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Merge pull request #4529 from chimp1984/make-moving-average-code-more-safe

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Make moving average code more safe
This commit is contained in:
Christoph Atteneder 2020-09-16 15:51:14 +02:00 committed by GitHub
commit 8cb4b5016c
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GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 60 additions and 45 deletions
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42
common/src/main/java/bisq/common/util/MathUtils.java
View File

@ -29,6 +29,8 @@ import java.util.Optional;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import static com.google.common.base.Preconditions.checkArgument;
public class MathUtils {
private static final Logger log = LoggerFactory.getLogger(MathUtils.class);
@ -127,24 +129,30 @@ public class MathUtils {
}
public Optional<Double> next(long val) {
var fullAtStart = isFull();
if (fullAtStart) {
if (outlier > 0) {
// Return early if it's an outlier
var avg = (double) sum / size;
if (Math.abs(avg - val) / avg > outlier) {
return Optional.empty();
try {
var fullAtStart = isFull();
if (fullAtStart) {
if (outlier > 0) {
// Return early if it's an outlier
checkArgument(size != 0);
var avg = (double) sum / size;
if (Math.abs(avg - val) / avg > outlier) {
return Optional.empty();
}
}
sum -= window.remove();
}
sum -= window.remove();
window.add(val);
sum += val;
if (!fullAtStart && isFull() && outlier != 0) {
removeInitialOutlier();
}
// When discarding outliers, the first n non discarded elements return Optional.empty()
return outlier > 0 && !isFull() ? Optional.empty() : current();
} catch (Throwable t) {
log.error(t.toString());
return Optional.empty();
}
window.add(val);
sum += val;
if (!fullAtStart && isFull() && outlier != 0) {
removeInitialOutlier();
}
// When discarding outliers, the first n non discarded elements return Optional.empty()
return outlier > 0 && !isFull() ? Optional.empty() : current();
}
boolean isFull() {
@ -155,7 +163,9 @@ public class MathUtils {
var element = window.iterator();
while (element.hasNext()) {
var val = element.next();
var avgExVal = (double) (sum - val) / (size - 1);
int div = size - 1;
checkArgument(div != 0);
var avgExVal = (double) (sum - val) / div;
if (Math.abs(avgExVal - val) / avgExVal > outlier) {
element.remove();
break;

63
desktop/src/main/java/bisq/desktop/main/offer/MutableOfferDataModel.java
View File

@ -335,37 +335,42 @@ public abstract class MutableOfferDataModel extends OfferDataModel implements Bs
private void setSuggestedSecurityDeposit(PaymentAccount paymentAccount) {
var minSecurityDeposit = preferences.getBuyerSecurityDepositAsPercent(getPaymentAccount());
if (getTradeCurrency() == null) {
setBuyerSecurityDeposit(minSecurityDeposit, false);
return;
}
// Get average historic prices over for the prior trade period equaling the lock time
var blocksRange = Restrictions.getLockTime(paymentAccount.getPaymentMethod().isAsset());
var startDate = new Date(System.currentTimeMillis() - blocksRange * 10 * 60000);
var sortedRangeData = tradeStatisticsManager.getObservableTradeStatisticsSet().stream()
.filter(e -> e.getCurrencyCode().equals(getTradeCurrency().getCode()))
.filter(e -> e.getTradeDate().compareTo(startDate) >= 0)
.sorted(Comparator.comparing(TradeStatistics2::getTradeDate))
.collect(Collectors.toList());
var movingAverage = new MathUtils.MovingAverage(10, 0.2);
double[] extremes = {Double.MAX_VALUE, Double.MIN_VALUE};
sortedRangeData.forEach(e -> {
var price = e.getTradePrice().getValue();
movingAverage.next(price).ifPresent(val -> {
if (val < extremes[0]) extremes[0] = val;
if (val > extremes[1]) extremes[1] = val;
try {
if (getTradeCurrency() == null) {
setBuyerSecurityDeposit(minSecurityDeposit, false);
return;
}
// Get average historic prices over for the prior trade period equaling the lock time
var blocksRange = Restrictions.getLockTime(paymentAccount.getPaymentMethod().isAsset());
var startDate = new Date(System.currentTimeMillis() - blocksRange * 10 * 60000);
var sortedRangeData = tradeStatisticsManager.getObservableTradeStatisticsSet().stream()
.filter(e -> e.getCurrencyCode().equals(getTradeCurrency().getCode()))
.filter(e -> e.getTradeDate().compareTo(startDate) >= 0)
.sorted(Comparator.comparing(TradeStatistics2::getTradeDate))
.collect(Collectors.toList());
var movingAverage = new MathUtils.MovingAverage(10, 0.2);
double[] extremes = {Double.MAX_VALUE, Double.MIN_VALUE};
sortedRangeData.forEach(e -> {
var price = e.getTradePrice().getValue();
movingAverage.next(price).ifPresent(val -> {
if (val < extremes[0]) extremes[0] = val;
if (val > extremes[1]) extremes[1] = val;
});
});
});
var min = extremes[0];
var max = extremes[1];
if (min == 0d || max == 0d) {
setBuyerSecurityDeposit(minSecurityDeposit, false);
return;
var min = extremes[0];
var max = extremes[1];
if (min == 0d || max == 0d) {
setBuyerSecurityDeposit(minSecurityDeposit, false);
return;
}
// Suggested deposit is double the trade range over the previous lock time period, bounded by min/max deposit
var suggestedSecurityDeposit =
Math.min(2 * (max - min) / max, Restrictions.getMaxBuyerSecurityDepositAsPercent());
buyerSecurityDeposit.set(Math.max(suggestedSecurityDeposit, minSecurityDeposit));
} catch (Throwable t) {
log.error(t.toString());
buyerSecurityDeposit.set(minSecurityDeposit);
}
// Suggested deposit is double the trade range over the previous lock time period, bounded by min/max deposit
var suggestedSecurityDeposit =
Math.min(2 * (max - min) / max, Restrictions.getMaxBuyerSecurityDepositAsPercent());
buyerSecurityDeposit.set(Math.max(suggestedSecurityDeposit, minSecurityDeposit));
}