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https://github.com/mihakralj/QuanTAlib.git
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updates from mac
This commit is contained in:
Miha Kralj
+146
-146
@@ -1,146 +1,146 @@
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using System.Collections;
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// A high-performance time series implementation using Structure of Arrays (SoA) layout.
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/// Stores Time (long) and Value (double) in separate contiguous arrays for SIMD efficiency.
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/// Supports "New Bar" vs "Update Last" streaming semantics.
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/// </summary>
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public class TSeries : IReadOnlyList<TValue>
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{
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// Internal storage: SoA layout
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// We use List<T> for dynamic sizing but access internal arrays via CollectionsMarshal for speed
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protected readonly List<long> _t;
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protected readonly List<double> _v;
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public string Name { get; set; } = "Data";
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// Event optimization: Use Action<TValue> to avoid EventArgs allocation
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// Note: Events are generally discouraged in the hot path of this high-perf design,
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// but kept for compatibility/chaining.
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public event Action<TValue>? Pub;
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public TSeries()
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{
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_t = new List<long>();
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_v = new List<double>();
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}
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/// <summary>
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/// Constructor with capacity hint to avoid List growth overhead.
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/// </summary>
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public TSeries(int capacity)
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{
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_t = new List<long>(capacity);
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_v = new List<double>(capacity);
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}
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/// <summary>
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/// Constructor for wrapping existing lists (e.g. from TBarSeries).
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/// </summary>
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public TSeries(List<long> time, List<double> values)
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{
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_t = time;
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_v = values;
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}
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public int Count
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _v.Count;
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}
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public TValue this[int index]
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => new(_t[index], _v[index]);
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}
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public TValue Last
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _v.Count > 0 ? new(_t[^1], _v[^1]) : default;
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}
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public double LastValue
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _v.Count > 0 ? _v[^1] : double.NaN;
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}
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public long LastTime
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _t.Count > 0 ? _t[^1] : 0;
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}
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/// <summary>
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/// Direct access to the underlying Value array as a Span for SIMD operations.
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/// </summary>
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public ReadOnlySpan<double> Values
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => CollectionsMarshal.AsSpan(_v);
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}
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/// <summary>
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/// Direct access to the underlying Time array as a Span.
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/// </summary>
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public ReadOnlySpan<long> Times
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => CollectionsMarshal.AsSpan(_t);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public virtual void Add(TValue value, bool isNew)
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{
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if (isNew || _v.Count == 0)
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{
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_t.Add(value.Time);
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_v.Add(value.Value);
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}
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else
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{
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// Update last bar
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int lastIdx = _v.Count - 1;
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_t[lastIdx] = value.Time;
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_v[lastIdx] = value.Value;
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}
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Pub?.Invoke(value);
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}
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// Overload for backward compatibility (assumes isNew=true)
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public virtual void Add(TValue value) => Add(value, true);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Add(long time, double value, bool isNew = true) => Add(new TValue(time, value), isNew);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Add(DateTime time, double value, bool isNew = true) => Add(new TValue(time.Ticks, value), isNew);
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public void Add(IEnumerable<double> values)
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{
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long t = DateTime.UtcNow.Ticks;
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foreach (var v in values)
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{
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Add(new TValue(t, v), isNew: true);
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t += TimeSpan.TicksPerMinute; // Dummy time increment
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}
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}
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// IEnumerable implementation
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public IEnumerator<TValue> GetEnumerator()
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{
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for (int i = 0; i < _v.Count; i++)
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{
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yield return new TValue(_t[i], _v[i]);
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}
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}
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IEnumerator IEnumerable.GetEnumerator() => GetEnumerator();
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}
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using System.Collections;
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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namespace QuanTAlib;
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/// <summary>
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/// A high-performance time series implementation using Structure of Arrays (SoA) layout.
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/// Stores Time (long) and Value (double) in separate contiguous arrays for SIMD efficiency.
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/// Supports "New Bar" vs "Update Last" streaming semantics.
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/// </summary>
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public class TSeries : IReadOnlyList<TValue>
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{
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// Internal storage: SoA layout
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// We use List<T> for dynamic sizing but access internal arrays via CollectionsMarshal for speed
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protected readonly List<long> _t;
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protected readonly List<double> _v;
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public string Name { get; set; } = "Data";
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// Event optimization: Use Action<TValue> to avoid EventArgs allocation
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// Note: Events are generally discouraged in the hot path of this high-perf design,
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// but kept for compatibility/chaining.
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public event Action<TValue>? Pub;
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public TSeries()
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{
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_t = new List<long>();
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_v = new List<double>();
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}
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/// <summary>
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/// Constructor with capacity hint to avoid List growth overhead.
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/// </summary>
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public TSeries(int capacity)
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{
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_t = new List<long>(capacity);
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_v = new List<double>(capacity);
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}
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/// <summary>
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/// Constructor for wrapping existing lists (e.g. from TBarSeries).
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/// </summary>
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public TSeries(List<long> time, List<double> values)
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{
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_t = time;
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_v = values;
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}
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public int Count
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _v.Count;
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}
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public TValue this[int index]
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => new(_t[index], _v[index]);
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}
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public TValue Last
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _v.Count > 0 ? new(_t[^1], _v[^1]) : default;
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}
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public double LastValue
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _v.Count > 0 ? _v[^1] : double.NaN;
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}
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public long LastTime
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => _t.Count > 0 ? _t[^1] : 0;
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}
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/// <summary>
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/// Direct access to the underlying Value array as a Span for SIMD operations.
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/// </summary>
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public ReadOnlySpan<double> Values
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => CollectionsMarshal.AsSpan(_v);
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}
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/// <summary>
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/// Direct access to the underlying Time array as a Span.
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/// </summary>
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public ReadOnlySpan<long> Times
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{
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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get => CollectionsMarshal.AsSpan(_t);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public virtual void Add(TValue value, bool isNew)
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{
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if (isNew || _v.Count == 0)
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{
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_t.Add(value.Time);
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_v.Add(value.Value);
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}
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else
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{
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// Update last bar
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int lastIdx = _v.Count - 1;
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_t[lastIdx] = value.Time;
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_v[lastIdx] = value.Value;
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}
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Pub?.Invoke(value);
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}
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// Overload for backward compatibility (assumes isNew=true)
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public virtual void Add(TValue value) => Add(value, true);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Add(long time, double value, bool isNew = true) => Add(new TValue(time, value), isNew);
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public void Add(DateTime time, double value, bool isNew = true) => Add(new TValue(time.Ticks, value), isNew);
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public void Add(IEnumerable<double> values)
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{
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long t = DateTime.UtcNow.Ticks;
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foreach (var v in values)
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{
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Add(new TValue(t, v), isNew: true);
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t += TimeSpan.TicksPerMinute; // Dummy time increment
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}
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}
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// IEnumerable implementation
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public IEnumerator<TValue> GetEnumerator()
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{
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for (int i = 0; i < _v.Count; i++)
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{
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yield return new TValue(_t[i], _v[i]);
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}
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}
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IEnumerator IEnumerable.GetEnumerator() => GetEnumerator();
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}
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