Brummel
831092841e
The two genuinely-missing arithmetic primitives (Mul = two-stream f64 product, Sqrt = one-input f64 root, negatives clamped to 0). They are the building blocks for the volatility stop as a composition (rolling EWMA stddev), replacing the fused VolStop node. Also corrects plan 0066 Task 3 (the VolStop removal must migrate its stage1_r_e2e.rs caller — a false premise the implementer caught). refs #117 #119
77 lines
2.6 KiB
Rust
77 lines
2.6 KiB
Rust
//! `Sqrt` — one-input f64 square root. Turns a variance estimate (price²) back
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//! into a standard deviation (price), e.g. the last stage of a rolling-stddev
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//! volatility. Negative inputs are clamped to `0.0` before the root (a variance
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//! is non-negative; floating rounding can produce a tiny negative). Emits `None`
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//! until its input has a value.
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use aura_core::{Cell, Ctx, FieldSpec, Firing, Node, NodeSchema, PortSpec, PrimitiveBuilder, ScalarKind};
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/// One-input f64 square root, `sqrt(max(input, 0.0))`. Emits `None` until its
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/// input has a value (warm-up filter, C8).
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pub struct Sqrt {
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out: [Cell; 1],
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}
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impl Sqrt {
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pub fn new() -> Self {
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Self { out: [Cell::from_f64(0.0)] }
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}
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pub fn builder() -> PrimitiveBuilder {
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PrimitiveBuilder::new(
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"Sqrt",
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NodeSchema {
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inputs: vec![PortSpec { kind: ScalarKind::F64, firing: Firing::Any, name: "value".into() }],
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output: vec![FieldSpec { name: "value".into(), kind: ScalarKind::F64 }],
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params: vec![],
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},
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|_| Box::new(Sqrt::new()),
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)
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}
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}
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impl Default for Sqrt {
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fn default() -> Self { Self::new() }
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}
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impl Node for Sqrt {
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fn lookbacks(&self) -> Vec<usize> { vec![1] }
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fn eval(&mut self, ctx: Ctx<'_>) -> Option<&[Cell]> {
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let w = ctx.f64_in(0);
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if w.is_empty() {
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return None;
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}
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self.out[0] = Cell::from_f64(w[0].max(0.0).sqrt());
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Some(&self.out)
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}
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fn label(&self) -> String { "Sqrt".to_string() }
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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use aura_core::{AnyColumn, Scalar, Timestamp};
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#[test]
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fn sqrt_of_nine_is_three_zero_is_zero() {
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let mut s = Sqrt::new();
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let mut inputs = vec![AnyColumn::with_capacity(ScalarKind::F64, 1)];
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inputs[0].push(Scalar::f64(9.0)).unwrap();
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assert_eq!(s.eval(Ctx::new(&inputs, Timestamp(0))), Some([Cell::from_f64(3.0)].as_slice()));
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inputs[0].push(Scalar::f64(0.0)).unwrap();
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assert_eq!(s.eval(Ctx::new(&inputs, Timestamp(0))), Some([Cell::from_f64(0.0)].as_slice()));
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}
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#[test]
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fn sqrt_clamps_negative_to_zero() {
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let mut s = Sqrt::new();
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let mut inputs = vec![AnyColumn::with_capacity(ScalarKind::F64, 1)];
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inputs[0].push(Scalar::f64(-1e-12)).unwrap();
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assert_eq!(s.eval(Ctx::new(&inputs, Timestamp(0))), Some([Cell::from_f64(0.0)].as_slice()));
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}
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#[test]
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fn sqrt_is_none_until_input_present() {
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let mut s = Sqrt::new();
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let inputs = vec![AnyColumn::with_capacity(ScalarKind::F64, 1)];
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assert_eq!(s.eval(Ctx::new(&inputs, Timestamp(0))), None);
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}
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}
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