Honest tiered cross-library benchmark + streaming/batch perf (#186)

## Summary

An honest, tiered cross-library benchmark — and the optimization pass it triggered.

### Performance (wickra-core, outputs unchanged)
Profiling against the other Rust TA crates exposed real inefficiencies. Each
benchmarked indicator is now **5–79% faster** in both streaming and batch:

- **SMA, Bollinger**: flat `Box<[f64]>` ring buffers replace `VecDeque` (−69…79%).
- **RSI**: `100·ag/(ag+al)` collapses three divisions into one; Wilder smoothing
  hoists `1/period` out of the hot path (−46%).
- **ATR**: reciprocal hoisted (−42%).
- **EMA/RSI/ATR**: per-tick `Option<f64>` hot state → bare `f64` + ready flag.

Net result vs `kand`: Wickra now wins **RSI, Bollinger and ATR** (streaming), and
ties `ta-rs` on SMA — up from losing every indicator 1.5–6× before.

### Benchmark harness
New `crates/wickra-bench` (publish=false): a Criterion benchmark comparing Wickra
against `kand`, `ta-rs` and `yata` on an identical BTCUSDT candle series, in
streaming and batch modes. Peer APIs were verified against their source, not
guessed. Wired into the nightly `cross-library-bench` workflow as a separate job.

### Honest README
The benchmark section is rewritten into three layered tables (Rust core vs Rust
crates; Python vs the Python ecosystem) that **show the losses as well as the
wins**. The "only library that combines…" claim is gone; the new framing is
breadth + multi-language reach + the deliberate safety trade-off that costs raw
speed. Added an origin/why-slower rationale and a star CTA.

### Python benchmark
Added `tulipy` runners and expanded per-tick streaming coverage to SMA/EMA/RSI/
MACD/Bollinger. `bench.in`/`bench.txt` now lock `TA-Lib` + `tulipy` (hash-pinned);
`pandas-ta` stays out (it requires Python ≥ 3.12, the bench runs on 3.11).

### Notes
- TA-Lib/tulipy numbers in the README Python table are marked ⧗ — they are
  produced by the CI Linux job (C extensions don't build cleanly on every
  desktop), not measured locally.
- The matching `wickra-docs` prose update is committed separately and will be
  pushed with the release, per the docs-don't-lead-the-registries rule.

Verified locally: `cargo fmt`, `cargo test --workspace --all-features` (3413 core
+ bindings), `cargo clippy --workspace --all-targets --all-features -D warnings`,
Node build + 498 tests, and pytest all green.
This commit is contained in:
kingchenc
2026-06-06 20:57:31 +02:00
committed by GitHub
parent d2bc000892
commit aacb9280f1
18 changed files with 1413 additions and 141 deletions
+2
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@@ -5,5 +5,7 @@
maturin
numpy
pandas
TA-Lib
tulipy
talipp
finta
+80
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@@ -1,5 +1,13 @@
# This file was autogenerated by uv via the following command:
# ./scripts/update-lockfiles.sh
build==1.5.0 \
--hash=sha256:13f3eecb844759ab66efec90ca17639bbf14dc06cb2fdf37a9010322d9c50a6f \
--hash=sha256:302c22c3ba2a0fd5f3911918651341ebb3896176cbdec15bd421f80b1afc7647
# via ta-lib
colorama==0.4.6 \
--hash=sha256:08695f5cb7ed6e0531a20572697297273c47b8cae5a63ffc6d6ed5c201be6e44 \
--hash=sha256:4f1d9991f5acc0ca119f9d443620b77f9d6b33703e51011c16baf57afb285fc6
# via build
finta==1.3 \
--hash=sha256:b94b94df311c18bf5402eb2fe8fd2db5e1bdaff08baf58a7367d05c7abdd10d3 \
--hash=sha256:f2fa0673748f4be8f57e57cf6d5c00a4d44bc6071ea69dbb9a1d329d045cbba2
@@ -97,6 +105,12 @@ numpy==2.4.6 \
# -r .github/requirements/bench.in
# finta
# pandas
# ta-lib
# tulipy
packaging==26.2 \
--hash=sha256:5fc45236b9446107ff2415ce77c807cee2862cb6fac22b8a73826d0693b0980e \
--hash=sha256:ff452ff5a3e828ce110190feff1178bb1f2ea2281fa2075aadb987c2fb221661
# via build
pandas==3.0.3 \
--hash=sha256:0383c72c75cdcca61a9e116e611143902dbfd08bff356829c2f6d1cf40a9ca8c \
--hash=sha256:05f1f1752b8533ea03f7f39a9c15b1a058d067bb48f4748948e7a8691e0510f2 \
@@ -149,6 +163,10 @@ pandas==3.0.3 \
# via
# -r .github/requirements/bench.in
# finta
pyproject-hooks==1.2.0 \
--hash=sha256:1e859bd5c40fae9448642dd871adf459e5e2084186e8d2c2a79a824c970da1f8 \
--hash=sha256:9e5c6bfa8dcc30091c74b0cf803c81fdd29d94f01992a7707bc97babb1141913
# via build
python-dateutil==2.9.0.post0 \
--hash=sha256:37dd54208da7e1cd875388217d5e00ebd4179249f90fb72437e91a35459a0ad3 \
--hash=sha256:a8b2bc7bffae282281c8140a97d3aa9c14da0b136dfe83f850eea9a5f7470427
@@ -157,10 +175,72 @@ six==1.17.0 \
--hash=sha256:4721f391ed90541fddacab5acf947aa0d3dc7d27b2e1e8eda2be8970586c3274 \
--hash=sha256:ff70335d468e7eb6ec65b95b99d3a2836546063f63acc5171de367e834932a81
# via python-dateutil
ta-lib==0.6.8 \
--hash=sha256:02388054c059945e5f02625f5075bac20a1803573cb43e7d096091027511961f \
--hash=sha256:094677b279a59c3f01c3aca8a889fda3523fd641a3805f69a2d642121b72e55e \
--hash=sha256:0a08a29690a922ba92a6cf42902a8a93c6fbda4cfed62c3c5b0471560ef60135 \
--hash=sha256:0ccd478ff5735831bf2a61d653466bfda8afadc26ad58ca6b1edb9e7521cc674 \
--hash=sha256:0e371d14b49e70caa973a234c8823341dd446f5c5d7acc826868bb42b272bdc0 \
--hash=sha256:11a373c9308eae3bac2d56d37017f9ab63968cc074a8b95be879aae3d13133aa \
--hash=sha256:128ec92e6a0e9ff7a38edef80e3b74f15bb2ed1c531d5d3252c8dca22677651b \
--hash=sha256:1fb4028437201e19014e4e374272b739867c8a3eb655da46675ef4c2ff14b616 \
--hash=sha256:282e49c766b5952dd8796f77d7ed3ae412cdd88e31f845b1fbbb86ac6cb7bebf \
--hash=sha256:2b369cabb48485fbf444beb3f5a878075367b99c2c86db2f796afeabebc749e0 \
--hash=sha256:2bf714333788bf5175f2512b86d2ed129e89ae6f6c2923e8a297a1e3395e13b5 \
--hash=sha256:30de46b55873b51be945a09edf486afcc190dc47eff9fb5d2b12c9f7e3d743da \
--hash=sha256:34e3b12407ddf99f6627435aa8a165f094339bb7dc33de92e1d7472e9f237304 \
--hash=sha256:36b2a516fce57309840f5ef3fa2fd0c4449293fc72536a0400d2e1e26b414da8 \
--hash=sha256:3a9195299df9d7d2a6e9d16bebd6b706b0ea99e4b871864c4b034c2577e21a77 \
--hash=sha256:3c32fc0f546ceecc47dd45f33d72ab4a1e341b80d9081c2d77b100add5d49104 \
--hash=sha256:3d7333e907bff3e3997e54f89733ffa8d619842a3e1cd962bca34bdc11944c28 \
--hash=sha256:4795e93d130c9b7fb661f0cead49752ae6a980437df74b99d5918026c212443e \
--hash=sha256:490e19a45cd3cdd6dfe6b46019f7ffe1103500750b41b51996a870e7c1c5f066 \
--hash=sha256:4aa0fe08383f3e5fc7d2f8cf9b42ac778f4d53fd75bcd2799a858225954eab89 \
--hash=sha256:559326d8f3d904cd4aa61f6a392d5626f35eec6a9f6cc83bcddb0abf88c40516 \
--hash=sha256:5929c83bd8cb7572d1c17ffdbf0eac235bf3c4d53cde1950cf89d944eaf97525 \
--hash=sha256:5bfd21b6acb32e20d4e279c34405a34e63da345be4b2b6eabd683e1a88857406 \
--hash=sha256:613cf06313331f49dd7b85a5a24fbddb1156c9723b6921a231906241726e5aee \
--hash=sha256:66a8e1c1e899d15a2f7510e43527fba22d895e7f6058d027db3e3837d88a69de \
--hash=sha256:691a62926ba09f2653ec0908554b3635497efb7751c5d46b916cd1ebbb1d3c25 \
--hash=sha256:6c1fd18e45c39d5a4be4b0d6a20c141e43fe46daeb1b2e2f304ebae7015ab6e6 \
--hash=sha256:6c6a1e8f98de92e817491b50aa4d01d69a1b41a4ed3173747e8f16f0d4cf81cc \
--hash=sha256:6cf029b886cfb28a2701503b7c602b811f2daa45276bd6459b0c71e051deb497 \
--hash=sha256:71506116eac0d3e3598d6325b4b818c3a0f6acb3222b24d30ad726e8c4bf7ea8 \
--hash=sha256:7993164e8e9f78ec31d38c47850ca6ba5451788b5b49a8a2dbb3322b36b5693b \
--hash=sha256:7a5cc6bf60791d8274edfdfe2dd7cec3f00f656dcc92e2b0a9af06c8b18ce6a6 \
--hash=sha256:87c1cc1057d903b78a8257a7c5f497db6fd5284f5080392bd57b66031d7389a3 \
--hash=sha256:98376c75bd6c103c74396953084a5e0798ffe476aecbfcc51ec6d100a685ac38 \
--hash=sha256:a395524b0fafa10446d11e11acb4742e919523de58aac03b791f26d7a783bcf0 \
--hash=sha256:a5100a4be91b7d4b7c8fe16a3600bd0951e10205eb1066b6873afd3996b51ee4 \
--hash=sha256:a63a52221f8c73f82f4e00493351d987f594931198589287aee96f8da673cfd5 \
--hash=sha256:a89734a7bcb2ea3b6fd600a74d6fbcdb8d3fa3f7917dbd978e039710b5509c9c \
--hash=sha256:b165f5e6de1ccc964e863bd2035807a4d3bad3e0481f9db2dc52034d6ad4f9de \
--hash=sha256:b3845e4c2fa32963fb7f384ebbaa2761b0e6b96145239bf80e956d4aff4b071c \
--hash=sha256:b3b017d9103e7a7372a146773be32b184ff7330bd708d40b1f56f06a686756ed \
--hash=sha256:b6c6e4858d8c3f88e19b7aa94b6a7619108f0bee51da9fa67b0785a8b59955f9 \
--hash=sha256:bfad1202fb1f9140e3810cc607058395f59032d9128cc0d716900c78bea5f337 \
--hash=sha256:c01809fb602e2fefc8cbfb3b603bb59d2a2eaee8708410896d48a835ba00e7c5 \
--hash=sha256:cce8de9d48289927ed18aaa420740efd52b2cd9289da32e3799afbb3a02822e8 \
--hash=sha256:ce2bc1ea01200b6d8130ab917296d05d77a1a571ec6c1ee25cfca6d55cd5db4a \
--hash=sha256:d4601e2a8b46ffbf540601a4926fd6cc5aae8a13b36fdd467f1040f01f9edaed \
--hash=sha256:d556d1c256b3700b60b6b061664a667b2e49d599c2772d46a9f2348f2dc4ab5c \
--hash=sha256:ddf7453acd03b966624ebefdb38169b5bbbeea1a1a58c90b095667247f9de327 \
--hash=sha256:e781eeb65b2007af553389c8a7fb7bc53cb856118b0fcffb2c26b0f49561c686 \
--hash=sha256:e920c272cd9e70a6b10eae9203cc96845da142e1dd4482de9343dda3738a9862 \
--hash=sha256:f5b6174bf4bf9152e368561dff410203c6921e4dd2afbcda3283a95957158112 \
--hash=sha256:f69bd42fd2515060af69b120668213121264bb7976b113954b6f9db327727c65 \
--hash=sha256:f823d0f6b04a6797fbe253bcf91666e71a6b63c290683819650c68b2468ebe64 \
--hash=sha256:fa7e9f2e80a9535f9692e113d02b4268b5f88675a730d1b0ef0abeb74c9a4e80
# via -r .github/requirements/bench.in
talipp==2.7.0 \
--hash=sha256:567f59ad74366cb59a14a00d350f35fd9d22e6924d6228bad581e6dcf1de2205 \
--hash=sha256:f749f22b9ad615605e71faf26457bb7f5e3fe16f04d3287f4ca54fd16bc3d4eb
# via -r .github/requirements/bench.in
tulipy==0.4.0 \
--hash=sha256:540704956b5b940a5f6306aa393a37536a6d7c3cbc07efe47512f3496e5203ab \
--hash=sha256:95542e40537afdd345d875baf37485eac993c6a819d00c51432e9de8df21eba8 \
--hash=sha256:fbc31727ef7657c93ad910bfdce65fecc6aaa7a5e961fe00240718e7a3fc79d8
# via -r .github/requirements/bench.in
tzdata==2026.2 \
--hash=sha256:9173fde7d80d9018e02a662e168e5a2d04f87c41ea174b139fbef642eda62d10 \
--hash=sha256:bbe9af844f658da81a5f95019480da3a89415801f6cc966806612cc7169bffe7
+26
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@@ -117,3 +117,29 @@ jobs:
with:
name: cross-library-bench
path: bindings/python/benchmark.txt
rust-cross-bench:
name: Rust cross-library benchmark report
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
persist-credentials: false
- uses: dtolnay/rust-toolchain@29eef336d9b2848a0b548edc03f92a220660cdb8 # stable branch, 2026-03-27
- uses: Swatinem/rust-cache@e18b497796c12c097a38f9edb9d0641fb99eee32 # v2
continue-on-error: true # cache is an optimisation; never block on a stuck/slow restore
timeout-minutes: 6
# Wickra vs the other Rust TA crates (kand, ta-rs, yata) on an identical
# candle series — the like-for-like engine comparison with no binding
# overhead. Streaming + batch, in crates/wickra-bench/benches/cross_lib.rs.
- name: Run Rust cross-library benchmark
run: cargo bench -p wickra-bench --bench cross_lib | tee rust_cross_bench.txt
- name: Upload Rust report
uses: actions/upload-artifact@043fb46d1a93c77aae656e7c1c64a875d1fc6a0a # v7.0.1
with:
name: rust-cross-bench
path: rust_cross_bench.txt