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next iteration
This commit is contained in:
Miha Kralj
@@ -0,0 +1,249 @@
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using System;
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using Xunit;
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using QuanTAlib;
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namespace QuanTAlib.Tests;
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public class SimdExtensionsTests
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{
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[Fact]
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public void SumSIMD_EmptySpan_ReturnsZero()
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{
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var span = ReadOnlySpan<double>.Empty;
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Assert.Equal(0.0, span.SumSIMD());
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}
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[Fact]
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public void SumSIMD_SingleElement_ReturnsElement()
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{
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double[] data = [42.5];
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var span = new ReadOnlySpan<double>(data);
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Assert.Equal(42.5, span.SumSIMD());
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}
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[Fact]
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public void SumSIMD_MultipleElements_ReturnsCorrectSum()
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{
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double[] data = [1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0];
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var span = new ReadOnlySpan<double>(data);
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Assert.Equal(55.0, span.SumSIMD(), precision: 10);
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}
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[Fact]
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public void SumSIMD_LargeArray_ReturnsCorrectSum()
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{
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double[] data = new double[1000];
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for (int i = 0; i < data.Length; i++)
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data[i] = i + 1.0;
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var span = new ReadOnlySpan<double>(data);
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double expected = 1000.0 * 1001.0 / 2.0; // Sum of 1..1000
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Assert.Equal(expected, span.SumSIMD(), precision: 8);
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}
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[Fact]
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public void MinSIMD_EmptySpan_ReturnsNaN()
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{
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var span = ReadOnlySpan<double>.Empty;
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Assert.True(double.IsNaN(span.MinSIMD()));
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}
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[Fact]
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public void MinSIMD_SingleElement_ReturnsElement()
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{
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double[] data = [42.5];
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var span = new ReadOnlySpan<double>(data);
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Assert.Equal(42.5, span.MinSIMD());
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}
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[Fact]
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public void MinSIMD_MultipleElements_ReturnsMinimum()
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{
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double[] data = [5.0, 2.0, 8.0, 1.0, 9.0, 3.0, 7.0, 4.0];
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var span = new ReadOnlySpan<double>(data);
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Assert.Equal(1.0, span.MinSIMD());
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}
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[Fact]
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public void MaxSIMD_EmptySpan_ReturnsNaN()
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{
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var span = ReadOnlySpan<double>.Empty;
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Assert.True(double.IsNaN(span.MaxSIMD()));
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}
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[Fact]
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public void MaxSIMD_SingleElement_ReturnsElement()
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{
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double[] data = [42.5];
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var span = new ReadOnlySpan<double>(data);
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Assert.Equal(42.5, span.MaxSIMD());
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}
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[Fact]
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public void MaxSIMD_MultipleElements_ReturnsMaximum()
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{
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double[] data = [5.0, 2.0, 8.0, 1.0, 9.0, 3.0, 7.0, 4.0];
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var span = new ReadOnlySpan<double>(data);
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Assert.Equal(9.0, span.MaxSIMD());
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}
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[Fact]
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public void AverageSIMD_EmptySpan_ReturnsNaN()
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{
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var span = ReadOnlySpan<double>.Empty;
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Assert.True(double.IsNaN(span.AverageSIMD()));
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}
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[Fact]
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public void AverageSIMD_MultipleElements_ReturnsCorrectAverage()
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{
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double[] data = [1.0, 2.0, 3.0, 4.0, 5.0];
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var span = new ReadOnlySpan<double>(data);
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Assert.Equal(3.0, span.AverageSIMD(), precision: 10);
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}
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[Fact]
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public void VarianceSIMD_LessThanTwoElements_ReturnsNaN()
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{
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double[] data = [42.5];
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var span = new ReadOnlySpan<double>(data);
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Assert.True(double.IsNaN(span.VarianceSIMD()));
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}
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[Fact]
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public void VarianceSIMD_MultipleElements_ReturnsCorrectVariance()
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{
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double[] data = [2.0, 4.0, 4.0, 4.0, 5.0, 5.0, 7.0, 9.0];
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var span = new ReadOnlySpan<double>(data);
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// Expected variance: 4.571428... (sample variance)
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double variance = span.VarianceSIMD();
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Assert.True(Math.Abs(variance - 4.571428) < 0.0001);
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}
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[Fact]
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public void StdDevSIMD_MultipleElements_ReturnsCorrectStdDev()
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{
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double[] data = [2.0, 4.0, 4.0, 4.0, 5.0, 5.0, 7.0, 9.0];
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var span = new ReadOnlySpan<double>(data);
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// Expected std dev: sqrt(4.571428) ≈ 2.138
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double stdDev = span.StdDevSIMD();
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Assert.True(Math.Abs(stdDev - 2.138) < 0.01);
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}
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[Fact]
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public void MinMaxSIMD_EmptySpan_ReturnsBothNaN()
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{
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var span = ReadOnlySpan<double>.Empty;
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var (min, max) = span.MinMaxSIMD();
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Assert.True(double.IsNaN(min));
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Assert.True(double.IsNaN(max));
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}
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[Fact]
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public void MinMaxSIMD_SingleElement_ReturnsSameValue()
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{
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double[] data = [42.5];
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var span = new ReadOnlySpan<double>(data);
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var (min, max) = span.MinMaxSIMD();
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Assert.Equal(42.5, min);
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Assert.Equal(42.5, max);
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}
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[Fact]
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public void MinMaxSIMD_MultipleElements_ReturnsCorrectMinMax()
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{
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double[] data = [5.0, 2.0, 8.0, 1.0, 9.0, 3.0, 7.0, 4.0];
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var span = new ReadOnlySpan<double>(data);
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var (min, max) = span.MinMaxSIMD();
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Assert.Equal(1.0, min);
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Assert.Equal(9.0, max);
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}
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[Fact]
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public void SIMD_WorksWithTSeriesValues()
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{
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var series = new TSeries(100);
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for (int i = 0; i < 100; i++)
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{
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series.Add(DateTime.UtcNow.Ticks + i, i + 1.0);
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}
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var values = series.Values;
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double sum = values.SumSIMD();
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double avg = values.AverageSIMD();
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double min = values.MinSIMD();
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double max = values.MaxSIMD();
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var (minAlt, maxAlt) = values.MinMaxSIMD();
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Assert.Equal(5050.0, sum, precision: 8); // Sum of 1..100
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Assert.Equal(50.5, avg, precision: 8);
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Assert.Equal(1.0, min);
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Assert.Equal(100.0, max);
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Assert.Equal(min, minAlt);
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Assert.Equal(max, maxAlt);
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}
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[Fact]
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public void SIMD_WorksWithTBarSeriesClose()
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{
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var gbm = new GBM(startPrice: 100.0);
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long startTime = DateTime.UtcNow.Ticks;
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var interval = TimeSpan.FromMinutes(1);
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var bars = gbm.Fetch(1000, startTime, interval);
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var closeValues = bars.Close.Values;
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double sum = closeValues.SumSIMD();
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double avg = closeValues.AverageSIMD();
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double min = closeValues.MinSIMD();
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double max = closeValues.MaxSIMD();
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Assert.True(sum > 0);
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Assert.True(avg > 0);
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Assert.True(min > 0);
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Assert.True(max > min);
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}
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[Fact]
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public void SIMD_PerformanceTest_LargeDataset()
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{
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// Generate large dataset
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var gbm = new GBM(startPrice: 100.0);
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long startTime = DateTime.UtcNow.Ticks;
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var interval = TimeSpan.FromMinutes(1);
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var bars = gbm.Fetch(10000, startTime, interval);
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var closeValues = bars.Close.Values;
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// Warm up
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_ = closeValues.SumSIMD();
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// Test SIMD operations
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var sw = System.Diagnostics.Stopwatch.StartNew();
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double sum = closeValues.SumSIMD();
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double avg = closeValues.AverageSIMD();
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double min = closeValues.MinSIMD();
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double max = closeValues.MaxSIMD();
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var (minAlt, maxAlt) = closeValues.MinMaxSIMD();
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double variance = closeValues.VarianceSIMD();
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double stdDev = closeValues.StdDevSIMD();
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sw.Stop();
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// Verify results are valid
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Assert.True(sum > 0);
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Assert.True(avg > 0);
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Assert.True(min > 0);
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Assert.True(max > min);
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Assert.True(variance > 0);
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Assert.True(stdDev > 0);
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// Performance should be sub-millisecond for 10k elements
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Assert.True(sw.ElapsedMilliseconds < 10,
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$"SIMD operations took {sw.ElapsedMilliseconds}ms, expected < 10ms");
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}
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}
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@@ -0,0 +1,76 @@
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using System;
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using Xunit;
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using QuanTAlib;
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namespace QuanTAlib.Tests
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{
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public class TBarTests
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{
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[Fact]
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public void Constructor_SetsPropertiesCorrectly()
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{
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long time = DateTime.UtcNow.Ticks;
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double open = 100;
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double high = 110;
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double low = 90;
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double close = 105;
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double volume = 1000;
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var bar = new TBar(time, open, high, low, close, volume);
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Assert.Equal(time, bar.Time);
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Assert.Equal(open, bar.Open);
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Assert.Equal(high, bar.High);
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Assert.Equal(low, bar.Low);
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Assert.Equal(close, bar.Close);
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Assert.Equal(volume, bar.Volume);
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}
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[Fact]
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public void HL2_CalculatesCorrectly()
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{
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var bar = new TBar(0, 100, 110, 90, 105, 1000);
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Assert.Equal(100.0, bar.HL2); // (110 + 90) / 2
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}
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[Fact]
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public void OHL3_CalculatesCorrectly()
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{
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var bar = new TBar(0, 100, 110, 90, 105, 1000);
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Assert.Equal(100.0, bar.OHL3); // (100 + 110 + 90) / 3
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}
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[Fact]
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public void HLC3_CalculatesCorrectly()
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{
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var bar = new TBar(0, 100, 110, 90, 100, 1000);
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Assert.Equal(100.0, bar.HLC3); // (110 + 90 + 100) / 3
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}
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[Fact]
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public void OHLC4_CalculatesCorrectly()
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{
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var bar = new TBar(0, 100, 110, 90, 100, 1000);
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Assert.Equal(100.0, bar.OHLC4); // (100 + 110 + 90 + 100) / 4
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}
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[Fact]
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public void HLCC4_CalculatesCorrectly()
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{
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var bar = new TBar(0, 100, 110, 90, 100, 1000);
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Assert.Equal(100.0, bar.HLCC4); // (110 + 90 + 100 + 100) / 4
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}
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[Fact]
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public void ImplicitConversion_ToTValue_ReturnsClosePriceWithTime()
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{
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long time = DateTime.UtcNow.Ticks;
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var bar = new TBar(time, 100, 110, 90, 105, 1000);
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TValue tv = bar;
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Assert.Equal(time, tv.Time);
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Assert.Equal(105.0, tv.Value);
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}
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}
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}
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@@ -26,12 +26,12 @@ public readonly struct TBar : IEquatable<TBar>
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public TValue V { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => new(Time, Volume); }
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// Computed properties (calculated on demand, no storage overhead)
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public double HL2 => (High + Low) * 0.5;
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public double OC2 => (Open + Close) * 0.5;
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public double OHL3 => (Open + High + Low) / 3.0;
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public double HLC3 => (High + Low + Close) / 3.0;
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public double OHLC4 => (Open + High + Low + Close) * 0.25;
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public double HLCC4 => (High + Low + Close + Close) * 0.25;
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public double HL2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low) * 0.5; }
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public double OC2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + Close) * 0.5; }
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public double OHL3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low) / 3.0; }
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public double HLC3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close) / 3.0; }
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public double OHLC4 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low + Close) * 0.25; }
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public double HLCC4 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close + Close) * 0.25; }
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TBar(long time, double open, double high, double low, double close, double volume)
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@@ -58,6 +58,9 @@ public readonly struct TBar : IEquatable<TBar>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static implicit operator double(TBar bar) => bar.Close;
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static implicit operator TValue(TBar bar) => new(bar.Time, bar.Close);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static implicit operator DateTime(TBar bar) => new(bar.Time, DateTimeKind.Utc);
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@@ -0,0 +1,58 @@
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using System;
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using Xunit;
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using QuanTAlib;
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namespace QuanTAlib.Tests
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{
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public class TBarSeriesTests
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{
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[Fact]
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public void Add_NewBar_IncreasesCount()
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{
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var series = new TBarSeries();
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var bar = new TBar(DateTime.UtcNow.Ticks, 100, 110, 90, 105, 1000);
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series.Add(bar, isNew: true);
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Assert.Single(series);
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Assert.Equal(105.0, series.Last.Close);
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}
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[Fact]
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public void Add_UpdateBar_DoesNotIncreaseCount()
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{
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var series = new TBarSeries();
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long time = DateTime.UtcNow.Ticks;
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var bar1 = new TBar(time, 100, 110, 90, 105, 1000);
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var bar2 = new TBar(time, 100, 112, 90, 108, 1200);
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series.Add(bar1, isNew: true);
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series.Add(bar2, isNew: false);
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Assert.Single(series);
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Assert.Equal(108.0, series.Last.Close);
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Assert.Equal(112.0, series.Last.High);
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}
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[Fact]
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public void SubSeries_AreUpdated()
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{
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var series = new TBarSeries();
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var bar = new TBar(DateTime.UtcNow.Ticks, 100, 110, 90, 105, 1000);
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series.Add(bar, isNew: true);
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Assert.Single(series.Open);
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Assert.Single(series.High);
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Assert.Single(series.Low);
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Assert.Single(series.Close);
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Assert.Single(series.Volume);
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Assert.Equal(100.0, series.Open.Last.Value);
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Assert.Equal(110.0, series.High.Last.Value);
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Assert.Equal(90.0, series.Low.Last.Value);
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Assert.Equal(105.0, series.Close.Last.Value);
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Assert.Equal(1000.0, series.Volume.Last.Value);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,49 @@
|
||||
using System;
|
||||
using Xunit;
|
||||
using QuanTAlib;
|
||||
|
||||
namespace QuanTAlib.Tests
|
||||
{
|
||||
public class TSeriesTests
|
||||
{
|
||||
[Fact]
|
||||
public void Add_NewValue_IncreasesCount()
|
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{
|
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var series = new TSeries();
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long time = DateTime.UtcNow.Ticks;
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|
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series.Add(time, 10.0, isNew: true);
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Assert.Single(series);
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Assert.Equal(10.0, series.Last.Value);
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}
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||||
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[Fact]
|
||||
public void Add_UpdateValue_DoesNotIncreaseCount()
|
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{
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||||
var series = new TSeries();
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long time = DateTime.UtcNow.Ticks;
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||||
|
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series.Add(time, 10.0, isNew: true);
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series.Add(time, 11.0, isNew: false);
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Assert.Single(series);
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Assert.Equal(11.0, series.Last.Value);
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}
|
||||
|
||||
[Fact]
|
||||
public void Add_MultipleValues_MaintainsOrder()
|
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{
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var series = new TSeries();
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long t0 = DateTime.UtcNow.Ticks;
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long t1 = t0 + TimeSpan.TicksPerMinute;
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||||
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series.Add(t0, 10.0, isNew: true);
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series.Add(t1, 20.0, isNew: true);
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||||
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Assert.Equal(2, series.Count);
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Assert.Equal(10.0, series[0].Value);
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Assert.Equal(20.0, series[1].Value);
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||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,51 @@
|
||||
using System;
|
||||
using Xunit;
|
||||
using QuanTAlib;
|
||||
|
||||
namespace QuanTAlib.Tests
|
||||
{
|
||||
public class TValueTests
|
||||
{
|
||||
[Fact]
|
||||
public void Constructor_SetsPropertiesCorrectly()
|
||||
{
|
||||
long time = DateTime.UtcNow.Ticks;
|
||||
double value = 123.45;
|
||||
|
||||
var tValue = new TValue(time, value);
|
||||
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||||
Assert.Equal(time, tValue.Time);
|
||||
Assert.Equal(value, tValue.Value);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void AsDateTime_ReturnsCorrectDateTime()
|
||||
{
|
||||
DateTime dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
|
||||
long ticks = dt.Ticks;
|
||||
var tValue = new TValue(ticks, 100.0);
|
||||
|
||||
Assert.Equal(dt, tValue.AsDateTime);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ToString_FormatsCorrectly()
|
||||
{
|
||||
DateTime dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
|
||||
var tValue = new TValue(dt.Ticks, 123.456);
|
||||
|
||||
string result = tValue.ToString();
|
||||
|
||||
Assert.Contains(dt.ToString("yyyy-MM-dd HH:mm:ss"), result);
|
||||
Assert.Contains("123.46", result); // Default formatting usually 2 decimals or similar
|
||||
}
|
||||
|
||||
[Fact]
|
||||
public void ImplicitConversion_ToDouble()
|
||||
{
|
||||
var tValue = new TValue(DateTime.UtcNow.Ticks, 42.0);
|
||||
double val = tValue;
|
||||
Assert.Equal(42.0, val);
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user