mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-07 21:47:43 +00:00
Refactor tests and improve random number generation handling; update Dema, Ema, Sma, Tema, Wma, and GBM classes for consistency and clarity
This commit is contained in:
Miha Kralj
@@ -2,6 +2,7 @@ using Xunit;
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namespace QuanTAlib.Tests;
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#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
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public class DemaTests
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{
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[Fact]
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@@ -12,7 +13,7 @@ public class DemaTests
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var dema = new Dema(period);
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var ema1 = new Ema(period);
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var ema2 = new Ema(period);
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var r = new Random(123);
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var r = new Random(123); // nosemgrep
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// Act & Assert
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for (int i = 0; i < 100; i++)
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@@ -36,7 +37,7 @@ public class DemaTests
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// Arrange
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int period = 10;
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var source = new TSeries();
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var r = new Random(123);
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var r = new Random(123); // nosemgrep
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for (int i = 0; i < 100; i++)
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{
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source.Add(new TValue(DateTime.Now.AddMinutes(i), r.NextDouble() * 100));
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@@ -62,7 +63,7 @@ public class DemaTests
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int count = 100;
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var source = new double[count];
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var output = new double[count];
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var r = new Random(123);
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var r = new Random(123); // nosemgrep
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for (int i = 0; i < count; i++)
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{
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source[i] = r.NextDouble() * 100;
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@@ -88,7 +89,7 @@ public class DemaTests
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double alpha = 2.0 / (period + 1);
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var demaPeriod = new Dema(period);
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var demaAlpha = new Dema(alpha);
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var r = new Random(123);
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var r = new Random(123); // nosemgrep
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// Act & Assert
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for (int i = 0; i < 100; i++)
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@@ -109,7 +110,7 @@ public class DemaTests
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// Arrange
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double alpha = 0.15;
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var source = new TSeries();
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var r = new Random(123);
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var r = new Random(123); // nosemgrep
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for (int i = 0; i < 100; i++)
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{
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source.Add(new TValue(DateTime.Now.AddMinutes(i), r.NextDouble() * 100));
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@@ -135,7 +136,7 @@ public class DemaTests
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int count = 100;
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var source = new double[count];
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var output = new double[count];
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var r = new Random(123);
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var r = new Random(123); // nosemgrep
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for (int i = 0; i < count; i++)
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{
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source[i] = r.NextDouble() * 100;
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@@ -1,5 +1,6 @@
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namespace QuanTAlib.Tests;
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#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
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public class EmaTests
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{
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[Fact]
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@@ -441,7 +442,7 @@ public class EmaTests
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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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var rng = new Random(42); // nosemgrep
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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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@@ -1,5 +1,6 @@
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namespace QuanTAlib.Tests;
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#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
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public class SmaTests
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{
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[Fact]
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@@ -422,9 +423,9 @@ public class SmaTests
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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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var rng = new Random(42); // nosemgrep
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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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source[i] = rng.NextDouble() * 100; // nosemgrep
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// Warm up
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Sma.Calculate(source.AsSpan(), output.AsSpan(), 100);
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+57
-60
@@ -292,78 +292,75 @@ public sealed class Sma
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}
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[MethodImpl(MethodImplOptions.AggressiveOptimization)]
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#pragma warning disable S6640 // Unsafe code is required for high-performance SIMD operations
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private static unsafe void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
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private static void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
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{
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int len = source.Length;
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const int VectorWidth = 4;
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fixed (double* srcPtr = source)
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fixed (double* outPtr = output)
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ref double srcRef = ref MemoryMarshal.GetReference(source);
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ref double outRef = ref MemoryMarshal.GetReference(output);
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double invPeriod = 1.0 / period;
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int warmupEnd = Math.Min(period, len);
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double sum = 0;
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for (int i = 0; i < warmupEnd; i++)
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{
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double invPeriod = 1.0 / period;
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sum += Unsafe.Add(ref srcRef, i);
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Unsafe.Add(ref outRef, i) = sum / (i + 1);
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}
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int warmupEnd = Math.Min(period, len);
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double sum = 0;
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for (int i = 0; i < warmupEnd; i++)
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if (len <= period)
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return;
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var vInvPeriod = Vector256.Create(invPeriod);
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var vZero = Vector256<double>.Zero;
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int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
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int tickCount = 0;
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for (int i = period; i < simdEnd; i += VectorWidth)
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{
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var vNew = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, i));
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var vOld = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - period));
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var vDelta = Avx.Subtract(vNew, vOld);
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var vShift1 = Avx2.Permute4x64(vDelta.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShift1 = Avx.Blend(vZero, vShift1, 0b_1110);
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var vP1 = Avx.Add(vDelta, vShift1);
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var vShift2 = Avx2.Permute4x64(vP1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShift2 = Avx.Blend(vZero, vShift2, 0b_1100);
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var vP2 = Avx.Add(vP1, vShift2);
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var vSumPrev = Vector256.Create(sum);
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var vSums = Avx.Add(vSumPrev, vP2);
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var vResult = Avx.Multiply(vSums, vInvPeriod);
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Vector256.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
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sum = vSums.GetElement(3);
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tickCount += VectorWidth;
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if (tickCount >= ResyncInterval)
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{
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sum += srcPtr[i];
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outPtr[i] = sum / (i + 1);
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}
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if (len <= period)
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return;
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var vInvPeriod = Vector256.Create(invPeriod);
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var vZero = Vector256<double>.Zero;
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int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
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int tickCount = 0;
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for (int i = period; i < simdEnd; i += VectorWidth)
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{
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var vNew = Avx.LoadVector256(srcPtr + i);
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var vOld = Avx.LoadVector256(srcPtr + i - period);
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var vDelta = Avx.Subtract(vNew, vOld);
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var vShift1 = Avx2.Permute4x64(vDelta.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShift1 = Avx.Blend(vZero, vShift1, 0b_1110);
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var vP1 = Avx.Add(vDelta, vShift1);
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var vShift2 = Avx2.Permute4x64(vP1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShift2 = Avx.Blend(vZero, vShift2, 0b_1100);
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var vP2 = Avx.Add(vP1, vShift2);
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var vSumPrev = Vector256.Create(sum);
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var vSums = Avx.Add(vSumPrev, vP2);
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var vResult = Avx.Multiply(vSums, vInvPeriod);
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Avx.Store(outPtr + i, vResult);
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sum = vSums.GetElement(3);
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tickCount += VectorWidth;
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if (tickCount >= ResyncInterval)
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tickCount = 0;
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int lastIdx = i + VectorWidth - 1;
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double recalcSum = 0;
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for (int k = 0; k < period; k++)
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{
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tickCount = 0;
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int lastIdx = i + VectorWidth - 1;
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double recalcSum = 0;
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for (int k = 0; k < period; k++)
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{
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recalcSum += srcPtr[lastIdx - k];
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}
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sum = recalcSum;
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recalcSum += Unsafe.Add(ref srcRef, lastIdx - k);
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}
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}
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for (int i = simdEnd; i < len; i++)
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{
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sum = sum - srcPtr[i - period] + srcPtr[i];
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outPtr[i] = sum * invPeriod;
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sum = recalcSum;
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}
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}
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for (int i = simdEnd; i < len; i++)
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{
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sum = sum - Unsafe.Add(ref srcRef, i - period) + Unsafe.Add(ref srcRef, i);
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Unsafe.Add(ref outRef, i) = sum * invPeriod;
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}
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}
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#pragma warning restore S6640
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/// <summary>
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/// Checks if span contains any non-finite values (NaN or Infinity).
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@@ -1,5 +1,6 @@
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namespace QuanTAlib.Tests;
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#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
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public class TemaTests
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{
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[Fact]
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@@ -253,7 +254,7 @@ public class TemaTests
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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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var rng = new Random(42); // nosemgrep
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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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@@ -19,7 +19,9 @@ namespace QuanTAlib;
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/// Uses three EMA instances, each with O(1) update complexity.
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///
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/// IsHot:
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/// Becomes true when the third EMA converges (approx. 3x EMA convergence time).
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/// Becomes true when the TEMA step response converges to within 5% error.
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/// This happens when the third EMA's error factor drops below ~9% (approx 2.43/alpha steps),
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/// which is faster than the standard EMA convergence (3/alpha steps).
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Tema
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@@ -48,7 +50,7 @@ public sealed class Tema
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public string Name { get; }
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public TValue Value { get; private set; }
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public bool IsHot => _state3.IsHot;
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public bool IsHot => _state3.E <= 0.09;
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public Tema(int period)
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{
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@@ -1,5 +1,6 @@
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namespace QuanTAlib.Tests;
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#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
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public class WmaTests
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{
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[Fact]
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@@ -468,7 +469,7 @@ public class WmaTests
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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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var rng = new Random(42); // nosemgrep
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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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@@ -513,7 +514,7 @@ public class WmaTests
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{
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double[] source = new double[1000];
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double[] output = new double[1000];
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var rng = new Random(42);
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var rng = new Random(42); // nosemgrep
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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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+153
-156
@@ -289,189 +289,186 @@ public sealed class Wma
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}
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[MethodImpl(MethodImplOptions.AggressiveOptimization)]
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#pragma warning disable S6640 // Unsafe code is required for high-performance SIMD operations
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private static unsafe void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
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private static void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
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{
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int len = source.Length;
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const int VectorWidth = 4;
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fixed (double* srcPtr = source)
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fixed (double* outPtr = output)
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ref double srcRef = ref MemoryMarshal.GetReference(source);
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ref double outRef = ref MemoryMarshal.GetReference(output);
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double divisor = period * (period + 1) * 0.5;
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double invDivisor = 1.0 / divisor;
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int warmupEnd = Math.Min(period, len);
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double sum = 0;
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double wsum = 0;
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for (int i = 0; i < warmupEnd; i++)
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{
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double divisor = period * (period + 1) * 0.5;
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double invDivisor = 1.0 / divisor;
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double val = Unsafe.Add(ref srcRef, i);
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sum += val;
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wsum += (i + 1) * val;
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double currentDivisor = (i + 1) * (i + 2) * 0.5;
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Unsafe.Add(ref outRef, i) = wsum / currentDivisor;
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}
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int warmupEnd = Math.Min(period, len);
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double sum = 0;
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double wsum = 0;
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for (int i = 0; i < warmupEnd; i++)
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if (len <= period)
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return;
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var vInvDivisor = Vector256.Create(invDivisor);
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var vPeriod = Vector256.Create((double)period);
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var vZero = Vector256<double>.Zero;
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int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
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var vSumState = Vector256.Create(sum);
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var vWsumState = Vector256.Create(wsum);
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int idx = period;
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while (idx < simdEnd)
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{
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int nextSync = Math.Min(simdEnd, idx + ResyncInterval);
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int unrolledSync = nextSync - (2 * VectorWidth);
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for (; idx <= unrolledSync; idx += 2 * VectorWidth)
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{
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double val = srcPtr[i];
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sum += val;
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wsum += (i + 1) * val;
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double currentDivisor = (i + 1) * (i + 2) * 0.5;
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outPtr[i] = wsum / currentDivisor;
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var vNew1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx));
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var vOld1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx - period));
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var vNew2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx + VectorWidth));
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var vOld2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx + VectorWidth - period));
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var vDeltaS1 = Avx.Subtract(vNew1, vOld1);
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var vDeltaS2 = Avx.Subtract(vNew2, vOld2);
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var vShiftS1_1 = Avx2.Permute4x64(vDeltaS1.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftS1_1 = Avx.Blend(vZero, vShiftS1_1, 0b_1110);
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var vPS_DeltaS1 = Avx.Add(vDeltaS1, vShiftS1_1);
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var vShiftS2_1 = Avx2.Permute4x64(vPS_DeltaS1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftS2_1 = Avx.Blend(vZero, vShiftS2_1, 0b_1100);
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vPS_DeltaS1 = Avx.Add(vPS_DeltaS1, vShiftS2_1);
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var vShiftS1_2 = Avx2.Permute4x64(vDeltaS2.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftS1_2 = Avx.Blend(vZero, vShiftS1_2, 0b_1110);
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var vPS_DeltaS2 = Avx.Add(vDeltaS2, vShiftS1_2);
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var vShiftS2_2 = Avx2.Permute4x64(vPS_DeltaS2.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftS2_2 = Avx.Blend(vZero, vShiftS2_2, 0b_1100);
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vPS_DeltaS2 = Avx.Add(vPS_DeltaS2, vShiftS2_2);
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var vSums1 = Avx.Add(vSumState, vPS_DeltaS1);
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var vLastS1 = Avx2.Permute4x64(vSums1.AsUInt64(), 0b_11_11_11_11).AsDouble();
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var vSums2 = Avx.Add(vLastS1, vPS_DeltaS2);
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var vSumsShifted1 = Avx.Subtract(vSums1, vDeltaS1);
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var vSumsShifted2 = Avx.Subtract(vSums2, vDeltaS2);
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Vector256<double> vU1, vU2;
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if (Fma.IsSupported)
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{
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vU1 = Fma.MultiplySubtract(vPeriod, vNew1, vSumsShifted1);
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vU2 = Fma.MultiplySubtract(vPeriod, vNew2, vSumsShifted2);
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}
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else
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{
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vU1 = Avx.Subtract(Avx.Multiply(vPeriod, vNew1), vSumsShifted1);
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vU2 = Avx.Subtract(Avx.Multiply(vPeriod, vNew2), vSumsShifted2);
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}
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var vShiftW1_1 = Avx2.Permute4x64(vU1.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftW1_1 = Avx.Blend(vZero, vShiftW1_1, 0b_1110);
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var vPW1_1 = Avx.Add(vU1, vShiftW1_1);
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var vShiftW2_1 = Avx2.Permute4x64(vPW1_1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftW2_1 = Avx.Blend(vZero, vShiftW2_1, 0b_1100);
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var vPW2_1 = Avx.Add(vPW1_1, vShiftW2_1);
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var vShiftW1_2 = Avx2.Permute4x64(vU2.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftW1_2 = Avx.Blend(vZero, vShiftW1_2, 0b_1110);
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var vPW1_2 = Avx.Add(vU2, vShiftW1_2);
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var vShiftW2_2 = Avx2.Permute4x64(vPW1_2.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftW2_2 = Avx.Blend(vZero, vShiftW2_2, 0b_1100);
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var vPW2_2 = Avx.Add(vPW1_2, vShiftW2_2);
|
||||
|
||||
var vWsums1 = Avx.Add(vWsumState, vPW2_1);
|
||||
var vLastW1 = Avx2.Permute4x64(vWsums1.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
var vWsums2 = Avx.Add(vLastW1, vPW2_2);
|
||||
|
||||
Vector256.StoreUnsafe(Avx.Multiply(vWsums1, vInvDivisor), ref Unsafe.Add(ref outRef, idx));
|
||||
Vector256.StoreUnsafe(Avx.Multiply(vWsums2, vInvDivisor), ref Unsafe.Add(ref outRef, idx + VectorWidth));
|
||||
|
||||
vSumState = Avx2.Permute4x64(vSums2.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
vWsumState = Avx2.Permute4x64(vWsums2.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
}
|
||||
|
||||
if (len <= period)
|
||||
return;
|
||||
|
||||
var vInvDivisor = Vector256.Create(invDivisor);
|
||||
var vPeriod = Vector256.Create((double)period);
|
||||
var vZero = Vector256<double>.Zero;
|
||||
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
|
||||
|
||||
var vSumState = Vector256.Create(sum);
|
||||
var vWsumState = Vector256.Create(wsum);
|
||||
|
||||
int idx = period;
|
||||
while (idx < simdEnd)
|
||||
for (; idx < nextSync; idx += VectorWidth)
|
||||
{
|
||||
int nextSync = Math.Min(simdEnd, idx + ResyncInterval);
|
||||
|
||||
int unrolledSync = nextSync - (2 * VectorWidth);
|
||||
for (; idx <= unrolledSync; idx += 2 * VectorWidth)
|
||||
{
|
||||
var vNew1 = Avx.LoadVector256(srcPtr + idx);
|
||||
var vOld1 = Avx.LoadVector256(srcPtr + idx - period);
|
||||
var vNew2 = Avx.LoadVector256(srcPtr + idx + VectorWidth);
|
||||
var vOld2 = Avx.LoadVector256(srcPtr + idx + VectorWidth - period);
|
||||
var vNew = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx));
|
||||
var vOld = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx - period));
|
||||
|
||||
var vDeltaS1 = Avx.Subtract(vNew1, vOld1);
|
||||
var vDeltaS2 = Avx.Subtract(vNew2, vOld2);
|
||||
var vDeltaS = Avx.Subtract(vNew, vOld);
|
||||
|
||||
var vShiftS1_1 = Avx2.Permute4x64(vDeltaS1.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftS1_1 = Avx.Blend(vZero, vShiftS1_1, 0b_1110);
|
||||
var vPS_DeltaS1 = Avx.Add(vDeltaS1, vShiftS1_1);
|
||||
var vShiftS2_1 = Avx2.Permute4x64(vPS_DeltaS1.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftS2_1 = Avx.Blend(vZero, vShiftS2_1, 0b_1100);
|
||||
vPS_DeltaS1 = Avx.Add(vPS_DeltaS1, vShiftS2_1);
|
||||
var vShiftS1 = Avx2.Permute4x64(vDeltaS.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftS1 = Avx.Blend(vZero, vShiftS1, 0b_1110);
|
||||
var vPS1 = Avx.Add(vDeltaS, vShiftS1);
|
||||
|
||||
var vShiftS1_2 = Avx2.Permute4x64(vDeltaS2.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftS1_2 = Avx.Blend(vZero, vShiftS1_2, 0b_1110);
|
||||
var vPS_DeltaS2 = Avx.Add(vDeltaS2, vShiftS1_2);
|
||||
var vShiftS2_2 = Avx2.Permute4x64(vPS_DeltaS2.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftS2_2 = Avx.Blend(vZero, vShiftS2_2, 0b_1100);
|
||||
vPS_DeltaS2 = Avx.Add(vPS_DeltaS2, vShiftS2_2);
|
||||
var vShiftS2 = Avx2.Permute4x64(vPS1.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftS2 = Avx.Blend(vZero, vShiftS2, 0b_1100);
|
||||
var vPS2 = Avx.Add(vPS1, vShiftS2);
|
||||
|
||||
var vSums1 = Avx.Add(vSumState, vPS_DeltaS1);
|
||||
var vLastS1 = Avx2.Permute4x64(vSums1.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
var vSums2 = Avx.Add(vLastS1, vPS_DeltaS2);
|
||||
var vSums = Avx.Add(vSumState, vPS2);
|
||||
|
||||
var vSumsShifted1 = Avx.Subtract(vSums1, vDeltaS1);
|
||||
var vSumsShifted2 = Avx.Subtract(vSums2, vDeltaS2);
|
||||
var vSumsShifted = Avx2.Permute4x64(vSums.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vSumsShifted = Avx.Blend(vSumState, vSumsShifted, 0b_1110);
|
||||
|
||||
Vector256<double> vU1, vU2;
|
||||
if (Fma.IsSupported)
|
||||
{
|
||||
vU1 = Fma.MultiplySubtract(vPeriod, vNew1, vSumsShifted1);
|
||||
vU2 = Fma.MultiplySubtract(vPeriod, vNew2, vSumsShifted2);
|
||||
}
|
||||
else
|
||||
{
|
||||
vU1 = Avx.Subtract(Avx.Multiply(vPeriod, vNew1), vSumsShifted1);
|
||||
vU2 = Avx.Subtract(Avx.Multiply(vPeriod, vNew2), vSumsShifted2);
|
||||
}
|
||||
var vTerm1 = Avx.Multiply(vPeriod, vNew);
|
||||
var vU = Avx.Subtract(vTerm1, vSumsShifted);
|
||||
|
||||
var vShiftW1_1 = Avx2.Permute4x64(vU1.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftW1_1 = Avx.Blend(vZero, vShiftW1_1, 0b_1110);
|
||||
var vPW1_1 = Avx.Add(vU1, vShiftW1_1);
|
||||
var vShiftW2_1 = Avx2.Permute4x64(vPW1_1.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftW2_1 = Avx.Blend(vZero, vShiftW2_1, 0b_1100);
|
||||
var vPW2_1 = Avx.Add(vPW1_1, vShiftW2_1);
|
||||
var vShiftW1 = Avx2.Permute4x64(vU.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftW1 = Avx.Blend(vZero, vShiftW1, 0b_1110);
|
||||
var vPW1 = Avx.Add(vU, vShiftW1);
|
||||
|
||||
var vShiftW1_2 = Avx2.Permute4x64(vU2.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftW1_2 = Avx.Blend(vZero, vShiftW1_2, 0b_1110);
|
||||
var vPW1_2 = Avx.Add(vU2, vShiftW1_2);
|
||||
var vShiftW2_2 = Avx2.Permute4x64(vPW1_2.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftW2_2 = Avx.Blend(vZero, vShiftW2_2, 0b_1100);
|
||||
var vPW2_2 = Avx.Add(vPW1_2, vShiftW2_2);
|
||||
var vShiftW2 = Avx2.Permute4x64(vPW1.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftW2 = Avx.Blend(vZero, vShiftW2, 0b_1100);
|
||||
var vPW2 = Avx.Add(vPW1, vShiftW2);
|
||||
|
||||
var vWsums1 = Avx.Add(vWsumState, vPW2_1);
|
||||
var vLastW1 = Avx2.Permute4x64(vWsums1.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
var vWsums2 = Avx.Add(vLastW1, vPW2_2);
|
||||
var vWsums = Avx.Add(vWsumState, vPW2);
|
||||
|
||||
Avx.Store(outPtr + idx, Avx.Multiply(vWsums1, vInvDivisor));
|
||||
Avx.Store(outPtr + idx + VectorWidth, Avx.Multiply(vWsums2, vInvDivisor));
|
||||
var vResult = Avx.Multiply(vWsums, vInvDivisor);
|
||||
Vector256.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, idx));
|
||||
|
||||
vSumState = Avx2.Permute4x64(vSums2.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
vWsumState = Avx2.Permute4x64(vWsums2.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
}
|
||||
|
||||
for (; idx < nextSync; idx += VectorWidth)
|
||||
{
|
||||
var vNew = Avx.LoadVector256(srcPtr + idx);
|
||||
var vOld = Avx.LoadVector256(srcPtr + idx - period);
|
||||
|
||||
var vDeltaS = Avx.Subtract(vNew, vOld);
|
||||
|
||||
var vShiftS1 = Avx2.Permute4x64(vDeltaS.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftS1 = Avx.Blend(vZero, vShiftS1, 0b_1110);
|
||||
var vPS1 = Avx.Add(vDeltaS, vShiftS1);
|
||||
|
||||
var vShiftS2 = Avx2.Permute4x64(vPS1.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftS2 = Avx.Blend(vZero, vShiftS2, 0b_1100);
|
||||
var vPS2 = Avx.Add(vPS1, vShiftS2);
|
||||
|
||||
var vSums = Avx.Add(vSumState, vPS2);
|
||||
|
||||
var vSumsShifted = Avx2.Permute4x64(vSums.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vSumsShifted = Avx.Blend(vSumState, vSumsShifted, 0b_1110);
|
||||
|
||||
var vTerm1 = Avx.Multiply(vPeriod, vNew);
|
||||
var vU = Avx.Subtract(vTerm1, vSumsShifted);
|
||||
|
||||
var vShiftW1 = Avx2.Permute4x64(vU.AsUInt64(), 0b_10_01_00_00).AsDouble();
|
||||
vShiftW1 = Avx.Blend(vZero, vShiftW1, 0b_1110);
|
||||
var vPW1 = Avx.Add(vU, vShiftW1);
|
||||
|
||||
var vShiftW2 = Avx2.Permute4x64(vPW1.AsUInt64(), 0b_01_00_00_00).AsDouble();
|
||||
vShiftW2 = Avx.Blend(vZero, vShiftW2, 0b_1100);
|
||||
var vPW2 = Avx.Add(vPW1, vShiftW2);
|
||||
|
||||
var vWsums = Avx.Add(vWsumState, vPW2);
|
||||
|
||||
var vResult = Avx.Multiply(vWsums, vInvDivisor);
|
||||
Avx.Store(outPtr + idx, vResult);
|
||||
|
||||
vSumState = Avx2.Permute4x64(vSums.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
vWsumState = Avx2.Permute4x64(vWsums.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
}
|
||||
|
||||
if (idx < len)
|
||||
{
|
||||
int lastIdx = idx - 1;
|
||||
double recalcSum = 0;
|
||||
double recalcWsum = 0;
|
||||
for (int k = 0; k < period; k++)
|
||||
{
|
||||
double val = srcPtr[lastIdx - k];
|
||||
recalcSum += val;
|
||||
recalcWsum += (period - k) * val;
|
||||
}
|
||||
sum = recalcSum;
|
||||
wsum = recalcWsum;
|
||||
|
||||
vSumState = Vector256.Create(sum);
|
||||
vWsumState = Vector256.Create(wsum);
|
||||
}
|
||||
vSumState = Avx2.Permute4x64(vSums.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
vWsumState = Avx2.Permute4x64(vWsums.AsUInt64(), 0b_11_11_11_11).AsDouble();
|
||||
}
|
||||
|
||||
sum = vSumState.GetElement(0);
|
||||
wsum = vWsumState.GetElement(0);
|
||||
|
||||
for (; idx < len; idx++)
|
||||
if (idx < len)
|
||||
{
|
||||
double val = srcPtr[idx];
|
||||
double oldSum = sum;
|
||||
double oldest = srcPtr[idx - period];
|
||||
sum = sum - oldest + val;
|
||||
wsum = wsum - oldSum + (period * val);
|
||||
outPtr[idx] = wsum * invDivisor;
|
||||
int lastIdx = idx - 1;
|
||||
double recalcSum = 0;
|
||||
double recalcWsum = 0;
|
||||
for (int k = 0; k < period; k++)
|
||||
{
|
||||
double val = Unsafe.Add(ref srcRef, lastIdx - k);
|
||||
recalcSum += val;
|
||||
recalcWsum += (period - k) * val;
|
||||
}
|
||||
sum = recalcSum;
|
||||
wsum = recalcWsum;
|
||||
|
||||
vSumState = Vector256.Create(sum);
|
||||
vWsumState = Vector256.Create(wsum);
|
||||
}
|
||||
}
|
||||
|
||||
sum = vSumState.GetElement(0);
|
||||
wsum = vWsumState.GetElement(0);
|
||||
|
||||
for (; idx < len; idx++)
|
||||
{
|
||||
double val = Unsafe.Add(ref srcRef, idx);
|
||||
double oldSum = sum;
|
||||
double oldest = Unsafe.Add(ref srcRef, idx - period);
|
||||
sum = sum - oldest + val;
|
||||
wsum = wsum - oldSum + (period * val);
|
||||
Unsafe.Add(ref outRef, idx) = wsum * invDivisor;
|
||||
}
|
||||
}
|
||||
#pragma warning restore S6640
|
||||
|
||||
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
||||
private static bool HasNonFiniteValues(ReadOnlySpan<double> span)
|
||||
|
||||
@@ -212,7 +212,7 @@ public class GBMTests
|
||||
var gbm = new GBM(startPrice: 100.0);
|
||||
|
||||
// Start with streaming
|
||||
var bar1 = gbm.Next();
|
||||
_ = gbm.Next();
|
||||
var bar2 = gbm.Next();
|
||||
|
||||
// Batch generation with explicit time
|
||||
@@ -253,11 +253,11 @@ public class GBMTests
|
||||
{
|
||||
var gbm = new GBM(startPrice: 100.0);
|
||||
|
||||
var bar1 = gbm.Next();
|
||||
var bar2 = gbm.Next();
|
||||
var previousBar = gbm.Next();
|
||||
var currentBar = gbm.Next();
|
||||
|
||||
// bar2.Open should equal bar1.Close (continuity)
|
||||
Assert.Equal(bar1.Close, bar2.Open);
|
||||
// currentBar.Open should equal previousBar.Close (continuity)
|
||||
Assert.Equal(previousBar.Close, currentBar.Open);
|
||||
}
|
||||
|
||||
[Fact]
|
||||
@@ -268,7 +268,7 @@ public class GBMTests
|
||||
// Generate multiple bars
|
||||
for (int i = 0; i < 100; i++)
|
||||
{
|
||||
gbm.Next();
|
||||
_ = gbm.Next();
|
||||
}
|
||||
|
||||
// GBM should not expose any history storage
|
||||
|
||||
@@ -9,6 +9,7 @@ namespace QuanTAlib;
|
||||
/// </summary>
|
||||
[SkipLocalsInit]
|
||||
#pragma warning disable S101 // Rename class 'GBM' to match pascal case naming rules
|
||||
#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
|
||||
public class GBM : IFeed
|
||||
#pragma warning restore S101
|
||||
{
|
||||
@@ -82,10 +83,8 @@ public class GBM : IFeed
|
||||
return _cachedZ;
|
||||
}
|
||||
|
||||
#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
|
||||
double u1 = 1.0 - _rnd.NextDouble();
|
||||
double u2 = 1.0 - _rnd.NextDouble();
|
||||
#pragma warning restore S2245
|
||||
double u1 = 1.0 - _rnd.NextDouble(); // nosemgrep
|
||||
double u2 = 1.0 - _rnd.NextDouble(); // nosemgrep
|
||||
double mag = Math.Sqrt(-2.0 * Math.Log(u1));
|
||||
double angle = 2.0 * Math.PI * u2;
|
||||
|
||||
@@ -190,11 +189,9 @@ public class GBM : IFeed
|
||||
double open = currentPrice;
|
||||
double close = price;
|
||||
|
||||
#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
|
||||
double rnd1 = _rnd.NextDouble();
|
||||
double rnd2 = _rnd.NextDouble();
|
||||
double rnd3 = _rnd.NextDouble();
|
||||
#pragma warning restore S2245
|
||||
|
||||
t[i] = currentTime;
|
||||
o[i] = open;
|
||||
|
||||
Reference in New Issue
Block a user