BTT_Agent::checkShouldBuyLineFit.cpp

//==================================================================
// curTimeUS: current time in micro-seconds
// idxB     : index of the currency we're looking to buy (for BTC/USD: 0=BTC, 1=USD)
bool BTT_Agent::checkShouldBuyLineFit( TimeUS curTimeUS, const size_t idxB ) const
{
    c_auto &tdis = mBTTask.GetCurTDIStream();
    c_auto &entries = tdis.GetCurBatch().mTDEntries;

    c_auto timeMaxS = TimeUSToSecs( curTimeUS );
    c_auto timeMinS = timeMaxS - 60.0 * 60.0 * 12; // from previous N seconds

    c_auto [i1, i2] = TD_FindEntriesInTimeRange( entries, timeMinS, timeMaxS );
    if ( i1 == i2 ) // nothing in range ?
        return false;

    // create the (time,price) points
    // NOTE: price in data is in Currency 1 (i.e. USD), so needs to be inverted for
    //   the prospective of the trend of a buyer of Currency 1
    DVec<Double2> pts( i2 - i1 );
    for (auto i=i1; i < i2; ++i)
    {
        // NOTE: negation of price works better than reciprocal, for some reason...
        //  (probably making up for different behavior of the currency)
        c_auto &e = entries[i];
        pts[i-i1] = { e.time_period_end.CalcTimeS(),
                      idxB == 0
                          ?  e.price_close
                          : -e.price_close };
    }

    // normalize the points to 0..1 range for both time and price
    normalizePts( pts );

    // calc the line fit
    c_auto [m, b] = SU_CalcLineFit( pts );

    // line segment for Xs in the selected time range ( timeMinS ... timeMaxS )
    c_auto p1 = Double2( timeMinS, timeMinS * m + b );
    c_auto p2 = Double2( timeMaxS, timeMaxS * m + b );
    c_auto diff = p2 - p1; 

    // angle (in degrees, for readability)
    c_auto ang = atan2( diff[1], diff[0] ) * 180.0 / M_PI;

    // empirically determined threshold angles to issue the buy signal
    return idxB == 0 ? ang > 1.5 : ang > 3.0;
}