public void CouldCalculateSMAWithWidthEQ()
{
Assert.Throws <NotImplementedException>(() =>
{
var count = 20;
var sm = new SortedMap <int, double>();
sm.Add(0, 0);
for (int i = 2; i <= count; i++)
{
sm.Add(i, i);
}
sm.Remove(11);
sm.Remove(12);
var onlineOp = new SumAvgOnlineOp <int, double, SortedMapCursor <int, double> >();
var smaOp = new SpanOpWidth <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >
(2, Lookup.EQ, onlineOp);
var smaSeries =
new SpanOpImpl <int,
double,
double,
SpanOpWidth <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp).Source;
foreach (var keyValuePair in smaSeries)
{
Trace.WriteLine($"{keyValuePair.Key} - {keyValuePair.Value}");
}
});
}
internal Stat2Cursor(TCursor cursor, TKey width, Lookup lookup) : this()
{
var op = new Stat2OnlineOp <TKey, TValue, TCursor>();
var spanOp =
new SpanOp <TKey, TValue, Stat2 <TKey>,
TCursor, Stat2OnlineOp <TKey, TValue, TCursor> >(width, lookup, op, cursor.Comparer);
_cursor =
new SpanOpImpl <TKey, TValue,
Stat2 <TKey>,
SpanOp <TKey, TValue, Stat2 <TKey>, TCursor, Stat2OnlineOp <TKey, TValue, TCursor>
>,
TCursor
>(cursor, spanOp);
}
public bool TryGetValue(TKey key, out Stat2 <TKey> value)
{
if (_lookUpCursor.Equals(default(TCursor)))
{
_lookUpCursor = _cursor.Clone();
}
if (_lookUpCursor.MoveAt(key, Lookup.EQ))
{
value = _lookUpCursor.CurrentValue;
return(true);
}
value = default;
return(false);
}
public bool TryGetValue(TKey key, out Series <TKey, TValue, Range <TKey, TValue, TCursor> > value)
{
if (_lookUpCursor.Equals(default(TCursor)))
{
_lookUpCursor = _cursor.Clone();
}
if (_lookUpCursor.MoveAt(key, Lookup.EQ))
{
value = _lookUpCursor.CurrentValue.Source;
return(true);
}
value = default;
return(false);
}
internal Window(TCursor cursor, TKey width, Lookup lookup) : this()
{
if (cursor.IsIndexed)
{
throw new NotSupportedException("Window is not supported for indexed series, only for sorted ones.");
}
var op = new WindowOnlineOp <TKey, TValue, TCursor>();
var spanOp =
new SpanOp <TKey, TValue, Range <TKey, TValue, TCursor>,
TCursor, WindowOnlineOp <TKey, TValue, TCursor> >(width, lookup, op, cursor.Comparer);
_cursor =
new SpanOpImpl <TKey, TValue,
Range <TKey, TValue, TCursor>,
SpanOp <TKey, TValue, Range <TKey, TValue, TCursor>, TCursor, WindowOnlineOp <TKey, TValue, TCursor>
>,
TCursor
>(cursor, spanOp);
}
internal Stat2Cursor(TCursor cursor, int width = 1, bool allowIncomplete = false) : this()
{
if (width <= 0)
{
throw new ArgumentOutOfRangeException(nameof(width));
}
var op = new Stat2OnlineOp <TKey, TValue, TCursor>();
var spanOp =
new SpanOp <TKey, TValue, Stat2 <TKey>,
TCursor, Stat2OnlineOp <TKey, TValue, TCursor> >(width, allowIncomplete, op, cursor.Comparer);
_cursor =
new SpanOpImpl <TKey, TValue,
Stat2 <TKey>,
SpanOp <TKey, TValue, Stat2 <TKey>, TCursor, Stat2OnlineOp <TKey, TValue, TCursor>
>,
TCursor
>(cursor, spanOp);
}
internal Window(TCursor cursor, int count, bool allowIncomplete = false) : this()
{
if (cursor.IsIndexed)
{
throw new NotSupportedException("Window is not supported for indexed series, only for sorted ones.");
}
if (count <= 0)
{
throw new ArgumentOutOfRangeException(nameof(count));
}
var op = new WindowOnlineOp <TKey, TValue, TCursor>();
var spanOp =
new SpanOp <TKey, TValue, Range <TKey, TValue, TCursor>,
TCursor, WindowOnlineOp <TKey, TValue, TCursor> >(count, allowIncomplete, op, cursor.Comparer);
_cursor =
new SpanOpImpl <TKey, TValue,
Range <TKey, TValue, TCursor>,
SpanOp <TKey, TValue, Range <TKey, TValue, TCursor>, TCursor, WindowOnlineOp <TKey, TValue, TCursor>
>,
TCursor
>(cursor, spanOp);
}
public void WindowDirectAndIndirectSpanOpBenchmark()
{
Settings.DoAdditionalCorrectnessChecks = false;
var count = 100000;
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 op = new WindowOnlineOp <int, double, SortedMapCursor <int, double> >();
var spanOp =
new SpanOpCount <int, double, Range <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>, WindowOnlineOp <int, double, SortedMapCursor <int, double> > >(20, false,
op);
var window =
new SpanOpImpl <int,
double,
Range <int, double, SortedMapCursor <int, double> >,
SpanOpCount <int, double, Range <int, double, SortedMapCursor <int, double> >, SortedMapCursor <int, double>, WindowOnlineOp <int, double, SortedMapCursor <int, double> > >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), spanOp).Source
.Map(x =>
{
var sum = 0.0;
var c = 0;
foreach (var keyValuePair in x.Source)
{
sum += keyValuePair.Value;
c++;
}
return(sum / c); // x.CursorDefinition.Count TODO
});
var spanOpCombined =
new SpanOp <int, double, Range <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>, WindowOnlineOp <int, double, SortedMapCursor <int, double> > >(20, false,
op, sm.comparer);
var windowCombined =
new SpanOpImpl <int,
double,
Range <int, double, SortedMapCursor <int, double> >,
SpanOp <int, double, Range <int, double, SortedMapCursor <int, double> >, SortedMapCursor <int, double>, WindowOnlineOp <int, double, SortedMapCursor <int, double> > >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), spanOpCombined).Source
.Map(x =>
{
var sum = 0.0;
var c = 0;
foreach (var keyValuePair in x.Source)
{
sum += keyValuePair.Value;
c++;
}
return(sum / c); // x.CursorDefinition.Count TODO
});
var windowExtension = 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("Window SpanOpCount", count * width))
{
foreach (var keyValuePair in window)
{
sum1 += keyValuePair.Value;
}
}
double sum2 = 0.0;
using (Benchmark.Run("Window SpanOp", count * width))
{
foreach (var keyValuePair in windowCombined)
{
sum2 += keyValuePair.Value;
}
}
double sum3 = 0.0;
using (Benchmark.Run("Window Extension", count * width))
{
foreach (var keyValuePair in windowExtension)
{
sum3 += keyValuePair.Value;
}
}
Assert.AreEqual(sum1, sum2);
Assert.AreEqual(sum1, sum3);
}
Benchmark.Dump($"The window width is {width}.");
}
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.");
}
public void CouldCalculateSMAWithWidth()
{
var count = 20;
var sm = new SortedMap <int, double>();
for (int i = 1; i <= count; i++)
{
sm.Add(i, i);
}
DoTest(Lookup.EQ);
DoTest(Lookup.GE);
DoTest(Lookup.GT);
DoTest(Lookup.LE);
DoTest(Lookup.LT);
DoTestViaSpanOpWidth(Lookup.EQ);
DoTestViaSpanOpWidth(Lookup.GE);
DoTestViaSpanOpWidth(Lookup.GT);
DoTestViaSpanOpWidth(Lookup.LE);
DoTestViaSpanOpWidth(Lookup.LT);
void DoTest(Lookup lookup)
{
// width 9 is the same as count = 10 for the regular int series
var smaOp = new MAvgWidth <int, double, SortedMapCursor <int, double> >(9, lookup);
var smaCursor =
new SpanOpImpl <int,
double,
double,
MAvgWidth <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp);
// this monster type must be hidden in the same way Lag hides its implementation
Series <int, double, SpanOpImpl <int, double, double, MAvgWidth <int, double, SortedMapCursor <int, double> >, SortedMapCursor <int, double> > > smaSeries;
smaSeries = smaCursor.Source;
var sm2 = smaSeries.ToSortedMap();
Assert.AreEqual(sm2.First, smaSeries.First);
Assert.AreEqual(sm2.Last, smaSeries.Last);
Assert.True(SeriesContract.MoveAtShouldWorkOnLazySeries(smaSeries));
Assert.True(SeriesContract.ClonedCursorsAreIndependent(smaSeries));
if (lookup == Lookup.EQ || lookup == Lookup.GE)
{
var trueSma = sm.Window(10).Map(x => x.Values.Average());
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
if (lookup == Lookup.GT)
{
var trueSma = sm.Window(11).Map(x => x.Values.Average());
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
if (lookup == Lookup.LE)
{
var smaOp1 = new MAvgCount <int, double, SortedMapCursor <int, double> >(10, true);
var trueSma =
new SpanOpImpl <int,
double,
double,
MAvgCount <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp1).Source;
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
if (lookup == Lookup.LT)
{
var smaOp1 = new MAvgCount <int, double, SortedMapCursor <int, double> >(9, true);
var trueSma =
new SpanOpImpl <int,
double,
double,
MAvgCount <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp1).Source;
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
Debug.WriteLine("SMA");
foreach (var keyValuePair in smaSeries)
{
Debug.WriteLine($"{keyValuePair.Key} - {keyValuePair.Value}");
}
}
void DoTestViaSpanOpWidth(Lookup lookup)
{
// width 9 is the same as count = 10 for the regular int series
var onlineOp = new SumAvgOnlineOp <int, double, SortedMapCursor <int, double> >();
var smaOp = new SpanOpWidth <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >(9, lookup, onlineOp);
var smaCursor =
new SpanOpImpl <int,
double,
double,
SpanOpWidth <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp);
// this monster type must be hidden in the same way Lag hides its implementation
Series <int, double, SpanOpImpl <int, double, double, SpanOpWidth <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >, SortedMapCursor <int, double> > > smaSeries;
smaSeries = smaCursor.Source;
var sm2 = smaSeries.ToSortedMap();
Assert.AreEqual(sm2.First, smaSeries.First);
Assert.AreEqual(sm2.Last, smaSeries.Last);
Assert.True(SeriesContract.MoveAtShouldWorkOnLazySeries(smaSeries));
Assert.True(SeriesContract.ClonedCursorsAreIndependent(smaSeries));
if (lookup == Lookup.EQ || lookup == Lookup.GE)
{
var trueSma = sm.Window(10).Map(x => x.Values.Average());
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
if (lookup == Lookup.GT)
{
var trueSma = sm.Window(11).Map(x => x.Values.Average());
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
if (lookup == Lookup.LE)
{
var smaOp1 = new MAvgCount <int, double, SortedMapCursor <int, double> >(10, true);
var trueSma =
new SpanOpImpl <int,
double,
double,
MAvgCount <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp1).Source;
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
if (lookup == Lookup.LT)
{
var smaOp1 = new MAvgCount <int, double, SortedMapCursor <int, double> >(9, true);
var trueSma =
new SpanOpImpl <int,
double,
double,
MAvgCount <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp1).Source;
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
Debug.WriteLine("SMA");
foreach (var keyValuePair in smaSeries)
{
Debug.WriteLine($"{keyValuePair.Key} - {keyValuePair.Value}");
}
}
}
public void CouldCalculateSMAWithCount()
{
var count = 20;
var sm = new SortedMap <int, double>();
for (int i = 1; i <= count; i++)
{
sm.Add(i, i);
}
DoTest(true);
DoTest(false);
DoTestViaSpanOpCount(true);
DoTestViaSpanOpCount(false);
void DoTest(bool allowIncomplete)
{
// TODO separate tests/cases for true/false
var smaOp = new MAvgCount <int, double, SortedMapCursor <int, double> >(10, allowIncomplete);
var smaCursor =
new SpanOpImpl <int,
double,
double,
MAvgCount <int, double, SortedMapCursor <int, double> >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp);
// this monster type must be hidden in the same way Lag hides its implementation
Series <int, double, SpanOpImpl <int, double, double, MAvgCount <int, double, SortedMapCursor <int, double> >, SortedMapCursor <int, double> > > smaSeries;
smaSeries = smaCursor.Source;
var sm2 = smaSeries.ToSortedMap();
Assert.AreEqual(sm2.First, smaSeries.First);
Assert.AreEqual(sm2.Last, smaSeries.Last);
Assert.True(SeriesContract.MoveAtShouldWorkOnLazySeries(smaSeries));
Assert.True(SeriesContract.ClonedCursorsAreIndependent(smaSeries));
if (!allowIncomplete)
{
var trueSma = sm.Window(10).Map(x => x.Values.Average());
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
Debug.WriteLine("SMA");
foreach (var keyValuePair in smaSeries)
{
Debug.WriteLine($"{keyValuePair.Key} - {keyValuePair.Value}");
}
}
void DoTestViaSpanOpCount(bool allowIncomplete)
{
// TODO separate tests/cases for true/false
var onlineOp = new SumAvgOnlineOp <int, double, SortedMapCursor <int, double> >();
var smaOp = new SpanOpCount <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >(10, allowIncomplete, onlineOp);
var smaCursor =
new SpanOpImpl <int,
double,
double,
SpanOpCount <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >,
SortedMapCursor <int, double>
>(sm.GetEnumerator(), smaOp);
// this monster type must be hidden in the same way Lag hides its implementation
Series <int, double, SpanOpImpl <int, double, double, SpanOpCount <int, double, double, SortedMapCursor <int, double>, SumAvgOnlineOp <int, double, SortedMapCursor <int, double> > >, SortedMapCursor <int, double> > > smaSeries;
smaSeries = smaCursor.Source;
var sm2 = smaSeries.ToSortedMap();
Assert.AreEqual(sm2.First, smaSeries.First);
Assert.AreEqual(sm2.Last, smaSeries.Last);
Assert.True(SeriesContract.MoveAtShouldWorkOnLazySeries(smaSeries));
Assert.True(SeriesContract.ClonedCursorsAreIndependent(smaSeries));
if (!allowIncomplete)
{
var trueSma = sm.Window(10).Map(x => x.Values.Average());
Assert.True(trueSma.Keys.SequenceEqual(smaSeries.Keys));
Assert.True(trueSma.Values.SequenceEqual(smaSeries.Values));
}
Debug.WriteLine("SMA");
foreach (var keyValuePair in smaSeries)
{
Debug.WriteLine($"{keyValuePair.Key} - {keyValuePair.Value}");
}
}
}
