kingchenc
34c097aee2
The published Python benchmark tables (README/BENCHMARKS.md) were a stale, incoherent run. Re-measured locally with the current build (wickra 0.6.5, post batch fast-paths) via `compare_libraries.py` on the same 9950X. - **Streaming vs talipp:** 11-56x (was 9-58x). - **Batch:** real per-indicator numbers; MACD and ATR were notably off in the old table. - **Prose:** Wickra beats TA-Lib on RSI and ATR (no longer MACD, which now trails 130 vs 111 us). Rust tables unchanged. Numbers are a single coherent run; absolute us still depend on machine state (caveat already in the doc).
4.9 KiB
Benchmarks
Read these as relative speedups on identical input — absolute µs depend on CPU, memory clock and OS scheduler, not a universal contract. Streaming is the headline: it is where Wickra's design pays off and where the gap is measured in orders of magnitude, not percent. The batch numbers come second and are shown honestly — the leanest crates edge Wickra out on the simple recurrences, and that is a deliberate trade for warmup/NaN semantics, not a ceiling.
- Reproduced on: Windows 11 Pro 26200, AMD Ryzen 9 9950X, 64 GB DDR5,
Rust 1.92 (release:
lto = "fat",codegen-units = 1), Python 3.12. - Reproduce yourself:
- Rust core vs Rust crates:
cargo bench -p wickra-bench - Python vs Python libs:
pip install -e bindings/python[bench]thenpython -m benchmarks.compare_libraries(auto-detects installed peers).
- Rust core vs Rust crates:
1. Streaming — the structural win
Live trading feeds one tick at a time. Wickra updates every indicator in O(1);
batch-only libraries (TA-Lib, tulipy, finta, pandas-ta) have no incremental API
and must recompute the whole history on every tick. Only talipp (Python) and
ta-rs / yata (Rust) carry real per-tick state. This is the gap the library
was built to expose.
Python — per-tick latency (seed 5 000 bars, then feed ticks one at a time):
| Indicator | ★ Wickra | talipp | TA-Lib (recompute) |
|---|---|---|---|
| SMA(20) | 0.089 µs ★ | 0.96 µs (11×) | 422 µs (4 700×) |
| EMA(20) | 0.111 µs ★ | 1.19 µs (11×) | 430 µs (3 900×) |
| RSI(14) | 0.061 µs ★ | 0.95 µs (16×) | 298 µs (4 900×) |
| MACD(12, 26, 9) | 0.079 µs ★ | 3.30 µs (42×) | 327 µs (4 100×) |
| Bollinger(20, 2) | 0.089 µs ★ | 4.97 µs (56×) | 296 µs (3 300×) |
Against the only other incremental Python peer Wickra is 11–56× faster;
against the recompute-on-every-tick libraries it is 2 800–19 000× faster
(finta RSI hits 19 000×). tulipy / pandas-ta land in the same recompute band
as TA-Lib.
Rust — per-tick latency (whole 50 000-bar series, lower = faster):
| Indicator | ★ Wickra | kand | ta-rs | yata |
|---|---|---|---|---|
| SMA(20) | 50 | 38 | 47 | 38 |
| EMA(20) | 154 | 69 | 56 | 69 |
| RSI(14) | 164 | 216 | 74 | — |
| MACD(12, 26, 9) | 275 | 143 | 66 | — |
| Bollinger(20, 2) | 128 ★ | 248 | 168 | — |
| ATR(14) | 152 | 166 | 61 | — |
ta-rs hands back a bare f64 from the first tick with no warmup and no
validation; it leads several rows by giving those guarantees up. Against kand,
Wickra wins streaming RSI, Bollinger and ATR. yata exposes only SMA/EMA as
raw-value methods, so its other rows are omitted rather than faked.
2. Batch — competitive, not the headline
Whole series in one call. Here hand-tuned C (tulipy, TA-Lib) and the leanest
Rust crate (kand) win the simple recurrences — Wickra trades a few µs per pass
for the None-warmup, NaN-safety and bit-exact batch == streaming guarantees
none of them keep. It still wins several rows outright and beats the rest of the
field everywhere.
Python (20 000-bar pass, µs/op, lower = faster):
| Indicator | Wickra | TA-Lib | tulipy | pandas-ta | finta |
|---|---|---|---|---|---|
| SMA(20) | 22.2 | 15.6 | 15.9 | 32.7 | 290.1 |
| EMA(20) | 30.5 | 30.4 | 30.9 | 46.7 | 198.5 |
| RSI(14) | 52.3 | 72.0 | 34.2 | 88.8 | 812.3 |
| MACD(12, 26, 9) | 129.8 | 111.1 | 38.4 | 286.8 | 716.7 |
| Bollinger(20, 2) | 87.2 | 74.6 | 37.9 | 474.3 | 1255.5 |
| ATR(14) | 74.7 | 87.3 | 35.5 | — | 3496.4 |
Wickra beats pandas-ta and finta on every row and TA-Lib on RSI and ATR; tulipy's SIMD C (and TA-Lib on SMA/EMA) lead the remaining rows.
Rust (50 000-bar pass, µs, lower = faster). Only Wickra and kand expose a
batch API; ta-rs and yata are streaming-only:
| Indicator | ★ Wickra | kand |
|---|---|---|
| SMA(20) | 53 | 41 |
| EMA(20) | 111 | 71 |
| RSI(14) | 221 ★ | 259 |
| MACD(12, 26, 9) | 533 | 327 |
| Bollinger(20, 2) | 404 ★ | 460 |
| ATR(14) | 122 ★ | 169 |
Run the suite yourself:
cargo bench -p wickra-bench # Rust core vs kand / ta-rs / yata
pip install -e bindings/python[bench] # Python peers
python -m benchmarks.compare_libraries