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nym21
2026-03-26 15:57:22 +01:00
parent 6d3307c0df
commit 18bb4186a8
72 changed files with 2013 additions and 1150 deletions
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crates/brk_computer/src/internal/algo/expanding_percentiles.rs
+7 -7
View File
@@ -71,20 +71,20 @@ impl ExpandingPercentiles {
self.tree.add(Self::to_bucket(value), &1);
}
/// Compute 6 percentiles in one call via kth. O(6 × log N) but with
/// shared tree traversal across all 6 targets for better cache locality.
/// Compute 8 percentiles in one call via kth. O(8 × log N) but with
/// shared tree traversal across all 8 targets for better cache locality.
/// Quantiles q must be sorted ascending in (0, 1). Output is in BPS.
pub fn quantiles(&self, qs: &[f64; 6], out: &mut [u32; 6]) {
pub fn quantiles(&self, qs: &[f64; 8], out: &mut [u32; 8]) {
if self.count == 0 {
out.iter_mut().for_each(|o| *o = 0);
return;
}
let mut targets = [0u32; 6];
let mut targets = [0u32; 8];
for (i, &q) in qs.iter().enumerate() {
let k = ((q * self.count as f64).ceil() as u32).clamp(1, self.count);
targets[i] = k - 1; // 0-indexed
}
let mut buckets = [0usize; 6];
let mut buckets = [0usize; 8];
self.tree.kth(&targets, &|n: &u32| *n, &mut buckets);
for (i, bucket) in buckets.iter().enumerate() {
out[i] = *bucket as u32 * BUCKET_BPS as u32;
@@ -97,8 +97,8 @@ mod tests {
use super::*;
fn quantile(ep: &ExpandingPercentiles, q: f64) -> u32 {
let mut out = [0u32; 6];
ep.quantiles(&[q, q, q, q, q, q], &mut out);
let mut out = [0u32; 8];
ep.quantiles(&[q, q, q, q, q, q, q, q], &mut out);
out[0]
}
crates/brk_computer/src/internal/per_block/ratio/percentiles.rs
+14 -4
View File
@@ -22,18 +22,20 @@ pub struct RatioBand<M: StorageMode = Rw> {
#[derive(Traversable)]
pub struct RatioPerBlockPercentiles<M: StorageMode = Rw> {
pub pct99_5: RatioBand<M>,
pub pct99: RatioBand<M>,
pub pct98: RatioBand<M>,
pub pct95: RatioBand<M>,
pub pct5: RatioBand<M>,
pub pct2: RatioBand<M>,
pub pct1: RatioBand<M>,
pub pct0_5: RatioBand<M>,
#[traversable(skip)]
expanding_pct: ExpandingPercentiles,
}
const VERSION: Version = Version::new(5);
const VERSION: Version = Version::new(6);
/// First height included in ratio percentile computation (first halving).
/// Earlier blocks lack meaningful market data and pollute the distribution.
@@ -70,12 +72,14 @@ impl RatioPerBlockPercentiles {
}
Ok(Self {
pct99_5: import_band!("pct99_5"),
pct99: import_band!("pct99"),
pct98: import_band!("pct98"),
pct95: import_band!("pct95"),
pct5: import_band!("pct5"),
pct2: import_band!("pct2"),
pct1: import_band!("pct1"),
pct0_5: import_band!("pct0_5"),
expanding_pct: ExpandingPercentiles::default(),
})
}
@@ -114,16 +118,18 @@ impl RatioPerBlockPercentiles {
}
let new_ratios = ratio_source.collect_range_at(start, ratio_len);
let mut pct_vecs: [&mut EagerVec<PcoVec<Height, BasisPoints32>>; 6] = [
let mut pct_vecs: [&mut EagerVec<PcoVec<Height, BasisPoints32>>; 8] = [
&mut self.pct0_5.ratio.bps.height,
&mut self.pct1.ratio.bps.height,
&mut self.pct2.ratio.bps.height,
&mut self.pct5.ratio.bps.height,
&mut self.pct95.ratio.bps.height,
&mut self.pct98.ratio.bps.height,
&mut self.pct99.ratio.bps.height,
&mut self.pct99_5.ratio.bps.height,
];
const PCTS: [f64; 6] = [0.01, 0.02, 0.05, 0.95, 0.98, 0.99];
let mut out = [0u32; 6];
const PCTS: [f64; 8] = [0.005, 0.01, 0.02, 0.05, 0.95, 0.98, 0.99, 0.995];
let mut out = [0u32; 8];
for vec in pct_vecs.iter_mut() {
vec.truncate_if_needed_at(start)?;
@@ -160,12 +166,14 @@ impl RatioPerBlockPercentiles {
};
}
compute_band!(pct99_5);
compute_band!(pct99);
compute_band!(pct98);
compute_band!(pct95);
compute_band!(pct5);
compute_band!(pct2);
compute_band!(pct1);
compute_band!(pct0_5);
Ok(())
}
@@ -174,12 +182,14 @@ impl RatioPerBlockPercentiles {
&mut self,
) -> impl Iterator<Item = &mut EagerVec<PcoVec<Height, BasisPoints32>>> {
[
&mut self.pct0_5.ratio.bps.height,
&mut self.pct1.ratio.bps.height,
&mut self.pct2.ratio.bps.height,
&mut self.pct5.ratio.bps.height,
&mut self.pct95.ratio.bps.height,
&mut self.pct98.ratio.bps.height,
&mut self.pct99.ratio.bps.height,
&mut self.pct99_5.ratio.bps.height,
]
.into_iter()
}