diff --git a/val_sim.py b/val_sim.py new file mode 100644 index 0000000000000000000000000000000000000000..9425187269678361d96f4178292aa2d8e1a198f6 --- /dev/null +++ b/val_sim.py @@ -0,0 +1,59 @@ +#The below code was referenced and modified as per the requirement from the code provided on course work desciption document. +#The handling of the input from the GAE(codes from line 9 to 18) are adopted from Python3 documentation https://docs.python.org/3/library/ +#!/usr/bin/python3 + +import math, random, sys, json +from statistics import mean, stdev + + +event = json.loads(sys.stdin.read()) + + +dt = eval(event['key1']) +close = eval(event['key2']) +buy = eval(event['key3']) +sell = eval(event['key4']) +h = int(event['key5']) +d = int(event['key6']) +t = event['key7'] +minhistory = h +shots = d +var95_list = [] +var99_list = [] +dates = [] + +for i in range(minhistory, len(close)): + if t == "buy": + if buy[i] == 1: + close_data = close[i-minhistory:i] + pct_change = [(close_data[i] - close_data[i-1]) / close_data[i-1] for i in range(1,len(close_data))] + mean = mean(pct_change) + std = stdev(pct_change) + simulated = [random.gauss(mean,std) for x in range(shots)] + simulated.sort(reverse=True) + var95 = simulated[int(len(simulated)*0.95)] + var99 = simulated[int(len(simulated)*0.99)] + var95_list.append(var95) + var99_list.append(var99) + dates.append(str(dt[i])) + elif t == "sell": + if sell[i] == 1: + close_data = close[i-minhistory:i] + pct_change = [(close_data[i] - close_data[i-1]) / close_data[i-1] for i in range(1,len(close_data))] + mean = mean(pct_change) + std = stdev(pct_change) + simulated = [random.gauss(mean,std) for x in range(shots)] + simulated.sort(reverse=True) + var95 = simulated[int(len(simulated)*0.95)] + var99 = simulated[int(len(simulated)*0.99)] + var95_list.append(var95) + var99_list.append(var99) + dates.append(str(dt[i])) + +output = {"dates" : dates, + "var95" : var95_list, + "var99" : var99_list + } + +output = json.dumps(output) +