|
|
Moving to floats from doubles?
#486082
06/08/22 11:45
06/08/22 11:45
|
Joined: Jul 2017
Posts: 784
Zheka
OP
User
|
OP
User
Joined: Jul 2017
Posts: 784
|
I would like to suggest to move Zorro's default 'var' from type double to type float.
Most trading system calculations involve looping over N prior values to do some sort of summing/dividing/multiplying.
With floats, 2X as many values will be prefetched to the CPU L1 cache, there will be fewer cache misses, and with c++ compilers auto-vectorization performance with floats on loops can be nearly 2X than with doubles.
Division, sqrt, pow, exp, log, trigonometric functions can be 2x faster with floats; TA_Lib also has a version that consumes float arrays.
I did some measurements several years ago - and the speed up was quite significant.
I understand type conversion for intermediate calculations can be costly, but this will occasional and a less common case than looping over N prices/values.
Float max value is big enough for overflow to occur very rarely, if ever.
What do you think?
|
|
|
Re: Moving to floats from doubles?
[Re: Zheka]
#486090
06/08/22 14:49
06/08/22 14:49
|
Joined: Jul 2000
Posts: 27,986
Frankfurt
jcl
Chief Engineer
|
Chief Engineer
Joined: Jul 2000
Posts: 27,986
Frankfurt
|
|
|
|
Re: Moving to floats from doubles?
[Re: Zheka]
#486098
06/08/22 20:51
06/08/22 20:51
|
Joined: Feb 2017
Posts: 1,725
Chicago
AndrewAMD
Serious User
|
Serious User
Joined: Feb 2017
Posts: 1,725
Chicago
|
Here's an actual *.cpp Zorro script. float is not any faster. #include <chrono>
#include <typeinfo>
#include <vector>
#include <zorro.h>
template<typename T> void sum_test1(int num_times, T value)
{
T val = 0;
std::chrono::high_resolution_clock::time_point t1 = std::chrono::high_resolution_clock::now();
for (int i = 0; i < num_times; ++i)
{
val += value;
if (!wait(-100000)) {
printf("\nAborted!");
return;
}
}
auto dur = std::chrono::high_resolution_clock::now() - t1;
auto dur_ms = std::chrono::duration_cast<std::chrono::milliseconds>(dur);
printf("\nType name: %s", typeid(T).name());
printf("\n... Size in bytes : %d", sizeof(T));
printf("\n... Summation time: %d ms", dur_ms);
printf("\n... Summed value: %0.8f", (double)val);
}
template<typename T> void vec_test2(size_t vecSize, int num_times, T value)
{
std::vector<T> vec;
vec.resize(vecSize);
std::chrono::high_resolution_clock::time_point t1 = std::chrono::high_resolution_clock::now();
for (int i = 0; i < num_times; ++i)
{
for (auto& val : vec) {
val *= value;
if (!wait(-100000)) {
printf("\nAborted!");
return;
}
}
}
auto dur = std::chrono::high_resolution_clock::now() - t1;
auto dur_ms = std::chrono::duration_cast<std::chrono::milliseconds>(dur);
printf("\nType name: %s", typeid(T).name());
printf("\n... Size in bytes : %d", sizeof(T));
printf("\n... Vector lenth: %d", vecSize);
printf("\n... num_times: %d", num_times);
printf("\n... Vector time: %d ms", dur_ms);
}
DLLFUNC void run() {
set(LOGFILE);
sum_test1(100000000, 3.3f);
sum_test1(100000000, 3.3f);
sum_test1(100000000, 3.3f);
sum_test1(100000000, 3.3);
sum_test1(100000000, 3.3);
sum_test1(100000000, 3.3);
vec_test2(3000000,30, 3.3f);
vec_test2(3000000,30, 3.3f);
vec_test2(3000000,30, 3.3f);
vec_test2(3000000, 30, 3.3);
vec_test2(3000000, 30, 3.3);
vec_test2(3000000, 30, 3.3);
quit("!Done!");
}
/* LOG OUTPUT:
Type name: float
... Size in bytes : 4
... Summation time: 2247 ms
... Summed value: 67108864.00000000
Type name: float
... Size in bytes : 4
... Summation time: 2121 ms
... Summed value: 67108864.00000000
Type name: float
... Size in bytes : 4
... Summation time: 2079 ms
... Summed value: 67108864.00000000
Type name: double
... Size in bytes : 8
... Summation time: 2133 ms
... Summed value: 330000000.62168288
Type name: double
... Size in bytes : 8
... Summation time: 2164 ms
... Summed value: 330000000.62168288
Type name: double
... Size in bytes : 8
... Summation time: 2100 ms
... Summed value: 330000000.62168288
Type name: float
... Size in bytes : 4
... Vector lenth: 3000000
... num_times: 30
... Vector time: 1849 ms
Type name: float
... Size in bytes : 4
... Vector lenth: 3000000
... num_times: 30
... Vector time: 1816 ms
Type name: float
... Size in bytes : 4
... Vector lenth: 3000000
... num_times: 30
... Vector time: 1822 ms
Type name: double
... Size in bytes : 8
... Vector lenth: 3000000
... num_times: 30
... Vector time: 1829 ms
Type name: double
... Size in bytes : 8
... Vector lenth: 3000000
... num_times: 30
... Vector time: 1851 ms
Type name: double
... Size in bytes : 8
... Vector lenth: 3000000
... num_times: 30
... Vector time: 1879 ms
Done!
*/
|
|
|
|
