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Enhance SIMD support in moving average implementations; add AVX512 and ARM64 optimizations for HMA, SMA, and WMA

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This commit is contained in:
Miha Kralj
2025-12-10 21:12:14 -05:00
parent 053234045f
commit cfc54bf1f7
5 changed files with 476 additions and 78 deletions
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lib/trends/sma/Sma.cs
+160 -5
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@@ -3,6 +3,7 @@ using System.Numerics;
using System.Runtime.CompilerServices;
using System.Runtime.InteropServices;
using System.Runtime.Intrinsics;
using System.Runtime.Intrinsics.Arm;
using System.Runtime.Intrinsics.X86;
namespace QuanTAlib;
@@ -223,12 +224,27 @@ public sealed class Sma : ITValuePublisher
if (len == 0) return;
// Try SIMD path for large, clean datasets
// Requirements: AVX2 support, large enough dataset, no NaN values
// Requirements: SIMD support, large enough dataset, no NaN values
const int SimdThreshold = 256;
if (Avx2.IsSupported && len >= SimdThreshold && !source.ContainsNonFinite())
if (len >= SimdThreshold && !source.ContainsNonFinite())
{
CalculateSimdCore(source, output, period);
return;
if (Avx512F.IsSupported)
{
CalculateAvx512Core(source, output, period);
return;
}
if (Avx2.IsSupported)
{
CalculateAvx2Core(source, output, period);
return;
}
if (AdvSimd.Arm64.IsSupported)
{
CalculateNeonCore(source, output, period);
return;
}
}
// Scalar path with NaN handling
@@ -297,7 +313,79 @@ public sealed class Sma : ITValuePublisher
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
private static void CalculateAvx512Core(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 8;
ref double srcRef = ref MemoryMarshal.GetReference(source);
ref double outRef = ref MemoryMarshal.GetReference(output);
double invPeriod = 1.0 / period;
int warmupEnd = Math.Min(period, len);
double sum = 0;
for (int i = 0; i < warmupEnd; i++)
{
sum += Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum / (i + 1);
}
if (len <= period)
return;
var vInvPeriod = Vector512.Create(invPeriod);
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
int tickCount = 0;
for (int i = period; i < simdEnd; i += VectorWidth)
{
var vNew = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, i));
var vOld = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - period));
var vDelta = Avx512F.Subtract(vNew, vOld);
// Prefix sum of Delta
var vShift1 = Vector512.Create(0.0, vDelta.GetElement(0), vDelta.GetElement(1), vDelta.GetElement(2), vDelta.GetElement(3), vDelta.GetElement(4), vDelta.GetElement(5), vDelta.GetElement(6));
var vP1 = Avx512F.Add(vDelta, vShift1);
var vShift2 = Vector512.Create(0.0, 0.0, vP1.GetElement(0), vP1.GetElement(1), vP1.GetElement(2), vP1.GetElement(3), vP1.GetElement(4), vP1.GetElement(5));
var vP2 = Avx512F.Add(vP1, vShift2);
var vShift4 = Vector512.Create(0.0, 0.0, 0.0, 0.0, vP2.GetElement(0), vP2.GetElement(1), vP2.GetElement(2), vP2.GetElement(3));
var vP4 = Avx512F.Add(vP2, vShift4);
var vSumPrev = Vector512.Create(sum);
var vSums = Avx512F.Add(vSumPrev, vP4);
var vResult = Avx512F.Multiply(vSums, vInvPeriod);
Vector512.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
sum = vSums.GetElement(7);
tickCount += VectorWidth;
if (tickCount >= ResyncInterval)
{
tickCount = 0;
int lastIdx = i + VectorWidth - 1;
double recalcSum = 0;
for (int k = 0; k < period; k++)
{
recalcSum += Unsafe.Add(ref srcRef, lastIdx - k);
}
sum = recalcSum;
}
}
for (int i = simdEnd; i < len; i++)
{
sum = sum - Unsafe.Add(ref srcRef, i - period) + Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum * invPeriod;
}
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateAvx2Core(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 4;
@@ -367,6 +455,73 @@ public sealed class Sma : ITValuePublisher
}
}
[MethodImpl(MethodImplOptions.AggressiveOptimization)]
private static void CalculateNeonCore(ReadOnlySpan<double> source, Span<double> output, int period)
{
int len = source.Length;
const int VectorWidth = 2;
ref double srcRef = ref MemoryMarshal.GetReference(source);
ref double outRef = ref MemoryMarshal.GetReference(output);
double invPeriod = 1.0 / period;
int warmupEnd = Math.Min(period, len);
double sum = 0;
for (int i = 0; i < warmupEnd; i++)
{
sum += Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum / (i + 1);
}
if (len <= period)
return;
var vInvPeriod = Vector128.Create(invPeriod);
int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
int tickCount = 0;
for (int i = period; i < simdEnd; i += VectorWidth)
{
var vNew = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, i));
var vOld = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - period));
var vDelta = AdvSimd.Arm64.Subtract(vNew, vOld);
// Prefix sum of Delta: [d0, d0+d1]
double d0 = vDelta.GetElement(0);
double d1 = vDelta.GetElement(1);
double ps0 = sum + d0;
double ps1 = ps0 + d1;
var vSums = Vector128.Create(ps0, ps1);
var vResult = AdvSimd.Arm64.Multiply(vSums, vInvPeriod);
Vector128.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, i));
sum = ps1;
tickCount += VectorWidth;
if (tickCount >= ResyncInterval)
{
tickCount = 0;
int lastIdx = i + VectorWidth - 1;
double recalcSum = 0;
for (int k = 0; k < period; k++)
{
recalcSum += Unsafe.Add(ref srcRef, lastIdx - k);
}
sum = recalcSum;
}
}
for (int i = simdEnd; i < len; i++)
{
sum = sum - Unsafe.Add(ref srcRef, i - period) + Unsafe.Add(ref srcRef, i);
Unsafe.Add(ref outRef, i) = sum * invPeriod;
}
}
/// <summary>
/// Resets the SMA state.
/// </summary>