chore: release v1.0.2

This commit is contained in:
Pratik Bhadane
2026-03-24 02:02:10 +05:30
parent 9011250f99
commit 2d5000262f
47 changed files with 3821 additions and 422 deletions
+82 -11
View File
@@ -14,6 +14,7 @@ practical advice on how to get the best speed from the library.
| polars users | Pass `pl.Series`; result is `pl.Series`| Small overhead for type conversion |
| Raw Rust access (expert) | `from ferro_ta._ferro_ta import sma` | Bypasses all Python wrappers |
| Multiple series at once | `batch_sma`, `batch_ema`, `batch_rsi` | One Python call for all columns |
| Many indicators on same arrays | `compute_many` | Amortizes Python→Rust overhead |
**Recorded baseline and roadmap:** Performance roadmap and trade-offs are tracked
in [PERFORMANCE_ROADMAP.md](../PERFORMANCE_ROADMAP.md). For reproducible benchmark
@@ -41,10 +42,12 @@ fast. The bottlenecks for most users are in the Python wrapping layer:
np.asarray(result))`), which avoids the O(n) `.tolist()` conversion of
earlier versions.
4. **Batch**`batch_sma`/`batch_ema`/`batch_rsi` use Rust-side batch functions
for 2-D input (single GIL release for all columns). The generic
`batch_apply` runs any indicator in a Python loop over columns; use the
dedicated batch functions when available.
4. **Batch / grouped execution**`batch_sma`/`batch_ema`/`batch_rsi` use
Rust-side batch functions for 2-D input (single GIL release for all
columns). `compute_many(...)` groups supported 1-D indicator bundles into
one Rust call, which helps most on medium-to-large workloads. The generic
`batch_apply` still runs a Python loop over columns; use it only when there
is no dedicated fast path.
---
@@ -156,6 +159,25 @@ For 2-D input, `batch_sma`/`batch_ema`/`batch_rsi` use Rust-side batch
functions (single GIL release for all columns). Use `batch_apply` for other
indicators that do not have a dedicated Rust batch implementation.
When you have several indicators over the same 1-D arrays, use `compute_many`:
```python
from ferro_ta.batch import compute_many
results = compute_many(
[
("SMA", {"timeperiod": 10}),
("EMA", {"timeperiod": 12}),
("RSI", {"timeperiod": 14}),
],
close=close,
)
```
Supported grouped paths currently cover common close-only indicators plus a
small HLC bundle (`ATR`, `NATR`, `ADX`, `ADXR`, `CCI`, `WILLR`). Unsupported
parameter shapes fall back to the normal registry path automatically.
---
## Streaming (Bar-by-Bar)
@@ -208,6 +230,53 @@ wrapper with validation and `_to_f64`; all computation runs in the extension.
5. **Profile before optimising.** Use `cProfile` or `py-spy` to find the
actual bottleneck before assuming a particular layer is slow.
6. **Use the perf-contract scripts for evidence.** `benchmarks/run_perf_contract.py`
and `benchmarks/profile_runtime_hotspots.py` record timings with git/runtime
metadata so you can compare apples to apples across machines and commits.
## Benchmark Tooling
The benchmark suite now includes a small set of machine-readable scripts for
performance work beyond the full pytest benchmark table:
- `python benchmarks/bench_batch.py --json batch_benchmark.json`
- `python benchmarks/bench_streaming.py --json streaming_benchmark.json`
- `python benchmarks/profile_runtime_hotspots.py --json runtime_hotspots.json`
- `python benchmarks/bench_simd.py --json simd_benchmark.json`
- `python benchmarks/run_perf_contract.py --output-dir benchmarks/artifacts/latest`
- `python benchmarks/check_hotspot_regression.py --input runtime_hotspots.json`
The WASM bindings also ship with a Node benchmark:
- `cd wasm && wasm-pack build --target nodejs --out-dir pkg`
- `node bench.js --json ../wasm_benchmark.json`
## SIMD And Build Flags
Distributable wheels should stay on the portable release profile:
- `cargo`/`maturin` release build
- `lto = true`
- `codegen-units = 1`
- no architecture-specific `target-cpu=native` in shipped artifacts
For local source builds, there are two opt-in tuning levers:
```bash
# Portable SIMD-enabled local build
uv run maturin develop --release --features simd
# Maximum local tuning for your current machine only
RUSTFLAGS="-C target-cpu=native" uv run maturin develop --release --features simd
```
Policy:
- Ship portable wheels with the default release settings.
- Use `--features simd` for measured local/source wins.
- Reserve `target-cpu=native` for developer workstations or private deploys,
because those binaries are not portable across CPU families.
---
## Performance Improvements (implemented)
@@ -247,17 +316,19 @@ bottlenecks are fixed or deferred.
(unlike `_to_f64` for 1-D); could avoid a potential copy.
**Options** (`python/ferro_ta/options.py`):
- `iv_rank`, `iv_percentile`, `iv_zscore` use Python loops over windows
(O(n) iterations with per-window NumPy). Could move to Rust or vectorize.
See also `docs/options-volatility.md`.
- `iv_rank`, `iv_percentile`, and `iv_zscore` are vectorized now, but
`iv_percentile`/`iv_zscore` still spend meaningful time in NumPy window
materialization on very long series.
**Features** (`python/ferro_ta/features.py`):
- With `nan_policy="fill"` and no pandas, a Python loop fills NaN per column.
- Indicators are run in a Python loop (one call per indicator); no bulk API.
- `nan_policy="fill"` is vectorized now.
- `feature_matrix(...)` uses `compute_many(...)`, but grouped HLC bundles are
still only near parity on medium workloads and are best on larger arrays.
**Signals** (`python/ferro_ta/signals.py`):
- `compose(..., method="rank")` uses a list comprehension over columns (one
Python round-trip per column). Could add a Rust batch rank for 2-D input.
- `compose(..., method="rank")` now uses a one-call Rust rank-composition
path, but its gains are moderate rather than dramatic. Keep measuring before
treating it as a major optimization lever.
**Other**:
- **dsl.py**: Some code paths use Python loops over bars.