wickra/docs/wiki/Streaming-vs-Batch.md

Streaming vs Batch

Wickra has one engine, not two. Every indicator is a state machine driven by a single method, Indicator::update, and the batch API is a thin loop over that method. This page is the concept doc for why that matters, and what contracts you can rely on when you mix the two in real code.

The update contract

Indicator::update is the only state transition. From crates/wickra-core/src/traits.rs:

pub trait Indicator {
    type Input;
    type Output;

    /// Feed one new data point into the indicator and return the freshly computed
    /// output, or `None` if the indicator is still warming up.
    fn update(&mut self, input: Self::Input) -> Option<Self::Output>;

    fn reset(&mut self);
    fn warmup_period(&self) -> usize;
    fn is_ready(&self) -> bool;
    fn name(&self) -> &'static str;
}

Three properties hold by contract:

1. O(1) in the input length. update may touch some pre-existing buffered state, but it must never recompute over the entire history. The wickra-core crate is #![forbid(unsafe_code)], and the standard indicator implementations all carry rolling sums, single recursive accumulators, or fixed-size VecDeque windows.
2. None during warmup, Some thereafter. An indicator returns None while it doesn't yet have enough data to produce a defined value. After the first Some, it never goes back to None (short of a reset()).
3. reset() restores construction-time state. The state-machine is fully encapsulated, so resetting and replaying produces bit-identical results to a fresh instance.

The BatchExt blanket implementation

The batch API is a blanket extension on top of every Indicator. The whole implementation is six lines:

pub trait BatchExt: Indicator {
    fn batch(&mut self, inputs: &[Self::Input]) -> Vec<Option<Self::Output>>
    where Self::Input: Clone,
    {
        let mut out = Vec::with_capacity(inputs.len());
        for x in inputs {
            out.push(self.update(x.clone()));
        }
        out
    }
}

impl<T: Indicator> BatchExt for T {}

Two consequences:

• batch == repeated update, exactly. There is no separate "vectorised" code path that might disagree numerically with the streaming one. A unit test pinning this invariant — batch_equals_streaming — lives in nearly every crates/wickra-core/src/indicators/<name>.rs file. You can rely on the batch results in your backtest matching the streaming results that your live bot will see.
• Implementing one trait is enough. Adding a new indicator means implementing Indicator in Rust; every binding plus every batch helper comes along for free.

You can verify the equivalence yourself in Python:

import numpy as np
import wickra as ta

np.random.seed(0)
prices = np.cumsum(np.random.randn(100)) + 100.0

# Batch path.
batch_out = ta.RSI(14).batch(prices)

# Streaming path: same inputs, fresh indicator, fed one at a time.
rsi = ta.RSI(14)
stream_out = np.array(
    [np.nan if (v := rsi.update(p)) is None else v for p in prices]
)

b_nan = np.isnan(batch_out)
s_nan = np.isnan(stream_out)
assert np.array_equal(b_nan, s_nan)
assert np.array_equal(batch_out[~b_nan], stream_out[~s_nan])

This passes; the last three values of both arrays are [69.64533252, 70.00767057, 71.18111330].

Why batch-only libraries fall behind live

Suppose a strategy looks at RSI(14) on each new minute-bar of a market. A classical batch-only library (TA-Lib, pandas-ta, finta, ...) gives you a single function rsi(prices) that recomputes the indicator over the entire input array. To use it inside a streaming loop, you concatenate each new tick onto your history and call rsi(history) again. That's O(n) work for every new bar, and the gap widens linearly as n grows.

Wickra's update is the opposite: each new bar is O(1) because the recursive smoothing state is already inside the indicator. You never carry history just to recompute it.

The numbers below are reproduced from the project README, where python -m benchmarks.compare_libraries is the source script.

Batch — single full pass over a 5 000-bar series

Indicator	Wickra	finta	talipp
SMA(20)	26.0 µs	295.3 µs (11.4× slower)	1 812.8 µs (69.7× slower)
EMA(20)	16.8 µs	205.5 µs (12.2× slower)	2 534.4 µs (150.9× slower)
RSI(14)	31.2 µs	714.1 µs (22.9× slower)	3 751.7 µs (120.2× slower)
MACD(12, 26, 9)	30.8 µs	359.5 µs (11.7× slower)	11 642.2 µs (378.0× slower)
Bollinger(20, 2.0)	26.7 µs	690.6 µs (25.9× slower)	27 482.4 µs (1 030.1× slower)
ATR(14)	40.6 µs	1 120.3 µs (27.6× slower)	3 760.2 µs (92.7× slower)

Streaming — per-tick latency after seeding with 2 000 historical bars

Indicator	Wickra (per tick)	talipp (per tick)
RSI(14)	0.07 µs	1.16 µs (17.5× slower)

The streaming gap widens linearly with how much history a batch-only library has to recompute on every new tick; the table above is the gap at a modest 2 000-bar seed.

Practical consequences

• Mix freely. A common pattern is "warm up the indicator on historical bars in one batch call, then drive it tick-by-tick with update for live data". This is correct because the two paths share state.
• is_ready() is the safe gate. Don't use a len(prices) > warmup_period check; trust the indicator's is_ready() method, which is true exactly when at least one Some value has been emitted.
• Multi-output indicators NaN/None together. Every column of a MACD or Bollinger batch transitions from NaN to a real value on the same row. Use ~np.isnan(out[:, 0]) (Python) or Number.isFinite(row[0]) (Node) as a single mask across all columns.

See also

• Quickstart: Python — concrete Python usage of both paths.
• Quickstart: Rust — the BatchExt trait and ? error handling.
• Warmup Periods — the exact warmup_period() for every indicator.
• Source: https://github.com/kingchenc/wickra