Improve the performance of RollingWindow.GetEnumerator

[starteleport]

Description

This optimises the RollingWindow.GetEnumerator method in terms of execution time and memory allocation.

Related Issue

#8443

Motivation and Context

The RollingWindow.GetEnumerator method allocates a new list for each invocation and copies values to the list via this[int], which in turn enters/exits reader lock for each invocation. I was able to speed up this method by more than 50% in terms of execution time and achieve marginally better memory consumption by switching from List<T> to T[] and inlining the respective part of this[int].

Many built-in indicators as well as some reasonable real-world use cases for RollingWindow would benefit from this change in backtesting/optimisation.

Requires Documentation Change

No

How Has This Been Tested?

Benchmark code

using BenchmarkDotNet.Attributes;
using BenchmarkDotNet.Configs;
using BenchmarkDotNet.Diagnosers;
using BenchmarkDotNet.Jobs;
using BenchmarkDotNet.Running;
using QuantConnect.Indicators;

var summary = BenchmarkRunner.Run<Bench>();

[Config(typeof(BenchmarkConfig))]
public class Bench
{
    private readonly RollingWindow<decimal> _baseline = new RollingWindow<decimal>(100);
    private readonly RollingWindowToArray<decimal> _toArray = new RollingWindowToArray<decimal>(100);
    private readonly RollingWindowToArrayInlinedIndexCalculation<decimal> _toArrayInlinedIndexer = new
        RollingWindowToArrayInlinedIndexCalculation<decimal>(100);
    private readonly RollingWindowToArrayInlinedIndexerReversedFor<decimal> _toArrayInlinedIndexerReversed = new
        RollingWindowToArrayInlinedIndexerReversedFor<decimal>(100);

    [Benchmark]
    public decimal Baseline()
    {
        _baseline.Add(1);
        if (_baseline.IsReady)
        {
            return _baseline.Sum();
        }
        return _baseline.Max();
    }

    [Benchmark]
    public decimal ToArray()
    {
        _toArray.Add(1);
        if (_toArray.IsReady)
        {
            return _toArray.Sum();
        }

        return _toArray.Max();
    }

    [Benchmark]
    public decimal ToArrayInlinedIndexer()
    {
        _toArrayInlinedIndexer.Add(1);
        if (_toArrayInlinedIndexer.IsReady)
        {
            return _toArrayInlinedIndexer.Sum();
        }

        return _toArrayInlinedIndexer.Max();
    }

    [Benchmark]
    public decimal ToArrayInlinedIndexerReversed()
    {
        _toArrayInlinedIndexerReversed.Add(1);
        if (_toArrayInlinedIndexerReversed.IsReady)
        {
            return _toArrayInlinedIndexerReversed.Sum();
        }

        return _toArrayInlinedIndexerReversed.Max();
    }
}

public class BenchmarkConfig : ManualConfig
{
    public BenchmarkConfig()
    {
        // Configure your benchmarks, see for more details: https://benchmarkdotnet.org/articles/configs/configs.html.
        AddJob(Job.Default);
        AddDiagnoser(MemoryDiagnoser.Default);
    }
}

Several options were considered:

• Baseline: current RollingWindow implementation in master
• ToArray: changed List<T> to T[]
• ToArrayInlinedIndexer: manually inlined the appropriate part of the this[int] indexer
• ToArrayInlinedIndexerReversed: changed for loop to the reversed version (iterating with counter being decremented)

Benchmarking results for RollingWindow of size 100:

|                        Method |     Mean |     Error |    StdDev |   Gen0 | Allocated |
|------------------------------ |---------:|----------:|----------:|-------:|----------:|
|                      Baseline | 5.048 us | 0.0969 us | 0.1037 us | 0.1984 |   1.66 KB |
|                       ToArray | 5.099 us | 0.1017 us | 0.1808 us | 0.1907 |   1.62 KB |
|         ToArrayInlinedIndexer | 1.682 us | 0.0227 us | 0.0223 us | 0.1965 |   1.62 KB |
| ToArrayInlinedIndexerReversed | 1.680 us | 0.0281 us | 0.0312 us | 0.1965 |   1.62 KB |

Benchmarking results for RollingWindow of size 10:

|                        Method |     Mean |   Error |  StdDev |   Gen0 | Allocated |
|------------------------------ |---------:|--------:|--------:|-------:|----------:|
|                      Baseline | 625.4 ns | 8.17 ns | 6.82 ns | 0.0315 |     264 B |
|                       ToArray | 594.6 ns | 9.92 ns | 9.75 ns | 0.0257 |     216 B |
|         ToArrayInlinedIndexer | 275.7 ns | 5.47 ns | 8.83 ns | 0.0257 |     216 B |
| ToArrayInlinedIndexerReversed | 267.8 ns | 5.05 ns | 4.73 ns | 0.0257 |     216 B |

Types of changes

• Bug fix (non-breaking change which fixes an issue)
• Refactor (non-breaking change which improves implementation)
• Performance (non-breaking change which improves performance. Please add associated performance test and results)
• New feature (non-breaking change which adds functionality)
• Breaking change (fix or feature that would cause existing functionality to change)
• Non-functional change (xml comments/documentation/etc)

Checklist:

• My code follows the code style of this project.
• I have read the CONTRIBUTING document.
• I have NOT added tests to cover my changes because it's performance-only related change.
• All new and existing tests passed.
• My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

[jaredbroad]

💪💪 Nice one @starteleport , drop us an email [email protected] for a gift of cloud credit.