Package io.deephaven.engine.table.impl.updateby.emstd

Class BigDecimalEmStdOperator

java.lang.Object

io.deephaven.engine.table.impl.updateby.UpdateByOperator

io.deephaven.engine.table.impl.updateby.internal.BaseObjectUpdateByOperator<BigDecimal>

io.deephaven.engine.table.impl.updateby.emstd.BaseBigNumberEmStdOperator<BigDecimal>

io.deephaven.engine.table.impl.updateby.emstd.BigDecimalEmStdOperator

public class BigDecimalEmStdOperator
extends BaseBigNumberEmStdOperator<BigDecimal>

Compute an exponential moving standard deviation for a BigDecimal column source. The output is expressed as a BigDecimal value and is computed using the following formula:

variance = alpha * (prevVariance + (1 - alpha) * (x - prevEma)^2)

This function is described in the following document:

"Incremental calculation of weighted mean and variance" Tony Finch, University of Cambridge Computing Service (February 2009) https://web.archive.org/web/20181222175223/http://people.ds.cam.ac.uk/fanf2/hermes/doc/antiforgery/stats.pdf

NOTE: `alpha` as used in the paper has been replaced with `1 - alpha` per the convention adopted by Deephaven.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
class	BigDecimalEmStdOperator.Context

Nested classes/interfaces inherited from class io.deephaven.engine.table.impl.updateby.emstd.BaseBigNumberEmStdOperator

BaseBigNumberEmStdOperator.EmFunction

Field Summary

Fields inherited from class io.deephaven.engine.table.impl.updateby.emstd.BaseBigNumberEmStdOperator

control, emaSource, mathContext, maybeEmaInnerSource, opAlpha, opOneMinusAlpha, reverseWindowScaleUnits, valueSource

Fields inherited from class io.deephaven.engine.table.impl.updateby.internal.BaseObjectUpdateByOperator

colType, maybeInnerSource, outputSource

Fields inherited from class io.deephaven.engine.table.impl.updateby.UpdateByOperator

affectingColumns, forwardWindowScaleUnits, inputModifiedColumnSet, isWindowed, outputModifiedColumnSet, pair, rowRedirection, timestampColumnName

Constructor Summary

Constructors

Constructor	Description
BigDecimalEmStdOperator(@NotNull MatchPair pair, @NotNull String[] affectingColumns, @NotNull OperationControl control, @Nullable String timestampColumnName, double windowScaleUnits, @NotNull MathContext mathContext)	An operator that computes an EM Std from a BigDecimal column using an exponential decay function.

Method Summary

Modifier and Type	Method	Description
UpdateByOperator	copy()	Create an uninitialized copy of this operator.
UpdateByOperator.Context	makeUpdateContext(int affectedChunkSize, int influencerChunkSize)	Make an UpdateByOperator.Context suitable for use with updates.

Methods inherited from class io.deephaven.engine.table.impl.updateby.emstd.BaseBigNumberEmStdOperator

applyOutputShift, computeAlpha, computeOneMinusAlpha, handleBadData, initializeCumulative, initializeSources, prepareForParallelPopulation, startTrackingPrev

Methods inherited from class io.deephaven.engine.table.impl.updateby.internal.BaseObjectUpdateByOperator

clearOutputRows, getOutputColumns

Methods inherited from class io.deephaven.engine.table.impl.updateby.UpdateByOperator

createInputModifiedColumnSet, createOutputModifiedColumnSet, extractDownstreamModifiedColumnSet, finishUpdate, getAffectingColumnNames, getFwdWindowUnits, getInputColumnNames, getInputModifiedColumnSet, getOutputColumnNames, getOutputModifiedColumnSet, getPrevWindowUnits, getTimestampColumnName, initializeCumulativeWithKeyValues, initializeRolling, initializeRollingWithKeyValues, requiresRowPositions

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

BigDecimalEmStdOperator

public BigDecimalEmStdOperator(@NotNull
 @NotNull MatchPair pair,
 @NotNull
 @NotNull String[] affectingColumns,
 @NotNull
 @NotNull OperationControl control,
 @Nullable
 @Nullable String timestampColumnName,
 double windowScaleUnits,
 @NotNull
 @NotNull MathContext mathContext)

An operator that computes an EM Std from a BigDecimal column using an exponential decay function.

Parameters:

pair - the MatchPair that defines the input/output for this operation

affectingColumns - the names of the columns that affect this ema

control - defines how to handle null input values.

timestampColumnName - the name of the column containing timestamps for time-based calcuations

windowScaleUnits - the smoothing window for the EMA. If no timestampColumnName is provided, this is measured in ticks, otherwise it is measured in nanoseconds

Method Details

copy

public UpdateByOperator copy()

Description copied from class: UpdateByOperator

Create an uninitialized copy of this operator. UpdateByOperator.initializeSources(Table, RowRedirection) must be called before this operator can be used.

Specified by:

copy in class UpdateByOperator

Returns:

a copy of this operator

makeUpdateContext

@NotNull
public UpdateByOperator.Context makeUpdateContext(int affectedChunkSize,
 int influencerChunkSize)

Description copied from class: UpdateByOperator

Make an UpdateByOperator.Context suitable for use with updates.

Specified by:

makeUpdateContext in class UpdateByOperator

Parameters:

affectedChunkSize - The maximum size of affected chunks that will be provided during the update.

influencerChunkSize - The maximum size of influencer chunks that will be provided during the update.

Returns:

a new context