rusty_backtest::simd_enhanced

Struct EnhancedSimdOps

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pub struct EnhancedSimdOps;
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Enhanced SIMD operations optimized for financial data processing

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impl EnhancedSimdOps

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pub fn sum_f64_optimized(values: &[f64]) -> f64

Optimized SIMD sum with explicit prefetching for large arrays

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pub fn variance_welford_scalar(values: &[f64]) -> f64

Welford’s algorithm for variance calculation (scalar implementation) This is the actual Welford’s algorithm with single-pass, numerically stable computation

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pub fn variance_two_pass_simd(values: &[f64]) -> f64

Two-pass variance calculation using SIMD with aligned memory access Uses simd_aligned for guaranteed memory alignment and optimal performance

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pub fn running_average_simd(values: &[f64], window_size: usize) -> Vec<f64>

Calculate running averages for price series using SIMD Optimized for typical HFT window sizes (50-200 periods)

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pub fn correlation_simd(x: &[f64], y: &[f64]) -> f64

Optimized correlation calculation using SIMD Processes two price series to calculate correlation coefficient

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pub fn log_returns_simd(prices: &[f64]) -> Vec<f64>

Optimized price returns calculation with SIMD Calculates log returns: ln(price[i] / price[i-1])

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pub fn process_order_book_levels_soa( prices: &[f64], quantities: &[f64], operation: impl Fn(f64, f64) -> f64, ) -> Vec<f64>

Structure-of-Arrays optimized order book level processing Processes bid/ask levels more efficiently by separating prices and quantities

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