using System.Runtime.CompilerServices; using System.Runtime.InteropServices; using System.Runtime.Intrinsics; using System.Runtime.Intrinsics.Arm; using System.Runtime.Intrinsics.X86; namespace QuanTAlib; /// /// SLOPE: First Derivative (Rate of Change) /// Measures the velocity of price movement - the instantaneous rate of change. /// /// /// The first derivative approximates velocity: how fast the value is changing. /// /// Formula: /// Slope_t = Value_t - Value_{t-1} /// /// Key properties: /// - O(1) streaming complexity /// - Zero allocations in hot path /// - SIMD-optimized batch calculation /// [SkipLocalsInit] public sealed class Slope : AbstractBase { [StructLayout(LayoutKind.Auto)] private record struct State(double PrevValue, double LastValidValue, int Count); private State _state; private State _p_state; private readonly TValuePublishedHandler _handler; public override bool IsHot => _state.Count >= 2; /// /// Creates a new Slope (first derivative) indicator. /// public Slope() { Name = "Slope"; WarmupPeriod = 2; _handler = Handle; } /// /// Creates a new Slope indicator with event subscription. /// public Slope(ITValuePublisher source) : this() { source.Pub += _handler; } [MethodImpl(MethodImplOptions.AggressiveInlining)] private void Handle(object? sender, in TValueEventArgs args) => Update(args.Value, args.IsNew); [MethodImpl(MethodImplOptions.AggressiveInlining)] private double GetValidValue(double input) { if (double.IsFinite(input)) { _state.LastValidValue = input; return input; } return _state.LastValidValue; } [MethodImpl(MethodImplOptions.AggressiveInlining)] public override TValue Update(TValue input, bool isNew = true) { double result; if (isNew) { _p_state = _state; double val = GetValidValue(input.Value); result = _state.Count >= 1 ? val - _state.PrevValue : 0.0; _state.PrevValue = val; _state.Count = Math.Min(_state.Count + 1, 2); } else { // Rollback for bar correction _state.LastValidValue = _p_state.LastValidValue; double val = GetValidValue(input.Value); result = _p_state.Count >= 1 ? val - _p_state.PrevValue : 0.0; _state.PrevValue = val; _state.Count = Math.Max(_p_state.Count, 1); } Last = new TValue(input.Time, result); PubEvent(Last, isNew); return Last; } public override TSeries Update(TSeries source) { if (source.Count == 0) { return []; } int len = source.Count; ReadOnlySpan sourceValues = source.Values; ReadOnlySpan sourceTimes = source.Times; var t = new List(len); var v = new List(len); CollectionsMarshal.SetCount(t, len); CollectionsMarshal.SetCount(v, len); var tSpan = CollectionsMarshal.AsSpan(t); var vSpan = CollectionsMarshal.AsSpan(v); Batch(sourceValues, vSpan); sourceTimes.CopyTo(tSpan); // Prime state with last value if (len >= 1) { _state.PrevValue = double.IsFinite(sourceValues[len - 1]) ? sourceValues[len - 1] : _state.LastValidValue; _state.Count = Math.Min(len, 2); _state.LastValidValue = _state.PrevValue; _p_state = _state; } Last = new TValue(tSpan[len - 1], vSpan[len - 1]); return new TSeries(t, v); } public override void Reset() { _state = default; _p_state = default; Last = default; } public override void Prime(ReadOnlySpan source, TimeSpan? step = null) { foreach (double val in source) { Update(new TValue(DateTime.MinValue, val)); } } public static TSeries Batch(TSeries source) { var slope = new Slope(); return slope.Update(source); } /// /// Calculates first derivative (slope) for a span. /// [MethodImpl(MethodImplOptions.AggressiveInlining)] public static void Batch(ReadOnlySpan source, Span output) { if (source.Length != output.Length) { throw new ArgumentException("Source and output must have the same length", nameof(output)); } int len = source.Length; if (len == 0) { return; } // First element has no previous - set to 0 output[0] = 0.0; if (len == 1) { return; } int i = 1; // Check if all values are finite before using SIMD // SIMD paths don't handle NaN/Infinity properly bool allFinite = !source.ContainsNonFinite(); // Only use SIMD if all values are finite if (allFinite) { // AVX512: 8 doubles at once if (Avx512F.IsSupported && len >= 9) { const int VectorWidth = 8; int simdEnd = len - VectorWidth + 1; ref double srcRef = ref MemoryMarshal.GetReference(source); ref double outRef = ref MemoryMarshal.GetReference(output); for (; i < simdEnd; i += VectorWidth) { var current = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, i)); var prev = Vector512.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - 1)); var diff = Avx512F.Subtract(current, prev); diff.StoreUnsafe(ref Unsafe.Add(ref outRef, i)); } } // AVX: 4 doubles at once else if (Avx.IsSupported && len >= 5) { const int VectorWidth = 4; int simdEnd = len - VectorWidth + 1; ref double srcRef = ref MemoryMarshal.GetReference(source); ref double outRef = ref MemoryMarshal.GetReference(output); for (; i < simdEnd; i += VectorWidth) { var current = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, i)); var prev = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - 1)); var diff = Avx.Subtract(current, prev); diff.StoreUnsafe(ref Unsafe.Add(ref outRef, i)); } } // ARM64 Neon: 2 doubles at once else if (AdvSimd.Arm64.IsSupported && len >= 3) { const int VectorWidth = 2; int simdEnd = len - VectorWidth + 1; ref double srcRef = ref MemoryMarshal.GetReference(source); ref double outRef = ref MemoryMarshal.GetReference(output); for (; i < simdEnd; i += VectorWidth) { var current = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, i)); var prev = Vector128.LoadUnsafe(ref Unsafe.Add(ref srcRef, i - 1)); var diff = AdvSimd.Arm64.Subtract(current, prev); diff.StoreUnsafe(ref Unsafe.Add(ref outRef, i)); } } } // Scalar fallback for remaining elements // Track last valid value forward to avoid O(n²) backward scanning double lastValid = 0.0; // Find first valid value if we're starting from the beginning if (i == 1) { for (int k = 0; k < len; k++) { if (double.IsFinite(source[k])) { lastValid = source[k]; break; } } } else if (i > 1) { // We already processed some elements via SIMD, find last valid from processed for (int k = i - 1; k >= 0; k--) { if (double.IsFinite(source[k])) { lastValid = source[k]; break; } } } double prevValid = lastValid; for (; i < len; i++) { double curr = source[i]; double prev = source[i - 1]; // Handle NaN/Infinity using tracked last valid values if (double.IsFinite(curr)) { lastValid = curr; } else { curr = lastValid; } if (double.IsFinite(prev)) { prevValid = prev; } else { prev = prevValid; } output[i] = curr - prev; } } public static (TSeries Results, Slope Indicator) Calculate(TSeries source) { var indicator = new Slope(); TSeries results = indicator.Update(source); return (results, indicator); } }