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wickra/crates/wickra-bench/benches/cross_lib.rs
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kingchencandGitHub 05fe7ffa90 perf: bit-exact batch fast paths + streaming-first benchmark docs (#202) 
## Summary
- Dedicated batch fast paths for **EMA, RSI, Bollinger, MACD and ATR** (used by the Python bindings): one allocation filled in a single pass, warmup encoded as `NaN`, no per-element `Option` or input re-validation. Each is **bit-for-bit equal** to replaying `update` — SMA/Bollinger keep the drift-reseed cadence, the EMA-family keep the seed division and `mul_add` recurrences. Adds the `BatchNanExt` extension trait.
- **Cross-library benchmark refresh**: `compare_libraries.py` reports the median across timing rounds (`--rounds` / `--streaming-rounds`), gains `--skip-batch` / `--skip-streaming`, and runs every peer through the streaming arena (recompute for batch-only libraries). `wickra-bench` drives the batch fast paths against `kand`.
- **README** benchmark section reordered streaming-first (the order-of-magnitude result), with measured TA-Lib/tulipy/pandas-ta numbers in place of the CI-only placeholders.

## Impact
- Python batch ~2× faster on EMA/RSI/MACD/ATR; streaming path unchanged.
- The `batch == streaming` equivalence stays bit-exact.

## Verification
- `cargo fmt` · `cargo clippy --workspace --all-targets --all-features -- -D warnings` (clean)
- `cargo test --workspace --all-features` — 3782 unit + 420 doc tests pass
- Python `pytest` — streaming-vs-batch, known-values, input-validation, smoke pass

## Notes
- Node/WASM bindings keep their existing batch; the fast paths are Python-only for now.
2026-06-08 00:17:58 +02:00

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//! Cross-library Criterion benchmark: Wickra vs `kand` vs `ta` (ta-rs) vs `yata`.
//!
//! All four are pure-Rust technical-analysis crates, so this is a like-for-like
//! Rust-vs-Rust comparison with no language-binding overhead. It feeds the exact
//! same BTCUSDT 1-minute candle series used by `crates/wickra/benches/indicators.rs`.
//!
//! Two arenas, kept honest:
//!
//! * **Streaming** (`*/stream`): one value fed at a time. Wickra (`Indicator::update`),
//! ta-rs (`Next::next`) and yata (`Method::next`) carry their own state; `kand`
//! exposes stateless `*_inc` helpers, so the per-tick state is threaded manually
//! here, seeded from `kand`'s own batch output (the seed is computed outside the
//! timed closure). yata only appears for SMA/EMA — its RSI/MACD/Bollinger/ATR are
//! exposed through a heavier signal-oriented indicator API, not a raw-value method,
//! so they are intentionally left out rather than compared unfairly.
//! * **Batch** (`*/batch`): the whole series at once. Only Wickra (`BatchExt::batch`)
//! and `kand` (TA-Lib-style fill-the-output-slice functions) have a real batch API;
//! ta-rs and yata are streaming-only and are deliberately absent from this arena.
//!
//! Run: `cargo bench -p wickra-bench`
// Each indicator's benchmark group spells out every library arm explicitly, which
// runs a few groups over the 100-line lint threshold; that verbosity is the point.
#![allow(clippy::too_many_lines)]
use criterion::{criterion_group, criterion_main, BenchmarkId, Criterion, Throughput};
use std::hint::black_box;
use wickra::{Atr, BollingerBands, Candle, Ema, Indicator, MacdIndicator, Rsi, Sma};
use wickra_data::csv::CandleReader;
use yata::prelude::Method;
const SIZES: &[usize] = &[1_000, 10_000, 50_000];
const SMA_PERIOD: usize = 20;
const EMA_PERIOD: usize = 20;
const RSI_PERIOD: usize = 14;
const ATR_PERIOD: usize = 14;
const BB_PERIOD: usize = 20;
const BB_DEV: f64 = 2.0;
const MACD_FAST: usize = 12;
const MACD_SLOW: usize = 26;
const MACD_SIGNAL: usize = 9;
fn load_candles() -> Vec<Candle> {
let path = concat!(
env!("CARGO_MANIFEST_DIR"),
"/../../examples/data/btcusdt-1m.csv"
);
CandleReader::open(path)
.expect("dataset present")
.read_all()
.expect("valid OHLCV rows")
}
/// Mean of the first `period` samples — the warmup seed for `kand`'s SMA/EMA `*_inc`.
fn window_mean(series: &[f64], period: usize) -> f64 {
series[..period].iter().sum::<f64>() / period as f64
}
fn sma_group(crit: &mut Criterion, closes: &[f64]) {
let mut group = crit.benchmark_group("sma_20");
for &len in SIZES {
let len = len.min(closes.len());
let series: &[f64] = &closes[..len];
group.throughput(Throughput::Elements(len as u64));
group.bench_with_input(
BenchmarkId::new("wickra/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = Sma::new(SMA_PERIOD).unwrap();
for &price in series {
black_box(ind.update(price));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("wickra/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = Sma::new(SMA_PERIOD).unwrap();
black_box(ind.batch_nan(series));
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/stream", len),
&series,
|bencher, &series| {
let seed = window_mean(series, SMA_PERIOD);
bencher.iter(|| {
let mut prev = seed;
for idx in SMA_PERIOD..series.len() {
prev = kand::ohlcv::sma::sma_inc(
prev,
series[idx],
series[idx - SMA_PERIOD],
SMA_PERIOD,
)
.unwrap();
black_box(prev);
}
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut out = vec![0.0; series.len()];
kand::ohlcv::sma::sma(series, SMA_PERIOD, &mut out).unwrap();
black_box(&out);
});
},
);
group.bench_with_input(
BenchmarkId::new("ta-rs/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = ta::indicators::SimpleMovingAverage::new(SMA_PERIOD).unwrap();
for &price in series {
black_box(ta::Next::next(&mut ind, price));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("yata/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = yata::methods::SMA::new(SMA_PERIOD as u8, &series[0]).unwrap();
for price in series {
black_box(ind.next(price));
}
});
},
);
}
group.finish();
}
fn ema_group(crit: &mut Criterion, closes: &[f64]) {
let mut group = crit.benchmark_group("ema_20");
for &len in SIZES {
let len = len.min(closes.len());
let series: &[f64] = &closes[..len];
group.throughput(Throughput::Elements(len as u64));
group.bench_with_input(
BenchmarkId::new("wickra/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = Ema::new(EMA_PERIOD).unwrap();
for &price in series {
black_box(ind.update(price));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("wickra/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = Ema::new(EMA_PERIOD).unwrap();
black_box(ind.batch_nan(series));
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/stream", len),
&series,
|bencher, &series| {
let seed = window_mean(series, EMA_PERIOD);
bencher.iter(|| {
let mut prev = seed;
for &price in &series[EMA_PERIOD..] {
prev = kand::ohlcv::ema::ema_inc(price, prev, EMA_PERIOD, None).unwrap();
black_box(prev);
}
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut out = vec![0.0; series.len()];
kand::ohlcv::ema::ema(series, EMA_PERIOD, None, &mut out).unwrap();
black_box(&out);
});
},
);
group.bench_with_input(
BenchmarkId::new("ta-rs/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind =
ta::indicators::ExponentialMovingAverage::new(EMA_PERIOD).unwrap();
for &price in series {
black_box(ta::Next::next(&mut ind, price));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("yata/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = yata::methods::EMA::new(EMA_PERIOD as u8, &series[0]).unwrap();
for price in series {
black_box(ind.next(price));
}
});
},
);
}
group.finish();
}
fn rsi_group(crit: &mut Criterion, closes: &[f64]) {
let mut group = crit.benchmark_group("rsi_14");
for &len in SIZES {
let len = len.min(closes.len());
let series: &[f64] = &closes[..len];
group.throughput(Throughput::Elements(len as u64));
group.bench_with_input(
BenchmarkId::new("wickra/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = Rsi::new(RSI_PERIOD).unwrap();
for &price in series {
black_box(ind.update(price));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("wickra/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = Rsi::new(RSI_PERIOD).unwrap();
black_box(ind.batch_nan(series));
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/stream", len),
&series,
|bencher, &series| {
// Wilder seed: simple average of the first `period` gains and losses.
let mut gain = 0.0;
let mut loss = 0.0;
for idx in 1..=RSI_PERIOD {
let delta = series[idx] - series[idx - 1];
if delta > 0.0 {
gain += delta;
} else {
loss -= delta;
}
}
let seed_gain = gain / RSI_PERIOD as f64;
let seed_loss = loss / RSI_PERIOD as f64;
bencher.iter(|| {
let mut avg_gain = seed_gain;
let mut avg_loss = seed_loss;
let mut prev_price = series[RSI_PERIOD];
for &price in &series[RSI_PERIOD + 1..] {
let (rsi, next_gain, next_loss) = kand::ohlcv::rsi::rsi_inc(
price, prev_price, avg_gain, avg_loss, RSI_PERIOD,
)
.unwrap();
avg_gain = next_gain;
avg_loss = next_loss;
prev_price = price;
black_box(rsi);
}
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut rsi = vec![0.0; series.len()];
let mut avg_gain = vec![0.0; series.len()];
let mut avg_loss = vec![0.0; series.len()];
kand::ohlcv::rsi::rsi(
series,
RSI_PERIOD,
&mut rsi,
&mut avg_gain,
&mut avg_loss,
)
.unwrap();
black_box(&rsi);
});
},
);
group.bench_with_input(
BenchmarkId::new("ta-rs/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = ta::indicators::RelativeStrengthIndex::new(RSI_PERIOD).unwrap();
for &price in series {
black_box(ta::Next::next(&mut ind, price));
}
});
},
);
}
group.finish();
}
fn macd_group(crit: &mut Criterion, closes: &[f64]) {
let mut group = crit.benchmark_group("macd_12_26_9");
for &len in SIZES {
let len = len.min(closes.len());
let series: &[f64] = &closes[..len];
group.throughput(Throughput::Elements(len as u64));
group.bench_with_input(
BenchmarkId::new("wickra/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = MacdIndicator::classic();
for &price in series {
black_box(ind.update(price));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("wickra/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = MacdIndicator::classic();
black_box(ind.batch_macd(series));
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/stream", len),
&series,
|bencher, &series| {
// Seed the fast/slow/signal EMAs from kand's own warmed-up batch state.
let lookback =
kand::ohlcv::macd::lookback(MACD_FAST, MACD_SLOW, MACD_SIGNAL).unwrap();
let mut macd_line = vec![0.0; series.len()];
let mut signal_line = vec![0.0; series.len()];
let mut histogram = vec![0.0; series.len()];
let mut fast_ema = vec![0.0; series.len()];
let mut slow_ema = vec![0.0; series.len()];
kand::ohlcv::macd::macd(
series,
MACD_FAST,
MACD_SLOW,
MACD_SIGNAL,
&mut macd_line,
&mut signal_line,
&mut histogram,
&mut fast_ema,
&mut slow_ema,
)
.unwrap();
let seed_fast = fast_ema[lookback];
let seed_slow = slow_ema[lookback];
let seed_signal = signal_line[lookback];
bencher.iter(|| {
// macd_inc returns (macd, signal, hist) but not the new EMAs, so the
// fast/slow/signal state is threaded with kand's own ema_inc primitive.
let mut prev_fast = seed_fast;
let mut prev_slow = seed_slow;
let mut prev_signal = seed_signal;
for &price in &series[lookback + 1..] {
let fast =
kand::ohlcv::ema::ema_inc(price, prev_fast, MACD_FAST, None).unwrap();
let slow =
kand::ohlcv::ema::ema_inc(price, prev_slow, MACD_SLOW, None).unwrap();
let macd = fast - slow;
let signal =
kand::ohlcv::ema::ema_inc(macd, prev_signal, MACD_SIGNAL, None)
.unwrap();
prev_fast = fast;
prev_slow = slow;
prev_signal = signal;
black_box((macd, signal, macd - signal));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut macd_line = vec![0.0; series.len()];
let mut signal_line = vec![0.0; series.len()];
let mut histogram = vec![0.0; series.len()];
let mut fast_ema = vec![0.0; series.len()];
let mut slow_ema = vec![0.0; series.len()];
kand::ohlcv::macd::macd(
series,
MACD_FAST,
MACD_SLOW,
MACD_SIGNAL,
&mut macd_line,
&mut signal_line,
&mut histogram,
&mut fast_ema,
&mut slow_ema,
)
.unwrap();
black_box(&macd_line);
});
},
);
group.bench_with_input(
BenchmarkId::new("ta-rs/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = ta::indicators::MovingAverageConvergenceDivergence::new(
MACD_FAST,
MACD_SLOW,
MACD_SIGNAL,
)
.unwrap();
for &price in series {
black_box(ta::Next::next(&mut ind, price));
}
});
},
);
}
group.finish();
}
fn bbands_group(crit: &mut Criterion, closes: &[f64]) {
let mut group = crit.benchmark_group("bollinger_20_2");
for &len in SIZES {
let len = len.min(closes.len());
let series: &[f64] = &closes[..len];
group.throughput(Throughput::Elements(len as u64));
group.bench_with_input(
BenchmarkId::new("wickra/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = BollingerBands::new(BB_PERIOD, BB_DEV).unwrap();
for &price in series {
black_box(ind.update(price));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("wickra/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = BollingerBands::new(BB_PERIOD, BB_DEV).unwrap();
black_box(ind.batch_bands(series));
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/stream", len),
&series,
|bencher, &series| {
// Seed running sma/sum/sum_sq from kand's batch state at the warmup edge.
let mut upper = vec![0.0; series.len()];
let mut middle = vec![0.0; series.len()];
let mut lower = vec![0.0; series.len()];
let mut sma = vec![0.0; series.len()];
let mut variance = vec![0.0; series.len()];
let mut sum = vec![0.0; series.len()];
let mut sum_sq = vec![0.0; series.len()];
kand::ohlcv::bbands::bbands(
series,
BB_PERIOD,
BB_DEV,
BB_DEV,
&mut upper,
&mut middle,
&mut lower,
&mut sma,
&mut variance,
&mut sum,
&mut sum_sq,
)
.unwrap();
let seed_sma = sma[BB_PERIOD - 1];
let seed_sum = sum[BB_PERIOD - 1];
let seed_sum_sq = sum_sq[BB_PERIOD - 1];
bencher.iter(|| {
let mut prev_sma = seed_sma;
let mut prev_sum = seed_sum;
let mut prev_sum_sq = seed_sum_sq;
for idx in BB_PERIOD..series.len() {
let result = kand::ohlcv::bbands::bbands_inc(
series[idx],
prev_sma,
prev_sum,
prev_sum_sq,
series[idx - BB_PERIOD],
BB_PERIOD,
BB_DEV,
BB_DEV,
)
.unwrap();
prev_sma = result.1;
prev_sum = result.4;
prev_sum_sq = result.5;
black_box((result.0, result.1, result.2));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/batch", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut upper = vec![0.0; series.len()];
let mut middle = vec![0.0; series.len()];
let mut lower = vec![0.0; series.len()];
let mut sma = vec![0.0; series.len()];
let mut variance = vec![0.0; series.len()];
let mut sum = vec![0.0; series.len()];
let mut sum_sq = vec![0.0; series.len()];
kand::ohlcv::bbands::bbands(
series,
BB_PERIOD,
BB_DEV,
BB_DEV,
&mut upper,
&mut middle,
&mut lower,
&mut sma,
&mut variance,
&mut sum,
&mut sum_sq,
)
.unwrap();
black_box(&upper);
});
},
);
group.bench_with_input(
BenchmarkId::new("ta-rs/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = ta::indicators::BollingerBands::new(BB_PERIOD, BB_DEV).unwrap();
for &price in series {
black_box(ta::Next::next(&mut ind, price));
}
});
},
);
}
group.finish();
}
fn atr_group(crit: &mut Criterion, candles: &[Candle]) {
let mut group = crit.benchmark_group("atr_14");
for &len in SIZES {
let len = len.min(candles.len());
let series: &[Candle] = &candles[..len];
group.throughput(Throughput::Elements(len as u64));
group.bench_with_input(
BenchmarkId::new("wickra/stream", len),
&series,
|bencher, &series| {
bencher.iter(|| {
let mut ind = Atr::new(ATR_PERIOD).unwrap();
for &candle in series {
black_box(ind.update(candle));
}
});
},
);
group.bench_with_input(
BenchmarkId::new("wickra/batch", len),
&series,
|bencher, &series| {
// Column extraction is outside the timed loop, mirroring kand's arm.
let high: Vec<f64> = series.iter().map(|candle| candle.high).collect();
let low: Vec<f64> = series.iter().map(|candle| candle.low).collect();
let close: Vec<f64> = series.iter().map(|candle| candle.close).collect();
bencher.iter(|| {
let mut ind = Atr::new(ATR_PERIOD).unwrap();
black_box(ind.batch_atr(&high, &low, &close));
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/stream", len),
&series,
|bencher, &series| {
let high: Vec<f64> = series.iter().map(|candle| candle.high).collect();
let low: Vec<f64> = series.iter().map(|candle| candle.low).collect();
let close: Vec<f64> = series.iter().map(|candle| candle.close).collect();
// Seed prev_atr from kand's batch ATR at the first valid index (= period).
let mut atr_out = vec![0.0; series.len()];
kand::ohlcv::atr::atr(&high, &low, &close, ATR_PERIOD, &mut atr_out).unwrap();
let seed_atr = atr_out[ATR_PERIOD];
bencher.iter(|| {
let mut prev_atr = seed_atr;
for idx in ATR_PERIOD + 1..series.len() {
prev_atr = kand::ohlcv::atr::atr_inc(
high[idx],
low[idx],
close[idx - 1],
prev_atr,
ATR_PERIOD,
)
.unwrap();
black_box(prev_atr);
}
});
},
);
group.bench_with_input(
BenchmarkId::new("kand/batch", len),
&series,
|bencher, &series| {
let high: Vec<f64> = series.iter().map(|candle| candle.high).collect();
let low: Vec<f64> = series.iter().map(|candle| candle.low).collect();
let close: Vec<f64> = series.iter().map(|candle| candle.close).collect();
bencher.iter(|| {
let mut atr_out = vec![0.0; series.len()];
kand::ohlcv::atr::atr(&high, &low, &close, ATR_PERIOD, &mut atr_out).unwrap();
black_box(&atr_out);
});
},
);
group.bench_with_input(
BenchmarkId::new("ta-rs/stream", len),
&series,
|bencher, &series| {
let items: Vec<ta::DataItem> = series
.iter()
.map(|candle| {
ta::DataItem::builder()
.open(candle.open)
.high(candle.high)
.low(candle.low)
.close(candle.close)
.volume(candle.volume)
.build()
.unwrap()
})
.collect();
bencher.iter(|| {
let mut ind = ta::indicators::AverageTrueRange::new(ATR_PERIOD).unwrap();
for item in &items {
black_box(ta::Next::next(&mut ind, item));
}
});
},
);
}
group.finish();
}
fn benches(crit: &mut Criterion) {
let candles = load_candles();
let closes: Vec<f64> = candles.iter().map(|candle| candle.close).collect();
sma_group(crit, &closes);
ema_group(crit, &closes);
rsi_group(crit, &closes);
macd_group(crit, &closes);
bbands_group(crit, &closes);
atr_group(crit, &candles);
}
criterion_group!(name = cross_lib; config = Criterion::default(); targets = benches);
criterion_main!(cross_lib);
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