algorithm - How to calculate simple moving average faster in C#?

Question

What is the fastest library/algorithm for calculating simple moving average? I wrote my own, but it takes too long on 330 000 items decimal dataset.

• period / time(ms)
• 20 / 300;
• 60 / 1500;
• 120 / 3500.

Here is the code of my method:

public decimal MA_Simple(int period, int ii) {
    if (period != 0 && ii > period) {
        //stp.Start();
        decimal summ = 0;
        for (int i = ii; i > ii - period; i--) {
            summ = summ + Data.Close[i];
        }
        summ = summ / period;
        //stp.Stop();
        //if (ii == 1500) System.Windows.Forms.MessageBox.Show((stp.ElapsedTicks * 1000.0) / Stopwatch.Frequency + " ms");
        return summ;
    } else return -1;
}

The Data.Close[] is a fixed size(1 000 000) decimal array.

Answer 1

    public class MovingAverage  
    {
        private Queue<Decimal> samples = new Queue<Decimal>();
        private int windowSize = 16;
        private Decimal sampleAccumulator;
        public Decimal Average { get; private set; }

        /// <summary>
        /// Computes a new windowed average each time a new sample arrives
        /// </summary>
        /// <param name="newSample"></param>
        public void ComputeAverage(Decimal newSample)
        {
            sampleAccumulator += newSample;
            samples.Enqueue(newSample);

            if (samples.Count > windowSize)
            {
                sampleAccumulator -= samples.Dequeue();
            }

            Average = sampleAccumulator / samples.Count;
        }
    }