扩展指标
This commit is contained in:
@@ -0,0 +1,71 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "batch",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:25:58.345834+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"dataset": {
|
||||
"n_samples": 100000,
|
||||
"n_series": 100,
|
||||
"total_bars": 10000000,
|
||||
"seed": 42
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"indicator": "SMA",
|
||||
"parallel_ms": 37.86,
|
||||
"sequential_ms": 43.5625,
|
||||
"loop_ms": 17.8136,
|
||||
"parallel_speedup_vs_loop": 0.4705,
|
||||
"sequential_speedup_vs_loop": 0.4089
|
||||
},
|
||||
{
|
||||
"indicator": "RSI",
|
||||
"parallel_ms": 40.9229,
|
||||
"sequential_ms": 79.5345,
|
||||
"loop_ms": 53.3368,
|
||||
"parallel_speedup_vs_loop": 1.3033,
|
||||
"sequential_speedup_vs_loop": 0.6706
|
||||
},
|
||||
{
|
||||
"indicator": "ATR",
|
||||
"parallel_ms": 91.76,
|
||||
"sequential_ms": 130.1404,
|
||||
"loop_ms": 99.5885,
|
||||
"parallel_speedup_vs_loop": 1.0853,
|
||||
"sequential_speedup_vs_loop": 0.7652
|
||||
},
|
||||
{
|
||||
"indicator": "ADX",
|
||||
"parallel_ms": 100.1362,
|
||||
"sequential_ms": 149.3412,
|
||||
"loop_ms": 125.3319,
|
||||
"parallel_speedup_vs_loop": 1.2516,
|
||||
"sequential_speedup_vs_loop": 0.8392
|
||||
}
|
||||
],
|
||||
"grouped_results": [
|
||||
{
|
||||
"case": "close_bundle_3",
|
||||
"grouped_ms": 0.652,
|
||||
"separate_ms": 0.9124,
|
||||
"speedup_vs_separate": 1.3994
|
||||
},
|
||||
{
|
||||
"case": "hlc_bundle_3",
|
||||
"grouped_ms": 1.4784,
|
||||
"separate_ms": 3.3724,
|
||||
"speedup_vs_separate": 2.2811
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,153 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "backtest",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-27T16:31:53.866252+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"python_implementation": "CPython",
|
||||
"python_executable": "/Users/pratikbhadane/Work/Projects/ferro-ta/.venv/bin/python3",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"system": "Darwin",
|
||||
"release": "25.3.0",
|
||||
"machine": "arm64",
|
||||
"processor": "arm",
|
||||
"cpu_model": "Apple M3 Max",
|
||||
"cpu_count_logical": 14,
|
||||
"total_memory_bytes": 38654705664
|
||||
},
|
||||
"git": {
|
||||
"commit": "2d776b6f908fd1a4f30a696972b7df5e5fe2ca00",
|
||||
"dirty": true,
|
||||
"branch": "main"
|
||||
},
|
||||
"build": {
|
||||
"rustc": "rustc 1.93.1 (01f6ddf75 2026-02-11)\nbinary: rustc\ncommit-hash: 01f6ddf7588f42ae2d7eb0a2f21d44e8e96674cf\ncommit-date: 2026-02-11\nhost: aarch64-apple-darwin\nrelease: 1.93.1\nLLVM version: 21.1.8",
|
||||
"cargo": "cargo 1.93.1 (083ac5135 2025-12-15)",
|
||||
"cargo_release_profile": {
|
||||
"lto": true,
|
||||
"codegen-units": 1
|
||||
},
|
||||
"rustflags": null,
|
||||
"cargo_build_rustflags": null,
|
||||
"maturin_flags": null
|
||||
},
|
||||
"packages": {
|
||||
"numpy": "2.2.6",
|
||||
"ferro-ta": "1.0.6"
|
||||
}
|
||||
},
|
||||
"results": {
|
||||
"backtest_core_single": [
|
||||
{
|
||||
"n_bars": 10000,
|
||||
"ferro_ta_ms": 0.024,
|
||||
"ferro_ta_mbars_s": 415.9388,
|
||||
"vectorbt_ms": 1.2843,
|
||||
"speedup_vs_vectorbt": 53.4187
|
||||
},
|
||||
{
|
||||
"n_bars": 100000,
|
||||
"ferro_ta_ms": 0.1964,
|
||||
"ferro_ta_mbars_s": 509.1209,
|
||||
"vectorbt_ms": 3.047,
|
||||
"speedup_vs_vectorbt": 15.5129
|
||||
}
|
||||
],
|
||||
"backtest_ohlcv_core": [
|
||||
{
|
||||
"n_bars": 10000,
|
||||
"ferro_ta_ms": 0.0573,
|
||||
"ferro_ta_mbars_s": 174.4166
|
||||
},
|
||||
{
|
||||
"n_bars": 100000,
|
||||
"ferro_ta_ms": 0.7068,
|
||||
"ferro_ta_mbars_s": 141.4927
|
||||
}
|
||||
],
|
||||
"performance_metrics": [
|
||||
{
|
||||
"n_bars": 10000,
|
||||
"ferro_ta_ms": 0.2182,
|
||||
"numpy_partial_ms": 0.0496,
|
||||
"speedup_vs_numpy": 0.2272,
|
||||
"note": "numpy_partial only computes sharpe+max_dd (2/23 metrics)"
|
||||
},
|
||||
{
|
||||
"n_bars": 100000,
|
||||
"ferro_ta_ms": 3.0303,
|
||||
"numpy_partial_ms": 0.351,
|
||||
"speedup_vs_numpy": 0.1158,
|
||||
"note": "numpy_partial only computes sharpe+max_dd (2/23 metrics)"
|
||||
}
|
||||
],
|
||||
"multi_asset": [
|
||||
{
|
||||
"n_bars": 10000,
|
||||
"n_assets": 50,
|
||||
"parallel_ms": 2.4245,
|
||||
"serial_ms": 4.1751,
|
||||
"loop_ms": 2.0349,
|
||||
"parallel_speedup_vs_loop": 0.8393,
|
||||
"parallel_speedup_vs_serial": 1.722
|
||||
},
|
||||
{
|
||||
"n_bars": 100000,
|
||||
"n_assets": 50,
|
||||
"parallel_ms": 24.0349,
|
||||
"serial_ms": 47.9311,
|
||||
"loop_ms": 24.7476,
|
||||
"parallel_speedup_vs_loop": 1.0297,
|
||||
"parallel_speedup_vs_serial": 1.9942
|
||||
}
|
||||
],
|
||||
"monte_carlo": [
|
||||
{
|
||||
"n_bars": 10000,
|
||||
"n_sims": 500,
|
||||
"ferro_ta_ms": 3.862,
|
||||
"numpy_loop_ms": 51.1589,
|
||||
"speedup_vs_numpy": 13.2469
|
||||
},
|
||||
{
|
||||
"n_bars": 100000,
|
||||
"n_sims": 500,
|
||||
"ferro_ta_ms": 26.0019,
|
||||
"numpy_loop_ms": 310.582,
|
||||
"speedup_vs_numpy": 11.9446
|
||||
}
|
||||
],
|
||||
"engine_full_pipeline": [
|
||||
{
|
||||
"n_bars": 10000,
|
||||
"ferro_ta_ms": 0.4402,
|
||||
"description": "Full pipeline: signals + OHLCV fill + 23 metrics + trades + drawdown"
|
||||
},
|
||||
{
|
||||
"n_bars": 100000,
|
||||
"ferro_ta_ms": 4.445,
|
||||
"description": "Full pipeline: signals + OHLCV fill + 23 metrics + trades + drawdown"
|
||||
}
|
||||
],
|
||||
"walk_forward_indices": [
|
||||
{
|
||||
"n_bars": 10000,
|
||||
"train_bars": 2000,
|
||||
"test_bars": 500,
|
||||
"ferro_ta_us": 0.333
|
||||
},
|
||||
{
|
||||
"n_bars": 100000,
|
||||
"train_bars": 20000,
|
||||
"test_bars": 5000,
|
||||
"ferro_ta_us": 0.292
|
||||
}
|
||||
],
|
||||
"kelly_fraction": [
|
||||
{
|
||||
"n_calls": 1000,
|
||||
"ferro_ta_us": 86.458
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1,163 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "indicator_latency",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:25:52.160357+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"fixtures": [
|
||||
{
|
||||
"path": "/Users/pratikbhadane/Work/Projects/ferro-ta/benchmarks/fixtures/canonical_ohlcv.npz",
|
||||
"size_bytes": 75586,
|
||||
"sha256": "60192f8349fb06cd59ef7f70fd77aa8280399e819d7cc5eed3ca95cf5ee1a89c"
|
||||
}
|
||||
],
|
||||
"dataset": {
|
||||
"fixture": "/Users/pratikbhadane/Work/Projects/ferro-ta/benchmarks/fixtures/canonical_ohlcv.npz",
|
||||
"bars": 2000,
|
||||
"rounds": 5
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"name": "VAR_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.0229
|
||||
},
|
||||
{
|
||||
"name": "STOCH",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {},
|
||||
"elapsed_ms": 0.0201
|
||||
},
|
||||
{
|
||||
"name": "WILLR_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0201
|
||||
},
|
||||
{
|
||||
"name": "CCI_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0163
|
||||
},
|
||||
{
|
||||
"name": "ADX_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.015
|
||||
},
|
||||
{
|
||||
"name": "MACD",
|
||||
"inputs": "close",
|
||||
"kwargs": {},
|
||||
"elapsed_ms": 0.0135
|
||||
},
|
||||
{
|
||||
"name": "ATR_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0105
|
||||
},
|
||||
{
|
||||
"name": "RSI_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0098
|
||||
},
|
||||
{
|
||||
"name": "STDDEV_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.009
|
||||
},
|
||||
{
|
||||
"name": "BETA_5",
|
||||
"inputs": "pair_hl",
|
||||
"kwargs": {
|
||||
"timeperiod": 5
|
||||
},
|
||||
"elapsed_ms": 0.0083
|
||||
},
|
||||
{
|
||||
"name": "CORREL_30",
|
||||
"inputs": "pair_hl",
|
||||
"kwargs": {
|
||||
"timeperiod": 30
|
||||
},
|
||||
"elapsed_ms": 0.0076
|
||||
},
|
||||
{
|
||||
"name": "BBANDS_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.0055
|
||||
},
|
||||
{
|
||||
"name": "LINEARREG_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0055
|
||||
},
|
||||
{
|
||||
"name": "TSF_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0054
|
||||
},
|
||||
{
|
||||
"name": "LINEARREG_SLOPE_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0052
|
||||
},
|
||||
{
|
||||
"name": "EMA_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.005
|
||||
},
|
||||
{
|
||||
"name": "SMA_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.0026
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,67 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "perf_contract",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:26:40.776130+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"fixtures": [
|
||||
{
|
||||
"path": "/Users/pratikbhadane/Work/Projects/ferro-ta/benchmarks/fixtures/canonical_ohlcv.npz",
|
||||
"size_bytes": 75586,
|
||||
"sha256": "60192f8349fb06cd59ef7f70fd77aa8280399e819d7cc5eed3ca95cf5ee1a89c"
|
||||
}
|
||||
],
|
||||
"output_dir": "benchmarks/artifacts/latest"
|
||||
},
|
||||
"artifacts": {
|
||||
"indicator_latency": {
|
||||
"path": "benchmarks/artifacts/latest/indicator_latency.json",
|
||||
"size_bytes": 3217,
|
||||
"sha256": "43b88a50a4d7f91e30ff8e57dbf859ae5e76ecabaaf05cfcb7d8db67df920f7f"
|
||||
},
|
||||
"batch": {
|
||||
"path": "benchmarks/artifacts/latest/batch.json",
|
||||
"size_bytes": 1701,
|
||||
"sha256": "bc900c885c48ec1903ea4870ca1de8cb9f33c609d2cefa4688cbdd18cb977f11"
|
||||
},
|
||||
"streaming": {
|
||||
"path": "benchmarks/artifacts/latest/streaming.json",
|
||||
"size_bytes": 1944,
|
||||
"sha256": "925ba1be66d0d499daa81dfc148b03ac325ad685ce0c71e28ca1fc6927f16415"
|
||||
},
|
||||
"runtime_hotspots": {
|
||||
"path": "benchmarks/artifacts/latest/runtime_hotspots.json",
|
||||
"size_bytes": 2366,
|
||||
"sha256": "920553b14b545f211b119c099ec59885de8b9e8056271cb2d2ac34c0c69b0906"
|
||||
},
|
||||
"simd": {
|
||||
"path": "benchmarks/artifacts/latest/simd.json",
|
||||
"size_bytes": 7700,
|
||||
"sha256": "d48943a5dfcf4f8d8d2ca42f0004f02f9fc894de7477791b686231da665e3335"
|
||||
},
|
||||
"benchmark_vs_talib": {
|
||||
"path": "benchmarks/artifacts/latest/benchmark_vs_talib.json",
|
||||
"size_bytes": 5923,
|
||||
"sha256": "8a4e847517f1334255353982a5266c0323bf433a1eb78dafeff808d5ad3bf7f0"
|
||||
},
|
||||
"wasm": {
|
||||
"path": "benchmarks/artifacts/latest/wasm.json",
|
||||
"size_bytes": 935,
|
||||
"sha256": "f31fd871990c44e24a2259d618ae40a52866d20b95aa6047af3d38b9371c2ab7"
|
||||
},
|
||||
"bench_backtest": {
|
||||
"path": "benchmarks/artifacts/latest/bench_backtest_results.json",
|
||||
"size_bytes": 4022,
|
||||
"sha256": "acf27cd5d5077aff51194e31936aba2b9304a8a62d993b2ec496d6f347545316"
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,96 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "runtime_hotspots",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:26:02.236710+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"dataset": {
|
||||
"price_bars": 20000,
|
||||
"iv_bars": 50000,
|
||||
"window": 252
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_zscore",
|
||||
"fast_ms": 35.984,
|
||||
"reference_ms": 944.5804,
|
||||
"speedup_vs_reference": 26.25,
|
||||
"share_of_suite_pct": 77.27
|
||||
},
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_percentile",
|
||||
"fast_ms": 7.6624,
|
||||
"reference_ms": 81.581,
|
||||
"speedup_vs_reference": 10.6469,
|
||||
"share_of_suite_pct": 16.45
|
||||
},
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_rank",
|
||||
"fast_ms": 2.2905,
|
||||
"reference_ms": 198.2937,
|
||||
"speedup_vs_reference": 86.5738,
|
||||
"share_of_suite_pct": 4.92
|
||||
},
|
||||
{
|
||||
"category": "ffi_grouping",
|
||||
"name": "feature_matrix",
|
||||
"fast_ms": 0.2872,
|
||||
"reference_ms": 0.2377,
|
||||
"speedup_vs_reference": 0.8275,
|
||||
"share_of_suite_pct": 0.62
|
||||
},
|
||||
{
|
||||
"category": "ffi_grouping",
|
||||
"name": "compute_many_close",
|
||||
"fast_ms": 0.1448,
|
||||
"reference_ms": 0.1505,
|
||||
"speedup_vs_reference": 1.0391,
|
||||
"share_of_suite_pct": 0.31
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "BETA",
|
||||
"fast_ms": 0.0637,
|
||||
"reference_ms": 164.1752,
|
||||
"speedup_vs_reference": 2575.2975,
|
||||
"share_of_suite_pct": 0.14
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "CORREL",
|
||||
"fast_ms": 0.0553,
|
||||
"reference_ms": 159.6473,
|
||||
"speedup_vs_reference": 2885.1573,
|
||||
"share_of_suite_pct": 0.12
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "LINEARREG",
|
||||
"fast_ms": 0.0415,
|
||||
"reference_ms": 47.4665,
|
||||
"speedup_vs_reference": 1143.77,
|
||||
"share_of_suite_pct": 0.09
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "TSF",
|
||||
"fast_ms": 0.0414,
|
||||
"reference_ms": 47.921,
|
||||
"speedup_vs_reference": 1157.036,
|
||||
"share_of_suite_pct": 0.09
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,285 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "simd",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:26:40.566511+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"dataset": {
|
||||
"price_bars": 20000,
|
||||
"iv_bars": 50000,
|
||||
"window": 252
|
||||
},
|
||||
"variants": [
|
||||
"portable_release",
|
||||
"simd_release"
|
||||
]
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"name": "BETA",
|
||||
"category": "rust_kernel",
|
||||
"portable_ms": 0.0635,
|
||||
"simd_ms": 0.0636,
|
||||
"speedup_simd_vs_portable": 0.9984
|
||||
},
|
||||
{
|
||||
"name": "TSF",
|
||||
"category": "rust_kernel",
|
||||
"portable_ms": 0.0415,
|
||||
"simd_ms": 0.0417,
|
||||
"speedup_simd_vs_portable": 0.9952
|
||||
},
|
||||
{
|
||||
"name": "compute_many_close",
|
||||
"category": "ffi_grouping",
|
||||
"portable_ms": 0.1548,
|
||||
"simd_ms": 0.1572,
|
||||
"speedup_simd_vs_portable": 0.9847
|
||||
},
|
||||
{
|
||||
"name": "iv_zscore",
|
||||
"category": "python_analysis",
|
||||
"portable_ms": 36.0643,
|
||||
"simd_ms": 37.2041,
|
||||
"speedup_simd_vs_portable": 0.9694
|
||||
},
|
||||
{
|
||||
"name": "feature_matrix",
|
||||
"category": "ffi_grouping",
|
||||
"portable_ms": 0.2556,
|
||||
"simd_ms": 0.2667,
|
||||
"speedup_simd_vs_portable": 0.9584
|
||||
},
|
||||
{
|
||||
"name": "iv_percentile",
|
||||
"category": "python_analysis",
|
||||
"portable_ms": 7.7548,
|
||||
"simd_ms": 8.1565,
|
||||
"speedup_simd_vs_portable": 0.9508
|
||||
},
|
||||
{
|
||||
"name": "LINEARREG",
|
||||
"category": "rust_kernel",
|
||||
"portable_ms": 0.0416,
|
||||
"simd_ms": 0.0443,
|
||||
"speedup_simd_vs_portable": 0.9391
|
||||
},
|
||||
{
|
||||
"name": "iv_rank",
|
||||
"category": "python_analysis",
|
||||
"portable_ms": 2.2813,
|
||||
"simd_ms": 2.4386,
|
||||
"speedup_simd_vs_portable": 0.9355
|
||||
},
|
||||
{
|
||||
"name": "CORREL",
|
||||
"category": "rust_kernel",
|
||||
"portable_ms": 0.0552,
|
||||
"simd_ms": 0.0633,
|
||||
"speedup_simd_vs_portable": 0.872
|
||||
}
|
||||
],
|
||||
"reports": {
|
||||
"portable_release": {
|
||||
"metadata": {
|
||||
"suite": "runtime_hotspots",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:26:06.920513+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"dataset": {
|
||||
"price_bars": 20000,
|
||||
"iv_bars": 50000,
|
||||
"window": 252
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_zscore",
|
||||
"fast_ms": 36.0643,
|
||||
"reference_ms": 908.5403,
|
||||
"speedup_vs_reference": 25.1922,
|
||||
"share_of_suite_pct": 77.2
|
||||
},
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_percentile",
|
||||
"fast_ms": 7.7548,
|
||||
"reference_ms": 82.2352,
|
||||
"speedup_vs_reference": 10.6045,
|
||||
"share_of_suite_pct": 16.6
|
||||
},
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_rank",
|
||||
"fast_ms": 2.2813,
|
||||
"reference_ms": 202.5375,
|
||||
"speedup_vs_reference": 88.7803,
|
||||
"share_of_suite_pct": 4.88
|
||||
},
|
||||
{
|
||||
"category": "ffi_grouping",
|
||||
"name": "feature_matrix",
|
||||
"fast_ms": 0.2556,
|
||||
"reference_ms": 0.2252,
|
||||
"speedup_vs_reference": 0.8812,
|
||||
"share_of_suite_pct": 0.55
|
||||
},
|
||||
{
|
||||
"category": "ffi_grouping",
|
||||
"name": "compute_many_close",
|
||||
"fast_ms": 0.1548,
|
||||
"reference_ms": 0.1508,
|
||||
"speedup_vs_reference": 0.9742,
|
||||
"share_of_suite_pct": 0.33
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "BETA",
|
||||
"fast_ms": 0.0635,
|
||||
"reference_ms": 162.8972,
|
||||
"speedup_vs_reference": 2563.6148,
|
||||
"share_of_suite_pct": 0.14
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "CORREL",
|
||||
"fast_ms": 0.0552,
|
||||
"reference_ms": 163.1357,
|
||||
"speedup_vs_reference": 2952.6826,
|
||||
"share_of_suite_pct": 0.12
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "LINEARREG",
|
||||
"fast_ms": 0.0416,
|
||||
"reference_ms": 48.0097,
|
||||
"speedup_vs_reference": 1153.3863,
|
||||
"share_of_suite_pct": 0.09
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "TSF",
|
||||
"fast_ms": 0.0415,
|
||||
"reference_ms": 47.9395,
|
||||
"speedup_vs_reference": 1155.1696,
|
||||
"share_of_suite_pct": 0.09
|
||||
}
|
||||
]
|
||||
},
|
||||
"simd_release": {
|
||||
"metadata": {
|
||||
"suite": "runtime_hotspots",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:26:25.789478+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"dataset": {
|
||||
"price_bars": 20000,
|
||||
"iv_bars": 50000,
|
||||
"window": 252
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_zscore",
|
||||
"fast_ms": 37.2041,
|
||||
"reference_ms": 930.7842,
|
||||
"speedup_vs_reference": 25.0183,
|
||||
"share_of_suite_pct": 76.81
|
||||
},
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_percentile",
|
||||
"fast_ms": 8.1565,
|
||||
"reference_ms": 88.3639,
|
||||
"speedup_vs_reference": 10.8336,
|
||||
"share_of_suite_pct": 16.84
|
||||
},
|
||||
{
|
||||
"category": "python_analysis",
|
||||
"name": "iv_rank",
|
||||
"fast_ms": 2.4386,
|
||||
"reference_ms": 221.0389,
|
||||
"speedup_vs_reference": 90.6424,
|
||||
"share_of_suite_pct": 5.03
|
||||
},
|
||||
{
|
||||
"category": "ffi_grouping",
|
||||
"name": "feature_matrix",
|
||||
"fast_ms": 0.2667,
|
||||
"reference_ms": 0.2436,
|
||||
"speedup_vs_reference": 0.9134,
|
||||
"share_of_suite_pct": 0.55
|
||||
},
|
||||
{
|
||||
"category": "ffi_grouping",
|
||||
"name": "compute_many_close",
|
||||
"fast_ms": 0.1572,
|
||||
"reference_ms": 0.1593,
|
||||
"speedup_vs_reference": 1.0135,
|
||||
"share_of_suite_pct": 0.32
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "BETA",
|
||||
"fast_ms": 0.0636,
|
||||
"reference_ms": 172.9198,
|
||||
"speedup_vs_reference": 2717.7961,
|
||||
"share_of_suite_pct": 0.13
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "CORREL",
|
||||
"fast_ms": 0.0633,
|
||||
"reference_ms": 170.0262,
|
||||
"speedup_vs_reference": 2686.3776,
|
||||
"share_of_suite_pct": 0.13
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "LINEARREG",
|
||||
"fast_ms": 0.0443,
|
||||
"reference_ms": 50.5614,
|
||||
"speedup_vs_reference": 1141.5474,
|
||||
"share_of_suite_pct": 0.09
|
||||
},
|
||||
{
|
||||
"category": "rust_kernel",
|
||||
"name": "TSF",
|
||||
"fast_ms": 0.0417,
|
||||
"reference_ms": 50.9599,
|
||||
"speedup_vs_reference": 1221.8259,
|
||||
"share_of_suite_pct": 0.09
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,73 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "streaming",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:25:58.628657+00:00",
|
||||
"python_version": "3.13.5",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit-Mach-O",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "9011250f992119170242cf17a67834c67b91bcdb",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"dataset": {
|
||||
"n_bars": 100000,
|
||||
"seed": 2026
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"indicator": "StreamingSMA",
|
||||
"inputs": "close",
|
||||
"stream_total_ms": 4.5729,
|
||||
"batch_total_ms": 0.0685,
|
||||
"stream_ns_per_update": 45.73,
|
||||
"batch_ns_per_bar": 0.68,
|
||||
"updates_per_second": 21867879.95,
|
||||
"stream_over_batch_ratio": 66.7989
|
||||
},
|
||||
{
|
||||
"indicator": "StreamingEMA",
|
||||
"inputs": "close",
|
||||
"stream_total_ms": 4.535,
|
||||
"batch_total_ms": 0.1969,
|
||||
"stream_ns_per_update": 45.35,
|
||||
"batch_ns_per_bar": 1.97,
|
||||
"updates_per_second": 22050716.65,
|
||||
"stream_over_batch_ratio": 23.0301
|
||||
},
|
||||
{
|
||||
"indicator": "StreamingRSI",
|
||||
"inputs": "close",
|
||||
"stream_total_ms": 4.6421,
|
||||
"batch_total_ms": 0.4597,
|
||||
"stream_ns_per_update": 46.42,
|
||||
"batch_ns_per_bar": 4.6,
|
||||
"updates_per_second": 21541858.52,
|
||||
"stream_over_batch_ratio": 10.098
|
||||
},
|
||||
{
|
||||
"indicator": "StreamingATR",
|
||||
"inputs": "hlc",
|
||||
"stream_total_ms": 10.2098,
|
||||
"batch_total_ms": 0.4599,
|
||||
"stream_ns_per_update": 102.1,
|
||||
"batch_ns_per_bar": 4.6,
|
||||
"updates_per_second": 9794518.83,
|
||||
"stream_over_batch_ratio": 22.2012
|
||||
},
|
||||
{
|
||||
"indicator": "StreamingVWAP",
|
||||
"inputs": "hlcv",
|
||||
"stream_total_ms": 12.5109,
|
||||
"batch_total_ms": 0.1027,
|
||||
"stream_ns_per_update": 125.11,
|
||||
"batch_ns_per_bar": 1.03,
|
||||
"updates_per_second": 7993046.05,
|
||||
"stream_over_batch_ratio": 121.7603
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,46 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "wasm",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T20:15:04.885Z",
|
||||
"node_version": "v25.8.1",
|
||||
"platform": "darwin",
|
||||
"arch": "arm64"
|
||||
},
|
||||
"dataset": {
|
||||
"bars": 100000
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"indicator": "SMA",
|
||||
"elapsed_ms": 0.1702,
|
||||
"ns_per_bar": 1.7,
|
||||
"million_bars_per_second": 587.52
|
||||
},
|
||||
{
|
||||
"indicator": "EMA",
|
||||
"elapsed_ms": 0.2923,
|
||||
"ns_per_bar": 2.92,
|
||||
"million_bars_per_second": 342.08
|
||||
},
|
||||
{
|
||||
"indicator": "RSI",
|
||||
"elapsed_ms": 0.5962,
|
||||
"ns_per_bar": 5.96,
|
||||
"million_bars_per_second": 167.73
|
||||
},
|
||||
{
|
||||
"indicator": "ATR",
|
||||
"elapsed_ms": 0.642,
|
||||
"ns_per_bar": 6.42,
|
||||
"million_bars_per_second": 155.75
|
||||
},
|
||||
{
|
||||
"indicator": "BBANDS",
|
||||
"elapsed_ms": 1.7411,
|
||||
"ns_per_bar": 17.41,
|
||||
"million_bars_per_second": 57.43
|
||||
}
|
||||
]
|
||||
}
|
||||
Reference in New Issue
Block a user