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Merge dev into main: v0.8.7 Kahan compensated summation

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This commit is contained in:
Miha Kralj
2026-03-13 22:01:52 -07:00
parent 86a1db286c 67ad6f0cba
commit 9697facfb4
79 changed files with 2923 additions and 2495 deletions
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lib/channels/aberr/Aberr.cs
+21 -14
View File
@@ -41,14 +41,13 @@ public sealed class Aberr : ITValuePublisher, IDisposable
private ITValuePublisher? _source;
private bool _disposed;
private const int ResyncInterval = 1000;
[StructLayout(LayoutKind.Auto)]
private record struct State(
double SumSource,
double SumDeviation,
double LastValidValue,
int TickCount
double SumSourceComp,
double SumDeviationComp,
double LastValidValue
);
private State _state;
private State _pState;
@@ -164,19 +163,20 @@ public sealed class Aberr : ITValuePublisher, IDisposable
double removedSource = _sourceBuffer.Count == _sourceBuffer.Capacity ? _sourceBuffer.Oldest : 0.0;
double removedDeviation = _deviationBuffer.Count == _deviationBuffer.Capacity ? _deviationBuffer.Oldest : 0.0;
_state.SumSource = _state.SumSource - removedSource + value;
_state.SumDeviation = _state.SumDeviation - removedDeviation + deviation;
// Kahan compensated summation for SumSource
double srcDelta = value - removedSource - _state.SumSourceComp;
double srcNewSum = _state.SumSource + srcDelta;
_state.SumSourceComp = (srcNewSum - _state.SumSource) - srcDelta;
_state.SumSource = srcNewSum;
// Kahan compensated summation for SumDeviation
double devDelta = deviation - removedDeviation - _state.SumDeviationComp;
double devNewSum = _state.SumDeviation + devDelta;
_state.SumDeviationComp = (devNewSum - _state.SumDeviation) - devDelta;
_state.SumDeviation = devNewSum;
_sourceBuffer.Add(value);
_deviationBuffer.Add(deviation);
_state.TickCount++;
if (_sourceBuffer.IsFull && _state.TickCount >= ResyncInterval)
{
_state.TickCount = 0;
_state.SumSource = _sourceBuffer.RecalculateSum();
_state.SumDeviation = _deviationBuffer.RecalculateSum();
}
}
/// <summary>
@@ -218,6 +218,8 @@ public sealed class Aberr : ITValuePublisher, IDisposable
{
SumSource = currentSum,
SumDeviation = _deviationBuffer.Sum,
SumSourceComp = 0,
SumDeviationComp = 0,
};
}
@@ -450,6 +452,11 @@ public sealed class Aberr : ITValuePublisher, IDisposable
}
#pragma warning restore MA0077
/// <summary>
/// Resync interval for batch path only (streaming uses Kahan compensation).
/// </summary>
private const int ResyncInterval = 1000;
/// <summary>
/// Internal state for scalar calculation.
/// </summary>
lib/channels/accbands/AccBands.cs
+30 -25
View File
@@ -39,17 +39,17 @@ public sealed class AccBands : ITValuePublisher, IDisposable
private TBarSeries? _source;
private bool _disposed;
private const int ResyncInterval = 1000;
[StructLayout(LayoutKind.Auto)]
private record struct State(
double SumAdjHigh,
double SumAdjLow,
double SumClose,
double SumAdjHighComp,
double SumAdjLowComp,
double SumCloseComp,
double LastValidHigh,
double LastValidLow,
double LastValidClose,
int TickCount
double LastValidClose
);
private State _state;
private State _p_state;
@@ -208,22 +208,27 @@ public sealed class AccBands : ITValuePublisher, IDisposable
double removedAdjLow = _adjLowBuffer.Count == _adjLowBuffer.Capacity ? _adjLowBuffer.Oldest : 0.0;
double removedClose = _closeBuffer.Count == _closeBuffer.Capacity ? _closeBuffer.Oldest : 0.0;
_state.SumAdjHigh = _state.SumAdjHigh - removedAdjHigh + adjHigh;
_state.SumAdjLow = _state.SumAdjLow - removedAdjLow + adjLow;
_state.SumClose = _state.SumClose - removedClose + close;
// Kahan compensated summation for SumAdjHigh
double ahDelta = adjHigh - removedAdjHigh - _state.SumAdjHighComp;
double ahNewSum = _state.SumAdjHigh + ahDelta;
_state.SumAdjHighComp = (ahNewSum - _state.SumAdjHigh) - ahDelta;
_state.SumAdjHigh = ahNewSum;
// Kahan compensated summation for SumAdjLow
double alDelta = adjLow - removedAdjLow - _state.SumAdjLowComp;
double alNewSum = _state.SumAdjLow + alDelta;
_state.SumAdjLowComp = (alNewSum - _state.SumAdjLow) - alDelta;
_state.SumAdjLow = alNewSum;
// Kahan compensated summation for SumClose
double clDelta = close - removedClose - _state.SumCloseComp;
double clNewSum = _state.SumClose + clDelta;
_state.SumCloseComp = (clNewSum - _state.SumClose) - clDelta;
_state.SumClose = clNewSum;
_adjHighBuffer.Add(adjHigh);
_adjLowBuffer.Add(adjLow);
_closeBuffer.Add(close);
_state.TickCount++;
if (_closeBuffer.IsFull && _state.TickCount >= ResyncInterval)
{
_state.TickCount = 0;
_state.SumAdjHigh = _adjHighBuffer.RecalculateSum();
_state.SumAdjLow = _adjLowBuffer.RecalculateSum();
_state.SumClose = _closeBuffer.RecalculateSum();
}
}
/// <summary>
@@ -264,6 +269,9 @@ public sealed class AccBands : ITValuePublisher, IDisposable
SumAdjHigh = _adjHighBuffer.Sum,
SumAdjLow = _adjLowBuffer.Sum,
SumClose = _closeBuffer.Sum,
SumAdjHighComp = 0,
SumAdjLowComp = 0,
SumCloseComp = 0,
};
}
@@ -448,15 +456,7 @@ public sealed class AccBands : ITValuePublisher, IDisposable
_adjHighBuffer.Clear();
_adjLowBuffer.Clear();
_closeBuffer.Clear();
_state = new State(
SumAdjHigh: 0,
SumAdjLow: 0,
SumClose: 0,
LastValidHigh: double.NaN,
LastValidLow: double.NaN,
LastValidClose: double.NaN,
TickCount: 0
);
_state = default;
_p_state = _state;
Last = default;
Upper = default;
@@ -553,6 +553,11 @@ public sealed class AccBands : ITValuePublisher, IDisposable
}
#pragma warning restore MA0077
/// <summary>
/// Resync interval for batch path only (streaming uses Kahan compensation).
/// </summary>
private const int ResyncInterval = 1000;
/// <summary>
/// Internal state for scalar calculation.
/// </summary>
lib/channels/atrbands/AtrBands.cs
+10 -13
View File
@@ -39,24 +39,23 @@ public sealed class AtrBands : ITValuePublisher, IDisposable
private bool _disposed;
private const double ConvergenceThreshold = 1e-10;
private const int ResyncInterval = 1000;
[StructLayout(LayoutKind.Auto)]
private record struct State(
double SumSource,
double SumSourceComp,
double RawRma,
double E,
double PrevClose,
double LastValidSource,
double LastValidHigh,
double LastValidLow,
double LastValidClose,
int TickCount
double LastValidClose
)
{
public static State New() => new()
{
SumSource = 0,
SumSourceComp = 0,
RawRma = 0,
E = 1.0,
PrevClose = double.NaN,
@@ -64,7 +63,6 @@ public sealed class AtrBands : ITValuePublisher, IDisposable
LastValidHigh = double.NaN,
LastValidLow = double.NaN,
LastValidClose = double.NaN,
TickCount = 0,
};
}
@@ -266,20 +264,19 @@ public sealed class AtrBands : ITValuePublisher, IDisposable
if (isNew)
{
double removed = _sourceBuffer.Count == _sourceBuffer.Capacity ? _sourceBuffer.Oldest : 0.0;
_state.SumSource = _state.SumSource - removed + source;
_sourceBuffer.Add(source);
_state.TickCount++;
if (_sourceBuffer.IsFull && _state.TickCount >= ResyncInterval)
{
_state.TickCount = 0;
_state.SumSource = _sourceBuffer.RecalculateSum();
}
// Kahan compensated summation for SumSource
double delta = source - removed - _state.SumSourceComp;
double newSum = _state.SumSource + delta;
_state.SumSourceComp = (newSum - _state.SumSource) - delta;
_state.SumSource = newSum;
_sourceBuffer.Add(source);
}
else
{
_sourceBuffer.UpdateNewest(source);
_state.SumSource = _sourceBuffer.Sum;
_state.SumSourceComp = 0;
}
// Calculate ATR using RMA with warmup compensation