mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-19 19:18:05 +00:00
SIMD Refactor: Merge simd-dev into dev (#55)
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
This commit is contained in:
Miha Kralj
co-authored by
Claude Opus 4.5
aider
Warp
Claude Opus 4.5
aider
Warp
parent
5bcdf8d614
commit
86fe32a682
@@ -0,0 +1,372 @@
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namespace QuanTAlib.Tests;
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public class TValueTests
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{
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[Fact]
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public void Constructor_WithLongTime_SetsPropertiesCorrectly()
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{
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long time = DateTime.UtcNow.Ticks;
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const double value = 123.45;
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var tValue = new TValue(time, value);
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Assert.Equal(time, tValue.Time);
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Assert.Equal(value, tValue.Value);
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}
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[Fact]
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public void Constructor_WithDateTime_SetsPropertiesCorrectly()
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{
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var dateTime = new DateTime(2024, 6, 15, 10, 30, 0, DateTimeKind.Utc);
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double value = 123.45;
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var tValue = new TValue(dateTime, value);
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Assert.Equal(dateTime.Ticks, tValue.Time);
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Assert.Equal(value, tValue.Value);
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}
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[Fact]
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public void AsDateTime_ReturnsCorrectDateTime()
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{
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var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
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var tValue = new TValue(dt.Ticks, 100.0);
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Assert.Equal(dt, tValue.AsDateTime);
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Assert.Equal(DateTimeKind.Utc, tValue.AsDateTime.Kind);
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}
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[Fact]
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public void ToString_FormatsCorrectly()
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{
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var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
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var tValue = new TValue(dt.Ticks, 123.456);
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string result = tValue.ToString();
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Assert.Contains("2023-01-01", result, StringComparison.Ordinal);
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Assert.Contains("12:00:00", result, StringComparison.Ordinal);
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Assert.Contains("123.46", result, StringComparison.Ordinal);
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}
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[Fact]
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public void ExplicitConversion_ToDouble_ReturnsValue()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, 42.0);
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double val = (double)tValue;
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Assert.Equal(42.0, val);
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}
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[Fact]
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public void ImplicitConversion_ToDateTime_ReturnsCorrectDateTime()
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{
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var dateTime = new DateTime(2024, 6, 15, 10, 30, 0, DateTimeKind.Utc);
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var tValue = new TValue(dateTime.Ticks, 100.0);
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DateTime result = tValue;
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Assert.Equal(dateTime, result);
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Assert.Equal(DateTimeKind.Utc, result.Kind);
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}
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[Fact]
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public void Equals_TValue_SameValues_ReturnsTrue()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12345, 100.0);
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Assert.True(tv1.Equals(tv2));
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}
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[Fact]
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public void Equals_TValue_DifferentTime_ReturnsFalse()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12346, 100.0);
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Assert.False(tv1.Equals(tv2));
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}
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[Fact]
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public void Equals_TValue_DifferentValue_ReturnsFalse()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12345, 101.0);
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Assert.False(tv1.Equals(tv2));
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}
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[Fact]
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public void Equals_Object_SameTValue_ReturnsTrue()
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{
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var tv1 = new TValue(12345, 100.0);
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object tv2 = new TValue(12345, 100.0);
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Assert.True(tv1.Equals(tv2));
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}
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[Fact]
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public void Equals_Object_DifferentType_ReturnsFalse()
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{
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var tv = new TValue(12345, 100.0);
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object other = "not a TValue";
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Assert.False(tv.Equals(other));
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}
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[Fact]
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public void Equals_Object_Null_ReturnsFalse()
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{
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var tv = new TValue(12345, 100.0);
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Assert.False(tv.Equals(null));
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}
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[Fact]
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public void GetHashCode_SameValues_ReturnsSameHashCode()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12345, 100.0);
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Assert.Equal(tv1.GetHashCode(), tv2.GetHashCode());
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}
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[Fact]
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public void GetHashCode_DifferentValues_ReturnsDifferentHashCode()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12346, 100.0);
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Assert.NotEqual(tv1.GetHashCode(), tv2.GetHashCode());
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}
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[Fact]
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public void EqualityOperator_SameValues_ReturnsTrue()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12345, 100.0);
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Assert.True(tv1 == tv2);
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}
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[Fact]
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public void EqualityOperator_DifferentValues_ReturnsFalse()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12346, 100.0);
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Assert.False(tv1 == tv2);
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}
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[Fact]
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public void InequalityOperator_SameValues_ReturnsFalse()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12345, 100.0);
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Assert.False(tv1 != tv2);
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}
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[Fact]
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public void InequalityOperator_DifferentValues_ReturnsTrue()
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{
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var tv1 = new TValue(12345, 100.0);
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var tv2 = new TValue(12346, 100.0);
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Assert.True(tv1 != tv2);
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}
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[Fact]
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public void Constructor_WithDateTimeLocal_ConvertsToUtc()
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{
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var localTime = new DateTime(2024, 6, 15, 10, 30, 0, DateTimeKind.Local);
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double value = 123.45;
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var tValue = new TValue(localTime, value);
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// Time should be stored as UTC ticks
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var expectedUtc = localTime.ToUniversalTime();
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Assert.Equal(expectedUtc.Ticks, tValue.Time);
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}
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[Fact]
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public void Constructor_WithDateTimeUnspecified_ConvertsToUtc()
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{
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var unspecifiedTime = new DateTime(2024, 6, 15, 10, 30, 0, DateTimeKind.Unspecified);
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double value = 123.45;
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var tValue = new TValue(unspecifiedTime, value);
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// Unspecified is treated as local and converted to UTC
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var expectedUtc = unspecifiedTime.ToUniversalTime();
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Assert.Equal(expectedUtc.Ticks, tValue.Time);
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}
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[Fact]
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public void Constructor_WithDateTimeUtc_PreservesTicks()
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{
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var utcTime = new DateTime(2024, 6, 15, 10, 30, 0, DateTimeKind.Utc);
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double value = 123.45;
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var tValue = new TValue(utcTime, value);
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Assert.Equal(utcTime.Ticks, tValue.Time);
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}
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[Fact]
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public void Default_TValue_HasZeroTimeAndValue()
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{
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var defaultTValue = default(TValue);
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Assert.Equal(0, defaultTValue.Time);
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Assert.Equal(0.0, defaultTValue.Value);
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}
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[Fact]
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public void Constructor_WithNaN_PreservesNaN()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, double.NaN);
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Assert.True(double.IsNaN(tValue.Value));
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}
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[Fact]
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public void Constructor_WithPositiveInfinity_PreservesInfinity()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, double.PositiveInfinity);
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Assert.True(double.IsPositiveInfinity(tValue.Value));
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}
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[Fact]
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public void Constructor_WithNegativeInfinity_PreservesInfinity()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, double.NegativeInfinity);
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Assert.True(double.IsNegativeInfinity(tValue.Value));
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}
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[Fact]
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public void Constructor_WithMaxValue_PreservesMaxValue()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, double.MaxValue);
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Assert.Equal(double.MaxValue, tValue.Value);
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}
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[Fact]
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public void Constructor_WithMinValue_PreservesMinValue()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, double.MinValue);
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Assert.Equal(double.MinValue, tValue.Value);
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}
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[Fact]
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public void Constructor_WithEpsilon_PreservesEpsilon()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, double.Epsilon);
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Assert.Equal(double.Epsilon, tValue.Value);
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}
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[Fact]
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public void ExplicitConversion_ToDouble_WithNaN_ReturnsNaN()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, double.NaN);
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double val = (double)tValue;
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Assert.True(double.IsNaN(val));
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}
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[Fact]
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public void ToString_WithNaN_FormatsCorrectly()
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{
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var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
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var tValue = new TValue(dt.Ticks, double.NaN);
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string result = tValue.ToString();
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Assert.Contains("NaN", result, StringComparison.Ordinal);
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}
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[Fact]
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public void ToString_WithInfinity_FormatsCorrectly()
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{
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var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
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var tValue = new TValue(dt.Ticks, double.PositiveInfinity);
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string result = tValue.ToString();
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Assert.Contains("∞", result, StringComparison.Ordinal);
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}
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[Fact]
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public void ToString_WithNegativeValue_FormatsCorrectly()
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{
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var dt = new DateTime(2023, 1, 1, 12, 0, 0, DateTimeKind.Utc);
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var tValue = new TValue(dt.Ticks, -123.456);
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string result = tValue.ToString();
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Assert.Contains("-123.46", result, StringComparison.Ordinal);
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}
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[Fact]
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public void AsDateTime_ReturnsUtcKind()
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{
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var tValue = new TValue(DateTime.UtcNow.Ticks, 100.0);
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Assert.Equal(DateTimeKind.Utc, tValue.AsDateTime.Kind);
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}
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[Fact]
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public void Equals_WithNaN_BothNaN_ReturnsFalse()
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{
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// NaN != NaN in IEEE 754
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var tv1 = new TValue(12345, double.NaN);
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var tv2 = new TValue(12345, double.NaN);
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// Record struct equality compares fields directly
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// double.NaN.Equals(double.NaN) returns true in .NET
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Assert.True(tv1.Equals(tv2));
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}
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[Fact]
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public void GetHashCode_WithNaN_DoesNotThrow()
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{
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var tv = new TValue(12345, double.NaN);
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var hash = tv.GetHashCode();
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Assert.True(hash != 0 || hash == 0); // Just verify it doesn't throw
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}
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[Fact]
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public void Constructor_WithZeroTime_Allowed()
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{
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var tValue = new TValue(0, 100.0);
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Assert.Equal(0, tValue.Time);
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Assert.Equal(100.0, tValue.Value);
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}
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[Fact]
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public void Constructor_WithNegativeTime_Allowed()
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{
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var tValue = new TValue(-12345, 100.0);
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Assert.Equal(-12345, tValue.Time);
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}
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[Fact]
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public void Constructor_WithMaxLongTime_Allowed()
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{
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var tValue = new TValue(long.MaxValue, 100.0);
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Assert.Equal(long.MaxValue, tValue.Time);
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}
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}
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@@ -0,0 +1,99 @@
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# TValue: Time-Value Pair
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## What It Does
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`TValue` is the fundamental atomic unit of data in QuanTAlib. It represents a single point in a time series, consisting of a timestamp and a double-precision floating-point value. It serves as the standard input and output format for all indicators and data streams.
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## Design Philosophy
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In high-frequency trading and quantitative analysis, memory allocation is a critical bottleneck. `TValue` is designed as a **lightweight, immutable struct** to ensure:
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* **Zero Heap Allocation**: Being a struct, it lives on the stack or embedded in arrays, avoiding Garbage Collector (GC) pressure.
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* **Thread Safety**: Immutability guarantees safe concurrent access.
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* **Minimal Footprint**: Occupies exactly 16 bytes (8 bytes for `long` Time + 8 bytes for `double` Value), fitting efficiently in CPU cache lines.
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## How It Works
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`TValue` is implemented as a `readonly record struct`. It encapsulates:
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* **Time**: A `long` representing ticks (UTC).
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* **Value**: A `double` representing the data magnitude.
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It supports implicit conversions to `double` (extracting the value) and `DateTime` (extracting the time), making it syntactically fluid to use in calculations.
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## Structure
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### Definition
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```csharp
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public readonly record struct TValue(long Time, double Value);
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```
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### Properties
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| Property | Type | Description |
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| ------ | ------ | ------ |
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| `Time` | `long` | Timestamp in ticks (UTC). |
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| `Value` | `double` | The data value. |
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| `AsDateTime` | `DateTime` | Helper to view `Time` as a `DateTime` object. |
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### Constructors
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| Constructor | Description |
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| ------ | ------ |
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| `new TValue(long time, double value)` | Creates a TValue from raw ticks. |
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| `new TValue(DateTime time, double value)` | Creates a TValue from a DateTime object. |
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## Usage
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### Creating TValues
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```csharp
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// From DateTime
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var t1 = new TValue(DateTime.UtcNow, 100.5);
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// From Ticks
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var t2 = new TValue(DateTime.UtcNow.Ticks, 100.5);
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```
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### Implicit Conversions
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```csharp
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TValue tv = new TValue(DateTime.UtcNow, 42.0);
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// Implicitly converts to double
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double val = tv; // 42.0
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// Implicitly converts to DateTime
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DateTime dt = tv; // DateTime object
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```
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### String Representation
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```csharp
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Console.WriteLine(tv); // Output: "[2024-01-01 12:00:00, 42.00]"
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```
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## Performance Profile
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* **Memory**: 16 bytes per instance.
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* **Allocation**: 0 bytes (Stack allocated).
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* **Copying**: Cheap (fits in two 64-bit registers).
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## Integration
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`TValue` is the primary currency of the library:
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* **Indicators**: `Update(TValue input)` accepts it.
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* **Series**: `TSeries` stores collections of it.
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* **Events**: `ITValuePublisher` broadcasts it.
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## Architecture Notes
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* **SkipLocalsInit**: The struct is marked with `[SkipLocalsInit]` to suppress zero-initialization of locals, squeezing out nanoseconds in tight loops.
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* **AggressiveInlining**: All accessors and operators are inlined to ensure zero abstraction penalty.
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## References
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* [Structure of Arrays (SoA)](https://en.wikipedia.org/wiki/AOS_and_SOA)
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* [C# Struct Performance](https://learn.microsoft.com/en-us/dotnet/csharp/language-reference/builtin-types/struct)
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@@ -0,0 +1,40 @@
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// A lightweight struct representing a time-value pair.
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/// Pure data type: 16 bytes (long + double).
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/// </summary>
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[SkipLocalsInit]
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[StructLayout(LayoutKind.Auto)]
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public readonly record struct TValue(long Time, double Value)
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{
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public DateTime AsDateTime => new(Time, DateTimeKind.Utc);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue(DateTime time, double value)
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: this(time.Kind == DateTimeKind.Utc ? time.Ticks : time.ToUniversalTime().Ticks, value)
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{
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static explicit operator double(TValue tv) => tv.Value;
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static implicit operator DateTime(TValue tv) => new(tv.Time, DateTimeKind.Utc);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override string ToString()
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{
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string valueStr = Value switch
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{
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double.PositiveInfinity => ((char)0x221E).ToString(),
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||||
double.NegativeInfinity => "-" + (char)0x221E,
|
||||
_ when double.IsNaN(Value) => "NaN",
|
||||
_ => Value.ToString("F2"),
|
||||
};
|
||||
return $"[{AsDateTime:yyyy-MM-dd HH:mm:ss}, {valueStr}]";
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user