gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-22 12:38:06 +00:00
Code Issues Packages Projects Releases Wiki Activity

Refactor tests and improve random number generation handling; update Dema, Ema, Sma, Tema, Wma, and GBM classes for consistency and clarity

Browse Source
This commit is contained in:
Miha Kralj
2025-12-05 10:33:27 -08:00
parent 9e152b9027
commit 3b146b68bd
10 changed files with 240 additions and 242 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/averages/sma/Sma.Tests.cs
+3 -2
View File
@@ -1,5 +1,6 @@
namespace QuanTAlib.Tests;
#pragma warning disable S2245 // Random is acceptable for simulation/testing purposes
public class SmaTests
{
[Fact]
@@ -422,9 +423,9 @@ public class SmaTests
{
double[] source = new double[10000];
double[] output = new double[10000];
var rng = new Random(42);
var rng = new Random(42); // nosemgrep
for (int i = 0; i < source.Length; i++)
source[i] = rng.NextDouble() * 100;
source[i] = rng.NextDouble() * 100; // nosemgrep
// Warm up
Sma.Calculate(source.AsSpan(), output.AsSpan(), 100);
lib/averages/sma/Sma.cs
+57 -60
View File
@@ -292,78 +292,75 @@ public sealed class Sma
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
#pragma warning disable S6640 // Unsafe code is required for high-performance SIMD operations
private static unsafe void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
private static void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 4;
fixed (double* srcPtr = source)
fixed (double* outPtr = output)
ref double srcRef = ref MemoryMarshal.GetReference(source);
ref double outRef = ref MemoryMarshal.GetReference(output);
double invPeriod = 1.0 / period;
int warmupEnd = Math.Min(period, len);
double sum = 0;
for (int i = 0; i < warmupEnd; i++)
{
double invPeriod = 1.0 / period;
sum += Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum / (i + 1);
}
int warmupEnd = Math.Min(period, len);
double sum = 0;
for (int i = 0; i < warmupEnd; i++)
if (len <= period)
return;
var vInvPeriod = Vector256.Create(invPeriod);
var vZero = Vector256<double>.Zero;
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
int tickCount = 0;
for (int i = period; i < simdEnd; i += VectorWidth)
{
var vNew = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, i));
var vOld = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - period));
var vDelta = Avx.Subtract(vNew, vOld);
var vShift1 = Avx2.Permute4x64(vDelta.AsUInt64(), 0b_10_01_00_00).AsDouble();
vShift1 = Avx.Blend(vZero, vShift1, 0b_1110);
var vP1 = Avx.Add(vDelta, vShift1);
var vShift2 = Avx2.Permute4x64(vP1.AsUInt64(), 0b_01_00_00_00).AsDouble();
vShift2 = Avx.Blend(vZero, vShift2, 0b_1100);
var vP2 = Avx.Add(vP1, vShift2);
var vSumPrev = Vector256.Create(sum);
var vSums = Avx.Add(vSumPrev, vP2);
var vResult = Avx.Multiply(vSums, vInvPeriod);
Vector256.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
sum = vSums.GetElement(3);
tickCount += VectorWidth;
if (tickCount >= ResyncInterval)
{
sum += srcPtr[i];
outPtr[i] = sum / (i + 1);
}
if (len <= period)
return;
var vInvPeriod = Vector256.Create(invPeriod);
var vZero = Vector256<double>.Zero;
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
int tickCount = 0;
for (int i = period; i < simdEnd; i += VectorWidth)
{
var vNew = Avx.LoadVector256(srcPtr + i);
var vOld = Avx.LoadVector256(srcPtr + i - period);
var vDelta = Avx.Subtract(vNew, vOld);
var vShift1 = Avx2.Permute4x64(vDelta.AsUInt64(), 0b_10_01_00_00).AsDouble();
vShift1 = Avx.Blend(vZero, vShift1, 0b_1110);
var vP1 = Avx.Add(vDelta, vShift1);
var vShift2 = Avx2.Permute4x64(vP1.AsUInt64(), 0b_01_00_00_00).AsDouble();
vShift2 = Avx.Blend(vZero, vShift2, 0b_1100);
var vP2 = Avx.Add(vP1, vShift2);
var vSumPrev = Vector256.Create(sum);
var vSums = Avx.Add(vSumPrev, vP2);
var vResult = Avx.Multiply(vSums, vInvPeriod);
Avx.Store(outPtr + i, vResult);
sum = vSums.GetElement(3);
tickCount += VectorWidth;
if (tickCount >= ResyncInterval)
tickCount = 0;
int lastIdx = i + VectorWidth - 1;
double recalcSum = 0;
for (int k = 0; k < period; k++)
{
tickCount = 0;
int lastIdx = i + VectorWidth - 1;
double recalcSum = 0;
for (int k = 0; k < period; k++)
{
recalcSum += srcPtr[lastIdx - k];
}
sum = recalcSum;
recalcSum += Unsafe.Add(ref srcRef, lastIdx - k);
}
}
for (int i = simdEnd; i < len; i++)
{
sum = sum - srcPtr[i - period] + srcPtr[i];
outPtr[i] = sum * invPeriod;
sum = recalcSum;
}
}
for (int i = simdEnd; i < len; i++)
{
sum = sum - Unsafe.Add(ref srcRef, i - period) + Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum * invPeriod;
}
}
#pragma warning restore S6640
/// <summary>
/// Checks if span contains any non-finite values (NaN or Infinity).