contributors.map { |r| [r, recency_weight(reference_date - r[:date])] }
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total_weight = weighted.sum(&:last)
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rate = weighted.sum { |r, w| r[:rate] * w } / total_weight
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providers = group
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.group_by { |r| r[:provider] }
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.map do |key, rows|
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latest = rows.max_by { |r| r[:date] }
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entry = { key: key, rate: latest[:rate] }
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entry[:excluded] = true if latest[:excluded]
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entry
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end
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.sort_by { |p| p[:key] }
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contributors.max_by { |r| r[:date] }.merge(rate:, providers:)
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end
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end
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private
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def recency_weight(days_old)
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Math.exp(-DECAY_RATE * [days_old - DECAY_GRACE_DAYS, 0].max)
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end
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end
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