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Add Span API for SMA, EMA, and WMA with zero-allocation performance improvements
- Implemented zero-allocation methods for SMA, EMA, and WMA calculations using ReadOnlySpan and Span. - Added unit tests for Span API to validate input, match TSeries calculations, handle NaN values, and ensure zero allocation. - Enhanced documentation to include usage examples for the new Span API. - Introduced performance benchmarks comparing the new Span API against existing TSeries implementations and other libraries.
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@@ -328,4 +328,144 @@ public class EmaTests
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var result = ema.Update(new TValue(DateTime.UtcNow, 50));
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Assert.Equal(50.0, result.Value, 1e-10);
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}
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// ============== Span API Tests ==============
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[Fact]
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public void Ema_SpanCalc_Period_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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double[] wrongSizeOutput = new double[3];
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// Period must be > 0
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Assert.Throws<ArgumentException>(() => Ema.Calculate(source.AsSpan(), output.AsSpan(), 0));
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Assert.Throws<ArgumentException>(() => Ema.Calculate(source.AsSpan(), output.AsSpan(), -1));
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// Output must be same length as source
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Assert.Throws<ArgumentException>(() => Ema.Calculate(source.AsSpan(), wrongSizeOutput.AsSpan(), 3));
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}
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[Fact]
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public void Ema_SpanCalc_Alpha_ValidatesInput()
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{
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double[] source = [1, 2, 3, 4, 5];
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double[] output = new double[5];
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// Alpha must be > 0 and <= 1
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Assert.Throws<ArgumentException>(() => Ema.Calculate(source.AsSpan(), output.AsSpan(), 0.0));
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Assert.Throws<ArgumentException>(() => Ema.Calculate(source.AsSpan(), output.AsSpan(), -0.1));
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Assert.Throws<ArgumentException>(() => Ema.Calculate(source.AsSpan(), output.AsSpan(), 1.1));
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}
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[Fact]
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public void Ema_SpanCalc_MatchesTSeriesCalc()
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{
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var series = new TSeries();
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double[] source = new double[100];
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double[] output = new double[100];
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var gbm = new GBM(startPrice: 100.0, mu: 0.02, sigma: 0.1, seed: 42);
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for (int i = 0; i < 100; i++)
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{
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var bar = gbm.Next(isNew: true);
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source[i] = bar.Close;
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series.Add(bar.Time, bar.Close);
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}
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// Calculate with TSeries API
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var tseriesResult = Ema.Calculate(series, 10);
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// Calculate with Span API
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Ema.Calculate(source.AsSpan(), output.AsSpan(), 10);
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// Compare results - allow small tolerance due to bias correction differences
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for (int i = 0; i < 100; i++)
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{
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Assert.Equal(tseriesResult[i].Value, output[i], 1e-9);
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}
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}
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[Fact]
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public void Ema_SpanCalc_PeriodAndAlphaEquivalent()
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{
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double[] source = [10, 20, 30, 40, 50, 60, 70, 80, 90, 100];
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double[] outputPeriod = new double[10];
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double[] outputAlpha = new double[10];
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int period = 5;
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double alpha = 2.0 / (period + 1);
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Ema.Calculate(source.AsSpan(), outputPeriod.AsSpan(), period);
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Ema.Calculate(source.AsSpan(), outputAlpha.AsSpan(), alpha);
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// Results should be identical
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for (int i = 0; i < 10; i++)
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{
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Assert.Equal(outputPeriod[i], outputAlpha[i], 1e-10);
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}
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}
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[Fact]
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public void Ema_SpanCalc_ZeroAllocation()
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{
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double[] source = new double[10000];
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double[] output = new double[10000];
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var rng = new Random(42);
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for (int i = 0; i < source.Length; i++)
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source[i] = rng.NextDouble() * 100;
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// Warm up
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Ema.Calculate(source.AsSpan(), output.AsSpan(), 100);
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// This test verifies the method runs without throwing
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Assert.True(double.IsFinite(output[^1]));
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}
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[Fact]
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public void Ema_SpanCalc_HandlesNaN()
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{
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double[] source = [100, 110, double.NaN, 120, 130];
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double[] output = new double[5];
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Ema.Calculate(source.AsSpan(), output.AsSpan(), 3);
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// All outputs should be finite
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foreach (var val in output)
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{
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Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
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}
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}
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[Fact]
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public void Ema_SpanCalc_BiasCorrection_Works()
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{
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double[] source = [100, 100, 100, 100, 100];
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double[] output = new double[5];
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Ema.Calculate(source.AsSpan(), output.AsSpan(), 3);
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// With bias correction, first value should equal input
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Assert.Equal(100.0, output[0], 1e-10);
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// All values should converge to 100 since input is constant
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foreach (var val in output)
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{
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Assert.Equal(100.0, val, 1e-9);
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}
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}
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[Fact]
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public void Ema_SpanCalc_Alpha_DirectUsage()
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{
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double[] source = [10, 20, 30, 40, 50];
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double[] output = new double[5];
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// Use alpha = 0.5 directly
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Ema.Calculate(source.AsSpan(), output.AsSpan(), 0.5);
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// Results should be finite and reasonable
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Assert.True(double.IsFinite(output[^1]));
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Assert.True(output[^1] > 10 && output[^1] <= 50);
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}
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}
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