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:
@@ -28,9 +28,17 @@ use crate::traits::Indicator;
|
||||
#[derive(Debug, Clone)]
|
||||
pub struct Atr {
|
||||
period: usize,
|
||||
/// `period - 1` as `f64`, precomputed for the Wilder smoothing step.
|
||||
n_minus_1: f64,
|
||||
/// `1 / period`, precomputed so the per-tick smoothing multiplies instead of
|
||||
/// divides.
|
||||
inv_period: f64,
|
||||
prev_close: Option<f64>,
|
||||
seed_buf: Vec<f64>,
|
||||
avg: Option<f64>,
|
||||
/// Smoothed ATR, valid once `seeded` is set. Bare `f64` + flag rather than
|
||||
/// `Option<f64>` so the hot recurrence avoids an enum-tag read per tick.
|
||||
avg: f64,
|
||||
seeded: bool,
|
||||
}
|
||||
|
||||
impl Atr {
|
||||
@@ -45,9 +53,12 @@ impl Atr {
|
||||
}
|
||||
Ok(Self {
|
||||
period,
|
||||
n_minus_1: (period - 1) as f64,
|
||||
inv_period: 1.0 / period as f64,
|
||||
prev_close: None,
|
||||
seed_buf: Vec::with_capacity(period),
|
||||
avg: None,
|
||||
avg: 0.0,
|
||||
seeded: false,
|
||||
})
|
||||
}
|
||||
|
||||
@@ -58,7 +69,11 @@ impl Atr {
|
||||
|
||||
/// Current value if available.
|
||||
pub const fn value(&self) -> Option<f64> {
|
||||
self.avg
|
||||
if self.seeded {
|
||||
Some(self.avg)
|
||||
} else {
|
||||
None
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -70,17 +85,18 @@ impl Indicator for Atr {
|
||||
let tr = candle.true_range(self.prev_close);
|
||||
self.prev_close = Some(candle.close);
|
||||
|
||||
if let Some(avg) = self.avg {
|
||||
let n = self.period as f64;
|
||||
let new_avg = avg.mul_add(n - 1.0, tr) / n;
|
||||
self.avg = Some(new_avg);
|
||||
if self.seeded {
|
||||
// Wilder smoothing with the reciprocal hoisted out of the hot path.
|
||||
let new_avg = self.avg.mul_add(self.n_minus_1, tr) * self.inv_period;
|
||||
self.avg = new_avg;
|
||||
return Some(new_avg);
|
||||
}
|
||||
|
||||
self.seed_buf.push(tr);
|
||||
if self.seed_buf.len() == self.period {
|
||||
let seed = self.seed_buf.iter().copied().sum::<f64>() / self.period as f64;
|
||||
self.avg = Some(seed);
|
||||
self.avg = seed;
|
||||
self.seeded = true;
|
||||
return Some(seed);
|
||||
}
|
||||
None
|
||||
@@ -89,7 +105,8 @@ impl Indicator for Atr {
|
||||
fn reset(&mut self) {
|
||||
self.prev_close = None;
|
||||
self.seed_buf.clear();
|
||||
self.avg = None;
|
||||
self.avg = 0.0;
|
||||
self.seeded = false;
|
||||
}
|
||||
|
||||
fn warmup_period(&self) -> usize {
|
||||
@@ -97,7 +114,7 @@ impl Indicator for Atr {
|
||||
}
|
||||
|
||||
fn is_ready(&self) -> bool {
|
||||
self.avg.is_some()
|
||||
self.seeded
|
||||
}
|
||||
|
||||
fn name(&self) -> &'static str {
|
||||
|
||||
Reference in New Issue
Block a user