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
+18
View File
@@ -7,6 +7,24 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
## [Unreleased]
### Added
- Internal Rust cross-library benchmark harness (`crates/wickra-bench`, not
published) comparing Wickra against `kand`, `ta-rs` and `yata` on an identical
candle series in both streaming and batch modes; wired into the nightly
`cross-library-bench` workflow.
- `tulipy` runners and expanded per-tick streaming coverage (SMA, EMA, RSI,
MACD, Bollinger) in the Python `compare_libraries` benchmark.
### Changed
- Faster streaming and batch updates for SMA, Bollinger Bands, RSI, EMA and ATR
(flat ring buffers replacing `VecDeque`, hoisted reciprocals in the Wilder
smoothing, leaner hot state) — indicator outputs are unchanged.
- Rewrote the README benchmark section into honest, tiered tables (Rust core vs
the other Rust crates, and Python vs the Python ecosystem) that show where
Wickra wins and where it loses, not only the favourable comparisons.
## [0.5.8] - 2026-06-04
- **TSF Oscillator** — the percentage gap of the close to the one-bar-ahead time-series forecast, a close-relative companion to CFO (`TsfOscillator`).
- **MACD Histogram** — the standalone macd-minus-signal bar of MACD as a scalar series (`MacdHistogram`).