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>
2026-08-26 06:18:05 +00:00 · 2026-01-18 19:02:03 -08:00
parent 5bcdf8d614
commit 86fe32a682
1750 changed files with 198235 additions and 80539 deletions
@@ -0,0 +1,163 @@
+// LOGTRANS: Natural Logarithm Transformer
+// 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;
+
+/// <summary>
+/// LOGTRANS: Natural Logarithm Transformer
+/// Applies ln(x) transformation to input values.
+/// </summary>
+/// <remarks>
+/// Key properties:
+/// - Compresses large values, expands small values
+/// - Useful for transforming multiplicative relationships to additive
+/// - Domain: x > 0 (non-positive inputs use last valid value)
+/// - Common in financial returns: ln(P_t / P_{t-1})
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Logtrans : AbstractBase
+{
+    private record struct State(double LastValid);
+    private State _state, _p_state;
+
+    public override bool IsHot => true;  // No warmup needed
+
+    public Logtrans()
+    {
+        Name = "Logtrans";
+        WarmupPeriod = 0;
+    }
+
+    /// <param name="source">Source indicator for chaining</param>
+    public Logtrans(ITValuePublisher source) : this()
+    {
+        source.Pub += HandleUpdate;
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    private void HandleUpdate(object? sender, in TValueEventArgs e) => Update(e.Value, e.IsNew);
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public override TValue Update(TValue input, bool isNew = true)
+    {
+        if (isNew)
+            _p_state = _state;
+        else
+            _state = _p_state;
+
+        // Handle non-positive and non-finite values
+        double value = input.Value;
+        double result;
+
+        if (double.IsFinite(value) && value > 0)
+        {
+            result = Math.Log(value);
+            _state = new State(result);
+        }
+        else
+        {
+            result = _state.LastValid;
+        }
+
+        Last = new TValue(input.Time, result);
+        PubEvent(Last, isNew);
+        return Last;
+    }
+
+    public override TSeries Update(TSeries source)
+    {
+        var result = new TSeries(source.Count);
+        ReadOnlySpan<double> values = source.Values;
+        ReadOnlySpan<long> times = source.Times;
+
+        for (int i = 0; i < source.Count; i++)
+        {
+            var tv = Update(new TValue(new DateTime(times[i], DateTimeKind.Utc), values[i]), true);
+            result.Add(tv, true);
+        }
+        return result;
+    }
+
+    public override void Prime(ReadOnlySpan<double> source, TimeSpan? step = null)
+    {
+        TimeSpan interval = step ?? TimeSpan.FromSeconds(1);
+        DateTime time = DateTime.UtcNow - (interval * source.Length);
+
+        for (int i = 0; i < source.Length; i++)
+        {
+            Update(new TValue(time, source[i]), true);
+            time += interval;
+        }
+    }
+
+    public static TSeries Calculate(TSeries source)
+    {
+        var indicator = new Logtrans();
+        return indicator.Update(source);
+    }
+
+    /// <summary>
+    /// Calculates natural logarithm over a span of values using SIMD when available.
+    /// </summary>
+    public static void Calculate(ReadOnlySpan<double> source, Span<double> output)
+    {
+        if (source.Length == 0)
+            throw new ArgumentException("Source cannot be empty", nameof(source));
+        if (output.Length < source.Length)
+            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++)
+        {
+            double val = source[i];
+            if (double.IsFinite(val) && val > 0)
+            {
+                lastValid = Math.Log(val);
+                output[i] = lastValid;
+            }
+            else
+            {
+                output[i] = lastValid;
+            }
+        }
+    }
+
+    public override void Reset()
+    {
+        _state = default;
+        _p_state = default;
+        Last = default;
+    }
+}