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compresstest.cpp File Reference

This file contains code to test various lossless compression algorithms on financial time series (e.g., stock close price). More...

#include <stdio.h>
#include "invpacktree_int.h"
#include "packtree_int.h"
#include "support.h"
#include "delta.h"
#include "haar_int.h"
#include "ts_trans_int.h"
#include "line_int.h"
#include "costwidth.h"
#include "yahooTS.h"

Go to the source code of this file.

Functions
int*	copy (int *intVec, const size_t N)
	Make a copy of an integer array. More...
bool	compare (const int *v1, const int *v2, const size_t N)
	Compare two integer arrays of size N. More...
size_t	calcPacketWidth (packdata_list< int > &bestBasisList)
	Calculate the number of bits needed to represent the result of the wavelet packet transform. More...
size_t	packet_calc (const int *intVec, const int *copyVec, const int N)
	Wavelet packet calculation. More...
size_t	delta_calc (int *intVec, const int *copyVec, const int N)
	Calculate the number of bits needed to represent the data after "delta" compression. More...
size_t	wave_calc (int *intVec, const int *copyVec, const int N, liftbase< int *, int > *w)
	Calculate the number of bits needed to represent the data after wavelet compression wavelet compression. More...
int	main ()
	Read in a set of equity time series file. More...

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Detailed Description

This file contains code to test various lossless compression algorithms on financial time series (e.g., stock close price).

The documentation in this file is formatted for doxygen (see www.doxyeng.org).

Copyright and Use

You may use this source code without limitation and without fee as long as you include: This software was written and is copyrighted by Ian Kaplan, Bear Products International, www.bearcave.com, 2002.

This software is provided "as is", without any warranty or claim as to its usefulness. Anyone who uses this source code uses it at their own risk. Nor is any support provided by Ian Kaplan and Bear Products International.

Please send any bug fixes or suggested source changes to:

     iank@bearcave.com

Author:

Ian Kaplan

Definition in file compresstest.cpp.

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Function Documentation

size_t calcPacketWidth ( packdata_list< int > & bestBasisList )

Calculate the number of bits needed to represent the result of the wavelet packet transform. The result of this version of the wavelet packet transform is a list of vectors, where each vector represents a best basis fit for a particular region of the signal. The result returned here is an obvious lower bound, since in practice a vector would consist of a fixed set of values. Also the length of the vector would have to be included, along with the width the the length values. Definition at line 104 of file compresstest.cpp. { packdata_list<int>::handle h; size_t totalWidth = 0; for (h = bestBasisList.first(); h != 0; h = bestBasisList.next( h )) { packdata<int> *node = bestBasisList.get_item( h ); const size_t len = node->length(); const int *vec = node->getData(); int nodeWidth = support::vecWidth( vec, len ); totalWidth += nodeWidth; } return totalWidth; } // calcPacketWidth

bool compare ( const int * v1, const int * v2, const size_t N )

Compare two integer arrays of size N. Return true if they are equal, false otherwise. Definition at line 73 of file compresstest.cpp. Referenced by delta_calc(), main(), packet_calc(), and wave_calc(). { bool rslt = true; for (size_t i = 0; i < N; i++) { if (v1[i] != v2[i]) { rslt = false; break; } } return rslt; } // compare

int * copy ( int * intVec, const size_t N )

Make a copy of an integer array. Note that the function allocates memory, but does not deallocate it. Definition at line 56 of file compresstest.cpp. { int *newVec = new int[ N ]; for (size_t i = 0; i < N; i++) { newVec[i] = intVec[i]; } return newVec; } // copy

size_t delta_calc ( int * intVec, const int * copyVec, const int N )

Calculate the number of bits needed to represent the data after "delta" compression. Delta compression stores the difference between value si-1 and si. Definition at line 186 of file compresstest.cpp. Referenced by main(). { delta_trans<int> delta; delta.forward( intVec, N ); const size_t deltaWidth = support::vecWidth( intVec, N ); delta.inverse( intVec, N); bool isEqual = compare( intVec, copyVec, N); if (! isEqual) printf("Delta compression inverse failed\n"); return deltaWidth; } // delta_calc

int main ( )

Read in a set of equity time series file. Calculate the number of bits needed to represent the data without compression and after wavelet and wavelet packet compression. Definition at line 247 of file compresstest.cpp. { const char *files[] = { "aa", // Alcoa Aluminium "amat", // Applied Materials "ba", // Boeing "cof", // Capital One "ge", // General Electric "ibm", // IBM Corp. "intc", // Intel "mmm", // 3M "mrk", // Merck "wmt", // Wal-Mart 0 // The null pointer }; const size_t N = 512; double realVec[ N ]; int intVec[ N ]; // an instance of yahooTS with the path to the data directory const char *dataDirPath = "..\\data\\equities\\"; yahooTS ts( dataDirPath ); printf("Equity Uncompressed delta Haar line TS wavelet packet (line)\n"); for (size_t i = 0; files[i] != 0; i++) { size_t n = N; if (! ts.getTS( files[i], realVec, n, yahooTS::Close )) { break; } if (n != N) { printf("Error: %d out of %d data elements read\n", n, N ); break; } support::decimalToInt( intVec, realVec, N ); int *copyVec = copy( intVec, N ); const size_t beforeWidth = support::vecWidth( intVec, N ); const size_t deltaWidth = delta_calc( intVec, copyVec, N ); haar_int haar; const size_t haarWidth = wave_calc( intVec, copyVec, N, &haar ); line_int<int *> line; const size_t lineWidth = wave_calc( intVec, copyVec, N, &line ); ts_trans_int ts_trans; const size_t tsTransWidth = wave_calc( intVec, copyVec, N, &ts_trans); const size_t packetWidth = packet_calc( intVec, copyVec, N ); printf(" %4s %4d %4d %4d %4d %d %4d\n", files[i], beforeWidth, deltaWidth, haarWidth, lineWidth, tsTransWidth, packetWidth ); } return 0; }

size_t packet_calc ( const int * intVec, const int * copyVec, const int N )

Wavelet packet calculation. The function returns the minimal total number of bits needed to represent the data when compressed using the wavelet packet algorithm. Definition at line 130 of file compresstest.cpp. { // The "line" wavelet transform (e.g., line with slope) line_int<packcontainer_int> line; // calculate the wavelet packet tree, using the line wavelet transform packtree_int tree( intVec, N, &line ); // get the root of the wavelet packet transform tree packnode<int> *treeRoot = tree.getRoot(); // Assign a cost on the basis of bit width costwidth cost( treeRoot ); // Calculate the "best basis" function from the tree tree.bestBasis(); // Check that the best basis function succeeded. That is, // that the best basis function does not include the // original data. if (! tree.bestBasisOK()) { printf("Best basis calculation failed\n"); } // Get the best basis list. This will be a list of // nodes consisting of the best basis set. This set is // obtained by traversing the tree, top down, left to // right. packdata_list<int> bestBasis = tree.getBestBasisList(); // Sum the cost values (width for each node in the best basis // list size_t width = calcPacketWidth( bestBasis ); invpacktree_int invtree( bestBasis, &line ); const int *invRslt = invtree.getData(); bool isEqual = compare( invRslt, copyVec, N ); if (! isEqual) printf("Wavelet packet inverse is wrong\n"); return width; } // packet_calc

size_t wave_calc ( int * intVec, const int * copyVec, const int N, liftbase< int *, int > * w )

Calculate the number of bits needed to represent the data after wavelet compression wavelet compression. Parameters: intVec   A pointer to an array of integers copyVec   A pointer to a copy of the integer array. This is used to verify that the inverse(forward(intVec)) transform yields the original data. N   the size of intVec and copyVec w   a pointer to a wavelet class Definition at line 221 of file compresstest.cpp. Referenced by main(). { w->forwardTrans( intVec, N ); const size_t waveWidth = support::vecWidth( intVec, N ); w->inverseTrans( intVec, N ); bool isEqual = compare( intVec, copyVec, N); if (! isEqual) printf("Line wavelet inverse is wrong\n"); return waveWidth; } // wave_calc

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