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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/atrbands/AtrBands.cs
+10 -13
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@@ -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