Pratik Bhadane
66 lines
2.4 KiB
Python
66 lines
2.4 KiB
Python
import time
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import numpy as np
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import ferro_ta
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def _time_fn(fn, *args, **kwargs):
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times = []
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# Warmup
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fn(*args, **kwargs)
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for _ in range(5):
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t0 = time.perf_counter()
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fn(*args, **kwargs)
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times.append(time.perf_counter() - t0)
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return min(times)
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def main():
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n_samples = 100_000
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n_series = 100
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print(f"Batch Benchmark: {n_samples} bars, {n_series} series (Total: {n_samples*n_series/1e6:.1f} M bars)")
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np.random.seed(42)
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# contiguous array in row-major
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close2d = np.random.uniform(100.0, 200.0, (n_samples, n_series))
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h2d = close2d + np.random.uniform(0.1, 2.0, (n_samples, n_series))
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l2d = close2d - np.random.uniform(0.1, 2.0, (n_samples, n_series))
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print("-" * 50)
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print(f"{'Indicator':<15} {'Batch (ms)':>12} {'Loop (ms)':>12} {'Speedup':>10}")
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print("-" * 50)
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# 1. SMA
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kwargs = {"timeperiod": 14}
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def loop_sma(arr):
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for j in range(arr.shape[1]):
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ferro_ta.SMA(arr[:, j], **kwargs)
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t_batch_sma = _time_fn(ferro_ta.batch.batch_sma, close2d, **kwargs)
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t_loop_sma = _time_fn(loop_sma, close2d)
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print(f"SMA {t_batch_sma*1000:12.1f} {t_loop_sma*1000:12.1f} {t_loop_sma/t_batch_sma:9.1f}x")
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# 2. RSI
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def loop_rsi(arr):
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for j in range(arr.shape[1]):
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ferro_ta.RSI(arr[:, j], **kwargs)
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t_batch_rsi = _time_fn(ferro_ta.batch.batch_rsi, close2d, **kwargs)
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t_loop_rsi = _time_fn(loop_rsi, close2d)
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print(f"RSI {t_batch_rsi*1000:12.1f} {t_loop_rsi*1000:12.1f} {t_loop_rsi/t_batch_rsi:9.1f}x")
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# 3. ATR
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def loop_atr(h, l, c):
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for j in range(h.shape[1]):
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ferro_ta.ATR(h[:, j], l[:, j], c[:, j], **kwargs)
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t_batch_atr = _time_fn(ferro_ta.batch.batch_atr, h2d, l2d, close2d, **kwargs)
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t_loop_atr = _time_fn(loop_atr, h2d, l2d, close2d)
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print(f"ATR {t_batch_atr*1000:12.1f} {t_loop_atr*1000:12.1f} {t_loop_atr/t_batch_atr:9.1f}x")
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# 4. ADX
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def loop_adx(h, l, c):
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for j in range(h.shape[1]):
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ferro_ta.ADX(h[:, j], l[:, j], c[:, j], **kwargs)
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t_batch_adx = _time_fn(ferro_ta.batch.batch_adx, h2d, l2d, close2d, **kwargs)
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t_loop_adx = _time_fn(loop_adx, h2d, l2d, close2d)
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print(f"ADX {t_batch_adx*1000:12.1f} {t_loop_adx*1000:12.1f} {t_loop_adx/t_batch_adx:9.1f}x")
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if __name__ == '__main__':
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main()
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