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Merge dev into main: v0.8.7 Kahan compensated summation

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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/accbands/AccBands.cs
+30 -25
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@@ -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>