81 lines
1.7 KiB
Go
81 lines
1.7 KiB
Go
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// Run SMA(20) batch over a panel of assets, serial vs goroutine fan-out, and
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// report the speedup.
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package main
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import (
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"fmt"
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"os"
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"runtime"
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"strconv"
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"sync"
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"time"
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wickra "github.com/wickra-lib/wickra/bindings/go"
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"github.com/wickra-lib/wickra/examples/go/internal/market"
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)
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func main() {
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assets := argInt(1, 500)
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bars := argInt(2, 20_000)
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panel := make([][]float64, assets)
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for a := 0; a < assets; a++ {
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panel[a] = market.SyntheticPricesFrom(bars, 50.0+float64(a)*0.1)
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}
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// Warm up so the comparison is fair.
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if warm, err := wickra.NewSma(20); err == nil {
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warm.Batch(panel[0])
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warm.Close()
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}
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sink := 0.0
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start := time.Now()
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for a := 0; a < assets; a++ {
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sma, _ := wickra.NewSma(20)
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result := sma.Batch(panel[a])
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sma.Close()
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sink += result[len(result)-1]
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}
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serial := time.Since(start)
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lasts := make([]float64, assets)
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start = time.Now()
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var wg sync.WaitGroup
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work := make(chan int, assets)
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for w := 0; w < runtime.GOMAXPROCS(0); w++ {
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wg.Add(1)
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go func() {
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defer wg.Done()
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for a := range work {
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sma, _ := wickra.NewSma(20)
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result := sma.Batch(panel[a])
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sma.Close()
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lasts[a] = result[len(result)-1]
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}
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}()
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}
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for a := 0; a < assets; a++ {
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work <- a
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}
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close(work)
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wg.Wait()
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parallel := time.Since(start)
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serialMs := float64(serial.Microseconds()) / 1000.0
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parallelMs := float64(parallel.Microseconds()) / 1000.0
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fmt.Printf("%d assets x %d bars, SMA(20) batch:\n", assets, bars)
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fmt.Printf(" serial %8.1f ms\n", serialMs)
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fmt.Printf(" parallel %8.1f ms (%.1fx speedup)\n", parallelMs, serialMs/max(parallelMs, 1e-9))
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_ = sink
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}
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func argInt(i, def int) int {
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if len(os.Args) > i {
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if v, err := strconv.Atoi(os.Args[i]); err == nil {
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return v
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}
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}
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return def
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}
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