LanguagesSpeedQuant/moving_average_cpp_enhanced.cpp at main · 4lisyd/LanguagesSpeedQuant · GitHub

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#include <iostream>
#include <fstream>
#include <vector>
#include <string>
#include <sstream>
#include <chrono>
#include <numeric>
#include <unordered_map>
#include <algorithm>
#include <cmath>

struct Candlestick {
    std::string timestamp;
    double open;
    double high;
    double low;
    double close;
    double volume;
};

std::vector<Candlestick> readCSV(const std::string& filename) {
    std::vector<Candlestick> data;
    std::ifstream file(filename);
    std::string line;

    // Skip header
    std::getline(file, line);

    while (std::getline(file, line)) {
        std::stringstream ss(line);
        std::string cell;
        std::vector<std::string> row;

        while (std::getline(ss, cell, ',')) {
            row.push_back(cell);
        }

        if (row.size() >= 6) {
            Candlestick candle;
            candle.timestamp = row[0];
            candle.open = std::stod(row[1]);
            candle.high = std::stod(row[2]);
            candle.low = std::stod(row[3]);
            candle.close = std::stod(row[4]);
            candle.volume = std::stod(row[5]);
            data.push_back(candle);
        }
    }

    return data;
}

std::vector<double> calculateMovingAverage(const std::vector<double>& prices, int period) {
    std::vector<double> ma;
    if (prices.size() < period) {
        return ma;
    }

    ma.reserve(prices.size() - period + 1);

    // Calculate initial sum for the first window
    double sum = 0.0;
    for (int i = 0; i < period; ++i) {
        sum += prices[i];
    }
    ma.push_back(sum / period);

    // Use sliding window technique for efficiency
    for (size_t i = period; i < prices.size(); ++i) {
        sum = sum - prices[i - period] + prices[i];
        ma.push_back(sum / period);
    }

    return ma;
}

std::unordered_map<std::string, std::vector<double>> calculateMultipleMovingAverages(
    const std::vector<double>& prices,
    const std::vector<int>& periods) {

    std::unordered_map<std::string, std::vector<double>> results;

    for (int period : periods) {
        std::string key = "MA_" + std::to_string(period);
        results[key] = calculateMovingAverage(prices, period);
    }

    return results;
}

std::vector<double> calculateComplexMath(const std::vector<double>& opens,
                                        const std::vector<double>& highs,
                                        const std::vector<double>& lows,
                                        const std::vector<double>& closes) {
    std::vector<double> result;
    result.reserve(closes.size());

    for (size_t i = 0; i < closes.size(); ++i) {
        // Complex mathematical function: weighted combination of OHLC values
        double value = (opens[i] * 0.1) + (highs[i] * 0.3) + (lows[i] * 0.2) + (closes[i] * 0.4);
        // Apply exponential and logarithmic transformations
        value = std::exp(value / 100.0) * std::log(std::abs(value) + 1.0);
        result.push_back(value);
    }

    return result;
}

int main() {
    auto start_time = std::chrono::high_resolution_clock::now();

    std::cout << "Reading CSV file..." << std::endl;
    std::vector<Candlestick> data = readCSV("USDJPY2.csv");
    std::cout << "Loaded " << data.size() << " records." << std::endl;

    // Extract price vectors
    std::vector<double> opens, highs, lows, closes;
    opens.reserve(data.size());
    highs.reserve(data.size());
    lows.reserve(data.size());
    closes.reserve(data.size());

    for (const auto& candle : data) {
        opens.push_back(candle.open);
        highs.push_back(candle.high);
        lows.push_back(candle.low);
        closes.push_back(candle.close);
    }

    // Calculate multiple moving averages for periods 200-220
    std::cout << "Calculating moving averages for periods 200-220..." << std::endl;
    std::vector<int> ma_periods;
    for (int i = 200; i <= 220; ++i) {
        ma_periods.push_back(i);
    }

    auto all_mas = calculateMultipleMovingAverages(closes, ma_periods);

    for (const auto& pair : all_mas) {
        const std::string& period = pair.first;
        const std::vector<double>& ma_values = pair.second;
        std::cout << "Calculated " << ma_values.size() << " " << period << " values." << std::endl;
    }

    // Perform complex mathematical operations
    std::cout << "Performing complex mathematical operations..." << std::endl;
    auto complexResults = calculateComplexMath(opens, highs, lows, closes);
    std::cout << "Completed " << complexResults.size() << " complex calculations." << std::endl;

    auto end_time = std::chrono::high_resolution_clock::now();
    auto duration = std::chrono::duration_cast<std::chrono::milliseconds>(end_time - start_time);

    std::cout << "Total execution time: " << duration.count() << " ms" << std::endl;

    return 0;
}