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Miha Kralj
2026-01-18 22:23:50 -08:00
parent 86fe32a682
commit 4673f48a70
40 changed files with 1155 additions and 309 deletions
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lib/core/simd/ErrorHelpers.cs
+133 -39
View File
@@ -39,7 +39,7 @@ public static class ErrorHelpers
// Try SIMD path - NaN detection is integrated into the SIMD loop
if (Avx2.IsSupported && len >= Vector256<double>.Count)
{
int processedCount = ComputeSignedErrorsSimdWithNaNDetection(actual, predicted, output, lastValidActual, lastValidPredicted);
int processedCount = ComputeSignedErrorsSimdWithNaNDetection(actual, predicted, output, ref lastValidActual, ref lastValidPredicted);
if (processedCount == len)
return; // All processed via SIMD
// Continue with scalar for remaining elements (NaN was detected)
@@ -74,7 +74,7 @@ public static class ErrorHelpers
// Try SIMD path - NaN detection is integrated into the SIMD loop (avoids double-pass)
if (Avx2.IsSupported && len >= Vector256<double>.Count)
{
int processedCount = ComputeAbsoluteErrorsSimdWithNaNDetection(actual, predicted, output, lastValidActual, lastValidPredicted);
int processedCount = ComputeAbsoluteErrorsSimdWithNaNDetection(actual, predicted, output, ref lastValidActual, ref lastValidPredicted);
if (processedCount == len)
return; // All processed via SIMD
// Continue with scalar for remaining elements (NaN was detected)
@@ -88,7 +88,7 @@ public static class ErrorHelpers
/// <summary>
/// Computes squared errors: (actual - predicted)²
/// Uses AVX2 SIMD when available for clean data, with scalar fallback for NaN handling.
/// Uses AVX2 SIMD when available with integrated NaN detection, with scalar fallback for NaN handling.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static void ComputeSquaredErrors(
@@ -106,10 +106,14 @@ public static class ErrorHelpers
double lastValidActual = FindFirstValidValue(actual);
double lastValidPredicted = FindFirstValidValue(predicted);
// Try SIMD path for clean data (no NaN/Inf)
if (Avx2.IsSupported && len >= Vector256<double>.Count && IsDataClean(actual, predicted))
// Try SIMD path - NaN detection is integrated into the SIMD loop (avoids double-pass)
if (Avx2.IsSupported && len >= Vector256<double>.Count)
{
ComputeSquaredErrorsSimd(actual, predicted, output);
int processedCount = ComputeSquaredErrorsSimdWithNaNDetection(actual, predicted, output, ref lastValidActual, ref lastValidPredicted);
if (processedCount == len)
return; // All processed via SIMD
// Continue with scalar for remaining elements (NaN was detected)
ComputeSquaredErrorsScalar(actual.Slice(processedCount), predicted.Slice(processedCount), output.Slice(processedCount), lastValidActual, lastValidPredicted);
return;
}
@@ -187,19 +191,15 @@ public static class ErrorHelpers
double act = actual[i];
double pred = predicted[i];
if (double.IsFinite(act)) currentValidActual = act; else act = currentValidActual;
if (double.IsFinite(pred)) currentValidPredicted = pred; else pred = currentValidPredicted;
#pragma warning disable S1121 // Assignments should not be made from within sub-expressions
act = double.IsFinite(act) ? (currentValidActual = act) : currentValidActual;
pred = double.IsFinite(pred) ? (currentValidPredicted = pred) : currentValidPredicted;
#pragma warning restore S1121
double absActual = Math.Abs(act);
if (absActual < epsilon)
{
// Avoid division by zero - use absolute error as fallback
output[i] = Math.Abs(act - pred);
}
else
{
output[i] = Math.Abs(act - pred) / absActual * 100.0;
}
output[i] = absActual < epsilon
? Math.Abs(act - pred)
: Math.Abs(act - pred) / absActual * 100.0;
}
}
@@ -236,14 +236,9 @@ public static class ErrorHelpers
if (double.IsFinite(pred)) currentValidPredicted = pred; else pred = currentValidPredicted;
double denominator = (Math.Abs(act) + Math.Abs(pred)) / 2.0;
if (denominator < epsilon)
{
output[i] = 0.0; // Both values near zero
}
else
{
output[i] = Math.Abs(act - pred) / denominator * 100.0;
}
output[i] = denominator < epsilon
? 0.0 // Both values near zero
: Math.Abs(act - pred) / denominator * 100.0;
}
}
@@ -413,14 +408,9 @@ public static class ErrorHelpers
double diff = act - pred;
double absDiff = Math.Abs(diff);
if (absDiff <= delta)
{
output[i] = 0.5 * diff * diff;
}
else
{
output[i] = delta * (absDiff - halfDelta);
}
output[i] = absDiff <= delta
? 0.5 * diff * diff
: delta * (absDiff - halfDelta);
}
}
@@ -735,14 +725,15 @@ public static class ErrorHelpers
/// <summary>
/// SIMD path with integrated NaN detection. Returns the number of elements processed.
/// If NaN is detected, returns the index where NaN was found so caller can continue with scalar.
/// Updates lastValidActual/lastValidPredicted to track last seen finite values for scalar continuation.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static int ComputeSignedErrorsSimdWithNaNDetection(
ReadOnlySpan<double> actual,
ReadOnlySpan<double> predicted,
Span<double> output,
double lastValidActual,
double lastValidPredicted)
ref double lastValidActual,
ref double lastValidPredicted)
{
int len = actual.Length;
int vectorSize = Vector256<double>.Count;
@@ -762,7 +753,12 @@ public static class ErrorHelpers
int mask = Avx.MoveMask(combined);
if (mask != 0b1111)
{
// NaN detected - return current position for scalar fallback
// NaN detected - update lastValid from previously processed elements before returning
if (i > 0)
{
lastValidActual = actual[i - 1];
lastValidPredicted = predicted[i - 1];
}
return i;
}
@@ -771,6 +767,13 @@ public static class ErrorHelpers
errorVec.StoreUnsafe(ref MemoryMarshal.GetReference(output.Slice(i)));
}
// Update lastValid from end of SIMD-processed section
if (i > 0)
{
lastValidActual = actual[i - 1];
lastValidPredicted = predicted[i - 1];
}
// Handle scalar remainder
for (; i < len; i++)
{
@@ -783,6 +786,8 @@ public static class ErrorHelpers
return i;
}
lastValidActual = act;
lastValidPredicted = pred;
output[i] = act - pred;
}
@@ -845,14 +850,15 @@ public static class ErrorHelpers
/// <summary>
/// SIMD path with integrated NaN detection for absolute errors. Returns the number of elements processed.
/// If NaN is detected, returns the index where NaN was found so caller can continue with scalar.
/// Updates lastValidActual/lastValidPredicted to track last seen finite values for scalar continuation.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static int ComputeAbsoluteErrorsSimdWithNaNDetection(
ReadOnlySpan<double> actual,
ReadOnlySpan<double> predicted,
Span<double> output,
double lastValidActual,
double lastValidPredicted)
ref double lastValidActual,
ref double lastValidPredicted)
{
int len = actual.Length;
int vectorSize = Vector256<double>.Count;
@@ -875,7 +881,12 @@ public static class ErrorHelpers
int mask = Avx.MoveMask(combined);
if (mask != 0b1111)
{
// NaN detected - return current position for scalar fallback
// NaN detected - update lastValid from previously processed elements before returning
if (i > 0)
{
lastValidActual = actual[i - 1];
lastValidPredicted = predicted[i - 1];
}
return i;
}
@@ -885,6 +896,13 @@ public static class ErrorHelpers
absErrorVec.StoreUnsafe(ref MemoryMarshal.GetReference(output.Slice(i)));
}
// Update lastValid from end of SIMD-processed section
if (i > 0)
{
lastValidActual = actual[i - 1];
lastValidPredicted = predicted[i - 1];
}
// Handle scalar remainder
for (; i < len; i++)
{
@@ -897,12 +915,88 @@ public static class ErrorHelpers
return i;
}
lastValidActual = act;
lastValidPredicted = pred;
output[i] = Math.Abs(act - pred);
}
return len;
}
/// <summary>
/// SIMD path with integrated NaN detection for squared errors. Returns the number of elements processed.
/// If NaN is detected, returns the index where NaN was found so caller can continue with scalar.
/// Updates lastValidActual/lastValidPredicted to track last seen finite values for scalar continuation.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static int ComputeSquaredErrorsSimdWithNaNDetection(
ReadOnlySpan<double> actual,
ReadOnlySpan<double> predicted,
Span<double> output,
ref double lastValidActual,
ref double lastValidPredicted)
{
int len = actual.Length;
int vectorSize = Vector256<double>.Count;
int vectorEnd = len - (len % vectorSize);
int i = 0;
for (; i < vectorEnd; i += vectorSize)
{
Vector256<double> actVec = Vector256.LoadUnsafe(ref MemoryMarshal.GetReference(actual.Slice(i)));
Vector256<double> predVec = Vector256.LoadUnsafe(ref MemoryMarshal.GetReference(predicted.Slice(i)));
// Check for NaN/Inf: x == x is false for NaN
Vector256<double> actCmp = Avx.Compare(actVec, actVec, FloatComparisonMode.OrderedNonSignaling);
Vector256<double> predCmp = Avx.Compare(predVec, predVec, FloatComparisonMode.OrderedNonSignaling);
Vector256<double> combined = Avx.And(actCmp, predCmp);
int mask = Avx.MoveMask(combined);
if (mask != 0b1111)
{
// NaN detected - update lastValid from previously processed elements before returning
if (i > 0)
{
lastValidActual = actual[i - 1];
lastValidPredicted = predicted[i - 1];
}
return i;
}
// No NaN - compute squared error: (actual - predicted)²
Vector256<double> errorVec = Avx.Subtract(actVec, predVec);
Vector256<double> sqErrorVec = Avx.Multiply(errorVec, errorVec);
sqErrorVec.StoreUnsafe(ref MemoryMarshal.GetReference(output.Slice(i)));
}
// Update lastValid from end of SIMD-processed section
if (i > 0)
{
lastValidActual = actual[i - 1];
lastValidPredicted = predicted[i - 1];
}
// Handle scalar remainder
for (; i < len; i++)
{
double act = actual[i];
double pred = predicted[i];
if (!double.IsFinite(act) || !double.IsFinite(pred))
{
// Return current position - caller will handle with scalar fallback
return i;
}
lastValidActual = act;
lastValidPredicted = pred;
double diff = act - pred;
output[i] = diff * diff;
}
return len;
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static void ComputeAbsoluteErrorsSimd(
ReadOnlySpan<double> actual,
lib/core/simd/SimdExtensions.Tests.cs
+13 -13
View File
@@ -289,18 +289,18 @@ public class SimdExtensionsTests
// VarianceSIMD tests
[Fact]
public void VarianceSIMD_LessThanTwoElements_ReturnsNaN()
public void VarianceSIMD_LessThanTwoElements_ReturnsZero()
{
double[] data = [42.5];
var span = new ReadOnlySpan<double>(data);
Assert.True(double.IsNaN(span.VarianceSIMD()));
Assert.Equal(0.0, span.VarianceSIMD());
}
[Fact]
public void VarianceSIMD_EmptySpan_ReturnsNaN()
public void VarianceSIMD_EmptySpan_ReturnsZero()
{
var span = ReadOnlySpan<double>.Empty;
Assert.True(double.IsNaN(span.VarianceSIMD()));
Assert.Equal(0.0, span.VarianceSIMD());
}
[Fact]
@@ -631,8 +631,8 @@ public class SimdExtensionsTests
Assert.True(variance > 0);
Assert.True(stdDev > 0);
Assert.True(sw.ElapsedMilliseconds < 50,
$"SIMD operations took {sw.ElapsedMilliseconds}ms, expected < 50ms");
Assert.True(sw.ElapsedMilliseconds < 100,
$"SIMD operations took {sw.ElapsedMilliseconds}ms, expected < 100ms");
}
[Fact]
@@ -870,26 +870,26 @@ public class SimdScalarFallbackTests
}
[Fact]
public void VarianceSIMD_SingleElement_ReturnsNaN()
public void VarianceSIMD_SingleElement_ReturnsZero()
{
double[] data = [42.5];
var span = new ReadOnlySpan<double>(data);
Assert.True(double.IsNaN(span.VarianceSIMD()));
Assert.Equal(0.0, span.VarianceSIMD());
}
[Fact]
public void StdDevSIMD_SingleElement_ReturnsNaN()
public void StdDevSIMD_SingleElement_ReturnsZero()
{
double[] data = [42.5];
var span = new ReadOnlySpan<double>(data);
Assert.True(double.IsNaN(span.StdDevSIMD()));
Assert.Equal(0.0, span.StdDevSIMD());
}
[Fact]
public void StdDevSIMD_EmptySpan_ReturnsNaN()
public void StdDevSIMD_EmptySpan_ReturnsZero()
{
var span = ReadOnlySpan<double>.Empty;
Assert.True(double.IsNaN(span.StdDevSIMD()));
Assert.Equal(0.0, span.StdDevSIMD());
}
[Fact]
@@ -992,4 +992,4 @@ public class SimdScalarFallbackTests
Assert.Throws<ArgumentException>(() => SimdExtensions.Subtract(left, right, result));
}
}
}
lib/core/simd/SimdExtensions.cs
+46 -24
View File
@@ -299,7 +299,8 @@ public static class SimdExtensions
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public static double VarianceSIMD(this ReadOnlySpan<double> span, double? mean = null)
{
if (span.Length < 2) return double.NaN;
// Match VarianceScalar behavior: return 0.0 for length <= 1 to avoid inconsistency
if (span.Length <= 1) return 0.0;
double m;
if (mean.HasValue)
@@ -627,32 +628,44 @@ public static class SimdExtensions
ref double aRef = ref MemoryMarshal.GetReference(a);
ref double bRef = ref MemoryMarshal.GetReference(b);
// Hoist FMA check outside loop for branch prediction optimization
bool useFma = Fma.IsSupported;
// Unroll loop: Process 16 doubles (4 vectors) at a time
if (len >= 16)
{
for (; i <= len - 16; i += 16)
if (useFma)
{
var va1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
var va2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 4));
var vb2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 4));
var va3 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 8));
var vb3 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 8));
var va4 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 12));
var vb4 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 12));
if (Fma.IsSupported)
for (; i <= len - 16; i += 16)
{
var va1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
var va2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 4));
var vb2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 4));
var va3 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 8));
var vb3 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 8));
var va4 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 12));
var vb4 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 12));
vSum = Fma.MultiplyAdd(va1, vb1, vSum);
vSum2 = Fma.MultiplyAdd(va2, vb2, vSum2);
vSum3 = Fma.MultiplyAdd(va3, vb3, vSum3);
vSum4 = Fma.MultiplyAdd(va4, vb4, vSum4);
}
else
}
else
{
for (; i <= len - 16; i += 16)
{
var va1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
var va2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 4));
var vb2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 4));
var va3 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 8));
var vb3 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 8));
var va4 = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i + 12));
var vb4 = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i + 12));
vSum = Avx.Add(vSum, Avx.Multiply(va1, vb1));
vSum2 = Avx.Add(vSum2, Avx.Multiply(va2, vb2));
vSum3 = Avx.Add(vSum3, Avx.Multiply(va3, vb3));
@@ -661,15 +674,24 @@ public static class SimdExtensions
}
}
// Process remaining vectors (4 doubles at a time)
for (; i <= len - 4; i += 4)
// Process remaining vectors (4 doubles at a time) with hoisted branch
if (useFma)
{
var va = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
vSum = Fma.IsSupported
? Fma.MultiplyAdd(va, vb, vSum)
: Avx.Add(vSum, Avx.Multiply(va, vb));
for (; i <= len - 4; i += 4)
{
var va = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
vSum = Fma.MultiplyAdd(va, vb, vSum);
}
}
else
{
for (; i <= len - 4; i += 4)
{
var va = Vector256.LoadUnsafe(ref Unsafe.Add(ref aRef, i));
var vb = Vector256.LoadUnsafe(ref Unsafe.Add(ref bRef, i));
vSum = Avx.Add(vSum, Avx.Multiply(va, vb));
}
}
// Combine accumulators
lib/core/tbar/TBar.Tests.cs
+15 -4
View File
@@ -395,7 +395,7 @@ public class TBarTests
}
[Fact]
public void TBar_WithInfinity_HandlesGracefully()
public void TBar_WithPositiveInfinity_HandlesGracefully()
{
var bar = new TBar(12345, 100, double.PositiveInfinity, 90, 105, 1000);
@@ -404,6 +404,17 @@ public class TBarTests
Assert.True(double.IsPositiveInfinity(bar.HL2)); // Uses High
}
[Fact]
public void TBar_WithNegativeInfinity_HandlesGracefully()
{
var bar = new TBar(12345, 100, 110, double.NegativeInfinity, 105, 1000);
Assert.True(double.IsNegativeInfinity(bar.Low));
Assert.True(double.IsNegativeInfinity(bar.L.Value));
Assert.True(double.IsNegativeInfinity(bar.HL2)); // Uses Low
Assert.True(double.IsNegativeInfinity(bar.HLC3)); // Uses Low
}
[Fact]
public void TBar_WithMaxValue_HandlesGracefully()
{
@@ -412,8 +423,8 @@ public class TBarTests
Assert.Equal(double.MaxValue, bar.Open);
Assert.Equal(double.MaxValue, bar.High);
Assert.Equal(double.MinValue, bar.Low);
// HL2 calculation with extreme values
Assert.True(double.IsFinite(bar.HL2) || double.IsInfinity(bar.HL2));
// HL2 = (MaxValue + MinValue) * 0.5 = 0 (symmetric around zero)
Assert.Equal(0.0, bar.HL2);
}
[Fact]
@@ -497,4 +508,4 @@ public class TBarTests
// (90 + 120 + 60) / 3 = 270 / 3 = 90
Assert.Equal(90.0, bar.OHL3);
}
}
}
lib/core/tbar/tbar.cs
+10 -2
View File
@@ -23,11 +23,19 @@ public readonly record struct TBar(long Time, double Open, double High, double L
// Computed properties (calculated on demand, no storage overhead)
public double HL2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low) * 0.5; }
public double OC2 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + Close) * 0.5; }
public double OHL3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low) / 3.0; }
public double HLC3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close) / 3.0; }
public double OHL3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low) * (1.0 / 3.0); }
public double HLC3 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close) * (1.0 / 3.0); }
public double OHLC4 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (Open + High + Low + Close) * 0.25; }
public double HLCC4 { [MethodImpl(MethodImplOptions.AggressiveInlining)] get => (High + Low + Close + Close) * 0.25; }
/// <summary>
/// Creates a TBar from DateTime and OHLCV values.
/// </summary>
/// <remarks>
/// <b>Performance warning:</b> If <paramref name="time"/>.Kind is not <see cref="DateTimeKind.Utc"/>,
/// <see cref="DateTime.ToUniversalTime"/> is called, which allocates. For hot paths, prefer the
/// primary constructor with pre-computed UTC ticks.
/// </remarks>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public TBar(DateTime time, double open, double high, double low, double close, double volume)
: this(time.Kind == DateTimeKind.Utc ? time.Ticks : time.ToUniversalTime().Ticks, open, high, low, close, volume)
lib/core/tbarseries/tbarseries.cs
+65 -33
View File
@@ -281,6 +281,11 @@ public class TBarSeries : IReadOnlyList<TBar>
public void Add(DateTime time, double open, double high, double low, double close, double volume, bool isNew = true) =>
Add(new TBar(time.Ticks, open, high, low, close, volume), isNew);
/// <summary>
/// Bulk add from IEnumerable sources. Fires Pub event for each bar.
/// WARNING: This method may allocate if inputs are not already arrays.
/// For zero-allocation bulk loading, prefer AddRange with ReadOnlySpan parameters.
/// </summary>
public void Add(IEnumerable<long> t, IEnumerable<double> o, IEnumerable<double> h, IEnumerable<double> l, IEnumerable<double> c, IEnumerable<double> v)
{
var tArr = t as long[] ?? t.ToArray();
@@ -320,28 +325,37 @@ public class TBarSeries : IReadOnlyList<TBar>
if (o.Length != len || h.Length != len || l.Length != len || c.Length != len || v.Length != len)
throw new ArgumentException("All spans must have the same length", nameof(t));
if (len == 0) return;
int oldCount = _c.Count;
int newCount = oldCount + len;
// Pre-allocate capacity to avoid repeated resizing
int newCapacity = _c.Count + len;
if (_t.Capacity < newCapacity)
if (_t.Capacity < newCount)
{
_t.Capacity = newCapacity;
_o.Capacity = newCapacity;
_h.Capacity = newCapacity;
_l.Capacity = newCapacity;
_c.Capacity = newCapacity;
_v.Capacity = newCapacity;
_t.Capacity = newCount;
_o.Capacity = newCount;
_h.Capacity = newCount;
_l.Capacity = newCount;
_c.Capacity = newCount;
_v.Capacity = newCount;
}
// Bulk add without event firing (for initial data loading)
for (int i = 0; i < len; i++)
{
_t.Add(t[i]);
_o.Add(o[i]);
_h.Add(h[i]);
_l.Add(l[i]);
_c.Add(c[i]);
_v.Add(v[i]);
}
// Use SetCount to resize lists without zeroing, then copy via span
CollectionsMarshal.SetCount(_t, newCount);
CollectionsMarshal.SetCount(_o, newCount);
CollectionsMarshal.SetCount(_h, newCount);
CollectionsMarshal.SetCount(_l, newCount);
CollectionsMarshal.SetCount(_c, newCount);
CollectionsMarshal.SetCount(_v, newCount);
// Direct span copy - zero allocation bulk add
t.CopyTo(CollectionsMarshal.AsSpan(_t).Slice(oldCount));
o.CopyTo(CollectionsMarshal.AsSpan(_o).Slice(oldCount));
h.CopyTo(CollectionsMarshal.AsSpan(_h).Slice(oldCount));
l.CopyTo(CollectionsMarshal.AsSpan(_l).Slice(oldCount));
c.CopyTo(CollectionsMarshal.AsSpan(_c).Slice(oldCount));
v.CopyTo(CollectionsMarshal.AsSpan(_v).Slice(oldCount));
}
/// <summary>
@@ -354,28 +368,46 @@ public class TBarSeries : IReadOnlyList<TBar>
int len = bars.Length;
if (len == 0) return;
int oldCount = _c.Count;
int newCount = oldCount + len;
// Pre-allocate capacity to avoid repeated resizing
int newCapacity = _c.Count + len;
if (_t.Capacity < newCapacity)
if (_t.Capacity < newCount)
{
_t.Capacity = newCapacity;
_o.Capacity = newCapacity;
_h.Capacity = newCapacity;
_l.Capacity = newCapacity;
_c.Capacity = newCapacity;
_v.Capacity = newCapacity;
_t.Capacity = newCount;
_o.Capacity = newCount;
_h.Capacity = newCount;
_l.Capacity = newCount;
_c.Capacity = newCount;
_v.Capacity = newCount;
}
// Bulk add without event firing (for initial data loading)
// Use SetCount to resize lists without zeroing
CollectionsMarshal.SetCount(_t, newCount);
CollectionsMarshal.SetCount(_o, newCount);
CollectionsMarshal.SetCount(_h, newCount);
CollectionsMarshal.SetCount(_l, newCount);
CollectionsMarshal.SetCount(_c, newCount);
CollectionsMarshal.SetCount(_v, newCount);
// Get mutable spans for direct write
Span<long> tSpan = CollectionsMarshal.AsSpan(_t).Slice(oldCount);
Span<double> oSpan = CollectionsMarshal.AsSpan(_o).Slice(oldCount);
Span<double> hSpan = CollectionsMarshal.AsSpan(_h).Slice(oldCount);
Span<double> lSpan = CollectionsMarshal.AsSpan(_l).Slice(oldCount);
Span<double> cSpan = CollectionsMarshal.AsSpan(_c).Slice(oldCount);
Span<double> vSpan = CollectionsMarshal.AsSpan(_v).Slice(oldCount);
// Copy from TBar structs to SoA layout
for (int i = 0; i < len; i++)
{
ref readonly TBar bar = ref bars[i];
_t.Add(bar.Time);
_o.Add(bar.Open);
_h.Add(bar.High);
_l.Add(bar.Low);
_c.Add(bar.Close);
_v.Add(bar.Volume);
tSpan[i] = bar.Time;
oSpan[i] = bar.Open;
hSpan[i] = bar.High;
lSpan[i] = bar.Low;
cSpan[i] = bar.Close;
vSpan[i] = bar.Volume;
}
}
lib/core/tvalue/TValue.Tests.cs
+10 -6
View File
@@ -1,3 +1,5 @@
using System.Globalization;
namespace QuanTAlib.Tests;
public class TValueTests
@@ -42,7 +44,7 @@ public class TValueTests
var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
var tValue = new TValue(dt.Ticks, 123.456);
string result = tValue.ToString();
string result = tValue.ToString(null, CultureInfo.InvariantCulture);
Assert.Contains("2023-01-01", result, StringComparison.Ordinal);
Assert.Contains("12:00:00", result, StringComparison.Ordinal);
@@ -288,7 +290,7 @@ public class TValueTests
var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
var tValue = new TValue(dt.Ticks, double.NaN);
string result = tValue.ToString();
string result = tValue.ToString(null, CultureInfo.InvariantCulture);
Assert.Contains("NaN", result, StringComparison.Ordinal);
}
@@ -299,7 +301,7 @@ public class TValueTests
var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
var tValue = new TValue(dt.Ticks, double.PositiveInfinity);
string result = tValue.ToString();
string result = tValue.ToString(null, CultureInfo.InvariantCulture);
Assert.Contains("∞", result, StringComparison.Ordinal);
}
@@ -310,7 +312,7 @@ public class TValueTests
var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
var tValue = new TValue(dt.Ticks, -123.456);
string result = tValue.ToString();
string result = tValue.ToString(null, CultureInfo.InvariantCulture);
Assert.Contains("-123.46", result, StringComparison.Ordinal);
}
@@ -340,9 +342,11 @@ public class TValueTests
{
var tv = new TValue(12345, double.NaN);
var hash = tv.GetHashCode();
// Should not throw - the record struct implementation handles NaN correctly
int hash = tv.GetHashCode();
Assert.True(hash != 0 || hash == 0); // Just verify it doesn't throw
// Hash should be consistent for same NaN value
Assert.Equal(hash, tv.GetHashCode());
}
[Fact]
lib/core/tvalue/tvalue.cs
+89 -2
View File
@@ -6,10 +6,11 @@ namespace QuanTAlib;
/// <summary>
/// A lightweight struct representing a time-value pair.
/// Pure data type: 16 bytes (long + double).
/// Implements ISpanFormattable for allocation-free formatting.
/// </summary>
[SkipLocalsInit]
[StructLayout(LayoutKind.Auto)]
public readonly record struct TValue(long Time, double Value)
public readonly record struct TValue(long Time, double Value) : ISpanFormattable
{
public DateTime AsDateTime => new(Time, DateTimeKind.Utc);
@@ -37,4 +38,90 @@ public readonly record struct TValue(long Time, double Value)
};
return $"[{AsDateTime:yyyy-MM-dd HH:mm:ss}, {valueStr}]";
}
}
/// <summary>
/// Formats the TValue using the specified format string.
/// Note: Custom format and formatProvider are not supported by TValue.
/// If a non-null/non-empty format is provided, a NotSupportedException is thrown.
/// </summary>
/// <param name="format">Must be null or empty; custom formats are not supported.</param>
/// <param name="formatProvider">Ignored; TValue uses its own fixed format.</param>
/// <returns>The string representation of this TValue.</returns>
/// <exception cref="NotSupportedException">Thrown when a non-null/non-empty format is provided.</exception>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public string ToString(string? format, IFormatProvider? formatProvider)
{
if (!string.IsNullOrEmpty(format))
throw new NotSupportedException($"Custom format '{format}' is not supported by TValue. Use ToString() for the default format.");
return ToString();
}
/// <summary>
/// Formats the TValue into the provided span without heap allocation.
/// Format: "[yyyy-MM-dd HH:mm:ss, value]"
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
public bool TryFormat(Span<char> destination, out int charsWritten, ReadOnlySpan<char> format, IFormatProvider? provider)
{
charsWritten = 0;
// Early reject for buffers too small to hold even the timestamp portion.
// This is a heuristic check; actual buffer-overflow protection is performed
// by the explicit length checks that guard each write operation below.
if (destination.Length < 24)
return false;
// Write opening bracket
destination[0] = '[';
int pos = 1;
// Format datetime: yyyy-MM-dd HH:mm:ss (19 chars)
if (!AsDateTime.TryFormat(destination.Slice(pos), out int dtChars, "yyyy-MM-dd HH:mm:ss", provider))
return false;
pos += dtChars;
// Write separator
if (pos + 2 > destination.Length)
return false;
destination[pos++] = ',';
destination[pos++] = ' ';
// Format value
if (double.IsPositiveInfinity(Value))
{
if (pos + 1 > destination.Length)
return false;
destination[pos++] = (char)0x221E; // 
}
else if (double.IsNegativeInfinity(Value))
{
if (pos + 2 > destination.Length)
return false;
destination[pos++] = '-';
destination[pos++] = (char)0x221E; // -
}
else if (double.IsNaN(Value))
{
if (pos + 3 > destination.Length)
return false;
destination[pos++] = 'N';
destination[pos++] = 'a';
destination[pos++] = 'N';
}
else
{
if (!Value.TryFormat(destination.Slice(pos), out int valueChars, "F2", provider))
return false;
pos += valueChars;
}
// Write closing bracket
if (pos + 1 > destination.Length)
return false;
destination[pos++] = ']';
charsWritten = pos;
return true;
}
}
lib/errors/huber/Huber.Tests.cs
+2 -2
View File
@@ -27,7 +27,7 @@ public class HuberTests
Assert.Contains("Huber", huber.Name, StringComparison.Ordinal);
huber.Update(100, 105);
Assert.NotEqual(0, huber.Last.Time);
Assert.NotEqual(0, huber.Last.Value);
}
[Fact]
@@ -403,4 +403,4 @@ public class HuberTests
// With delta=5: linear region -> 5*10 - 12.5 = 37.5
Assert.NotEqual(huber1.Last.Value, huber2.Last.Value);
}
}
}
lib/errors/mae/Mae.Tests.cs
+2 -2
View File
@@ -22,7 +22,7 @@ public class MaeTests
Assert.Contains("Mae", mae.Name, StringComparison.Ordinal);
mae.Update(100, 105);
Assert.NotEqual(0, mae.Last.Time);
Assert.NotEqual(0, mae.Last.Value);
}
[Fact]
@@ -356,4 +356,4 @@ public class MaeTests
// After resync, result should still be correct
Assert.Equal(10.0, mae.Last.Value, 10);
}
}
}
lib/errors/mapd/Mapd.Tests.cs
+2 -2
View File
@@ -22,7 +22,7 @@ public class MapdTests
Assert.Contains("Mapd", mapd.Name, StringComparison.Ordinal);
mapd.Update(100, 105);
Assert.NotEqual(0, mapd.Last.Time);
Assert.NotEqual(0, mapd.Last.Value);
}
[Fact]
@@ -353,4 +353,4 @@ public class MapdTests
var result = mapd.Update(10, 0);
Assert.True(double.IsFinite(result.Value));
}
}
}
lib/errors/mape/Mape.Tests.cs
+2 -2
View File
@@ -22,7 +22,7 @@ public class MapeTests
Assert.Contains("Mape", mape.Name, StringComparison.Ordinal);
mape.Update(100, 105);
Assert.NotEqual(0, mape.Last.Time);
Assert.NotEqual(0, mape.Last.Value);
}
[Fact]
@@ -386,4 +386,4 @@ public class MapeTests
// Over-prediction should have higher MAPE due to smaller denominator
Assert.True(overPrediction.Value > underPrediction.Value);
}
}
}
lib/errors/me/Me.Tests.cs
+2 -2
View File
@@ -22,7 +22,7 @@ public class MeTests
Assert.Contains("Me", me.Name, StringComparison.Ordinal);
me.Update(100, 105);
Assert.NotEqual(0, me.Last.Time);
Assert.NotEqual(0, me.Last.Value);
}
[Fact]
@@ -382,4 +382,4 @@ public class MeTests
// After resync, result should still be correct
Assert.Equal(10.0, me.Last.Value, 10);
}
}
}
lib/errors/mrae/Mrae.Tests.cs
+2 -2
View File
@@ -22,7 +22,7 @@ public class MraeTests
Assert.Contains("Mrae", mrae.Name, StringComparison.Ordinal);
mrae.Update(100, 105);
Assert.NotEqual(0, mrae.Last.Time);
Assert.NotEqual(0, mrae.Last.Value);
}
[Fact]
@@ -330,4 +330,4 @@ public class MraeTests
Assert.Equal(0.1, mrae.Last.Value, 10);
}
}
}
lib/errors/mse/Mse.Tests.cs
+2 -2
View File
@@ -22,7 +22,7 @@ public class MseTests
Assert.Contains("Mse", mse.Name, StringComparison.Ordinal);
mse.Update(100, 105);
Assert.NotEqual(0, mse.Last.Time);
Assert.NotEqual(0, mse.Last.Value);
}
[Fact]
@@ -308,4 +308,4 @@ public class MseTests
Assert.True(double.IsFinite(val), $"Expected finite value but got {val}");
}
}
}
}
lib/errors/rmse/Rmse.Tests.cs
+2 -2
View File
@@ -22,7 +22,7 @@ public class RmseTests
Assert.Contains("Rmse", rmse.Name, StringComparison.Ordinal);
rmse.Update(100, 105);
Assert.NotEqual(0, rmse.Last.Time);
Assert.NotEqual(0, rmse.Last.Value);
}
[Fact]
@@ -247,4 +247,4 @@ public class RmseTests
// All errors are 5, MSE = 25, RMSE = 5
Assert.Equal(5.0, results.Last.Value, 10);
}
}
}
lib/feeds/csv/CsvFeed.Tests.cs
+2 -1
View File
@@ -26,6 +26,7 @@ public sealed class CsvFeedTests : IDisposable
{
if (_disposed) return;
_disposed = true;
GC.SuppressFinalize(this);
foreach (var file in _tempFiles)
{
@@ -882,4 +883,4 @@ public sealed class CsvFeedTests : IDisposable
}
#endregion
}
}
lib/feeds/gbm/Gbm.Tests.cs
+20 -1
View File
@@ -666,14 +666,33 @@ public class GBMTests
[Fact]
public void ImplementsIFeed()
{
GBM feed = new GBM(startPrice: 100.0, seed: 42);
// Verify GBM implements IFeed interface
Assert.True(typeof(IFeed).IsAssignableFrom(typeof(GBM)));
// Use IFeed reference to verify interface contract
IFeed feed = new GBM(startPrice: 100.0, seed: 42);
// Test Next(bool) overload via interface
var bar1 = feed.Next(isNew: true);
Assert.True(bar1.Time > 0);
var bar2 = feed.Next(isNew: true);
Assert.True(bar2.Time > bar1.Time);
// Test Next(ref bool) overload via interface - verify ref parameter behavior
bool isNew = true;
var bar3 = feed.Next(ref isNew);
Assert.True(bar3.Time > bar2.Time);
Assert.True(isNew, "GBM should honor isNew=true request and keep it true");
// Test with isNew=false via interface
bool isNewFalse = false;
long bar3Time = bar3.Time;
var bar3Updated = feed.Next(ref isNewFalse);
Assert.Equal(bar3Time, bar3Updated.Time); // Same bar when isNew=false
Assert.False(isNewFalse, "GBM should honor isNew=false request and keep it false");
// Test Fetch via interface
long startTime = DateTime.UtcNow.Ticks;
var series = feed.Fetch(5, startTime, TimeSpan.FromMinutes(1));
Assert.Equal(5, series.Count);
lib/feeds/gbm/ValidationHelper.cs
-2
View File
@@ -1,5 +1,3 @@
using System.Runtime.CompilerServices;
namespace QuanTAlib.Tests;
/// <summary>
lib/feeds/gbm/gbm.cs
+77 -16
View File
@@ -1,3 +1,4 @@
using System.Buffers;
using System.Runtime.CompilerServices;
using System.Security.Cryptography;
@@ -262,6 +263,7 @@ public sealed class GBM : IFeed
/// <summary>
/// Generates a batch of bars using optimized batch processing with explicit time parameters.
/// Uses stackalloc for small batches to avoid heap allocations.
/// </summary>
/// <param name="count">Number of bars to generate (must be positive)</param>
/// <param name="startTime">Starting timestamp in ticks</param>
@@ -279,14 +281,81 @@ public sealed class GBM : IFeed
var series = new TBarSeries(count);
// Pre-allocate arrays for SoA layout
long[] t = new long[count];
double[] o = new double[count];
double[] h = new double[count];
double[] l = new double[count];
double[] c = new double[count];
double[] v = new double[count];
// Threshold for stackalloc: 64 bars * (8 bytes for long + 5*8 bytes for doubles) = 64 * 48 = 3KB
// Stay well under typical stack limit; use 64 as safe threshold
const int StackAllocThreshold = 64;
// Use stackalloc for small batches to avoid heap allocations
if (count <= StackAllocThreshold)
{
Span<long> t = stackalloc long[count];
Span<double> o = stackalloc double[count];
Span<double> h = stackalloc double[count];
Span<double> l = stackalloc double[count];
Span<double> c = stackalloc double[count];
Span<double> v = stackalloc double[count];
FetchCore(count, startTime, interval, t, o, h, l, c, v);
// Bulk add to series using ReadOnlySpan overload
series.AddRange(t, o, h, l, c, v);
}
else
{
// Use ArrayPool for larger batches to avoid heap allocations
long[]? rentedT = null;
double[]? rentedO = null;
double[]? rentedH = null;
double[]? rentedL = null;
double[]? rentedC = null;
double[]? rentedV = null;
try
{
rentedT = ArrayPool<long>.Shared.Rent(count);
rentedO = ArrayPool<double>.Shared.Rent(count);
rentedH = ArrayPool<double>.Shared.Rent(count);
rentedL = ArrayPool<double>.Shared.Rent(count);
rentedC = ArrayPool<double>.Shared.Rent(count);
rentedV = ArrayPool<double>.Shared.Rent(count);
// Use only the first 'count' elements (rented arrays may be larger)
var t = rentedT.AsSpan(0, count);
var o = rentedO.AsSpan(0, count);
var h = rentedH.AsSpan(0, count);
var l = rentedL.AsSpan(0, count);
var c = rentedC.AsSpan(0, count);
var v = rentedV.AsSpan(0, count);
FetchCore(count, startTime, interval, t, o, h, l, c, v);
// Bulk add to series using ReadOnlySpan overload
series.AddRange(t, o, h, l, c, v);
}
finally
{
if (rentedT != null) ArrayPool<long>.Shared.Return(rentedT);
if (rentedO != null) ArrayPool<double>.Shared.Return(rentedO);
if (rentedH != null) ArrayPool<double>.Shared.Return(rentedH);
if (rentedL != null) ArrayPool<double>.Shared.Return(rentedL);
if (rentedC != null) ArrayPool<double>.Shared.Return(rentedC);
if (rentedV != null) ArrayPool<double>.Shared.Return(rentedV);
}
}
// Reset streaming state after batch
_hasCurrentBar = false;
return series;
}
/// <summary>
/// Core generation logic shared between stackalloc and heap-allocated paths.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void FetchCore(int count, long startTime, TimeSpan interval,
Span<long> t, Span<double> o, Span<double> h, Span<double> l, Span<double> c, Span<double> v)
{
const double minutesPerYear = 252.0 * 6.5 * 60.0;
double dt = interval.TotalMinutes / minutesPerYear;
double drift = (Mu - 0.5 * Sigma * Sigma) * dt;
@@ -335,14 +404,6 @@ public sealed class GBM : IFeed
// Update internal state to continue from end of batch
_lastPrice = currentPrice;
_lastTime = currentTime - timeStep; // Last bar time, not next bar time
// Bulk add to series
series.Add(t, o, h, l, c, v);
// Reset streaming state after batch
_hasCurrentBar = false;
return series;
}
}
#pragma warning restore S2245
#pragma warning restore S2245
lib/numerics/accel/Accel.Quantower.cs
+36 -13
View File
@@ -1,4 +1,5 @@
using System.Drawing;
using System.Runtime.CompilerServices;
using TradingPlatform.BusinessLayer;
using static QuanTAlib.IndicatorExtensions;
@@ -19,6 +20,11 @@ public class AccelIndicator : Indicator, IWatchlistIndicator
private Accel? _accel;
private Func<IHistoryItem, double>? _selector;
// Cached markers to avoid per-update allocations
private static readonly IndicatorLineMarker GreenMarker = new(Color.Green);
private static readonly IndicatorLineMarker RedMarker = new(Color.Red);
private static readonly IndicatorLineMarker GrayMarker = new(Color.Gray);
public int MinHistoryDepths => 3;
public override string ShortName => "ACCEL";
@@ -47,25 +53,42 @@ public class AccelIndicator : Indicator, IWatchlistIndicator
double value = _selector(item);
bool isNew = args.IsNewBar();
TValue input = new(item.TimeLeft, value);
_accel.Update(input, isNew);
ProcessUpdateCore(item.TimeLeft, value, isNew);
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void ProcessUpdateCore(DateTime time, double value, bool isNew)
{
// Validate non-finite inputs - use last valid if not finite
if (!double.IsFinite(value))
{
value = _accel!.Last.Value;
if (!double.IsFinite(value))
value = 0.0;
}
TValue input = new(time, value);
_accel!.Update(input, isNew);
bool isHot = _accel.IsHot;
double accelValue = _accel.Last.Value; // Cache to avoid repeated property access
LinesSeries[0].SetValue(_accel.Last.Value, isHot, ShowColdValues);
LinesSeries[0].SetValue(accelValue, isHot, ShowColdValues);
LinesSeries[1].SetValue(0);
if (isHot || ShowColdValues)
{
double accel = _accel.Last.Value;
Color color;
if (accel > 0)
color = Color.Green;
else if (accel < 0)
color = Color.Red;
else
color = Color.Gray;
LinesSeries[0].SetMarker(0, new IndicatorLineMarker(color));
// Use cached markers to avoid per-update allocations
IndicatorLineMarker marker = GetMarker(accelValue);
LinesSeries[0].SetMarker(0, marker);
}
}
}
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private static IndicatorLineMarker GetMarker(double value)
{
if (value > 0) return GreenMarker;
if (value < 0) return RedMarker;
return GrayMarker;
}
}
lib/numerics/accel/Accel.cs
+8 -3
View File
@@ -171,9 +171,14 @@ public sealed class Accel : AbstractBase
public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
{
foreach (double val in source)
// TValue is a readonly record struct - no heap allocation occurs
TimeSpan interval = step ?? TimeSpan.FromSeconds(1);
DateTime time = DateTime.UtcNow - (interval * source.Length);
for (int i = 0; i < source.Length; i++)
{
Update(new TValue(DateTime.MinValue, val));
Update(new TValue(time, source[i]), true);
time += interval;
}
}
@@ -300,4 +305,4 @@ public sealed class Accel : AbstractBase
if (double.IsFinite(c)) return c;
return 0.0;
}
}
}
lib/numerics/change/Change.Quantower.cs
+19 -10
View File
@@ -23,6 +23,11 @@ public class ChangeIndicator : Indicator, IWatchlistIndicator
private Change? _change;
private Func<IHistoryItem, double>? _selector;
// Cached markers to avoid per-update allocations
private static readonly IndicatorLineMarker GreenMarker = new(Color.Green);
private static readonly IndicatorLineMarker RedMarker = new(Color.Red);
private static readonly IndicatorLineMarker GrayMarker = new(Color.Gray);
public int MinHistoryDepths => Period + 1;
public override string ShortName => $"CHANGE({Period})";
@@ -55,21 +60,25 @@ public class ChangeIndicator : Indicator, IWatchlistIndicator
_change.Update(input, isNew);
bool isHot = _change.IsHot;
double changeValue = _change.Last.Value; // Cache to avoid repeated property access
LinesSeries[0].SetValue(_change.Last.Value, isHot, ShowColdValues);
LinesSeries[0].SetValue(changeValue, isHot, ShowColdValues);
LinesSeries[1].SetValue(0);
if (isHot || ShowColdValues)
{
double change = _change.Last.Value;
Color color;
if (change > 0)
color = Color.Green;
else if (change < 0)
color = Color.Red;
else
color = Color.Gray;
LinesSeries[0].SetMarker(0, new IndicatorLineMarker(color));
// Use cached markers to avoid per-update allocations
IndicatorLineMarker marker = GetMarker(changeValue);
LinesSeries[0].SetMarker(0, marker);
}
}
[System.Runtime.CompilerServices.MethodImpl(System.Runtime.CompilerServices.MethodImplOptions.AggressiveInlining)]
private static IndicatorLineMarker GetMarker(double value)
{
if (!double.IsFinite(value)) return GrayMarker;
if (value > 0) return GreenMarker;
if (value < 0) return RedMarker;
return GrayMarker;
}
}
lib/numerics/change/Change.Tests.cs
+9 -3
View File
@@ -162,10 +162,16 @@ public class ChangeTests
indicator.Update(_source[i]);
}
// Compare last 10 values
// Compare last 10 values between batch and streaming
var streamResult = new TSeries();
for (int j = 0; j < _source.Count; j++)
{
streamResult.Add(indicator.Update(_source[j]), true);
}
for (int i = Math.Max(0, _source.Count - 10); i < _source.Count; i++)
{
Assert.Equal(batchResult[i].Value, batchResult[i].Value, 1e-10);
Assert.Equal(batchResult[i].Value, streamResult[i].Value, 1e-10);
}
// Ensure final values match
@@ -214,4 +220,4 @@ public class ChangeTests
Assert.True(change.IsHot);
Assert.NotEqual(0.0, change.Last.Value);
}
}
}
lib/numerics/exptrans/Exptrans.Quantower.Tests.cs
+73 -1
View File
@@ -116,4 +116,76 @@ public class ExptransIndicatorTests
Assert.True(double.IsFinite(indicator.LinesSeries[0].GetValue(0)));
}
}
}
[Fact]
public void ExptransIndicator_NaNInput_ProducesFiniteOutput()
{
var indicator = new ExptransIndicator();
indicator.Initialize();
var now = DateTime.UtcNow;
// First add a valid bar to establish last valid value
indicator.HistoricalData.AddBar(now, 1, 2, 0, 1);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
// Add bar with NaN close - should use last valid value (1), so exp(1) = e
indicator.HistoricalData.AddBar(now.AddMinutes(1), double.NaN, double.NaN, double.NaN, double.NaN);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(2, indicator.LinesSeries[0].Count);
Assert.Equal(Math.E, indicator.LinesSeries[0].GetValue(0), 1e-10);
}
[Fact]
public void ExptransIndicator_InfinityInput_ProducesFiniteOutput()
{
var indicator = new ExptransIndicator();
indicator.Initialize();
var now = DateTime.UtcNow;
// First add a valid bar to establish last valid value
indicator.HistoricalData.AddBar(now, 1, 2, 0, 1);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
// Add bar with Infinity close - should use last valid value (1), so exp(1) = e
indicator.HistoricalData.AddBar(now.AddMinutes(1), double.PositiveInfinity, double.PositiveInfinity, double.NegativeInfinity, double.PositiveInfinity);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewBar));
Assert.Equal(2, indicator.LinesSeries[0].Count);
Assert.Equal(Math.E, indicator.LinesSeries[0].GetValue(0), 1e-10);
}
[Fact]
public void ExptransIndicator_NewTick_UpdatesSameBar()
{
var indicator = new ExptransIndicator();
indicator.Initialize();
var now = DateTime.UtcNow;
indicator.HistoricalData.AddBar(now, 0, 1, -1, 0);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
double firstValue = indicator.LinesSeries[0].GetValue(0);
// NewTick should recalculate the same bar
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
// Value should remain consistent (exp(0) = 1)
Assert.Equal(1.0, indicator.LinesSeries[0].GetValue(0), 1e-10);
Assert.Equal(firstValue, indicator.LinesSeries[0].GetValue(0), 1e-10);
}
[Fact]
public void ExptransIndicator_KnownValues_ComputesCorrectly()
{
var indicator = new ExptransIndicator();
indicator.Initialize();
var now = DateTime.UtcNow;
// exp(2) ≈ 7.389
indicator.HistoricalData.AddBar(now, 2, 3, 1, 2);
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.HistoricalBar));
Assert.Equal(Math.Exp(2), indicator.LinesSeries[0].GetValue(0), 1e-10);
}
}
lib/numerics/exptrans/Exptrans.cs
-3
View File
@@ -2,9 +2,6 @@
// Transforms values using the exponential function e^x
using System.Runtime.CompilerServices;
using System.Numerics;
using System.Runtime.Intrinsics;
using System.Runtime.Intrinsics.X86;
namespace QuanTAlib;
lib/numerics/highest/Highest.Tests.cs
+3 -2
View File
@@ -129,7 +129,8 @@ public class HighestTests
indicator.Update(new TValue(time, 15.0));
indicator.Update(new TValue(time.AddMinutes(1), double.PositiveInfinity));
Assert.True(double.IsFinite(indicator.Last.Value));
// Should use last valid value (15.0) instead of infinity
Assert.Equal(15.0, indicator.Last.Value, Tolerance);
}
[Fact]
@@ -296,4 +297,4 @@ public class HighestTests
indicator.Update(new TValue(time.AddMinutes(5), 5.0));
Assert.Equal(9.0, indicator.Last.Value, Tolerance);
}
}
}
lib/numerics/highest/Highest.cs
+35 -20
View File
@@ -148,33 +148,48 @@ public sealed class Highest : AbstractBase
}
// Second pass: compute rolling max using corrected values
int dequeStart = 0;
int dequeEnd = 0;
// Use circular buffer indexing to avoid compaction overhead
// Branch-based wrapping is faster than modulo in hot paths
int head = 0; // front of deque (oldest/max)
int tail = 0; // back of deque (newest)
int count = 0; // number of elements in deque
int capacity = deque.Length;
for (int i = 0; i < len; i++)
{
double value = values[i];
// Remove indices outside window
while (dequeEnd > dequeStart && deque[dequeStart] <= i - period)
dequeStart++;
// Remove smaller values from back
while (dequeEnd > dequeStart && values[deque[dequeEnd - 1]] <= value)
dequeEnd--;
// Compact deque if needed
if (dequeEnd >= deque.Length)
// Remove indices outside window from front
while (count > 0 && deque[head] <= i - period)
{
int count = dequeEnd - dequeStart;
for (int j = 0; j < count; j++)
deque[j] = deque[dequeStart + j];
dequeStart = 0;
dequeEnd = count;
head++;
if (head >= capacity) head -= capacity;
count--;
}
deque[dequeEnd++] = i;
output[i] = values[deque[dequeStart]];
// Remove smaller values from back
while (count > 0)
{
int backIdx = tail - 1;
if (backIdx < 0) backIdx += capacity;
if (values[deque[backIdx]] <= value)
{
tail = backIdx;
count--;
}
else
{
break;
}
}
// Add current index at tail
deque[tail] = i;
tail++;
if (tail >= capacity) tail -= capacity;
count++;
output[i] = values[deque[head]];
}
}
finally
@@ -193,4 +208,4 @@ public sealed class Highest : AbstractBase
_p_state = default;
Last = default;
}
}
}
lib/numerics/jerk/Jerk.Quantower.Tests.cs
+5 -3
View File
@@ -184,7 +184,8 @@ public class JerkIndicatorTests
var now = DateTime.UtcNow;
// Cubic trend: changing acceleration = non-zero jerk
// Cubic trend: f(x) = x³ has third derivative = 6
// Using f(i) = i³, the discrete third differences converge to 6
for (int i = 0; i < 10; i++)
{
double price = 100 + i * i * i; // cubic growth
@@ -193,7 +194,8 @@ public class JerkIndicatorTests
}
double lastJerk = indicator.LinesSeries[0].GetValue(0);
Assert.True(lastJerk != 0);
// For f(x) = x³, discrete third difference = 6
Assert.Equal(6.0, lastJerk, 6);
}
[Fact]
@@ -215,4 +217,4 @@ public class JerkIndicatorTests
double lastJerk = indicator.LinesSeries[0].GetValue(0);
Assert.Equal(0, lastJerk, 6);
}
}
}
lib/numerics/jerk/Jerk.Tests.cs
+3 -1
View File
@@ -1,3 +1,5 @@
using Xunit;
namespace QuanTAlib.Tests;
public class JerkTests
@@ -302,4 +304,4 @@ public class JerkTests
Assert.Equal(jerkResults[i], chainResults[i], precision: 9);
}
}
}
}
lib/numerics/lineartrans/Lineartrans.Quantower.Tests.cs
+3 -1
View File
@@ -80,7 +80,7 @@ public class LineartransIndicatorTests
[Fact]
public void LineartransIndicator_ProcessUpdate_NewTick_ProcessesWithoutError()
{
var indicator = new LineartransIndicator();
var indicator = new LineartransIndicator { Slope = 2.0, Intercept = 5.0 };
indicator.Initialize();
var now = DateTime.UtcNow;
@@ -90,6 +90,8 @@ public class LineartransIndicatorTests
indicator.ProcessUpdate(new UpdateArgs(UpdateReason.NewTick));
Assert.Equal(2, indicator.LinesSeries[0].Count);
// NewTick recalculates same bar: 2 * 100 + 5 = 205
Assert.Equal(205.0, indicator.LinesSeries[0].GetValue(0), 1e-10);
}
[Fact]
lib/numerics/lineartrans/Lineartrans.cs
+72 -20
View File
@@ -4,6 +4,7 @@
using System.Runtime.CompilerServices;
using System.Runtime.Intrinsics;
using System.Runtime.Intrinsics.X86;
using System.Runtime.Intrinsics.Arm;
namespace QuanTAlib;
@@ -119,6 +120,7 @@ public sealed class Lineartrans : AbstractBase
/// <summary>
/// Calculates linear transformation over a span of values using SIMD when available.
/// Uses FMA intrinsics for y = slope * x + intercept.
/// </summary>
public static void Calculate(ReadOnlySpan<double> source, Span<double> output,
double slope = 1.0, double intercept = 0.0)
@@ -132,34 +134,84 @@ public sealed class Lineartrans : AbstractBase
if (!double.IsFinite(intercept))
throw new ArgumentException("Intercept must be a finite number", nameof(intercept));
// Check for non-finite values - if any exist, use scalar path only
// Note: For very large arrays, SIMD-based NaN detection could be faster,
// but for typical use cases the scalar pre-scan is sufficient
bool hasNonFinite = false;
for (int k = 0; k < source.Length && !hasNonFinite; k++)
{
hasNonFinite = !double.IsFinite(source[k]);
}
double lastValid = 0.0;
int i = 0;
// SIMD path for AVX2 (process 4 doubles at a time)
if (Avx2.IsSupported && source.Length >= Vector256<double>.Count)
// AVX512 FMA path (8 doubles at once)
// Avx512F.FusedMultiplyAdd is independent of Fma.IsSupported
if (!hasNonFinite && Avx512F.IsSupported && source.Length >= 8)
{
int vectorLength = source.Length - (source.Length % Vector256<double>.Count);
var slopeVec = Vector512.Create(slope);
var interceptVec = Vector512.Create(intercept);
int simdEnd = source.Length - (source.Length % 8);
for (; i < vectorLength; i += Vector256<double>.Count)
for (; i < simdEnd; i += 8)
{
// Check for finite values and handle last-valid
for (int j = 0; j < Vector256<double>.Count; j++)
{
double val = source[i + j];
if (double.IsFinite(val))
{
lastValid = Math.FusedMultiplyAdd(slope, val, intercept);
output[i + j] = lastValid;
}
else
{
output[i + j] = lastValid;
}
}
var vals = Vector512.Create(source.Slice(i, 8));
var result = Avx512F.FusedMultiplyAdd(slopeVec, vals, interceptVec);
result.CopyTo(output.Slice(i, 8));
}
lastValid = output[simdEnd - 1];
}
// AVX2 FMA path (4 doubles at once)
else if (!hasNonFinite && Fma.IsSupported && source.Length >= 4)
{
var slopeVec = Vector256.Create(slope);
var interceptVec = Vector256.Create(intercept);
int simdEnd = source.Length - (source.Length % 4);
for (; i < simdEnd; i += 4)
{
var vals = Vector256.Create(source.Slice(i, 4));
var result = Fma.MultiplyAdd(slopeVec, vals, interceptVec);
result.CopyTo(output.Slice(i, 4));
}
lastValid = output[simdEnd - 1];
}
// SSE2 path (2 doubles at once) - fallback for x86/x64 without FMA
// Note: This path uses Sse2.Multiply followed by Sse2.Add, which incurs two rounding
// steps unlike the FMA paths above. Results may differ by ~1 ULP compared to FMA
// on SSE2-only hardware (e.g., older x86/x64 CPUs without AVX2/FMA support).
else if (!hasNonFinite && Sse2.IsSupported && source.Length >= 2)
{
var slopeVec = Vector128.Create(slope);
var interceptVec = Vector128.Create(intercept);
int simdEnd = source.Length - (source.Length % 2);
for (; i < simdEnd; i += 2)
{
var vals = Vector128.Create(source.Slice(i, 2));
var result = Sse2.Add(Sse2.Multiply(slopeVec, vals), interceptVec);
result.CopyTo(output.Slice(i, 2));
}
lastValid = output[simdEnd - 1];
}
// ARM64 NEON FMA path (2 doubles at once)
else if (!hasNonFinite && AdvSimd.Arm64.IsSupported && source.Length >= 2)
{
var slopeVec = Vector128.Create(slope);
var interceptVec = Vector128.Create(intercept);
int simdEnd = source.Length - (source.Length % 2);
for (; i < simdEnd; i += 2)
{
var vals = Vector128.Create(source.Slice(i, 2));
var result = AdvSimd.Arm64.FusedMultiplyAdd(interceptVec, vals, slopeVec);
result.CopyTo(output.Slice(i, 2));
}
lastValid = output[simdEnd - 1];
}
// Scalar fallback for remaining elements
// Scalar fallback for remaining elements or when non-finite values exist
for (; i < source.Length; i++)
{
double val = source[i];
@@ -181,4 +233,4 @@ public sealed class Lineartrans : AbstractBase
_p_state = default;
Last = default;
}
}
}
lib/numerics/logtrans/Logtrans.Validation.Tests.cs
+132 -15
View File
@@ -87,27 +87,37 @@ public class LogtransValidationTests
}
[Fact]
public void Logtrans_ProductRule()
public void Logtrans_ZeroInput_UsesLastValid()
{
// ln(a*b) = ln(a) + ln(b)
double a = 2.5;
double b = 3.7;
// Zero input uses last valid value (robustness pattern)
var indicator = new Logtrans();
var time = DateTime.UtcNow;
indicator.Update(new TValue(time, a));
double lnA = indicator.Last.Value;
// First update with valid value
indicator.Update(new TValue(time, Math.E));
double lastValid = indicator.Last.Value; // ln(e) = 1.0
indicator.Reset();
indicator.Update(new TValue(time, b));
double lnB = indicator.Last.Value;
// Zero input - should use last valid
indicator.Update(new TValue(time.AddMinutes(1), 0.0));
indicator.Reset();
indicator.Update(new TValue(time, a * b));
double lnAB = indicator.Last.Value;
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
}
Assert.Equal(lnA + lnB, lnAB, Tolerance);
[Fact]
public void Logtrans_NegativeInput_UsesLastValid()
{
// Negative input uses last valid value (robustness pattern)
var indicator = new Logtrans();
var time = DateTime.UtcNow;
// First update with valid value
indicator.Update(new TValue(time, 2.0));
double lastValid = indicator.Last.Value; // ln(2)
// Negative input - should use last valid
indicator.Update(new TValue(time.AddMinutes(1), -1.0));
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
}
[Fact]
@@ -153,4 +163,111 @@ public class LogtransValidationTests
Assert.Equal(n * lnA, lnAPowN, Tolerance);
}
}
[Fact]
public void Logtrans_VerySmallPositive_ApproachesNegativeInfinity()
{
// ln(ε) → -∞ as ε → 0+
var indicator = new Logtrans();
var time = DateTime.UtcNow;
indicator.Update(new TValue(time, double.Epsilon));
double result = indicator.Last.Value;
Assert.True(double.IsFinite(result));
Assert.True(result < -700); // ln(double.Epsilon) ≈ -744
}
[Fact]
public void Logtrans_VeryLargeValue_Handles()
{
// ln(large) should be finite
var indicator = new Logtrans();
var time = DateTime.UtcNow;
indicator.Update(new TValue(time, 1e300));
double result = indicator.Last.Value;
Assert.True(double.IsFinite(result));
Assert.Equal(Math.Log(1e300), result, Tolerance);
}
[Fact]
public void Logtrans_Span_ZeroInput_UsesLastValid()
{
// Span API: zero input uses last valid value (robustness pattern)
var values = new double[] { 2.0, 0.0, 3.0 };
var output = new double[3];
Logtrans.Calculate(values, output);
Assert.Equal(Math.Log(2.0), output[0], Tolerance); // ln(2)
Assert.Equal(Math.Log(2.0), output[1], Tolerance); // zero -> uses last valid (ln(2))
Assert.Equal(Math.Log(3.0), output[2], Tolerance); // ln(3)
}
[Fact]
public void Logtrans_Span_NegativeInput_UsesLastValid()
{
// Span API: negative input uses last valid value (robustness pattern)
var values = new double[] { 2.0, -5.0, 3.0 };
var output = new double[3];
Logtrans.Calculate(values, output);
Assert.Equal(Math.Log(2.0), output[0], Tolerance); // ln(2)
Assert.Equal(Math.Log(2.0), output[1], Tolerance); // negative -> uses last valid (ln(2))
Assert.Equal(Math.Log(3.0), output[2], Tolerance); // ln(3)
}
[Fact]
public void Logtrans_NaNInput_UsesLastValid()
{
// NaN input uses last valid value (robustness pattern)
var indicator = new Logtrans();
var time = DateTime.UtcNow;
// First update with valid value
indicator.Update(new TValue(time, Math.E));
double lastValid = indicator.Last.Value; // ln(e) = 1.0
// NaN input - should use last valid
indicator.Update(new TValue(time.AddMinutes(1), double.NaN));
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
}
[Fact]
public void Logtrans_PositiveInfinityInput_UsesLastValid()
{
// Positive infinity input uses last valid value (robustness pattern)
var indicator = new Logtrans();
var time = DateTime.UtcNow;
// First update with valid value
indicator.Update(new TValue(time, 10.0));
double lastValid = indicator.Last.Value; // ln(10)
// Positive infinity input - should use last valid
indicator.Update(new TValue(time.AddMinutes(1), double.PositiveInfinity));
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
}
[Fact]
public void Logtrans_NegativeInfinityInput_UsesLastValid()
{
// Negative infinity input uses last valid value (robustness pattern)
var indicator = new Logtrans();
var time = DateTime.UtcNow;
// First update with valid value
indicator.Update(new TValue(time, 5.0));
double lastValid = indicator.Last.Value; // ln(5)
// Negative infinity input - should use last valid
indicator.Update(new TValue(time.AddMinutes(1), double.NegativeInfinity));
Assert.Equal(lastValid, indicator.Last.Value, Tolerance);
}
}
lib/numerics/logtrans/Logtrans.cs
+3 -31
View File
@@ -2,9 +2,6 @@
// Transforms values using natural logarithm (base e)
using System.Runtime.CompilerServices;
using System.Numerics;
using System.Runtime.Intrinsics;
using System.Runtime.Intrinsics.X86;
namespace QuanTAlib;
@@ -102,7 +99,8 @@ public sealed class Logtrans : AbstractBase
}
/// <summary>
/// Calculates natural logarithm over a span of values using SIMD when available.
/// Calculates natural logarithm over a span of values.
/// Note: Math.Log has no SIMD intrinsic; uses scalar path with last-valid substitution.
/// </summary>
public static void Calculate(ReadOnlySpan<double> source, Span<double> output)
{
@@ -112,34 +110,8 @@ public sealed class Logtrans : AbstractBase
throw new ArgumentException("Output length must be >= source length", nameof(output));
double lastValid = 0.0;
int i = 0;
// SIMD path for AVX2 (process 4 doubles at a time)
if (Avx2.IsSupported && source.Length >= Vector256<double>.Count)
{
int vectorLength = source.Length - (source.Length % Vector256<double>.Count);
for (; i < vectorLength; i += Vector256<double>.Count)
{
// Process scalar for proper last-valid handling (Logtrans has no SIMD intrinsic)
for (int j = 0; j < Vector256<double>.Count; j++)
{
double val = source[i + j];
if (double.IsFinite(val) && val > 0)
{
lastValid = Math.Log(val);
output[i + j] = lastValid;
}
else
{
output[i + j] = lastValid;
}
}
}
}
// Scalar fallback for remaining elements
for (; i < source.Length; i++)
for (int i = 0; i < source.Length; i++)
{
double val = source[i];
if (double.IsFinite(val) && val > 0)