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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/volume/evwma/Evwma.cs
+17 -71
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@@ -25,17 +25,11 @@ namespace QuanTAlib;
public sealed class Evwma : ITValuePublisher
{
[StructLayout(LayoutKind.Auto)]
private record struct State(double SumVol, double Result, int Index, int Head, int Count, int SyncCounter)
private record struct State(double SumVol, double SumVolComp, double Result, int Index, int Head, int Count)
{
public static State New() => new() { SumVol = 0, Result = double.NaN, Index = 0, Head = 0, Count = 0, SyncCounter = 0 };
public static State New() => new() { SumVol = 0, SumVolComp = 0, Result = double.NaN, Index = 0, Head = 0, Count = 0 };
}
/// <summary>
/// Resync interval to limit floating-point drift in running volume sum.
/// Full recalculation every N bars.
/// </summary>
private const int ResyncInterval = 1000;
private readonly int _period;
private readonly double[] _volBuffer;
private State _state;
@@ -118,25 +112,6 @@ public sealed class Evwma : ITValuePublisher
return lastValid;
}
/// <summary>
/// Recalculates running volume sum from buffer to eliminate accumulated floating-point drift.
/// </summary>
[MethodImpl(MethodImplOptions.AggressiveInlining)]
private void ResyncRunningTotals(ref State s)
{
double sumVol = 0;
for (int i = 0; i < _period; i++)
{
double v = _volBuffer[i];
if (v > 0)
{
sumVol += v;
}
}
s.SumVol = sumVol;
}
[MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
public TValue Update(TBar input, bool isNew = true)
@@ -203,6 +178,8 @@ public sealed class Evwma : ITValuePublisher
_lastValidVolume = _p_lastValidVolume;
// Restore buffer value at head position
_volBuffer[s.Head] = _p_bufferVol;
// Reset Kahan compensation on re-entry
s.SumVolComp = 0;
}
// Get valid values
@@ -210,16 +187,13 @@ public sealed class Evwma : ITValuePublisher
double currentVol = GetValidValue(volume, ref _lastValidVolume);
currentVol = Math.Max(0.0, currentVol);
// Remove oldest volume from circular buffer
// Kahan-compensated delta update for SumVol
double oldVol = _volBuffer[s.Head];
if (s.Count >= _period)
{
s.SumVol -= oldVol;
}
// Add current volume to running sum
s.SumVol += currentVol;
double delta = currentVol - (s.Count >= _period ? oldVol : 0);
double y = delta - s.SumVolComp;
double t = s.SumVol + y;
s.SumVolComp = (t - s.SumVol) - y;
s.SumVol = t;
// Store in circular buffer
_volBuffer[s.Head] = currentVol;
@@ -234,14 +208,6 @@ public sealed class Evwma : ITValuePublisher
{
s.Count++;
}
// Periodic resync to limit floating-point drift
s.SyncCounter++;
if (s.SyncCounter >= ResyncInterval && s.Count >= _period)
{
s.SyncCounter = 0;
ResyncRunningTotals(ref s);
}
}
// EVWMA calculation
@@ -384,6 +350,7 @@ public sealed class Evwma : ITValuePublisher
volBuffer.Clear();
double sumVol = 0;
double sumVolComp = 0;
double result = double.NaN;
double lastValidPrice = 0;
double lastValidVolume = 0;
@@ -408,8 +375,6 @@ public sealed class Evwma : ITValuePublisher
}
}
int syncCounter = 0;
for (int i = 0; i < len; i++)
{
// Get valid values with NaN substitution
@@ -426,16 +391,13 @@ public sealed class Evwma : ITValuePublisher
lastValidVolume = volume[i];
}
// Remove oldest volume from circular buffer
// Kahan-compensated delta update for SumVol
double oldVol = volBuffer[head];
if (count >= period)
{
sumVol -= oldVol;
}
// Add current volume to running sum
sumVol += currentVol;
double delta = currentVol - (count >= period ? oldVol : 0);
double y = delta - sumVolComp;
double t = sumVol + y;
sumVolComp = (t - sumVol) - y;
sumVol = t;
// Store in circular buffer
volBuffer[head] = currentVol;
@@ -448,22 +410,6 @@ public sealed class Evwma : ITValuePublisher
count++;
}
// Periodic resync to limit floating-point drift
syncCounter++;
if (syncCounter >= ResyncInterval && count >= period)
{
syncCounter = 0;
sumVol = 0;
for (int j = 0; j < period; j++)
{
double vj = volBuffer[j];
if (vj > 0)
{
sumVol += vj;
}
}
}
// EVWMA calculation
if (double.IsNaN(result))
{