manifoldbt/.github/workflows/bench-vs-vectorbt.yml

# The benchmark runs here, in the open, on standard GitHub-hosted runners.
#
# Nothing in this workflow has access to the engine source: it installs the
# published wheel from PyPI, exactly like any user would. That is what makes the
# result independent rather than self-reported, and it is why anyone can fork
# this repository and press "Run workflow" to reproduce the numbers on their own
# runner. Same for the engines it is compared against: they come from PyPI at
# pinned versions, and the run prints the versions it resolved.

name: Benchmark vs vectorbt and raptorbt

on:
  workflow_dispatch:
    inputs:
      manifoldbt_version:
        description: "manifoldbt version to install from PyPI (blank = latest)"
        required: false
        default: ""
      reps:
        description: "Interleaved repetitions per point"
        required: false
        # 3, not 7. The budget went into a longer series and two more
        # workloads instead: at 10M bars one vectorbt call costs 99 s, so seven
        # of them would put the job past its timeout. Three is the floor at
        # which a median is a median rather than the mean of two, though an
        # interquartile range still wants four samples to mean anything, so the
        # noise flag stays coarse. A point that looks surprising is worth
        # re-running at a higher `reps` before it is quoted anywhere.
        default: "3"
  release:
    types: [published]
  schedule:
    # Weekly, to catch a slowdown introduced by a dependency rather than by us.
    - cron: "17 5 * * 1"

permissions:
  contents: read

concurrency:
  group: bench-vs-vectorbt-${{ github.ref }}
  cancel-in-progress: true

jobs:
  bench:
    # Named for what the job measures, not for the runner it landed on. The
    # runner is already on the row; what a reader needs from the job list is
    # which half of the benchmark it is.
    name: backtests (${{ matrix.os }})
    runs-on: ${{ matrix.os }}
    # A published release is not always a released version. The preview tags
    # 0.18.0rc1 and rc2 went to the public repository without ever reaching
    # PyPI, so `pip install manifoldbt==0.18.0rc2` failed and this workflow went
    # red four times in two days for a reason that had nothing to do with any
    # engine. Pre-releases are skipped; a manual dispatch can still benchmark
    # one by naming the version, if it ever exists on PyPI.
    if: github.event_name != 'release' || github.event.release.prerelease == false
    timeout-minutes: 60
    strategy:
      fail-fast: false
      matrix:
        include:
          # Linux only, on purpose. The other two runners were carried for a
          # reason that does not survive examination: they were the only place
          # anything installed the published wheel on Windows or macOS, which
          # made this benchmark a smoke test by accident. That check is worth
          # having and worth 40 seconds next to the build in release.yml, not 13
          # minutes inside a performance measurement, and nobody reads a
          # benchmark to find out whether a package imports.
          #
          # What is lost is a per-platform timing, which was never quoted: the
          # numbers that get published are the Linux ones. Adding a platform
          # back is one entry here.
          - os: ubuntu-latest
            bars: "100000 1000000 10000000"

    env:
      PYTHONUNBUFFERED: "1"

    steps:
      - uses: actions/checkout@v4

      - uses: actions/setup-python@v5
        with:
          # 3.12, not 3.13, and it is raptorbt that pins it: it is built against
          # pyo3 0.20.3, whose maximum supported CPython is 3.12. No release up
          # to 0.9.0 publishes a cp313 wheel and a source build refuses outright
          # ("the configured Python interpreter version (3.13) is newer than
          # PyO3's maximum supported version (3.12)"). Comparing engines means
          # running them in one environment, and the environment has to be one
          # they all support. Runs before 2026-08-20 used 3.13 with two engines,
          # so their absolute timings are not directly comparable with these.
          python-version: "3.12"

      - name: Install engines from PyPI
        shell: bash
        run: |
          set -e
          VERSION="${{ inputs.manifoldbt_version }}"
          # A release run benchmarks the version that was just published.
          if [ -z "$VERSION" ] && [ "${{ github.event_name }}" = "release" ]; then
            VERSION="$(echo '${{ github.event.release.tag_name }}' | sed 's/^v//')"
          fi
          python -m pip install --upgrade pip
          if [ -n "$VERSION" ]; then
            pip install "manifoldbt==${VERSION}"
          else
            pip install manifoldbt
          fi
          pip install -r benchmarks/vs_vectorbt/requirements-lock.txt

      - name: Record the resolved environment
        shell: bash
        run: pip freeze | grep -iE '^(manifoldbt|vectorbt|raptorbt|numpy|numba|pandas|psutil)=' || true

      - name: Run the benchmark
        shell: bash
        working-directory: benchmarks/vs_vectorbt
        run: |
          python bench.py \
            --bars ${{ matrix.bars }} \
            --reps "${{ inputs.reps || '7' }}" \
            --cold-start-reps 3 \
            --memory-bars 2000000 \
            --out "results-${{ matrix.os }}.json"

      - name: Render the report
        # Runs even when the benchmark exits non-zero: a parity failure is the
        # most interesting thing that can happen here, and it must be readable
        # in the job summary rather than buried in a red step. But only if there
        # is something to render: when the install step failed, this used to die
        # on a missing file and put a FileNotFoundError on top of the real
        # error, which is how a run reports the wrong cause twice.
        if: always()
        shell: bash
        working-directory: benchmarks/vs_vectorbt
        run: |
          if [ -f "results-${{ matrix.os }}.json" ]; then
            python report.py "results-${{ matrix.os }}.json"
          else
            echo "no result file: the benchmark did not get far enough to write one"
          fi

      - name: Upload the raw result
        if: always()
        uses: actions/upload-artifact@v4
        with:
          name: bench-${{ matrix.os }}
          path: benchmarks/vs_vectorbt/results-*.json
          if-no-files-found: warn

  # ------------------------------------------------------------------------ #
  # Parameter sweeps, which need a licence and therefore a job of their own
  # ------------------------------------------------------------------------ #
  sweeps:
    name: sweeps (ubuntu-latest)
    runs-on: ubuntu-latest
    if: github.event_name != 'release' || github.event.release.prerelease == false
    timeout-minutes: 45
    steps:
      - uses: actions/checkout@v4

      - uses: actions/setup-python@v5
        with:
          python-version: "3.12"

      - name: Install engines from PyPI
        shell: bash
        run: |
          set -e
          VERSION="${{ inputs.manifoldbt_version }}"
          if [ -z "$VERSION" ] && [ "${{ github.event_name }}" = "release" ]; then
            VERSION="$(echo '${{ github.event.release.tag_name }}' | sed 's/^v//')"
          fi
          python -m pip install --upgrade pip
          if [ -n "$VERSION" ]; then pip install "manifoldbt==${VERSION}"; else pip install manifoldbt; fi
          pip install -r benchmarks/vs_vectorbt/requirements-lock.txt

      # A sweep benchmark without a licence does not fail, it produces a wrong
      # number: every unlicensed fan-out call waits a fixed interval before any
      # work starts, so the stopwatch would time the wait. This step exits
      # non-zero rather than let that happen, and the harness refuses again on
      # its own if the tier is not what it expects.
      - name: Activate the benchmark licence
        env:
          MANIFOLDBT_CI_LICENSE: ${{ secrets.MANIFOLDBT_CI_LICENSE }}
        shell: bash
        working-directory: benchmarks/vs_vectorbt
        run: python ci_activate.py

      - name: Run the sweeps
        shell: bash
        working-directory: benchmarks/vs_vectorbt
        # Three points, sized from what this runner actually did rather than
        # guessed. Measured here: 87.5 us per combination for manifoldbt at
        # 20,000 bars, 1.16 ms for vectorbt, 1.34 ms for raptorbt, and 15.0 ms
        # for raptorbt at 200,000 bars.
        #
        # The first point is the only one vectorbt can hold: at 20,000 bars it
        # materialises 1.57 MB per combination, so 5,000 of them already cost it
        # 2.5 GB and 20,000 would need 31 GB. The other two are out of its
        # scope, and they are where a sweep stops being a speed comparison and
        # becomes a capability one.
        #
        # raptorbt sets the budget, not manifoldbt: with no fan-out API its
        # sweep is a Python loop, so it costs a full backtest per cell. That is
        # why the large point goes deep in combinations on short series rather
        # than the reverse -- 20,000 combinations on 20,000 bars costs it 27 s a
        # call, where 5,000 combinations on a million bars would cost it 25 min.
        run: |
          python bench.py             --workloads sma_cross             --bars 100000             --reps 1             --cold-start-reps 0             --sweep 20000:5000 20000:20000:oos 200000:10000:oos             --sweep-reps "${{ inputs.reps || '2' }}"             --out "results-sweeps.json"

      - name: Render the report
        if: always()
        shell: bash
        working-directory: benchmarks/vs_vectorbt
        run: |
          if [ -f results-sweeps.json ]; then
            python report.py results-sweeps.json
          else
            echo "no result file: the grids did not get far enough to write one"
          fi

      - name: Upload the raw result
        if: always()
        uses: actions/upload-artifact@v4
        with:
          name: bench-sweeps
          path: benchmarks/vs_vectorbt/results-sweeps.json
          if-no-files-found: warn