Exp Moving Averages

exp_moving_averages.hpy

#!/bin/sh
"exec" "twxec" "-e" "calc_emas" "$0" "$@"

import numpy as np
from itertools import count
from math import sqrt
import time


class ExpMovingAvg(object):

    def __init__(self, tau=[10]):
        self.start_time = time.time()
        self.time_elapsed = 0
        self.last_time = None
        self.tau = np.array(tau).astype('float')
        self._value = None

    def sample(self, t, value):
        self._value = value
        if(self.last_time is None):
            self.last_time = t
            self.ema = value * np.ones(len(self.tau))
            self.last_ema = self.ema
        else:
            dt = t - self.last_time
            if(dt > 0):
                a = float(dt) / self.tau
                u = np.exp(-1.0 * a)
                self.last_ema = self.ema
                self.ema = (1 - u) * value + u * self.last_ema
                self.last_time = t
                self.time_elapsed = int(self.last_time) - int(self.start_time)
            # return self.ema

time_scales = [5, 15, 60]
EMA = ExpMovingAvg(time_scales)


def calc_emas(msg):
    statpack = {}
    EMA.sample(int(time.time()), sqrt(msg["count"]) * float(msg["value"]))
    statpack["5s"] = [EMA.ema[0], EMA.last_ema[0]]
    statpack["15s"] = [EMA.ema[1], EMA.last_ema[1]]
    statpack["60s"] = [EMA.ema[2], EMA.last_ema[2]]
    statpack["time(secs)"] = EMA.time_elapsed
    return statpack