QuanTAlib/perf/Program.cs

using BenchmarkDotNet.Attributes;
using BenchmarkDotNet.Columns;
using BenchmarkDotNet.Configs;
using BenchmarkDotNet.Jobs;
using BenchmarkDotNet.Running;
using BenchmarkDotNet.Toolchains.InProcess.NoEmit;
using QuanTAlib;
using Skender.Stock.Indicators;
using TALib;
using Tulip;

var config = ManualConfig.Create(DefaultConfig.Instance)
    .AddJob(Job.ShortRun
        .WithToolchain(InProcessNoEmitToolchain.Instance)
        .WithId(".NET 10.0"))
    .AddColumn(StatisticColumn.Mean)
    .AddColumn(StatisticColumn.StdDev)
    .HideColumns(Column.Job, Column.Error, Column.RatioSD);

BenchmarkRunner.Run<QuanTAlib.Benchmarks.IndicatorBenchmarks>(config);

namespace QuanTAlib.Benchmarks;

[MemoryDiagnoser]
[MarkdownExporter, HtmlExporter]
public class IndicatorBenchmarks
{
    private const int BarCount = 200_000;
    private const int Period = 100;

    private double[] _closeValues = null!;
    private TSeries _closeTseries = null!;
    private List<Quote> _quotes = null!;

    // Pre-allocated outputs for TA-Lib
    private double[] _talibOutput = null!;

    // Pre-allocated outputs for Tulip
    private double[][] _tulipSmaInputs = null!;
    private double[] _tulipSmaOptions = null!;
    private double[][] _tulipSmaOutputs = null!;
    private double[][] _tulipEmaInputs = null!;
    private double[] _tulipEmaOptions = null!;
    private double[][] _tulipEmaOutputs = null!;
    private double[][] _tulipWmaInputs = null!;
    private double[] _tulipWmaOptions = null!;
    private double[][] _tulipWmaOutputs = null!;

    // Pre-allocated outputs for QuanTAlib Span API
    private double[] _quantalibOutput = null!;

    [GlobalSetup]
    public void Setup()
    {
        // Generate data using GBM
        var gbm = new GBM(startPrice: 100.0, mu: 0.05, sigma: 0.2, seed: 42);
        var bars = gbm.Fetch(BarCount, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1));

        _closeValues = bars.Close.Values.ToArray();
        _closeTseries = bars.Close;

        // Create Skender Quote format
        _quotes = new List<Quote>(BarCount);
        for (int i = 0; i < BarCount; i++)
        {
            _quotes.Add(new Quote
            {
                Date = new DateTime(_closeTseries.Times[i]),
                Open = (decimal)bars.Open.Values[i],
                High = (decimal)bars.High.Values[i],
                Low = (decimal)bars.Low.Values[i],
                Close = (decimal)_closeValues[i],
                Volume = (decimal)bars.Volume.Values[i]
            });
        }

        // Pre-allocate TA-Lib output
        _talibOutput = new double[BarCount];

        // Pre-allocate Tulip arrays
        int smaLookback = Period - 1;
        _tulipSmaInputs = new[] { _closeValues };
        _tulipSmaOptions = new double[] { Period };
        _tulipSmaOutputs = new[] { new double[BarCount - smaLookback] };

        _tulipEmaInputs = new[] { _closeValues };
        _tulipEmaOptions = new double[] { Period };
        _tulipEmaOutputs = new[] { new double[BarCount] };

        _tulipWmaInputs = new[] { _closeValues };
        _tulipWmaOptions = new double[] { Period };
        _tulipWmaOutputs = new[] { new double[BarCount - smaLookback] };

        // Pre-allocate QuanTAlib output
        _quantalibOutput = new double[BarCount];
    }

    // ==================== SMA ====================
    [Benchmark(Description = "QuanTAlib SMA (Span)")]
    public void QuanTAlib_Sma_Span() => Sma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);

    [Benchmark(Description = "QuanTAlib SMA (TSeries)")]
    public TSeries QuanTAlib_Sma_TSeries() => Sma.Calculate(_closeTseries, Period);

    [Benchmark(Description = "Tulip SMA")]
    public void Tulip_Sma() => Tulip.Indicators.sma.Run(_tulipSmaInputs, _tulipSmaOptions, _tulipSmaOutputs);

    [Benchmark(Description = "TALib SMA")]
    public Core.RetCode TALib_Sma() => TALib.Functions.Sma<double>(_closeValues, 0..^0, _talibOutput, out _, Period);

    [Benchmark(Description = "Skender SMA")]
    public List<SmaResult> Skender_Sma() => _quotes.GetSma(Period).ToList();

    // ==================== EMA ====================
    [Benchmark(Description = "QuanTAlib EMA (Span)")]
    public void QuanTAlib_Ema_Span() => Ema.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);

    [Benchmark(Description = "QuanTAlib EMA (TSeries)")]
    public TSeries QuanTAlib_Ema_TSeries() => Ema.Calculate(_closeTseries, Period);

    [Benchmark(Description = "Tulip EMA")]
    public void Tulip_Ema() => Tulip.Indicators.ema.Run(_tulipEmaInputs, _tulipEmaOptions, _tulipEmaOutputs);

    [Benchmark(Description = "TALib EMA")]
    public Core.RetCode TALib_Ema() => TALib.Functions.Ema<double>(_closeValues, 0..^0, _talibOutput, out _, Period);

    [Benchmark(Description = "Skender EMA")]
    public List<EmaResult> Skender_Ema() => _quotes.GetEma(Period).ToList();

    // ==================== WMA ====================
    [Benchmark(Description = "QuanTAlib WMA (Span)")]
    public void QuanTAlib_Wma_Span() => Wma.Calculate(_closeValues.AsSpan(), _quantalibOutput.AsSpan(), Period);

    [Benchmark(Description = "QuanTAlib WMA (TSeries)")]
    public TSeries QuanTAlib_Wma_TSeries() => Wma.Calculate(_closeTseries, Period);

    [Benchmark(Description = "Tulip WMA")]
    public void Tulip_Wma() => Tulip.Indicators.wma.Run(_tulipWmaInputs, _tulipWmaOptions, _tulipWmaOutputs);

    [Benchmark(Description = "TALib WMA")]
    public Core.RetCode TALib_Wma() => TALib.Functions.Wma<double>(_closeValues, 0..^0, _talibOutput, out _, Period);

    [Benchmark(Description = "Skender WMA")]
    public List<WmaResult> Skender_Wma() => _quotes.GetWma(Period).ToList();
}