perf: bit-exact batch fast paths + streaming-first benchmark docs (#202)

## Summary
- Dedicated batch fast paths for **EMA, RSI, Bollinger, MACD and ATR** (used by the Python bindings): one allocation filled in a single pass, warmup encoded as `NaN`, no per-element `Option` or input re-validation. Each is **bit-for-bit equal** to replaying `update` — SMA/Bollinger keep the drift-reseed cadence, the EMA-family keep the seed division and `mul_add` recurrences. Adds the `BatchNanExt` extension trait.
- **Cross-library benchmark refresh**: `compare_libraries.py` reports the median across timing rounds (`--rounds` / `--streaming-rounds`), gains `--skip-batch` / `--skip-streaming`, and runs every peer through the streaming arena (recompute for batch-only libraries). `wickra-bench` drives the batch fast paths against `kand`.
- **README** benchmark section reordered streaming-first (the order-of-magnitude result), with measured TA-Lib/tulipy/pandas-ta numbers in place of the CI-only placeholders.

## Impact
- Python batch ~2× faster on EMA/RSI/MACD/ATR; streaming path unchanged.
- The `batch == streaming` equivalence stays bit-exact.

## Verification
- `cargo fmt` · `cargo clippy --workspace --all-targets --all-features -- -D warnings` (clean)
- `cargo test --workspace --all-features` — 3782 unit + 420 doc tests pass
- Python `pytest` — streaming-vs-batch, known-values, input-validation, smoke pass

## Notes
- Node/WASM bindings keep their existing batch; the fast paths are Python-only for now.
This commit is contained in:
kingchenc
2026-06-08 00:17:58 +02:00
committed by GitHub
parent e97c3389fe
commit 05fe7ffa90
14 changed files with 1400 additions and 296 deletions
+136
View File
@@ -75,6 +75,67 @@ impl Atr {
None
}
}
/// Vectorized batch over raw high/low/close columns: one `f64` per bar
/// (`NaN` during warmup). The caller guarantees the three slices are equal
/// length and finite with valid OHLC ordering (the binding validates once up
/// front); ATR only reads high, low and the previous close.
///
/// For a fresh indicator long enough to seed (`n >= period`) it runs the
/// true-range seed once and then the bare Wilder recurrence in a tight loop —
/// no per-bar `Candle` construction/validation, no `Option`, identical
/// division at the seed and `mul_add` afterwards, so the result is
/// *bit-for-bit* equal to replaying `update` over the same candles. Shorter
/// or non-fresh inputs defer to an exact `update` replay.
pub fn batch_atr(&mut self, high: &[f64], low: &[f64], close: &[f64]) -> Vec<f64> {
let p = self.period;
let n = high.len();
if self.seeded || !self.seed_buf.is_empty() || self.prev_close.is_some() || n < p {
let mut out = vec![f64::NAN; n];
for i in 0..n {
let candle = Candle::new_unchecked(close[i], high[i], low[i], close[i], 0.0, 0);
if let Some(v) = self.update(candle) {
out[i] = v;
}
}
return out;
}
// Warmup `[0, p-1)` is `NaN`; the first ATR is emitted at index `p - 1`.
let mut out = vec![f64::NAN; p - 1];
out.reserve(n - (p - 1));
// Seed: mean of the first `period` true ranges. TR₀ has no previous close.
let mut prev_close = close[0];
let mut sum_tr = high[0] - low[0];
self.seed_buf.push(sum_tr);
for i in 1..p {
let (h, l) = (high[i], low[i]);
let tr = (h - l)
.max((h - prev_close).abs())
.max((l - prev_close).abs());
prev_close = close[i];
self.seed_buf.push(tr);
sum_tr += tr;
}
let mut avg = sum_tr / p as f64;
out.push(avg);
// Steady state: Wilder smoothing, reciprocal hoisted out of the loop.
for i in p..n {
let (h, l) = (high[i], low[i]);
let tr = (h - l)
.max((h - prev_close).abs())
.max((l - prev_close).abs());
prev_close = close[i];
avg = avg.mul_add(self.n_minus_1, tr) * self.inv_period;
out.push(avg);
}
// Leave state where a full `update` replay would (seeded; seed_buf retained).
self.prev_close = Some(prev_close);
self.avg = avg;
self.seeded = true;
out
}
}
impl Indicator for Atr {
@@ -266,6 +327,81 @@ mod tests {
}
}
fn bits_eq(a: &[f64], b: &[f64]) -> bool {
a.len() == b.len()
&& a.iter()
.zip(b)
.all(|(x, y)| x == y || (x.is_nan() && y.is_nan()))
}
fn atr_replay(period: usize, high: &[f64], low: &[f64], close: &[f64]) -> Vec<f64> {
let mut a = Atr::new(period).unwrap();
(0..high.len())
.map(|i| {
let candle = Candle::new_unchecked(close[i], high[i], low[i], close[i], 0.0, 0);
a.update(candle).unwrap_or(f64::NAN)
})
.collect()
}
/// Valid OHLC columns from a wandering base price.
fn columns(n: usize) -> (Vec<f64>, Vec<f64>, Vec<f64>) {
let base: Vec<f64> = (0..n)
.map(|i| (f64::from(u32::try_from(i).unwrap()) * 0.3).sin() * 5.0 + 100.0)
.collect();
let high = base.iter().map(|b| b + 1.0).collect();
let low = base.iter().map(|b| b - 1.0).collect();
(high, low, base)
}
#[test]
fn batch_atr_fast_path_is_bit_identical() {
let (high, low, close) = columns(300);
let mut atr = Atr::new(14).unwrap();
let got = atr.batch_atr(&high, &low, &close);
assert!(bits_eq(&got, &atr_replay(14, &high, &low, &close)));
let mut ref_atr = Atr::new(14).unwrap();
for i in 0..high.len() {
ref_atr.update(Candle::new_unchecked(
close[i], high[i], low[i], close[i], 0.0, 0,
));
}
let next = Candle::new_unchecked(101.0, 102.0, 100.0, 101.0, 0.0, 0);
assert_eq!(atr.update(next), ref_atr.update(next));
}
#[test]
fn batch_atr_falls_back_when_not_fresh() {
let (high, low, close) = columns(40);
let mut atr = Atr::new(14).unwrap();
atr.update(Candle::new_unchecked(
close[0], high[0], low[0], close[0], 0.0, 0,
));
let mut ref_atr = Atr::new(14).unwrap();
ref_atr.update(Candle::new_unchecked(
close[0], high[0], low[0], close[0], 0.0, 0,
));
let want: Vec<f64> = (0..high.len())
.map(|i| {
ref_atr
.update(Candle::new_unchecked(
close[i], high[i], low[i], close[i], 0.0, 0,
))
.unwrap_or(f64::NAN)
})
.collect();
assert!(bits_eq(&atr.batch_atr(&high, &low, &close), &want));
}
#[test]
fn batch_atr_sub_period_slice_falls_back() {
let (high, low, close) = columns(5);
let mut atr = Atr::new(14).unwrap();
let got = atr.batch_atr(&high, &low, &close);
assert!(bits_eq(&got, &atr_replay(14, &high, &low, &close)));
assert!(got.iter().all(|x| x.is_nan()));
}
proptest::proptest! {
#![proptest_config(proptest::test_runner::Config::with_cases(48))]
#[test]