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Add Span API for SMA, EMA, and WMA with zero-allocation performance improvements

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- 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.
This commit is contained in:
Miha Kralj
2025-11-29 20:48:01 -08:00
parent 5c1fb18520
commit 2d28b8f62a
12 changed files with 936 additions and 3 deletions
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perf/Benchmark.cs
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using BenchmarkDotNet.Attributes;
using BenchmarkDotNet.Columns;
using BenchmarkDotNet.Configs;
using BenchmarkDotNet.Jobs;
using BenchmarkDotNet.Running;
using BenchmarkDotNet.Toolchains.InProcess.NoEmit;
using QuanTAlib;
using Skender.Stock.Indicators;
using TALib;
using Tulip;
var config = ManualConfig.Create(DefaultConfig.Instance)
.AddJob(Job.ShortRun
.WithToolchain(InProcessNoEmitToolchain.Instance)
.WithId(".NET 10.0"))
.AddColumn(StatisticColumn.Mean)
.AddColumn(StatisticColumn.StdDev)
.HideColumns(Column.Job, Column.Error, Column.RatioSD);
BenchmarkRunner.Run<IndicatorBenchmarks>(config);
[MemoryDiagnoser]
[MarkdownExporter, HtmlExporter]
public class IndicatorBenchmarks
{
private const int BarCount = 200_000;
private const int Period = 100;
private double[] _closeValues = null!;
private TSeries _closeTseries = null!;
private List<Quote> _quotes = null!;
// Pre-allocated outputs for TA-Lib
private double[] _talibOutput = null!;
// Pre-allocated outputs for Tulip
private double[][] _tulipSmaInputs = null!;
private double[] _tulipSmaOptions = null!;
private double[][] _tulipSmaOutputs = null!;
private double[][] _tulipEmaInputs = null!;
private double[] _tulipEmaOptions = null!;
private double[][] _tulipEmaOutputs = null!;
private double[][] _tulipWmaInputs = null!;
private double[] _tulipWmaOptions = null!;
private double[][] _tulipWmaOutputs = null!;
// Pre-allocated outputs for QuanTAlib Span API
private double[] _quantalibOutput = null!;
[GlobalSetup]
public void Setup()
{
// Generate data using GBM
var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42);
var bars = gbm.Fetch(BarCount, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));
_closeValues = bars.Close.Values.ToArray();
_closeTseries = bars.Close;
// Create Skender Quote format
_quotes = new List<Quote>(BarCount);
for (int i = 0; i < BarCount; i++)
{
_quotes.Add(new Quote
{
Date = new DateTime(_closeTseries.Times[i]),
Open = (decimal)bars.Open.Values[i],
High = (decimal)bars.High.Values[i],
Low = (decimal)bars.Low.Values[i],
Close = (decimal)_closeValues[i],
Volume = (decimal)bars.Volume.Values[i]
});
}
// Pre-allocate TA-Lib output
_talibOutput = new double[BarCount];
// Pre-allocate Tulip arrays
int smaLookback = Period - 1;
_tulipSmaInputs = new[] { _closeValues };
_tulipSmaOptions = new double[] { Period };
_tulipSmaOutputs = new[] { new double[BarCount - smaLookback] };
_tulipEmaInputs = new[] { _closeValues };
_tulipEmaOptions = new double[] { Period };
_tulipEmaOutputs = new[] { new double[BarCount] };
_tulipWmaInputs = new[] { _closeValues };
_tulipWmaOptions = new double[] { Period };
_tulipWmaOutputs = new[] { new double[BarCount - smaLookback] };
// Pre-allocate QuanTAlib output
_quantalibOutput = new double[BarCount];
}
// ==================== SMA ====================
[Benchmark(Description = "QuanTAlib SMA (Span)")]
public void QuanTAlib_Sma_Span() => Sma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[Benchmark(Description = "QuanTAlib SMA (TSeries)")]
public TSeries QuanTAlib_Sma_TSeries() => Sma.Calculate(_closeTseries, Period);
[Benchmark(Description = "Tulip SMA")]
public void Tulip_Sma() => Tulip.Indicators.sma.Run(_tulipSmaInputs, _tulipSmaOptions, _tulipSmaOutputs);
[Benchmark(Description = "TALib SMA")]
public Core.RetCode TALib_Sma() => TALib.Functions.Sma<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[Benchmark(Description = "Skender SMA")]
public List<SmaResult> Skender_Sma() => _quotes.GetSma(Period).ToList();
// ==================== EMA ====================
[Benchmark(Description = "QuanTAlib EMA (Span)")]
public void QuanTAlib_Ema_Span() => Ema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[Benchmark(Description = "QuanTAlib EMA (TSeries)")]
public TSeries QuanTAlib_Ema_TSeries() => Ema.Calculate(_closeTseries, Period);
[Benchmark(Description = "Tulip EMA")]
public void Tulip_Ema() => Tulip.Indicators.ema.Run(_tulipEmaInputs, _tulipEmaOptions, _tulipEmaOutputs);
[Benchmark(Description = "TALib EMA")]
public Core.RetCode TALib_Ema() => TALib.Functions.Ema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[Benchmark(Description = "Skender EMA")]
public List<EmaResult> Skender_Ema() => _quotes.GetEma(Period).ToList();
// ==================== WMA ====================
[Benchmark(Description = "QuanTAlib WMA (Span)")]
public void QuanTAlib_Wma_Span() => Wma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);
[Benchmark(Description = "QuanTAlib WMA (TSeries)")]
public TSeries QuanTAlib_Wma_TSeries() => Wma.Calculate(_closeTseries, Period);
[Benchmark(Description = "Tulip WMA")]
public void Tulip_Wma() => Tulip.Indicators.wma.Run(_tulipWmaInputs, _tulipWmaOptions, _tulipWmaOutputs);
[Benchmark(Description = "TALib WMA")]
public Core.RetCode TALib_Wma() => TALib.Functions.Wma<double>(_closeValues, 0..^0, _talibOutput, out _, Period);
[Benchmark(Description = "Skender WMA")]
public List<WmaResult> Skender_Wma() => _quotes.GetWma(Period).ToList();
}