public void ZipLagIssue11Test()
{
OptimizationSettings.CombineFilterMapDelegates = true;
var data = new SortedMap <DateTime, double>();
var count = 5000;
for (int i = 0; i < count; i++)
{
data.Add(DateTime.UtcNow.Date.AddSeconds(i), i);
}
var sma = data.SMA(20, true).Lag(1u);
Console.WriteLine($"laggedSma count: {sma.Count()}");
var deviation = sma;
// this line or any other intermediate enumeration affect the last line
Console.WriteLine($"deviation count: {deviation.Count()}");
var direction = deviation;//.Map(x => (Math.Sign(x)));
Console.WriteLine($"direction count: {direction.Count()}");
var diff = direction.ZipLag(1u, (c, p) => c - p); //.ToSortedMap();
Console.WriteLine($"Count: {diff.Count()}");
Assert.IsTrue(diff.Count() > 0);
}
public void CouldCalculateSMAInRealTime() {
var sm = new SortedMap<int, double>();
Task.Run(async () => {
for (int i = 0; i < 20; i++) {
sm.Add(i, i);
}
await Task.Delay(100);
for (int i = 20; i < 100; i++) {
await Task.Delay(1); // 15 msec
sm.Add(i, i);
}
sm.IsMutable = false;
});
var sma = sm.SMA(10, true);
var c = sma.GetCursor();
while (c.MoveNext(CancellationToken.None).Result) {
Console.WriteLine("Key: {0}, value: {1}", c.CurrentKey, c.CurrentValue);
}
}
public void CouldCalculateSMAInRealTime()
{
var sm = new SortedMap <int, double>();
Task.Run(async() => {
for (int i = 0; i < 20; i++)
{
sm.Add(i, i);
}
await Task.Delay(100);
for (int i = 20; i < 100; i++)
{
await Task.Delay(1); // 15 msec
sm.Add(i, i);
}
sm.Complete();
});
var sma = sm.SMA(10, true);
var c = sma.GetCursor();
while (c.MoveNext(CancellationToken.None).Result)
{
Console.WriteLine("Key: {0}, value: {1}", c.CurrentKey, c.CurrentValue);
}
}
public void CouldCalculateIncompleteMovingAverage()
{
var sm = new SortedMap <int, double>();
for (int i = 0; i < 20; i++)
{
sm.Add(i, i);
}
var sma = sm.SMA(2, true).ToSortedMap();
var c = 0;
foreach (var kvp in sma)
{
if (c == 0)
{
Assert.AreEqual(c, kvp.Value);
}
else
{
Assert.AreEqual(0.5 * (c + (double)(c - 1)), kvp.Value);
}
c++;
}
}
public void CouldCalculateMovingAverage()
{
var sm = new SortedMap <DateTime, double>();
var count = 1000000;
for (int i = 0; i < count; i++)
{
sm.Add(DateTime.UtcNow.Date.AddSeconds(i), i);
}
// slow implementation
var sw = new Stopwatch();
sw.Start();
var ma = sm.SMA(20); //.ToSortedMap();
var cursor = ma.GetCursor();
cursor.MoveNext();
//var cc = 0;
//while (cursor.MoveNext())
//{
// cc++;
//}
//Console.WriteLine(cc);
//if (cursor.MoveNext())
//{
// throw new ApplicationException("Moved next after MoveNext() returned false");
//}
//cursor.MoveFirst();
var c = 1;
//foreach (var m in ma) {
cursor.Reset();
while (cursor.MoveNext())
{
if (cursor.CurrentValue != c + 8.5)
{
Console.WriteLine(cursor.CurrentValue);// m.Value);
Console.WriteLine($"Error c: {c}");
throw new ApplicationException("Invalid value");
}
c++;
if (c == 999982)
{
Console.WriteLine("Catch me");
}
}
sw.Stop();
Console.WriteLine($"Final c: {c}");
Console.WriteLine("SMA, elapsed: {0}, ops: {1}", sw.ElapsedMilliseconds, (int)((double)count / (sw.ElapsedMilliseconds / 1000.0)));
ma = null;
GC.Collect(3, GCCollectionMode.Forced, true);
Thread.Sleep(2000);
// NB! In release mode this must print that ToSortedMap task exited, in Debug mode GC does not collect SM and weak reference stays alive
}
public void SmaDeviationTest()
{
var data = new SortedMap <DateTime, double>();
for (int i = 1; i < 101; i++)
{
data.Add(DateTime.UtcNow.Date.AddMinutes(i), i);
}
var sma = data.SMA(20, true);
var deviation = (data / sma - 1);
var deviationSm = deviation;
var smaDirection = deviation.Map(Math.Sign);
Assert.AreEqual(100, smaDirection.Count());
Assert.AreEqual(100, deviation.Count());
}
public void CouldCalculateIncompleteMovingAverage() {
var sm = new SortedMap<int, double>();
for (int i = 0; i < 20; i++) {
sm.Add(i, i);
}
var sma = sm.SMA(2, true).ToSortedMap();
var c = 0;
foreach (var kvp in sma) {
if (c == 0) {
Assert.AreEqual(c, kvp.Value);
} else {
Assert.AreEqual(0.5 * (c + (double)(c - 1)), kvp.Value);
}
c++;
}
}
public void ZipLagIssue11Test()
{
OptimizationSettings.CombineFilterMapDelegates = true;
var data = new SortedMap <int, double>();
var count = 5000;
for (int i = 0; i < count; i++)
{
data.Add(i, i);
}
var sma = data.SMA(20, true).ZipLag(1u, (c, p) => p).Lag(1u);
Console.WriteLine($"laggedSma count: {sma.Count()}");
var deviation = sma.StDev(10);
var e = (deviation as IEnumerable <KeyValuePair <int, double> >).GetEnumerator();
var cnt = 0;
while (e.MoveNext())
{
cnt++;
}
Console.WriteLine(cnt);
// this line or any other intermediate enumeration affect the last line
Console.WriteLine($"deviation count: {deviation.Count()}");
var direction = deviation;//.Map(x => (Math.Sign(x)));
Console.WriteLine($"direction count: {direction.Count()}");
var diff = direction.ZipLag(1u, (c, p) => c - p); //.ToSortedMap();
Console.WriteLine($"Count: {diff.Count()}");
Assert.IsTrue(diff.Count() > 0);
}
public void NestedSMABenchmark()
{
var count = 100000;
#region Create data
var sm = new SortedMap <int, double>();
sm.Add(0, 0); // make irregular, it's faster but more memory
for (int i = 2; i <= count; i++)
{
sm.Add(i, i);
}
#endregion Create data
for (int round = 0; round < 20; round++)
{
var window = sm.SMA(20).SMA(20).SMA(20).SMA(20).SMA(20);
var c = 0;
using (Benchmark.Run("SMA", count))
{
foreach (var keyValuePair in window)
{
if (keyValuePair.Key >= 0)
{
c++;
}
}
}
if (c < 0)
{
Console.WriteLine($"Count: {c}");
}
}
Benchmark.Dump("MOPS is scaled by x1M, so it is OPS");
}
public void CouldCalculateMovingAverageIncomplete()
{
var sm = new SortedMap <DateTime, double>();
var count = 100000;
for (int i = 0; i < count; i++)
{
sm.Add(DateTime.UtcNow.Date.AddSeconds(i), i);
}
// slow implementation
var sw = new Stopwatch();
sw.Start();
var ma = sm.SMA(20, true); //.ToSortedMap();
var c = 1;
foreach (var m in ma)
{
if (c <= 20)
{
//Console.WriteLine(m.Value);
}
else if (m.Value != c - 19 + 8.5)
{
Console.WriteLine(m.Value);
throw new ApplicationException("Invalid value");
}
c++;
}
sw.Stop();
Console.WriteLine($"Final c: {c}");
Console.WriteLine("SMA, elapsed: {0}, ops: {1}", sw.ElapsedMilliseconds, (int)((double)count / (sw.ElapsedMilliseconds / 1000.0)));
//
}
public void ZipLagIssue11Test() {
OptimizationSettings.CombineFilterMapDelegates = true;
var data = new SortedMap<DateTime, double>();
var count = 5000;
for (int i = 0; i < count; i++) {
data.Add(DateTime.UtcNow.Date.AddSeconds(i), i);
}
var sma = data.SMA(20, true).Lag(1u);
Console.WriteLine($"laggedSma count: {sma.Count()}");
var deviation = sma;
// this line or any other intermediate enumeration affect the last line
Console.WriteLine($"deviation count: {deviation.Count()}");
var direction = deviation;//.Map(x => (Math.Sign(x)));
Console.WriteLine($"direction count: {direction.Count()}");
var diff = direction.ZipLag(1u, (c, p) => c - p); //.ToSortedMap();
Console.WriteLine($"Count: {diff.Count()}");
Assert.IsTrue(diff.Count() > 0);
}
public void CouldCalculateMovingAverageIncomplete() {
var sm = new SortedMap<DateTime, double>();
var count = 100000;
for (int i = 0; i < count; i++) {
sm.Add(DateTime.UtcNow.Date.AddSeconds(i), i);
}
// slow implementation
var sw = new Stopwatch();
sw.Start();
var ma = sm.SMA(20, true); //.ToSortedMap();
var c = 1;
foreach (var m in ma) {
if (c <= 20) {
//Console.WriteLine(m.Value);
} else if (m.Value != c - 19 + 8.5) {
Console.WriteLine(m.Value);
throw new ApplicationException("Invalid value");
}
c++;
}
sw.Stop();
Console.WriteLine($"Final c: {c}");
Console.WriteLine("SMA, elapsed: {0}, ops: {1}", sw.ElapsedMilliseconds, (int)((double)count / (sw.ElapsedMilliseconds / 1000.0)));
//
}
public void CouldCalculateMovingAverage() {
var sm = new SortedMap<DateTime, double>();
var count = 1000000;
for (int i = 0; i < count; i++) {
sm.Add(DateTime.UtcNow.Date.AddSeconds(i), i);
}
// slow implementation
var sw = new Stopwatch();
sw.Start();
var ma = sm.SMA(20); //.ToSortedMap();
var cursor = ma.GetCursor();
cursor.MoveNext();
//var cc = 0;
//while (cursor.MoveNext())
//{
// cc++;
//}
//Console.WriteLine(cc);
//if (cursor.MoveNext())
//{
// throw new ApplicationException("Moved next after MoveNext() returned false");
//}
//cursor.MoveFirst();
var c = 1;
//foreach (var m in ma) {
cursor.Reset();
while (cursor.MoveNext()) {
if (cursor.CurrentValue != c + 8.5)
{
Console.WriteLine(cursor.CurrentValue);// m.Value);
Console.WriteLine($"Error c: {c}");
throw new ApplicationException("Invalid value");
}
c++;
if (c == 999982)
{
Console.WriteLine("Catch me");
}
}
sw.Stop();
Console.WriteLine($"Final c: {c}");
Console.WriteLine("SMA, elapsed: {0}, ops: {1}", sw.ElapsedMilliseconds, (int)((double)count / (sw.ElapsedMilliseconds / 1000.0)));
ma = null;
GC.Collect(3, GCCollectionMode.Forced, true);
Thread.Sleep(2000);
// NB! In release mode this must print that ToSortedMap task exited, in Debug mode GC does not collect SM and weak reference stays alive
}
public void SmaDeviationTest()
{
var data = new SortedMap<DateTime, double>();
for (int i = 1; i < 101; i++)
{
data.Add(DateTime.UtcNow.Date.AddMinutes(i), i);
}
var sma = data.SMA(20, true);
var deviation = (data/sma - 1);
var deviationSm = deviation;
var smaDirection = deviation.Map(Math.Sign);
Assert.AreEqual(100, smaDirection.Count());
Assert.AreEqual(100, deviation.Count());
}
public void SMADirectAndIndirectSpanOpBenchmark()
{
Settings.DoAdditionalCorrectnessChecks = false;
var count = 1000000;
var width = 20;
var sm = new SortedMap <int, double>();
sm.Add(0, 0); // make irregular, it's faster but more memory
for (int i = 2; i <= count; i++)
{
sm.Add(i, i);
}
var directSMA =
new SpanOpImpl <int,
double,
double,
MAvgCount <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), new MAvgCount <int, double, SortedMapCursor <int, double> >(width, false)).Source;
var indirectSma =
new SpanOpImpl <int,
double,
double,
SpanOpCount <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(),
new SpanOpCount <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >(width, false, new SumAvgOnlineOp <int, double, SortedMapCursor <int, double> >())).Source;
var indirectSmaCombined =
new SpanOpImpl <int,
double,
double,
SpanOp <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(),
new SpanOp <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >(width, false, new SumAvgOnlineOp <int, double, SortedMapCursor <int, double> >(), sm.comparer)).Source;
var extensionSma = sm.SMA(width);
var windowSma = sm.Window(width).Map(x =>
{
var sum = 0.0;
var c = 0;
foreach (var keyValuePair in x)
{
sum += keyValuePair.Value;
c++;
}
return(sum / c); // x.CursorDefinition.Count TODO
});
for (int round = 0; round < 20; round++)
{
double sum1 = 0.0;
using (Benchmark.Run("SMA Direct", count * width))
{
foreach (var keyValuePair in directSMA)
{
sum1 += keyValuePair.Value;
}
}
double sum2 = 0.0;
using (Benchmark.Run("SMA Indirect", count * width))
{
foreach (var keyValuePair in indirectSma)
{
sum2 += keyValuePair.Value;
}
}
double sum2_2 = 0.0;
using (Benchmark.Run("SMA Indirect Combined", count * width))
{
foreach (var keyValuePair in indirectSmaCombined)
{
sum2_2 += keyValuePair.Value;
}
}
double sum2_3 = 0.0;
using (Benchmark.Run("SMA Extension", count * width))
{
foreach (var keyValuePair in extensionSma)
{
sum2_3 += keyValuePair.Value;
}
}
double sum3 = 0.0;
using (Benchmark.Run("SMA Window", count * width))
{
foreach (var keyValuePair in windowSma)
{
sum3 += keyValuePair.Value;
}
}
var sumxx = 0.0;
using (Benchmark.Run("SortedMap", count))
{
foreach (var keyValuePair in sm)
{
sumxx += keyValuePair.Value;
}
}
Assert.AreEqual(sum1, sum2);
Assert.AreEqual(sum1, sum2_2);
Assert.AreEqual(sum1, sum2_3);
Assert.AreEqual(sum1, sum3);
}
Benchmark.Dump($"The window width is {width}. SMA MOPS are calculated as a number of calculated values multiplied by width, " +
$"which is equivalent to the total number of cursor moves for Window case. SortedMap line is for reference - it is the " +
$"speed of raw iteration over SM without Windows overheads.");
}
