longrun-test.hs

   1 module Main where
   2 import Control.Applicative ((<$>))
   3 import Data.List (intercalate)
   4 import Data.Set (Set)
   5 import qualified Data.Set as Set
   6 import Fund (Fund(XRP), btcBitstamp, usdBitstamp, cnyRippleCN)
   7 import Numeric.Matrix (MatrixElement)
   8 import System.Exit (exitSuccess)
   9 import Test.QuickCheck (sample')
  10 import Test.ValueSimplex (arbitrarilyMultiUpdatedWithLinkOptimumAtNearPrice)
  11 import Util.Foldable (sumWith)
  12 import Util.Monad ((>>=*))
  13 import Util.Set (distinctTriplesOneWay)
  14 import ValueSimplex
  15
  16 arbitrageability :: (Ord a, Floating b) => ValueSimplex a b -> b
  17 arbitrageability vs =
  18   flip sumWith (distinctTriplesOneWay $ nodes vs) $ \(x, y, z) ->
  19   let s = vsLookup vs in
  20   abs $ log $ s x y * s y z * s z x / (s z y * s y x * s x z)
  21
  22 printAndUpdate :: (Ord b, Floating b, MatrixElement b, Show b)
  23   => ValueSimplex Fund b -> IO (ValueSimplex Fund b)
  24 printAndUpdate vs = do
  25   putStrLn $ intercalate "," $ map show
  26     [ arbitrageability vs
  27     , nodeValue vs XRP
  28     , linkValueSquared vs XRP btcBitstamp
  29     ]
  30   head <$> (sample' $ arbitrarilyMultiUpdatedWithLinkOptimumAtNearPrice vs)
  31
  32 main :: IO ()
  33 main = do
  34   flip (>>=*) (replicate 100000 printAndUpdate) $ flip fromFunction
  35     (Set.fromList [XRP, btcBitstamp, usdBitstamp, cnyRippleCN])
  36     $ \left _ ->
  37     let
  38       total fund
  39         | fund == XRP         = 717270000 :: Double
  40         | fund == btcBitstamp = 0.0183
  41         | fund == usdBitstamp = 22.22
  42         | fund == cnyRippleCN = 132.58
  43         | otherwise           = 0
  44     in
  45     total left / 3
  46   exitSuccess
  47