48 lines
1.2 KiB
C#
48 lines
1.2 KiB
C#
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using System.Diagnostics;
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using Wickra;
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using Wickra.Examples;
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// Run SMA(20) batch over a panel of assets, serial vs Parallel.For, and report the speedup.
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var assets = args.Length > 0 ? int.Parse(args[0]) : 500;
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var bars = args.Length > 1 ? int.Parse(args[1]) : 20_000;
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var panel = new double[assets][];
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for (var a = 0; a < assets; a++)
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{
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panel[a] = MarketData.SyntheticPrices(bars, start: 50.0 + a * 0.1);
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}
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// Warm up the JIT and thread pool so the comparison is fair.
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using (var warm = new Sma(20))
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{
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warm.Batch(panel[0]);
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}
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var sink = 0.0;
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var sw = Stopwatch.StartNew();
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for (var a = 0; a < assets; a++)
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{
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using var sma = new Sma(20);
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var result = sma.Batch(panel[a]);
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sink += result[^1];
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}
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sw.Stop();
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var serialMs = sw.Elapsed.TotalMilliseconds;
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var lasts = new double[assets];
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sw.Restart();
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Parallel.For(0, assets, a =>
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{
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using var sma = new Sma(20);
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var result = sma.Batch(panel[a]);
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lasts[a] = result[^1];
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});
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sw.Stop();
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var parallelMs = sw.Elapsed.TotalMilliseconds;
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Console.WriteLine($"{assets} assets x {bars} bars, SMA(20) batch:");
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Console.WriteLine($" serial {serialMs,8:F1} ms");
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Console.WriteLine($" parallel {parallelMs,8:F1} ms ({serialMs / Math.Max(parallelMs, 1e-9):F1}x speedup)");
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GC.KeepAlive(sink);
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