NAME
Math::LiveStats - Pure perl module to make mean, standard deviation, vwap, and p-values available for one or more window sizes in streaming data
SYNOPSIS
#!/usr/bin/perl -w
use Math::LiveStats;
# Create a new Math::LiveStats object with window sizes of 60 and 300 seconds
my $stats = Math::LiveStats->new(60, 300); # doesn't have to be "time" or "seconds" - could be any series base you want
# Add time-series data points (timestamp, value, volume) # use volume=0 if you don't use/need vwap
$stats->add(1000, 50, 5);
$stats->add(1060, 55, 10);
$stats->add(1120, 53, 5);
# Get mean and standard deviation for a window size
my $mean_60 = $stats->mean(60);
my $stddev_60 = $stats->stddev(60); # of the mean
my $vwap_60 = $stats->vwap(60);
my $vwapdev_60 = $stats->vwapdev(60); # stddev of the vwap
# Get the p-value for a window size
my $pvalue_60 = $stats->pvalue(60);
# Get the number of entries in a window
my $n_60 = $stats->n(60);
# Recalculate statistics to reduce accumulated errors
$stats->recalc(60);CLI one-liner example
cat data | perl -MMath::LiveStats -ne 'BEGIN{$s=Math::LiveStats->new(20);} chomp;($t,$p,$v)=split(/,/); $s->add($t,$p,$v); print "$t,$p,$v,",$s->n(20),",",$s->mean(20),",",$s->stddev(20),",",$s->vwap(20),",",$s->vwapdev(20),"\n"'DESCRIPTION
Math::LiveStats provides live statistical calculations (mean, standard deviation, p-value) over multiple window sizes for streaming data. It uses West's algorithm for efficient updates and supports synthetic boundary entries to maintain consistent results.
Note that, while it has upto 1 synthetic entry per windowsize (when old data shuffles out of the array, a linearly-interpo0lated synthetic entry is added or assumed), the mean, vwap and deviations are computed only over the data that exists inside the window. One or more entries may be missing (not including the oldest, which will be syntietic in that case).
METHODS
new(@window_sizes)
Creates a new Math::LiveStats object with the specified window sizes.
add($timestamp, $value [,$volume])
Adds a new data point to the time-series and updates statistics.
mean($window_size)
Returns the mean for the specified window size.
stddev($window_size)
Returns the standard deviation of the values for the specified window size.
pvalue($window_size)
Calculates the p-value based on the standard deviation for the specified window size.
n($window_size)
Returns the number of entries in the specified window size.
vwap($window_size)
Returns the volume-weighted average price for the specified window size.
vwapdev($window_size)
Returns the standard deviation of the vwap for the specified window size.
recalc($window_size)
Recalculates the running statistics for the given window to reduce accumulated numerical errors.
EXPORT
None by default.
AUTHORS
This module was written by Chris Drake cdrake@cpan.org.
COPYRIGHT AND LICENSE
Copyright (c) 2024 Chris Drake. All rights reserved.
This library is free software; you can redistribute it and/or modify it under the same terms as Perl itself, either Perl version 5.18.2 or, at your option, any later version of Perl 5 you may have available.