{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "open System\n",
    "open System.Collections.Generic"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [],
   "source": [
    "module PriceMovingAverage =\n",
    "\n",
    "    type PriceRecord =\n",
    "        {\n",
    "            Timestamp : DateTime\n",
    "            Price:      float\n",
    "        }\n",
    "\n",
    "    // queue duration\n",
    "    let queueDuration = TimeSpan.FromHours(1.)\n",
    "\n",
    "    // moving average queue\n",
    "    let private priceQueue = Queue<PriceRecord>()\n",
    "\n",
    "    // update moving average\n",
    "    let updateMovingAverage timestamp price =\n",
    "\n",
    "        // add the new price\n",
    "        priceQueue.Enqueue({ Timestamp = timestamp; Price = price})\n",
    "\n",
    "        // remove the items older than the price base period\n",
    "        let rec dequeueLoop () =\n",
    "            let p = priceQueue.Peek()\n",
    "            if p.Timestamp + queueDuration < timestamp then\n",
    "                priceQueue.Dequeue() |> ignore\n",
    "                dequeueLoop()\n",
    "\n",
    "        dequeueLoop()\n",
    "\n",
    "\n",
    "    // get the moving average\n",
    "    let getPrice fromTimestamp =\n",
    "        try\n",
    "            Some (\n",
    "                priceQueue\n",
    "                |> Seq.toList\n",
    "                |> List.skipWhile (fun t -> t.Timestamp < fromTimestamp)\n",
    "                |> List.averageBy (fun t -> t.Price)\n",
    "                |> decimal\n",
    "            )\n",
    "        with _ ->\n",
    "            None\n"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "add some data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "let mutable price = 100.\n",
    "let mutable date = DateTime(2020, 10, 1)\n",
    "let r = Random()\n",
    "\n",
    "for i in 0..20000 do\n",
    "    PriceMovingAverage.updateMovingAverage date price\n",
    "\n",
    "    price <- price + 0.5 - r.NextDouble()\n",
    "    date <- date.AddSeconds(10. * r.NextDouble())\n"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "get the data back"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Some 93.5840892957842M"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "let dateFrom = DateTime(2020, 10, 1, 1, 0, 0)\n",
    "PriceMovingAverage.getPrice dateFrom"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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