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Summary

A fixed place numeric library designed for performance.

The c++ version is available here.

All numbers have a fixed 7 decimal places, and the maximum permitted value is +- 99999999999, or just under 100 billion.

The library is safe for concurrent use. It has built-in support for binary and json marshalling.

It is ideally suited for high performance trading financial systems. All common math operations are completed with 0 allocs.

Design Goals

Primarily developed to improve performance in go-trader. Using Fixed rather than decimal.Decimal improves the performance by over 20%, and a lot less GC activity as well. You can review these changes under the 'fixed' branch.

If you review the go-trader code, you will quickly see that I use dot imports for the fixed and common packages. Since this is a "business/user" app and not systems code, this provides 2 major benefits: less verbose code, and I can easily change the implementation of Fixed without changing lots of LOC - just the import statement, and some of the wrapper methods in common.

The fixed.Fixed API uses NaN for reporting errors in the common case, since often code is chained like:

   result := someFixed.Mul(NewS("123.50"))

and this would be a huge pain with error handling. Since all operations involving a NaN result in a NaN, any errors quickly surface anyway.

Performance

using Go 1.21.5
cpu: Intel(R) Core(TM) i7-6700K CPU @ 4.00GHz
BenchmarkAddFixed-8             1000000000               0.9627 ns/op          0 B/op          0 allocs/op
BenchmarkAddDecimal-8           17871763                66.52 ns/op           80 B/op          2 allocs/op
BenchmarkAddBigInt-8            125826048                9.562 ns/op           0 B/op          0 allocs/op
BenchmarkAddBigFloat-8          18763552                63.51 ns/op           48 B/op          1 allocs/op
BenchmarkMulFixed-8             335886367                3.538 ns/op           0 B/op          0 allocs/op
BenchmarkMulDecimal-8           18164803                66.12 ns/op           80 B/op          2 allocs/op
BenchmarkMulBigInt-8            100000000               10.41 ns/op            0 B/op          0 allocs/op
BenchmarkMulBigFloat-8          50151100                23.93 ns/op            0 B/op          0 allocs/op
BenchmarkDivFixed-8             328157694                3.722 ns/op           0 B/op          0 allocs/op
BenchmarkDivDecimal-8            2558497               461.7 ns/op           384 B/op         12 allocs/op
BenchmarkDivBigInt-8            33726384                34.68 ns/op            8 B/op          1 allocs/op
BenchmarkDivBigFloat-8          10757650               110.1 ns/op            24 B/op          2 allocs/op
BenchmarkCmpFixed-8             1000000000               0.2519 ns/op          0 B/op          0 allocs/op
BenchmarkCmpDecimal-8           171236422                6.926 ns/op           0 B/op          0 allocs/op
BenchmarkCmpBigInt-8            250970304                4.791 ns/op           0 B/op          0 allocs/op
BenchmarkCmpBigFloat-8          271898336                4.428 ns/op           0 B/op          0 allocs/op
BenchmarkStringFixed-8          23637406                50.30 ns/op           24 B/op          1 allocs/op
BenchmarkStringNFixed-8         23457960                51.85 ns/op           24 B/op          1 allocs/op
BenchmarkStringDecimal-8         5763308               210.2 ns/op            56 B/op          4 allocs/op
BenchmarkStringBigInt-8         11742596               114.0 ns/op            16 B/op          1 allocs/op
BenchmarkStringBigFloat-8        3003280               395.3 ns/op           176 B/op          7 allocs/op
BenchmarkWriteTo-8              38573978                43.13 ns/op           27 B/op          0 allocs/op

The "decimal" above is the common shopspring decimal library

Compatibility with SQL drivers

By default Fixed implements decomposer.Decimal interface for database drivers that support it. To use sql.Scanner and driver.Valuer implementation flag sql_scanner must be specified on build.