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.
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@@ -25,7 +25,15 @@ use crate::traits::Indicator;
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pub struct Ema {
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period: usize,
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alpha: f64,
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state: Option<f64>,
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/// `1 - alpha`, precomputed so the recurrence avoids a subtraction per tick.
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/// Cached value, so the steady-state output is bit-for-bit unchanged.
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one_minus_alpha: f64,
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/// Latest EMA value, valid only once `seeded` is true. Stored as a bare `f64`
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/// (plus the `seeded` flag) rather than `Option<f64>` so the steady-state
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/// recurrence reads and writes 8 bytes with no enum-tag handling per tick.
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current: f64,
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/// Whether `current` holds a real value yet (warmup complete).
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seeded: bool,
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warmup_buf: Vec<f64>,
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}
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@@ -43,7 +51,9 @@ impl Ema {
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Ok(Self {
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period,
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alpha,
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state: None,
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one_minus_alpha: 1.0 - alpha,
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current: 0.0,
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seeded: false,
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warmup_buf: Vec::with_capacity(period),
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})
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}
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@@ -66,7 +76,9 @@ impl Ema {
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Ok(Self {
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period: 1,
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alpha,
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state: None,
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one_minus_alpha: 1.0 - alpha,
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current: 0.0,
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seeded: false,
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warmup_buf: Vec::with_capacity(1),
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})
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}
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@@ -83,21 +95,28 @@ impl Ema {
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/// Current value if available.
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pub const fn value(&self) -> Option<f64> {
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self.state
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if self.seeded {
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Some(self.current)
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} else {
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None
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}
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}
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/// Internal helper that feeds a value without finiteness validation. The caller
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/// guarantees `input.is_finite()`. Used by MACD which has already validated.
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pub(crate) fn step_unchecked(&mut self, input: f64) -> Option<f64> {
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if let Some(prev) = self.state {
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let new = self.alpha.mul_add(input, (1.0 - self.alpha) * prev);
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self.state = Some(new);
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if self.seeded {
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let new = self
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.alpha
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.mul_add(input, self.one_minus_alpha * self.current);
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self.current = new;
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return Some(new);
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}
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self.warmup_buf.push(input);
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if self.warmup_buf.len() == self.period {
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let seed = self.warmup_buf.iter().copied().sum::<f64>() / self.period as f64;
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self.state = Some(seed);
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self.current = seed;
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self.seeded = true;
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return Some(seed);
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}
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None
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@@ -110,13 +129,14 @@ impl Indicator for Ema {
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fn update(&mut self, input: f64) -> Option<f64> {
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if !input.is_finite() {
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return self.state;
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return self.value();
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}
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self.step_unchecked(input)
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}
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fn reset(&mut self) {
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self.state = None;
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self.current = 0.0;
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self.seeded = false;
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self.warmup_buf.clear();
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}
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@@ -125,7 +145,7 @@ impl Indicator for Ema {
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}
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fn is_ready(&self) -> bool {
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self.state.is_some()
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self.seeded
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}
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fn name(&self) -> &'static str {
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