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
+129
View File
@@ -81,6 +81,76 @@ impl Rsi {
self.last_value
}
/// Vectorized batch returning one `f64` per input (`NaN` during warmup).
///
/// Shadows the generic [`BatchNanExt::batch_nan`](crate::BatchNanExt) blanket
/// default. RSI is a recursive (IIR) filter — Wilder smoothing — so it cannot
/// be SIMD-vectorized any more than the C peers manage; the win is purely in
/// stripping per-tick overhead. For a fresh indicator over an all-finite slice
/// long enough to seed (`n > period`) it runs the seed once and then the bare
/// smoothing recurrence in a tight loop with no per-tick `is_finite`/`has_prev`/
/// `avgs_seeded` branch and no `Option`, using the identical division at the
/// seed and `mul_add`/`rsi_from_avgs` afterwards — so it is *bit-for-bit* equal
/// to replaying `update`. Shorter or non-fresh/non-finite inputs defer to the
/// exact `update` replay.
pub fn batch_nan(&mut self, inputs: &[f64]) -> Vec<f64> {
let p = self.period;
let n = inputs.len();
if self.has_prev
|| self.avgs_seeded
|| !self.seed_buf_gains.is_empty()
|| n <= p
|| !inputs.iter().all(|x| x.is_finite())
{
return inputs
.iter()
.map(|&x| self.update(x).unwrap_or(f64::NAN))
.collect();
}
// Warmup `[0, p)` is `NaN`; outputs from index `p` on are pushed once each.
let mut out = vec![f64::NAN; p];
out.reserve(n - p);
// Seed from the first `period` diffs (inputs[1..=p]); index 0 only sets the
// baseline. Retain the seed gains/losses exactly as `update` leaves them.
let mut prev = inputs[0];
let (mut sum_gain, mut sum_loss) = (0.0_f64, 0.0_f64);
for &x in &inputs[1..=p] {
let diff = x - prev;
prev = x;
let gain = if diff > 0.0 { diff } else { 0.0 };
let loss = if diff < 0.0 { -diff } else { 0.0 };
self.seed_buf_gains.push(gain);
self.seed_buf_losses.push(loss);
sum_gain += gain;
sum_loss += loss;
}
let p_f64 = p as f64;
let mut ag = sum_gain / p_f64;
let mut al = sum_loss / p_f64;
out.push(Self::rsi_from_avgs(ag, al));
// Steady state: Wilder smoothing, reciprocal hoisted, one `rsi_from_avgs`.
for &x in &inputs[p + 1..] {
let diff = x - prev;
prev = x;
let gain = if diff > 0.0 { diff } else { 0.0 };
let loss = if diff < 0.0 { -diff } else { 0.0 };
ag = ag.mul_add(self.n_minus_1, gain) * self.inv_period;
al = al.mul_add(self.n_minus_1, loss) * self.inv_period;
out.push(Self::rsi_from_avgs(ag, al));
}
// Leave state where a full `update` replay would.
self.prev_close = prev;
self.has_prev = true;
self.avg_gain = ag;
self.avg_loss = al;
self.avgs_seeded = true;
self.last_value = Some(out[n - 1]);
out
}
fn rsi_from_avgs(avg_gain: f64, avg_loss: f64) -> f64 {
// Algebraically `100 - 100/(1 + ag/al)` collapses to `100·ag/(ag+al)`,
// which needs a single division instead of two and removes the separate
@@ -376,6 +446,65 @@ mod tests {
assert_eq!(rsi.value(), before);
}
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 rsi_replay(period: usize, series: &[f64]) -> Vec<f64> {
let mut r = Rsi::new(period).unwrap();
series
.iter()
.map(|&x| r.update(x).unwrap_or(f64::NAN))
.collect()
}
#[test]
fn batch_nan_fast_path_is_bit_identical() {
let series: Vec<f64> = (0..300)
.map(|i| (f64::from(i) * 0.3).sin() * 5.0 + f64::from(i) * 0.1 + 100.0)
.collect();
let mut rsi = Rsi::new(14).unwrap();
let got = rsi.batch_nan(&series);
assert!(bits_eq(&got, &rsi_replay(14, &series)));
let mut ref_rsi = Rsi::new(14).unwrap();
for &x in &series {
ref_rsi.update(x);
}
assert_eq!(rsi.update(123.0), ref_rsi.update(123.0));
}
#[test]
fn batch_nan_falls_back_on_non_finite() {
let series = [10.0, 11.0, 9.0, f64::NAN, 12.0, 13.0, 8.0];
let mut rsi = Rsi::new(3).unwrap();
assert!(bits_eq(&rsi.batch_nan(&series), &rsi_replay(3, &series)));
}
#[test]
fn batch_nan_falls_back_when_not_fresh() {
let mut rsi = Rsi::new(3).unwrap();
rsi.update(50.0);
let series = [51.0, 49.0, 52.0, 53.0, 50.0];
let mut ref_rsi = Rsi::new(3).unwrap();
ref_rsi.update(50.0);
let want: Vec<f64> = series
.iter()
.map(|&x| ref_rsi.update(x).unwrap_or(f64::NAN))
.collect();
assert!(bits_eq(&rsi.batch_nan(&series), &want));
}
#[test]
fn batch_nan_too_short_to_seed_falls_back() {
// n <= period: routed to the exact replay (cannot seed yet).
let series = [10.0, 11.0, 12.0];
let mut rsi = Rsi::new(3).unwrap();
assert!(bits_eq(&rsi.batch_nan(&series), &rsi_replay(3, &series)));
}
proptest::proptest! {
#![proptest_config(proptest::test_runner::Config::with_cases(48))]
#[test]