my-python-backteat/ferro-ta-main/docs/performance.md

# Performance Guide

This document explains the performance characteristics of **ferro-ta** and gives
practical advice on how to get the best speed from the library.

---

## Quick Summary

| Use case                              | Recommended API                        | Notes                                  |
|---------------------------------------|----------------------------------------|----------------------------------------|
| Fast path — NumPy arrays              | Pass `np.ndarray` (float64, C-order)   | Zero overhead; no conversion needed   |
| pandas users                          | Pass `pd.Series`; result is `pd.Series`| Small overhead for index wrapping      |
| 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
inputs/results and methodology, use [benchmarks/README.md](../benchmarks/README.md)
and regenerate with `python benchmarks/bench_vs_talib.py --json benchmark_vs_talib.json`.

---

## The Rust Core Is Fast; Overhead Is in Python

The Rust extension (`_ferro_ta`) is compiled with full optimisations and is very
fast.  The bottlenecks for most users are in the Python wrapping layer:

1. **Array conversion** — `_to_f64` converts any array-like to a contiguous
   `float64` NumPy array.  If your input is already a C-contiguous `float64`
   ndarray the fast path returns it without any copy or allocation.

2. **pandas wrapping** — `pandas_wrap` extracts the NumPy array from a
   `pd.Series`, calls the Rust function, and wraps the result back into a
   `pd.Series` with the original index.  The wrapping itself is cheap but adds
   a small constant overhead per call.

3. **polars wrapping** — `polars_wrap` converts a `pl.Series` to NumPy and back.
   The result is now built from the NumPy buffer directly (`pl.Series(name,
   np.asarray(result))`), which avoids the O(n) `.tolist()` conversion of
   earlier versions.

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.

---

## The Fast Path: Pass Contiguous float64 NumPy Arrays

The cheapest way to call any indicator is to pass a C-contiguous `float64`
NumPy array.  `_to_f64` detects this case and returns the array as-is:

```python
import numpy as np
from ferro_ta import SMA

# Already float64 and C-contiguous — _to_f64 is a no-op (zero copy)
close = np.random.rand(10_000).astype(np.float64)
result = SMA(close, timeperiod=20)
```

If your array is in a different dtype or order, `_to_f64` will create a new
array.  You can force the fast path once and reuse the result:

```python
close_f64 = np.ascontiguousarray(close, dtype=np.float64)  # one-time conversion
result = SMA(close_f64, timeperiod=20)  # no copy inside _to_f64
```

---

## Raw Numpy-Only API (No Wrapper Overhead)

If you want zero Python overhead — no pandas/polars wrapping, no validation —
you can import functions directly from the compiled extension:

```python
from ferro_ta._ferro_ta import sma, ema, rsi  # raw Rust functions

import numpy as np
close = np.random.rand(10_000).astype(np.float64)
result = sma(close, 20)   # returns a NumPy array (PyArray1<f64> from PyO3)
```

> **Warning:** The raw `_ferro_ta` API is internal and may change between
> versions.  It does *not* validate inputs — passing an empty array or a wrong
> type will raise an obscure error from PyO3.  Use it only if you have
> profiled a bottleneck and need the absolute minimum overhead.

For a stable raw API with the same functions, use the `ferro_ta.raw` submodule
(no pandas/polars wrapping or validation).

---

## pandas Series

```python
import pandas as pd
from ferro_ta import SMA

s = pd.Series([1.0, 2.0, 3.0, 4.0, 5.0], index=pd.date_range("2024-01-01", periods=5))
result = SMA(s, timeperiod=3)
# result is a pd.Series with the same DatetimeIndex
```

Overhead compared to a raw numpy call: one `pd.Series.to_numpy()` call (cheap)
plus one `pd.Series(result, index=...)` call (cheap).  For large arrays this
is negligible; for very tight loops (millions of calls per second) prefer numpy.

---

## polars Series

```python
import polars as pl
from ferro_ta import SMA

s = pl.Series("close", [1.0, 2.0, 3.0, 4.0, 5.0])
result = SMA(s, timeperiod=3)
# result is a pl.Series named "close"
```

Overhead: one `.cast(Float64).to_numpy()` call plus one `pl.Series(name,
np.asarray(result))` call.  The result is built from the numpy buffer
(zero-copy where polars allows it) rather than going through `.tolist()`.

---

## Batch Execution

Use the batch API when you have many series (e.g., one column per symbol):

```python
import numpy as np
from ferro_ta.batch import batch_sma, batch_ema, batch_rsi, batch_apply

data = np.random.rand(252, 500).astype(np.float64)   # 252 bars × 500 symbols
sma_out = batch_sma(data, timeperiod=20)              # shape (252, 500)
rsi_out = batch_rsi(data, timeperiod=14)
```

`batch_apply` lets you run any indicator on a 2-D array:

```python
from ferro_ta import ATR
from ferro_ta.batch import batch_apply

ohlcv = np.random.rand(252, 100, 3).astype(np.float64)  # not directly supported
# For indicators that take multiple arrays use a manual loop instead
```

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)

```python
from ferro_ta.streaming import StreamingSMA

sma = StreamingSMA(period=20)
for bar in live_feed:
    value = sma.update(bar.close)
    if value is not None:
        print(f"SMA(20) = {value:.4f}")
```

The streaming classes are implemented in Rust (PyO3 `#[pyclass]` in
`_ferro_ta`) and re-exported from `ferro_ta.streaming`.  They are suitable for
live trading at typical bar rates with minimal Python overhead.

---

## Extended Indicators

`VWAP`, `SUPERTREND`, `ICHIMOKU`, `DONCHIAN`, `PIVOT_POINTS`, `KELTNER_CHANNELS`,
`HULL_MA`, `CHANDELIER_EXIT`, `VWMA`, and `CHOPPINESS_INDEX` are implemented in
Rust (`src/extended/mod.rs`).  The Python module `ferro_ta/extended.py` is a thin
wrapper with validation and `_to_f64`; all computation runs in the extension.

---

## Tips for Best Performance

1. **Pre-convert once.** If you call multiple indicators on the same array,
   convert it to `float64` + C-contiguous once:
   ```python
   close = np.ascontiguousarray(raw_close, dtype=np.float64)
   ```

2. **Avoid repeated dtype conversions.** Passing a `float32` or `int` array
   triggers a copy every call.

3. **Use batch functions for multiple symbols.** For SMA, EMA, and RSI use
   `batch_sma`/`batch_ema`/`batch_rsi` (Rust-side loop, single GIL release).
   The generic `batch_apply` runs a Python loop over columns; use it only for
   indicators that do not have a dedicated Rust batch.

4. **Avoid wrapping in very tight loops.** If you call an indicator millions
   of times per second (e.g., in a simulation) use the raw `_ferro_ta` API
   and manage conversion yourself.

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.

## Backtesting Performance

ferro-ta's backtesting engine is the fastest in the Python ecosystem for
vectorized single- and multi-asset scenarios.

| Library | 100k bars | vs ferro-ta |
|---------|-----------|-------------|
| ferro-ta `backtest_core` | **0.29 ms** | — |
| ferro-ta `backtest_ohlcv_core` | **0.33 ms** | ~same |
| NumPy vectorized | 0.46 ms | 1.6× slower |
| vectorbt | 2.90 ms | 10× slower |
| backtesting.py | 319 ms | 1,117× slower |
| backtrader | ~50,000 ms (est.) | >15,000× slower |

Additional capabilities measured at 100k bars:

| Capability | Time |
|---|---|
| Monte Carlo 1,000 sims (parallel) | 50 ms — 12× faster than NumPy loop |
| 23 performance metrics | 2.8 ms (0.12 ms/metric) |
| Multi-asset 100 symbols, parallel | 43 ms — 2× vs serial |
| Walk-forward index generation | 0.3 µs |

## 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/bench_backtest.py --json bench_backtest_results.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)

The following improvements are already in place. See
[docs/plans/2026-03-08-production-grade.md](plans/2026-03-08-production-grade.md)
for history and commits.

| Area        | Improvement                                                    | Where |
|-------------|----------------------------------------------------------------|-------|
| **Utils**   | `_to_f64` fast path: no copy for 1-D C-contiguous float64      | `python/ferro_ta/_utils.py` (lines 34–39) |
| **Utils**   | Polars result: `pl.Series(name, result)` from NumPy buffer (no `.tolist()`) | `python/ferro_ta/_utils.py` (e.g. 254–258) |
| **Raw API** | `ferro_ta.raw` — bypass pandas/polars and validation             | `python/ferro_ta/raw.py` |
| **Batch**   | Rust batch for SMA/EMA/RSI — single GIL release for 2-D        | `src/batch/mod.rs`, `python/ferro_ta/batch.py` |
| **Streaming** | All streaming classes in Rust (PyO3)                          | `src/streaming/mod.rs` |
| **Extended** | All extended indicators (incl. SUPERTREND) in Rust            | `src/extended/mod.rs`, `python/ferro_ta/extended.py` wraps Rust |

---

## Known Bottlenecks and Possible Improvements

Maintainer-facing list of slower paths and optional improvements. Update as
bottlenecks are fixed or deferred.

**Backtest** (`python/ferro_ta/analysis/backtest.py`):
- Core signal→equity loop is fully in Rust (`backtest_core`, `backtest_ohlcv_core`).
- Commission and slippage applied inside Rust; no Python loop on the hot path.
- `compute_performance_metrics` computes all 23 metrics in a single Rust pass.
- Monte Carlo runs in parallel Rayon threads with LCG seeding (GIL released).

**Batch** (`python/ferro_ta/batch.py`):
- `batch_apply` runs a Python loop over columns (one Python call per column).
  Use `batch_sma`/`batch_ema`/`batch_rsi` when possible.
- No fast path for already 2-D C-contiguous float64 in batch_sma/ema/rsi
  (unlike `_to_f64` for 1-D); could avoid a potential copy.

**Derivatives analytics** (`python/ferro_ta/analysis/options.py`):
- `iv_rank`, `iv_percentile`, and `iv_zscore` now delegate to Rust.
- The Python layer mostly performs broadcasting and result shaping; the hot
  path is in Rust.
- Model-based implied-volatility inversion is much faster now, but still more
  expensive than direct pricing or Greeks due to root-finding.

**Features** (`python/ferro_ta/features.py`):
- `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")` 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.
- **gpu.py**: Fallback SMA/EMA/RSI use Python loops when GPU is not used.
- **tools.py / viz.py**: `.tolist()` for JSON/Plotly; acceptable for I/O.
- **Validation**: `check_equal_length`, `check_timeperiod` run in Python;
  cost is small; moving to Rust is deferred (see production-grade plan).
- **pandas_wrap / polars_wrap**: Per-call overhead; use `ferro_ta.raw` when
  minimising overhead.

---

## Benchmarking and comparison

For cross-library speed, run:
`pytest benchmarks/test_speed.py --benchmark-only --benchmark-json=benchmarks/results.json`.

To convert benchmark JSON into a markdown table:
`python benchmarks/benchmark_table.py`.

For focused TA-Lib comparison on the same data/parameters, run
`python benchmarks/bench_vs_talib.py` (requires `pip install ta-lib`).
Results are reported as speedup = TA-Lib time / ferro_ta time (values &gt; 1 mean
ferro_ta is faster). Speedup depends on indicator and data size.

---

## Related Documents

- [`docs/architecture.md`](architecture.md) — how the Rust/Python layers are
  organised and how they communicate.
- [`benchmarks/test_speed.py`](../benchmarks/test_speed.py) —
  Authoritative cross-library speed benchmarks (pytest-benchmark).
- [`benchmarks/benchmark_table.py`](../benchmarks/benchmark_table.py) —
  Render speed tables from `benchmarks/results.json`.
- [`crates/ferro_ta_core/benches/indicators.rs`](../crates/ferro_ta_core/benches/indicators.rs) —
  Rust Criterion benchmarks for the pure core (run with `cargo bench -p ferro_ta_core`).
- [`benchmarks/bench_vs_talib.py`](../benchmarks/bench_vs_talib.py) — speed comparison vs
  TA-Lib (same data and parameters); run with `python benchmarks/bench_vs_talib.py` (requires
  `ta-lib`). See README “Performance vs TA-Lib” for methodology and a comparison table.
- [`benchmarks/check_vs_talib_regression.py`](../benchmarks/check_vs_talib_regression.py) —
  CI guardrail script for detecting severe benchmark regressions from JSON artifacts.