adding john's flash crash process as 'rpp' #267

sbenthall · Feb 7, 2024 · 2e8afc8 · 2e8afc8
1 parent a1936a0
commit 2e8afc8
Showing 1 changed file with 12 additions and 0 deletions.
diff --git a/sharkfin/simulation.py b/sharkfin/simulation.py
@@ -710,6 +710,18 @@ def class_stat_column_to_dict(clabel):
 
         sim_stats["ranges_zs_max"] = ranges_zscore.max()
 
+        absolute_price_change = np.absolute(
+            np.array(self.market.prices[1:]) - np.array(self.market.prices[:-1]))
+
+        rp_process = np.log1p(self.market.ranges) - np.log1p(absolute_price_change)
+
+        sim_stats["rpp_mean"] = mean(rp_process)
+        sim_stats["rpp_stdev"] = stdev(rp_process)
+        sim_stats["rpp_min"] = min(rp_process)
+        sim_stats["rpp_max"] = max(rp_process)
+
+        import pdb; pdb.set_trace()
+
         return sim_stats