ursatoro

-module(ursatoro@microstructure).
-compile([no_auto_import, nowarn_unused_vars, nowarn_unused_function, nowarn_nomatch, inline]).
-define(FILEPATH, "src/ursatoro/microstructure.gleam").
-export([vpin/2, amihud/3, roll_measure/2]).
-export_type([trade_bar/0]).

-type trade_bar() :: {trade_bar, float(), float(), float(), float()}.

-file("src/ursatoro/microstructure.gleam", 137).
-spec compute_amihud_ratios(list(float()), list(float()), list(float())) -> list(float()).
compute_amihud_ratios(Returns, Prices, Volumes) ->
    case {Returns, Prices, Volumes} of
        {[R | Rest_r], [P | Rest_p], [V | Rest_v]} ->
            Denom = P * V,
            Ratio = case Denom > +0.0 of
                true ->
                    case Denom of
                        +0.0 -> +0.0;
                        -0.0 -> -0.0;
                        Gleam@denominator -> gleam@float:absolute_value(R) / Gleam@denominator
                    end;

                false ->
                    +0.0
            end,
            [Ratio | compute_amihud_ratios(Rest_r, Rest_p, Rest_v)];

        {_, _, _} ->
            []
    end.

-file("src/ursatoro/microstructure.gleam", 157).
-spec compute_changes(list(float())) -> list(float()).
compute_changes(Prices) ->
    case Prices of
        [] ->
            [];

        [_] ->
            [];

        [First | Rest] ->
            {Changes, _} = gleam@list:fold(
                Rest,
                {[], First},
                fun(Acc, P) ->
                    {Cs, Prev} = Acc,
                    {[P - Prev | Cs], P}
                end
            ),
            lists:reverse(Changes)
    end.

-file("src/ursatoro/microstructure.gleam", 171).
-spec compute_returns(list(float())) -> list(float()).
compute_returns(Prices) ->
    case Prices of
        [] ->
            [];

        [_] ->
            [];

        [First | Rest] ->
            {Returns, _} = gleam@list:fold(
                Rest,
                {[], First},
                fun(Acc, P) ->
                    {Rs, Prev} = Acc,
                    Ret = case Prev > +0.0 of
                        true ->
                            case Prev of
                                +0.0 -> +0.0;
                                -0.0 -> -0.0;
                                Gleam@denominator -> (P - Prev) / Gleam@denominator
                            end;

                        false ->
                            +0.0
                    end,
                    {[Ret | Rs], P}
                end
            ),
            lists:reverse(Returns)
    end.

-file("src/ursatoro/microstructure.gleam", 225).
-spec int_to_float(integer()) -> float().
int_to_float(N) ->
    erlang:float(N).

-file("src/ursatoro/microstructure.gleam", 57).
-spec compute_vpin_window(list(trade_bar()), integer()) -> float().
compute_vpin_window(Bars, Window) ->
    Sum = gleam@list:fold(
        Bars,
        +0.0,
        fun(Acc, Bar) -> case erlang:element(4, Bar) > +0.0 of
                true ->
                    Acc + (case erlang:element(4, Bar) of
                        +0.0 -> +0.0;
                        -0.0 -> -0.0;
                        Gleam@denominator -> gleam@float:absolute_value(
                            erlang:element(3, Bar) - erlang:element(2, Bar)
                        )
                        / Gleam@denominator
                    end);

                false ->
                    Acc
            end end
    ),
    W = int_to_float(Window),
    case W > +0.0 of
        true ->
            case W of
                +0.0 -> +0.0;
                -0.0 -> -0.0;
                Gleam@denominator@1 -> Sum / Gleam@denominator@1
            end;

        false ->
            +0.0
    end.

-file("src/ursatoro/microstructure.gleam", 39).
-spec sliding_vpin(list(trade_bar()), integer(), list(float())) -> list(float()).
sliding_vpin(Bars, Window, Acc) ->
    case erlang:length(Bars) >= Window of
        false ->
            lists:reverse(Acc);

        true ->
            Window_bars = gleam@list:take(Bars, Window),
            Value = compute_vpin_window(Window_bars, Window),
            case gleam@list:rest(Bars) of
                {ok, Rest} ->
                    sliding_vpin(Rest, Window, [Value | Acc]);

                {error, _} ->
                    lists:reverse([Value | Acc])
            end
    end.

-file("src/ursatoro/microstructure.gleam", 30).
-spec vpin(list(trade_bar()), integer()) -> {ok, list(float())} |
    {error, ursatoro@util:indicator_error()}.
vpin(Trade_bars, Window) ->
    gleam@result:'try'(
        ursatoro@util:validate_period(Window),
        fun(_) ->
            gleam@result:'try'(
                ursatoro@util:validate_length(Trade_bars, Window),
                fun(_) -> {ok, sliding_vpin(Trade_bars, Window, [])} end
            )
        end
    ).

-file("src/ursatoro/microstructure.gleam", 189).
-spec autocovariance(list(float())) -> float().
autocovariance(Changes) ->
    case Changes of
        [] ->
            +0.0;

        [_] ->
            +0.0;

        [First | Rest] ->
            {Sum, Count, _} = gleam@list:fold(
                Rest,
                {+0.0, 0, First},
                fun(Acc, C) ->
                    {S, N, Prev} = Acc,
                    {S + (Prev * C), N + 1, C}
                end
            ),
            case Count > 0 of
                true ->
                    case int_to_float(Count) of
                        +0.0 -> +0.0;
                        -0.0 -> -0.0;
                        Gleam@denominator -> Sum / Gleam@denominator
                    end;

                false ->
                    +0.0
            end
    end.

-file("src/ursatoro/microstructure.gleam", 206).
-spec sliding_mean(list(float()), integer(), list(float())) -> list(float()).
sliding_mean(Values, Window, Acc) ->
    case erlang:length(Values) >= Window of
        false ->
            lists:reverse(Acc);

        true ->
            Window_vals = gleam@list:take(Values, Window),
            Sum = gleam@list:fold(Window_vals, +0.0, fun(A, V) -> A + V end),
            Mean = case int_to_float(Window) of
                +0.0 -> +0.0;
                -0.0 -> -0.0;
                Gleam@denominator -> Sum / Gleam@denominator
            end,
            case gleam@list:rest(Values) of
                {ok, Rest} ->
                    sliding_mean(Rest, Window, [Mean | Acc]);

                {error, _} ->
                    lists:reverse([Mean | Acc])
            end
    end.

-file("src/ursatoro/microstructure.gleam", 113).
-spec amihud(list(float()), list(float()), integer()) -> {ok, list(float())} |
    {error, ursatoro@util:indicator_error()}.
amihud(Prices, Volumes, Window) ->
    gleam@result:'try'(
        ursatoro@util:validate_period(Window),
        fun(_) ->
            Min_len = Window + 1,
            gleam@result:'try'(
                ursatoro@util:validate_length(Prices, Min_len),
                fun(_) ->
                    gleam@result:'try'(
                        ursatoro@util:validate_length(Volumes, Min_len),
                        fun(_) ->
                            Returns = compute_returns(Prices),
                            Vols = case gleam@list:rest(Volumes) of
                                {ok, V} ->
                                    V;

                                {error, _} ->
                                    []
                            end,
                            Price_tail = case gleam@list:rest(Prices) of
                                {ok, P} ->
                                    P;

                                {error, _} ->
                                    []
                            end,
                            Ratios = compute_amihud_ratios(
                                Returns,
                                Price_tail,
                                Vols
                            ),
                            {ok, sliding_mean(Ratios, Window, [])}
                        end
                    )
                end
            )
        end
    ).

-file("src/ursatoro/microstructure.gleam", 232).
-spec float_sqrt(float()) -> float().
float_sqrt(X) ->
    case X =< +0.0 of
        true ->
            +0.0;

        false ->
            math:sqrt(X)
    end.

-file("src/ursatoro/microstructure.gleam", 90).
-spec sliding_roll(list(float()), integer(), list(float())) -> list(float()).
sliding_roll(Changes, Window, Acc) ->
    case erlang:length(Changes) >= Window of
        false ->
            lists:reverse(Acc);

        true ->
            Window_changes = gleam@list:take(Changes, Window),
            Autocov = autocovariance(Window_changes),
            Roll = 2.0 * float_sqrt(gleam@float:absolute_value(Autocov)),
            case gleam@list:rest(Changes) of
                {ok, Rest} ->
                    sliding_roll(Rest, Window, [Roll | Acc]);

                {error, _} ->
                    lists:reverse([Roll | Acc])
            end
    end.

-file("src/ursatoro/microstructure.gleam", 79).
-spec roll_measure(list(float()), integer()) -> {ok, list(float())} |
    {error, ursatoro@util:indicator_error()}.
roll_measure(Prices, Window) ->
    gleam@result:'try'(
        ursatoro@util:validate_period(Window),
        fun(_) ->
            Min_len = Window + 1,
            gleam@result:'try'(
                ursatoro@util:validate_length(Prices, Min_len),
                fun(_) ->
                    Changes = compute_changes(Prices),
                    {ok, sliding_roll(Changes, Window, [])}
                end
            )
        end
    ).