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ENH: Basic anomaly detector #393

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ENH: Basic anomaly detector #393

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07342c7
ENH: Basic anomaly detector
tibkiss Nov 18, 2020
694bf63
Use exact values for z-score calculation
tibkiss Nov 19, 2020
02c3f67
Remove unused
tibkiss Nov 19, 2020
b3c8c4b
Return immediately when there is no deviation
tibkiss Nov 19, 2020
bd8912c
run anomaly detection on ingest of trades
tibkiss Nov 20, 2020
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Remove unused
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@tibkiss
tibkiss committed Nov 19, 2020
commit 02c3f67db45dd399ac21e28b859aaa607214b117
1 change: 0 additions & 1 deletion tests/integ/tests/test_anomaly_detector.py
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Expand Up @@ -12,7 +12,6 @@

# Constants
DATA_TYPE_TICK = [('Epoch', 'i8'), ('Bid', 'f4'), ('Ask', 'f4'), ('Nanoseconds', 'i4')]
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i4 is the right type for Nanoseconds, but later in the tests, all nanosec data are given as floats, so numpy trucates all of them to 0. I'm don't think it's causing much trouble, but better be on the safe side.

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wow, we need to address that

DATA_TYPE_CANDLE = [('Epoch', 'i8'), ('Open', 'f8'), ('High', 'f8'), ('Low', 'f8'), ('Close', 'f8'), ('Volume', 'f8')]
MARKETSTORE_HOST = "localhost"
MARKETSTORE_PORT = 5993

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