monti-apm-sketches-js/index.js

An Implementation Of DDSketch, A Fast and Fully-Mergeable Quantile Sketch with Relative-Error Guarantees.

/* This Source Code Form is subject to the terms of the Mozilla Public
 * License, v. 2.0. If a copy of the MPL was not distributed with this
 * file, You can obtain one at http://mozilla.org/MPL/2.0/. */

function DDSketch(opts) {
  this.alpha = opts.alpha;
  this.bins = {};

  this.maxNumBins = opts.maxNumBins || 2048;
  this.n = 0;
  this.gamma = (1 + this.alpha) / (1 - this.alpha);

  this.numBins = 0;
}

DDSketch.prototype.collapseBins = function () {
  // Collapse two smallest bins if needed
  var bucketIndices = Object.keys(this.bins).sort((a, b) => a - b);

  if (bucketIndices.length > this.maxNumBins) {
    var i0 = bucketIndices.find((i) => this.bins[i] > 0);
    var i1 = bucketIndices.find((i) => this.bins[i] > 0 && i > i0);
    this.bins[i1] += this.bins[i0];
    this.bins[i0] = 0;
  }
}

DDSketch.prototype.add = function (x) {
  var i = Math.ceil(Math.log10(x) / Math.log10(this.gamma));
  if (!this.bins[i]) {
    this.bins[i] = 0;
    this.numBins++;
  }
  this.bins[i]++;
  this.n++;

  if (this.numBins > this.maxNumBins) {
    this.collapseBins();
  }
}

DDSketch.prototype.quantile = function (q) {
  var binIndices = Object.keys(this.bins).sort((a, b) => a - b);
  var count = 0;
  var i = 0;

  var rankX = q * (this.n - 1);
  while (count <= rankX) {
    count += this.bins[binIndices[i]];
    i++;
  }

  i--;

  return (2 * Math.pow(this.gamma, binIndices[i])) / (this.gamma + 1);
}

DDSketch.prototype.merge = function (other) {
  if (this.alpha !== other.alpha) {
    throw new Error('Alpha values must be the same to merge two sketches');
  }

  Object.keys(other.bins).forEach((i) => {
    if (this.bins[i]) {
      this.bins[i] += other.bins[i];
    } else {
      this.numBins++;
      this.bins[i] = other.bins[i];
    }
    this.n += other.bins[i];
  });

  if (this.numBins > this.maxNumBins) {
    this.collapseBins();
  }
}

module.exports = { DDSketch };