Bitset Segmented

High-performance segmented bitset for financial markets, optimized for fast head/tail queries, ideal for price ladders. Also provides a C# API for integration purposes.

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Features

• Segmented Bitset: stores bits in fixed-size blocks (segments) for efficient handling of large index ranges.
• Fast head/tail queries: maintains the smallest and largest set bit (head and tail) for quick top of book update.
• Dynamic memory allocation: segments are created on-demand, minimizing memory usage from 16-32GB to 80-160mb (considering 20.000 assets with 200.000 tickers).
• Reserve memory: pre-allocate segments for a maximum index (reserve_for_max_index).
• C# API: extern "C" functions for cross-language integration.

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Benchmark

The following program simulates insertions and removals in a bitset_segmented structure, using PETR4 prices that varied ±20%.

• Total insertions: 100,000,000
• Price range: ±20% around the current PETR4 price
• Insertions near head: ±500 units

Results

[Insert] Iteration 0 | Head: 2726 | Tail: 2727

Insertion of 100000000 orders took: 2604.55 ms

After removals:
Head now: 2401
Tail now: 3062
Removals took: 1.79 µs

Random access checks took: 2.327 µs
Unset bits found: 78

Total active orders: 661
Total simulation time: 2604.63 ms

Note: Execution times are measured on a laptop with Intel Core i5 13th generation and may vary depending on system load.

Class Overview

bsa::bitset_segmented

Constructor / Destructor:

bitset_segmented();
~bitset_segmented();

Main Methods:

Method	Description
void set(std::size_t index)	Sets the bit at the given index.
bool unset(std::size_t index)	Clears the bit and returns whether it was set before.
bool get(std::size_t index) const	Returns true if the bit is set.
void reserve_for_max_index(std::size_t max_index)	Pre-allocates segments up to the given index.
bool empty() const	Returns true if no bits are set.
std::size_t head() const	Returns the smallest set index.
std::size_t tail() const	Returns the largest set index + 1.

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C# API

External functions for C# integration:

void* bitset_create();
void bitset_destroy(void* bs);
void bitset_set(void* bs, std::size_t index);
bool bitset_unset(void* bs, std::size_t index);
bool bitset_get(void* bs, std::size_t index);
void bitset_reserve(void* bs, std::size_t max_index);
bool bitset_empty(void* bs);
std::size_t bitset_head(void* bs);
std::size_t bitset_tail(void* bs);

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Installation on Linux

1. Clone the repository:

git clone https://github.com/lbricio/bitset_segmented.git
cd bitset_segmented

2. Build and install:

mkdir build
cd build
cmake ..
make
sudo make install

3. Include the library and headers in your project:

-I/usr/local/include
-L/usr/local/lib -lbitset_segmented

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Example Usage (C++)

#include <iostream>
#include "bitset_segmented/bitset_segmented.hpp"

int main() {
    bsa::bitset_segmented bs;

    bs.set(10);
    bs.set(5000);
    bs.set(20000);

    std::cout << "Bit 10: " << bs.get(10) << "\n";
    std::cout << "Bit 5000: " << bs.get(5000) << "\n";
    std::cout << "Bit 20000: " << bs.get(20000) << "\n";
    std::cout << "Bit 15: " << bs.get(15) << "\n";

    std::cout << "Head: " << bs.head() << "\n";
    std::cout << "Tail: " << bs.tail() << "\n";

    return 0;
}

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Example Usage (C#)

using System;
using System.Runtime.InteropServices;

class Program
{
    [DllImport("bitset_segmented.so")]
    public static extern IntPtr bitset_create();

    [DllImport("bitset_segmented.so")]
    public static extern void bitset_destroy(IntPtr bs);

    [DllImport("bitset_segmented.so")]
    public static extern void bitset_set(IntPtr bs, ulong index);

    [DllImport("bitset_segmented.so")]
    public static extern bool bitset_get(IntPtr bs, ulong index);

    static void Main()
    {
        IntPtr bs = bitset_create();
        bitset_set(bs, 10);
        bitset_set(bs, 5000);

        Console.WriteLine(bitset_get(bs, 10));    // true
        Console.WriteLine(bitset_get(bs, 5000));  // true
        Console.WriteLine(bitset_get(bs, 15));    // false

        bitset_destroy(bs);
    }
}