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lib.rs
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//! A DDSketch implementation based on the Datadog Agent's DDSketch implementation.
#![deny(warnings)]
#![deny(missing_docs)]
use std::{cmp::Ordering, mem};
use datadog_protos::metrics::Dogsketch;
use ordered_float::OrderedFloat;
use smallvec::SmallVec;
#[allow(dead_code)]
mod config {
include!(concat!(env!("OUT_DIR"), "/config.rs"));
}
static SKETCH_CONFIG: Config = Config::new(
config::DDSKETCH_CONF_BIN_LIMIT,
config::DDSKETCH_CONF_GAMMA_V,
config::DDSKETCH_CONF_GAMMA_LN,
config::DDSKETCH_CONF_NORM_MIN,
config::DDSKETCH_CONF_NORM_BIAS,
);
const UV_INF: i16 = i16::MAX;
const MAX_KEY: i16 = UV_INF;
const MAX_BIN_WIDTH: u16 = u16::MAX;
#[derive(Copy, Clone, Debug, PartialEq)]
struct Config {
// Maximum number of bins per sketch.
bin_limit: u16,
// gamma_ln is the natural log of gamma_v, used to speed up calculating log base gamma.
gamma_v: f64,
gamma_ln: f64,
// Minimum and maximum values representable by a sketch with these params.
//
// key(x) =
// 0 : -min > x < min
// 1 : x == min
// -1 : x == -min
// +Inf : x > max
// -Inf : x < -max.
norm_min: f64,
// Bias of the exponent, used to ensure key(x) >= 1.
norm_bias: i32,
}
impl Config {
const fn new(bin_limit: u16, gamma_v: f64, gamma_ln: f64, norm_min: f64, norm_bias: i32) -> Self {
Self {
bin_limit,
gamma_v,
gamma_ln,
norm_min,
norm_bias,
}
}
/// Gets the value lower bound of the bin at the given key.
#[inline]
pub fn bin_lower_bound(&self, k: i16) -> f64 {
if k < 0 {
return -self.bin_lower_bound(-k);
}
if k == MAX_KEY {
return f64::INFINITY;
}
if k == 0 {
return 0.0;
}
self.gamma_v.powf(f64::from(i32::from(k) - self.norm_bias))
}
/// Gets the key for the given value.
///
/// The key corresponds to the bin where this value would be represented. The value returned here is such that: γ^k
/// <= v < γ^(k+1).
#[allow(clippy::cast_possible_truncation)]
#[inline]
pub fn key(&self, v: f64) -> i16 {
if v < 0.0 {
return -self.key(-v);
}
if v == 0.0 || (v > 0.0 && v < self.norm_min) || (v < 0.0 && v > -self.norm_min) {
return 0;
}
// SAFETY: `rounded` is intentionally meant to be a whole integer, and additionally, based on our target gamma
// ln, we expect `log_gamma` to return a value between -2^16 and 2^16, so it will always fit in an i32.
let rounded = self.log_gamma(v).round_ties_even() as i32;
let key = rounded.wrapping_add(self.norm_bias);
// SAFETY: Our upper bound of POS_INF_KEY is i16, and our lower bound is simply one, so there is no risk of
// truncation via conversion.
key.clamp(1, i32::from(MAX_KEY)) as i16
}
#[inline]
pub fn log_gamma(&self, v: f64) -> f64 {
v.ln() / self.gamma_ln
}
}
/// A sketch bin.
#[derive(Clone, Copy, Debug, Eq, PartialEq)]
pub(crate) struct Bin {
/// The bin index.
k: i16,
/// The number of observations within the bin.
n: u16,
}
impl Bin {
#[allow(clippy::cast_possible_truncation)]
fn increment(&mut self, n: u32) -> u32 {
let next = n + u32::from(self.n);
if next > u32::from(MAX_BIN_WIDTH) {
self.n = MAX_BIN_WIDTH;
return next - u32::from(MAX_BIN_WIDTH);
}
// SAFETY: We already know `next` is less than or equal to `MAX_BIN_WIDTH` if we got here, and `MAX_BIN_WIDTH`
// is u16, so next can't possibly be larger than a u16.
self.n = next as u16;
0
}
}
/// A histogram bucket.
///
/// This type can be used to represent a classic histogram bucket, such as those defined by Prometheus or OpenTelemetry,
/// in a way that is then able to be inserted into the DDSketch via linear interpolation.
pub struct Bucket {
/// The upper limit (inclusive) of values in the bucket.
pub upper_limit: f64,
/// The number of values in the bucket.
pub count: u64,
}
/// [DDSketch][ddsketch] implementation based on the [Datadog Agent][ddagent].
///
/// This implementation is subtly different from the open-source implementations of `DDSketch`, as Datadog made some
/// slight tweaks to configuration values and in-memory layout to optimize it for insertion performance within the
/// agent.
///
/// We've mimicked the agent version of `DDSketch` here in order to support a future where we can take sketches shipped
/// by the agent, handle them internally, merge them, and so on, without any loss of accuracy, eventually forwarding
/// them to Datadog ourselves.
///
/// As such, this implementation is constrained in the same ways: the configuration parameters cannot be changed, the
/// collapsing strategy is fixed, and we support a limited number of methods for inserting into the sketch.
///
/// Importantly, we have a special function, again taken from the agent version, to allow us to interpolate histograms,
/// specifically our own aggregated histograms, into a sketch so that we can emit useful default quantiles, rather than
/// having to ship the buckets -- upper bound and count -- to a downstream system that might have no native way to do
/// the same thing, basically providing no value as they have no way to render useful data from them.
///
/// [ddsketch]: https://www.vldb.org/pvldb/vol12/p2195-masson.pdf
/// [ddagent]: https://github.com/DataDog/datadog-agent
#[derive(Clone, Debug)]
pub struct DDSketch {
/// The bins within the sketch.
bins: SmallVec<[Bin; 4]>,
/// The number of observations within the sketch.
count: u32,
/// The minimum value of all observations within the sketch.
min: f64,
/// The maximum value of all observations within the sketch.
max: f64,
/// The sum of all observations within the sketch.
sum: f64,
/// The average value of all observations within the sketch.
avg: f64,
}
impl DDSketch {
#[cfg(test)]
fn bin_count(&self) -> usize {
self.bins.len()
}
#[cfg(test)]
fn bins(&self) -> &[Bin] {
&self.bins
}
/// Whether or not this sketch is empty.
pub fn is_empty(&self) -> bool {
self.count == 0
}
/// Number of samples currently represented by this sketch.
pub fn count(&self) -> u32 {
self.count
}
/// Minimum value seen by this sketch.
///
/// Returns `None` if the sketch is empty.
pub fn min(&self) -> Option<f64> {
if self.is_empty() {
None
} else {
Some(self.min)
}
}
/// Maximum value seen by this sketch.
///
/// Returns `None` if the sketch is empty.
pub fn max(&self) -> Option<f64> {
if self.is_empty() {
None
} else {
Some(self.max)
}
}
/// Sum of all values seen by this sketch.
///
/// Returns `None` if the sketch is empty.
pub fn sum(&self) -> Option<f64> {
if self.is_empty() {
None
} else {
Some(self.sum)
}
}
/// Average value seen by this sketch.
///
/// Returns `None` if the sketch is empty.
pub fn avg(&self) -> Option<f64> {
if self.is_empty() {
None
} else {
Some(self.avg)
}
}
/// Clears the sketch, removing all bins and resetting all statistics.
pub fn clear(&mut self) {
self.count = 0;
self.min = f64::MAX;
self.max = f64::MIN;
self.avg = 0.0;
self.sum = 0.0;
self.bins.clear();
}
fn adjust_basic_stats(&mut self, v: f64, n: u32) {
if v < self.min {
self.min = v;
}
if v > self.max {
self.max = v;
}
self.count += n;
self.sum += v * f64::from(n);
if n == 1 {
self.avg += (v - self.avg) / f64::from(self.count);
} else {
// TODO: From the Agent source code, this method apparently loses precision when the
// two averages -- v and self.avg -- are close. Is there a better approach?
self.avg = self.avg + (v - self.avg) * f64::from(n) / f64::from(self.count);
}
}
fn insert_key_counts(&mut self, mut counts: Vec<(i16, u32)>) {
// Counts need to be sorted by key.
counts.sort_unstable_by(|(k1, _), (k2, _)| k1.cmp(k2));
let mut temp = SmallVec::<[Bin; 4]>::new();
let mut bins_idx = 0;
let mut key_idx = 0;
let bins_len = self.bins.len();
let counts_len = counts.len();
// PERF TODO: there's probably a fast path to be had where could check if all if the counts have existing bins
// that aren't yet full, and we just update them directly, although we'd still be doing a linear scan to find
// them since keys aren't 1:1 with their position in `self.bins` but using this method just to update one or two
// bins is clearly suboptimal and we wouldn't really want to scan them all just to have to back out and actually
// do the non-fast path.. maybe a first pass could be checking if the first/last key falls within our known
// min/max key, and if it doesn't, then we know we have to go through the non-fast path, and if it passes, we do
// the scan to see if we can just update bins directly?
while bins_idx < bins_len && key_idx < counts_len {
let bin = self.bins[bins_idx];
let vk = counts[key_idx].0;
let kn = counts[key_idx].1;
match bin.k.cmp(&vk) {
Ordering::Greater => {
generate_bins(&mut temp, vk, kn);
key_idx += 1;
}
Ordering::Less => {
temp.push(bin);
bins_idx += 1;
}
Ordering::Equal => {
generate_bins(&mut temp, bin.k, u32::from(bin.n) + kn);
bins_idx += 1;
key_idx += 1;
}
}
}
temp.extend_from_slice(&self.bins[bins_idx..]);
while key_idx < counts_len {
let vk = counts[key_idx].0;
let kn = counts[key_idx].1;
generate_bins(&mut temp, vk, kn);
key_idx += 1;
}
trim_left(&mut temp, SKETCH_CONFIG.bin_limit);
// PERF TODO: This is where we might do a mem::swap instead so that we could shove the bin vector into an object
// pool but I'm not sure this actually matters at the moment.
self.bins = temp;
}
fn insert_keys(&mut self, mut keys: Vec<i16>) {
// Updating more than 4 billion keys would be very very weird and likely indicative of something horribly
// broken.
assert!(keys.len() <= u32::MAX.try_into().expect("we don't support 16-bit systems"));
keys.sort_unstable();
let mut temp = SmallVec::<[Bin; 4]>::new();
let mut bins_idx = 0;
let mut key_idx = 0;
let bins_len = self.bins.len();
let keys_len = keys.len();
// PERF TODO: there's probably a fast path to be had where could check if all if the counts have existing bins
// that aren't yet full, and we just update them directly, although we'd still be doing a linear scan to find
// them since keys aren't 1:1 with their position in `self.bins` but using this method just to update one or two
// bins is clearly suboptimal and we wouldn't really want to scan them all just to have to back out and actually
// do the non-fast path.. maybe a first pass could be checking if the first/last key falls within our known
// min/max key, and if it doesn't, then we know we have to go through the non-fast path, and if it passes, we do
// the scan to see if we can just update bins directly?
while bins_idx < bins_len && key_idx < keys_len {
let bin = self.bins[bins_idx];
let vk = keys[key_idx];
match bin.k.cmp(&vk) {
Ordering::Greater => {
let kn = buf_count_leading_equal(&keys, key_idx);
generate_bins(&mut temp, vk, kn);
key_idx += kn as usize;
}
Ordering::Less => {
temp.push(bin);
bins_idx += 1;
}
Ordering::Equal => {
let kn = buf_count_leading_equal(&keys, key_idx);
generate_bins(&mut temp, bin.k, u32::from(bin.n) + kn);
bins_idx += 1;
key_idx += kn as usize;
}
}
}
temp.extend_from_slice(&self.bins[bins_idx..]);
while key_idx < keys_len {
let vk = keys[key_idx];
let kn = buf_count_leading_equal(&keys, key_idx);
generate_bins(&mut temp, vk, kn);
key_idx += kn as usize;
}
trim_left(&mut temp, SKETCH_CONFIG.bin_limit);
// PERF TODO: This is where we might do a mem::swap instead so that we could shove the bin vector into an object
// pool but I'm not sure this actually matters at the moment.
self.bins = temp;
}
/// Inserts a single value into the sketch.
pub fn insert(&mut self, v: f64) {
// TODO: This should return a result that makes sure we have enough room to actually add 1 more sample without
// hitting `self.config.max_count()`
self.adjust_basic_stats(v, 1);
let key = SKETCH_CONFIG.key(v);
let mut insert_at = None;
for (bin_idx, b) in self.bins.iter_mut().enumerate() {
if b.k == key {
if b.n < MAX_BIN_WIDTH {
// Fast path for adding to an existing bin without overflow.
b.n += 1;
return;
} else {
insert_at = Some(bin_idx);
break;
}
}
if b.k > key {
insert_at = Some(bin_idx);
break;
}
}
if let Some(bin_idx) = insert_at {
self.bins.insert(bin_idx, Bin { k: key, n: 1 });
} else {
self.bins.push(Bin { k: key, n: 1 });
}
trim_left(&mut self.bins, SKETCH_CONFIG.bin_limit);
}
/// Inserts many values into the sketch.
pub fn insert_many(&mut self, vs: &[f64]) {
// TODO: This should return a result that makes sure we have enough room to actually add N more samples without
// hitting `self.config.bin_limit`.
let mut keys = Vec::with_capacity(vs.len());
for v in vs {
self.adjust_basic_stats(*v, 1);
keys.push(SKETCH_CONFIG.key(*v));
}
self.insert_keys(keys);
}
/// Inserts a single value into the sketch `n` times.
pub fn insert_n(&mut self, v: f64, n: u32) {
// TODO: this should return a result that makes sure we have enough room to actually add N more samples without
// hitting `self.config.max_count()`
self.adjust_basic_stats(v, n);
let key = SKETCH_CONFIG.key(v);
self.insert_key_counts(vec![(key, n)]);
}
fn insert_interpolate_bucket(&mut self, lower: f64, upper: f64, count: u32) {
// Find the keys for the bins where the lower bound and upper bound would end up, and collect all of the keys in
// between, inclusive.
let lower_key = SKETCH_CONFIG.key(lower);
let upper_key = SKETCH_CONFIG.key(upper);
let keys = (lower_key..=upper_key).collect::<Vec<_>>();
let mut key_counts = Vec::new();
let mut remaining_count = count;
let distance = upper - lower;
let mut start_idx = 0;
let mut end_idx = 1;
let mut lower_bound = SKETCH_CONFIG.bin_lower_bound(keys[start_idx]);
let mut remainder = 0.0;
while end_idx < keys.len() && remaining_count > 0 {
// For each key, map the total distance between the input lower/upper bound against the sketch lower/upper
// bound for the current sketch bin, which tells us how much of the input count to apply to the current
// sketch bin.
let upper_bound = SKETCH_CONFIG.bin_lower_bound(keys[end_idx]);
let fkn = ((upper_bound - lower_bound) / distance) * f64::from(count);
if fkn > 1.0 {
remainder += fkn - fkn.trunc();
}
// SAFETY: This integer cast is intentional: we want to get the non-fractional part, as we've captured the
// fractional part in the above conditional.
#[allow(clippy::cast_possible_truncation)]
let mut kn = fkn as u32;
if remainder > 1.0 {
kn += 1;
remainder -= 1.0;
}
if kn > 0 {
if kn > remaining_count {
kn = remaining_count;
}
self.adjust_basic_stats(lower_bound, kn);
key_counts.push((keys[start_idx], kn));
remaining_count -= kn;
start_idx = end_idx;
lower_bound = upper_bound;
}
end_idx += 1;
}
if remaining_count > 0 {
let last_key = keys[start_idx];
lower_bound = SKETCH_CONFIG.bin_lower_bound(last_key);
self.adjust_basic_stats(lower_bound, remaining_count);
key_counts.push((last_key, remaining_count));
}
self.insert_key_counts(key_counts);
}
/// ## Errors
///
/// Returns an error if a bucket size is greater that `u32::MAX`.
pub fn insert_interpolate_buckets(&mut self, mut buckets: Vec<Bucket>) -> Result<(), &'static str> {
// Buckets need to be sorted from lowest to highest so that we can properly calculate the rolling lower/upper
// bounds.
buckets.sort_by(|a, b| {
let oa = OrderedFloat(a.upper_limit);
let ob = OrderedFloat(b.upper_limit);
oa.cmp(&ob)
});
let mut lower = f64::NEG_INFINITY;
if buckets.iter().any(|bucket| bucket.count > u64::from(u32::MAX)) {
return Err("bucket size greater than u32::MAX");
}
for bucket in buckets {
let mut upper = bucket.upper_limit;
if upper.is_sign_positive() && upper.is_infinite() {
upper = lower;
} else if lower.is_sign_negative() && lower.is_infinite() {
lower = upper;
}
// Each bucket should only have the values that fit within that bucket, which is generally enforced at the
// source level by converting from cumulative buckets, or enforced by the internal structures that hold
// bucketed data i.e. Vector's internal `Histogram` data structure used for collecting histograms from
// `metrics`.
let count =
u32::try_from(bucket.count).unwrap_or_else(|_| unreachable!("count range has already been checked."));
self.insert_interpolate_bucket(lower, upper, count);
lower = bucket.upper_limit;
}
Ok(())
}
/// Adds a bin directly into the sketch.
///
/// Used only for unit testing so that we can create a sketch with an exact layout, which allows testing around the
/// resulting bins when feeding in specific values, as well as generating explicitly bad layouts for testing.
#[allow(dead_code)]
pub(crate) fn insert_raw_bin(&mut self, k: i16, n: u16) {
let v = SKETCH_CONFIG.bin_lower_bound(k);
self.adjust_basic_stats(v, u32::from(n));
self.bins.push(Bin { k, n });
}
/// Gets the value at a given quantile.
pub fn quantile(&self, q: f64) -> Option<f64> {
if self.count == 0 {
return None;
}
if q <= 0.0 {
return Some(self.min);
}
if q >= 1.0 {
return Some(self.max);
}
let mut n = 0.0;
let mut estimated = None;
let wanted_rank = rank(self.count, q);
for (i, bin) in self.bins.iter().enumerate() {
n += f64::from(bin.n);
if n <= wanted_rank {
continue;
}
let weight = (n - wanted_rank) / f64::from(bin.n);
let mut v_low = SKETCH_CONFIG.bin_lower_bound(bin.k);
let mut v_high = v_low * SKETCH_CONFIG.gamma_v;
if i == self.bins.len() {
v_high = self.max;
} else if i == 0 {
v_low = self.min;
}
estimated = Some(v_low * weight + v_high * (1.0 - weight));
break;
}
estimated.map(|v| v.clamp(self.min, self.max)).or(Some(f64::NAN))
}
/// Merges another sketch into this sketch, without a loss of accuracy.
///
/// All samples present in the other sketch will be correctly represented in this sketch, and summary statistics
/// such as the sum, average, count, min, and max, will represent the sum of samples from both sketches.
pub fn merge(&mut self, other: &DDSketch) {
// Merge the basic statistics together.
self.count += other.count;
if other.max > self.max {
self.max = other.max;
}
if other.min < self.min {
self.min = other.min;
}
self.sum += other.sum;
self.avg = self.avg + (other.avg - self.avg) * f64::from(other.count) / f64::from(self.count);
// Now merge the bins.
let mut temp = SmallVec::<[Bin; 4]>::new();
let mut bins_idx = 0;
for other_bin in &other.bins {
let start = bins_idx;
while bins_idx < self.bins.len() && self.bins[bins_idx].k < other_bin.k {
bins_idx += 1;
}
temp.extend_from_slice(&self.bins[start..bins_idx]);
if bins_idx >= self.bins.len() || self.bins[bins_idx].k > other_bin.k {
temp.push(*other_bin);
} else if self.bins[bins_idx].k == other_bin.k {
generate_bins(
&mut temp,
other_bin.k,
u32::from(other_bin.n) + u32::from(self.bins[bins_idx].n),
);
bins_idx += 1;
}
}
temp.extend_from_slice(&self.bins[bins_idx..]);
trim_left(&mut temp, SKETCH_CONFIG.bin_limit);
self.bins = temp;
}
/// Merges this sketch into the `Dogsketch` Protocol Buffers representation.
pub fn merge_to_dogsketch(&self, dogsketch: &mut Dogsketch) {
dogsketch.set_cnt(i64::from(self.count));
dogsketch.set_min(self.min);
dogsketch.set_max(self.max);
dogsketch.set_avg(self.avg);
dogsketch.set_sum(self.sum);
let mut k = Vec::new();
let mut n = Vec::new();
for bin in &self.bins {
k.push(i32::from(bin.k));
n.push(u32::from(bin.n));
}
dogsketch.set_k(k);
dogsketch.set_n(n);
}
}
impl PartialEq for DDSketch {
fn eq(&self, other: &Self) -> bool {
// We skip checking the configuration because we don't allow creating configurations by hand, and it's always
// locked to the constants used by the Datadog Agent. We only check the configuration equality manually in
// `DDSketch::merge`, to protect ourselves in the future if different configurations become allowed.
//
// Additionally, we also use floating-point-specific relative comparisons for sum/avg because they can be
// minimally different between sketches purely due to floating-point behavior, despite being fed the same exact
// data in terms of recorded samples.
self.count == other.count
&& float_eq(self.min, other.min)
&& float_eq(self.max, other.max)
&& float_eq(self.sum, other.sum)
&& float_eq(self.avg, other.avg)
&& self.bins == other.bins
}
}
impl Default for DDSketch {
fn default() -> Self {
Self {
bins: SmallVec::new(),
count: 0,
min: f64::MAX,
max: f64::MIN,
sum: 0.0,
avg: 0.0,
}
}
}
impl Eq for DDSketch {}
fn float_eq(l_value: f64, r_value: f64) -> bool {
use float_eq::FloatEq as _;
(l_value.is_nan() && r_value.is_nan()) || l_value.eq_ulps(&r_value, &1)
}
fn rank(count: u32, q: f64) -> f64 {
let rank = q * f64::from(count - 1);
rank.round_ties_even()
}
#[allow(clippy::cast_possible_truncation)]
fn buf_count_leading_equal(keys: &[i16], start_idx: usize) -> u32 {
if start_idx == keys.len() - 1 {
return 1;
}
let mut idx = start_idx;
while idx < keys.len() && keys[idx] == keys[start_idx] {
idx += 1;
}
// SAFETY: We limit the size of the vector (used to provide the slice given to us here) to be no larger than 2^32,
// so we can't exceed u32 here.
(idx - start_idx) as u32
}
fn trim_left(bins: &mut SmallVec<[Bin; 4]>, bin_limit: u16) {
// We won't ever support Vector running on anything other than a 32-bit platform and above, I imagine, so this
// should always be safe.
let bin_limit = bin_limit as usize;
if bin_limit == 0 || bins.len() < bin_limit {
return;
}
let num_to_remove = bins.len() - bin_limit;
let mut missing = 0;
let mut overflow = SmallVec::<[Bin; 4]>::new();
for bin in bins.iter().take(num_to_remove) {
missing += u32::from(bin.n);
if missing > u32::from(MAX_BIN_WIDTH) {
overflow.push(Bin {
k: bin.k,
n: MAX_BIN_WIDTH,
});
missing -= u32::from(MAX_BIN_WIDTH);
}
}
let bin_remove = &mut bins[num_to_remove];
missing = bin_remove.increment(missing);
if missing > 0 {
generate_bins(&mut overflow, bin_remove.k, missing);
}
let overflow_len = overflow.len();
let (_, bins_end) = bins.split_at(num_to_remove);
overflow.extend_from_slice(bins_end);
// I still don't yet understand how this works, since you'd think bin limit should be the overall limit of the
// number of bins, but we're allowing more than that.. :thinkies:
overflow.truncate(bin_limit + overflow_len);
mem::swap(bins, &mut overflow);
}
#[allow(clippy::cast_possible_truncation)]
fn generate_bins(bins: &mut SmallVec<[Bin; 4]>, k: i16, n: u32) {
if n < u32::from(MAX_BIN_WIDTH) {
// SAFETY: Cannot truncate `n`, as it's less than a u16 value.
bins.push(Bin { k, n: n as u16 });
} else {
let overflow = n % u32::from(MAX_BIN_WIDTH);
if overflow != 0 {
bins.push(Bin {
k,
// SAFETY: Cannot truncate `overflow`, as it's modulo'd by a u16 value.
n: overflow as u16,
});
}
for _ in 0..(n / u32::from(MAX_BIN_WIDTH)) {
bins.push(Bin { k, n: MAX_BIN_WIDTH });
}
}
}
#[cfg(test)]
mod tests {
use ordered_float::OrderedFloat;
use rand::thread_rng;
use rand_distr::{Distribution, Pareto};
use super::{config::AGENT_DEFAULT_EPS, Bucket, Config, DDSketch, MAX_KEY, SKETCH_CONFIG};
const FLOATING_POINT_ACCEPTABLE_ERROR: f64 = 1.0e-10;
fn generate_pareto_distribution() -> Vec<OrderedFloat<f64>> {
// Generate a set of samples that roughly correspond to the latency of a typical web service, in microseconds,
// with a gamma distribution: big hump at the beginning with a long tail. We limit this so the samples
// represent latencies that bottom out at 15 milliseconds and tail off all the way up to 10 seconds.
let distribution = Pareto::new(1.0, 1.0).expect("pareto distribution should be valid");
let mut samples = distribution
.sample_iter(thread_rng())
// Scale by 10,000 to get microseconds.
.map(|n| n * 10_000.0)
.filter(|n| *n > 15_000.0 && *n < 10_000_000.0)
.map(OrderedFloat)
.take(1000)
.collect::<Vec<_>>();
// Sort smallest to largest.
samples.sort();
samples
}
#[test]
fn test_ddsketch_config_key_lower_bound_identity() {
for k in (-MAX_KEY + 1)..MAX_KEY {
assert_eq!(k, SKETCH_CONFIG.key(SKETCH_CONFIG.bin_lower_bound(k)));
}
}
#[test]
fn test_ddsketch_basic() {
let mut sketch = DDSketch::default();
assert!(sketch.is_empty());
assert_eq!(sketch.count(), 0);
assert_eq!(sketch.min(), None);
assert_eq!(sketch.max(), None);
assert_eq!(sketch.sum(), None);
assert_eq!(sketch.avg(), None);
sketch.insert(3.15);
assert!(!sketch.is_empty());
assert_eq!(sketch.count(), 1);
assert_eq!(sketch.min(), Some(3.15));
assert_eq!(sketch.max(), Some(3.15));
assert_eq!(sketch.sum(), Some(3.15));
assert_eq!(sketch.avg(), Some(3.15));
sketch.insert(2.28);
assert!(!sketch.is_empty());
assert_eq!(sketch.count(), 2);
assert_eq!(sketch.min(), Some(2.28));
assert_eq!(sketch.max(), Some(3.15));
assert_eq!(sketch.sum(), Some(5.43));
assert_eq!(sketch.avg(), Some(2.715));
}
#[test]
fn test_ddsketch_clear() {
let sketch1 = DDSketch::default();
let mut sketch2 = DDSketch::default();
assert_eq!(sketch1, sketch2);
assert!(sketch1.is_empty());
assert!(sketch2.is_empty());
sketch2.insert(3.15);
assert_ne!(sketch1, sketch2);
assert!(!sketch2.is_empty());
sketch2.clear();
assert_eq!(sketch1, sketch2);
assert!(sketch2.is_empty());
}
#[test]
fn test_ddsketch_neg_to_pos() {
// This gives us 10k values because otherwise this test runs really slow in debug mode.
let start = -1.0;
let end = 1.0;
let delta = 0.0002;
let mut sketch = DDSketch::default();
let mut v = start;
while v <= end {
sketch.insert(v);
v += delta;
}
let min = sketch.quantile(0.0).expect("should have value");
let median = sketch.quantile(0.5).expect("should have value");
let max = sketch.quantile(1.0).expect("should have value");
assert_eq!(start, min);
assert!(median.abs() < FLOATING_POINT_ACCEPTABLE_ERROR);
assert!((end - max).abs() < FLOATING_POINT_ACCEPTABLE_ERROR);
}
#[test]
fn test_out_of_range_buckets_error() {
let mut sketch = DDSketch::default();
let buckets = vec![
Bucket {
upper_limit: 5.4,
count: 32,
},
Bucket {
upper_limit: 5.8,
count: u64::from(u32::MAX) + 1,
},
Bucket {
upper_limit: 9.2,
count: 320,
},
];
assert_eq!(
Err("bucket size greater than u32::MAX"),
sketch.insert_interpolate_buckets(buckets)
);
// Assert the sketch remains unchanged.
assert_eq!(sketch, DDSketch::default());
}
#[test]
fn test_merge() {
let mut all_values = DDSketch::default();
let mut odd_values = DDSketch::default();
let mut even_values = DDSketch::default();
let mut all_values_many = DDSketch::default();
let mut values = Vec::new();
for i in -50..=50 {
let v = f64::from(i);
all_values.insert(v);
if i & 1 == 0 {
odd_values.insert(v);
} else {
even_values.insert(v);
}
values.push(v);
}
all_values_many.insert_many(&values);
odd_values.merge(&even_values);
let merged_values = odd_values;
// Number of bins should be equal to the number of values we inserted.
assert_eq!(all_values.bin_count(), values.len());
// Values at both ends of the quantile range should be equal.
let low_end = all_values.quantile(0.01).expect("should have estimated value");
let high_end = all_values.quantile(0.99).expect("should have estimated value");
assert_eq!(high_end, -low_end);
let target_bin_count = all_values.bin_count();
for sketch in &[all_values, all_values_many, merged_values] {
assert_eq!(sketch.quantile(0.5), Some(0.0));
assert_eq!(sketch.quantile(0.0), Some(-50.0));
assert_eq!(sketch.quantile(1.0), Some(50.0));
for p in 0..50 {
let q = f64::from(p) / 100.0;
let positive = sketch.quantile(q + 0.5).expect("should have estimated value");
let negative = -sketch.quantile(0.5 - q).expect("should have estimated value");
assert!(
(positive - negative).abs() <= 1.0e-6,
"positive vs negative difference too great ({positive} vs {negative})",
);
}
assert_eq!(target_bin_count, sketch.bin_count());
}
}
#[test]
#[ignore = "currently debugging why this seems to be off; likely based on our 'actual' values"]
fn test_ddsketch_pareto_distribution() {
use ndarray::{Array1, Axis};
use ndarray_stats::{interpolate, QuantileExt};
use noisy_float::prelude::N64;
// Generate a straightforward Pareto distribution to simulate web request latencies.
let samples = generate_pareto_distribution();