Most of the time I see recommendations to represent money as its most fundamental unit; and to use 64 bit unsigned integer to provide maximal capacity.
On the surface this seems fine, but what about the case where I want to split 1 cent?
In Java/Scala the BigDecimal type, which I also see recommended for handling money, will track fractions of a cent, 0.01/2 = 0.005
But dividing a 64 bit unsigned int, 1/2 = 0
I'm trying to write some Go that handles money, and want to know which type to use (just use uint64 or find something else?).
Thank you!
You can use big.Rat for rational numbers of arbitrary size. Then you can split quantities to your heart's content without losing any precision.
int64 (or uint64) still can be used to represent monetary amounts with cent fractions. E.g. if the minimum amount that you want to operate with is 0.01 cents then you can represent 1 cent as 100, then half a cent will be 50 and 1/100 of a cent will be 1. This representation is very efficient (from performance and memory usage point of view) but not very flexible. Things to be aware of are:
there is maximum value (~2^64/100 cents) that you can represent using this method
changes will be required to the app and its stored data if the maximum precision changes
all arithmetic operations needs to be carefully implemented taking rounding into account
Related
As far as I know int64 can be converted in float64 in Go, the language allows this with float64(some_int64_variable), but I also know that not all 64 bit signed integers can be represented in double (because of IEE754 approximations).
We have some code which receives the price of an item in cents using int64 and does something like
const TB = 1 << 40
func ComputeSomething(numBytes int64) {
Terabytes := float64(numBytes) / float64(TB)
I'm wondering how safe this is, since not all integers can be represented with doubles.
Depends on what you mean by "safe".
Yes, precision can be lost here in some cases. float64 cannot represent all values of int64 precisely (since it only has 53 bits of mantissa). So if you need a completely accurate result, this function is not "safe"; if you want to represent money in float64 you may get into trouble.
On the other hand, do you really need the number of terabytes with absolute precision? Will numBytes actually divide by TB accurately? That's pretty unlikely, but it all depends on your specification and needs. If your code has a counter of bytes and you want to display approximately how many TB it is (e.g. 0.05 TB or 2.124 TB) then this calculation is fine.
Answering "is it safe" really requires a better understanding of your needs, and what exactly you do with these numbers. So let's ask a related but more precise question that we can answer with certainty:
What is the minimum positive integer value that float64 cannot exactly represent?
For int64, this number turns out to be 9007199254740993. This is the first integer that float64 "skips" over.
This might look quite large, and perhaps not so alarming. (If these are "cents", then I believe it's about 90 trillion dollars or so.) But if you use a single-precision float, the answer might surprise you. If you use float32, that number is: 16777217. about 168 thousand dollars, if interpreted as cents. Good thing you're not using single-precision floats!
As a rule of thumb, you should never use float types (whatever precision it might be) for dealing with money. Floats are really not designed for "money" like discrete quantities, but rather dealing with fractional values that arise in scientific applications. Rounding errors can creep up, throwing off your calculations. Use big-integer representations instead. Big integer implementations might be slower since they are mostly realized in software, but if you're dealing with money computations, I'd hazard a guess that you don't really need the speed of floating-point computation that the hardware can provide.
Assume we have some sequence as input. For performance reasons we may want to convert it in homogeneous representation. And in order to transform it into homogeneous representation we are trying to convert it to same type. Here lets consider only 2 types in input - int64 and float64 (in my simple code I will use numpy and python; it is not the matter of this question - one may think only about 64-bit integer and 64-bit floats).
First we may try to cast everything to float64.
So we want something like so as input:
31 1.2 -1234
be converted to float64. If we would have all int64 we may left it unchanged ("already homogeneous"), or if something else was found we would return "not homogeneous". Pretty straightforward.
But here is the problem. Consider a bit modified input:
31000000 1.2 -1234
Idea is clear - we need to check that our "caster" is able to handle large by absolute value int64 properly:
format(np.float64(31000000), '.0f') # just convert to float64 and print
'31000000'
Seems like not a problem at all. So lets go to the deal right away:
im = np.iinfo(np.int64).max # maximum of int64 type
format(np.float64(im), '.0f')
format(np.float64(im-100), '.0f')
'9223372036854775808'
'9223372036854775808'
Now its really undesired - we lose some information which maybe needed. I.e. we want to preserve all the information provided in the input sequence.
So our im and im-100 values cast to the same float64 representation. The reason of this is clear - float64 has only 53 significand of total 64 bits. That is why its precision enough to represent log10(2^53) ~= 15.95 i.e. about all 16-length int64 without any information loss. But int64 type contains up to 19 digits.
So we end up with about [10^16; 10^19] (more precisely [10^log10(53); int64.max]) range in which each int64 may be represented with information loss.
Q: What decision in such situation should one made in order to represent int64 and float64 homogeneously.
I see several options for now:
Just convert all int64 range to float64 and "forget" about possible information loss.
Motivation here is "majority of input barely will be > 10^16 int64 values".
EDIT: This clause was misleading. In clear formulation we don't consider such solutions (but left it for completeness).
Do not make such automatic conversions at all. Only if explicitly specified.
I.e. we agree with performance drawbacks. For any int-float arrays. Even with ones as in simplest 1st case.
Calculate threshold for performing conversion to float64 without possible information loss. And use it while making casting decision. If int64 above this threshold found - do not convert (return "not homogeneous").
We've already calculate this threshold. It is log10(2^53) rounded.
Create new type "fint64". This is an exotic decision but I'm considering even this one for completeness.
Motivation here consists of 2 points. First one: it is frequent situation when user wants to store int and float types together. Second - is structure of float64 type. I'm not quite understand why one will need ~308 digits value range if significand consists only of ~16 of them and other ~292 is itself a noise. So we might use one of float64 exponent bits to indicate whether its float or int is stored here. But for int64 it would be definitely drawback to lose 1 bit. Cause would reduce our integer range twice. But we would gain possibility freely store ints along with floats without any additional overhead.
EDIT: While my initial thinking of this was as "exotic" decision in fact it is just a variant of another solution alternative - composite type for our representation (see 5 clause). But need to add here that my 1st composition has definite drawback - losing some range for float64 and for int64. What we rather do - is not to subtract 1 bit but add one bit which represents a flag for int or float type stored in following 64 bits.
As proposed #Brendan one may use composite type consists of "combination of 2 or more primitive types". So using additional primitives we may cover our "problem" range for int64 for example and get homogeneous representation in this "new" type.
EDITs:
Because here question arisen I need to try be very specific: Devised application in question do following thing - convert sequence of int64 or float64 to some homogeneous representation lossless if possible. The solutions are compared by performance (e.g. total excessive RAM needed for representation). That is all. No any other requirements is considered here (cause we should consider a problem in its minimal state - not writing whole application). Correspondingly algo that represents our data in homogeneous state lossless (we are sure we not lost any information) fits into our app.
I've decided to remove words "app" and "user" from question - it was also misleading.
When choosing a data type there are 3 requirements:
if values may have different signs
needed precision
needed range
Of course hardware doesn't provide a lot of types to choose from; so you'll need to select the next largest provided type. For example, if you want to store values ranging from 0 to 500 with 8 bits of precision; then hardware won't provide anything like that and you will need to use either 16-bit integer or 32-bit floating point.
When choosing a homogeneous representation there are 3 requirements:
if values may have different signs; determined from the requirements from all of the original types being represented
needed precision; determined from the requirements from all of the original types being represented
needed range; determined from the requirements from all of the original types being represented
For example, if you have integers from -10 to +10000000000 you need a 35 bit integer type that doesn't exist so you'll use a 64-bit integer, and if you need floating point values from -2 to +2 with 31 bits of precision then you'll need a 33 bit floating point type that doesn't exist so you'll use a 64-bit floating point type; and from the requirements of these two original types you'll know that a homogeneous representation will need a sign flag, a 33 bit significand (with an implied bit), and a 1-bit exponent; which doesn't exist so you'll use a 64-bit floating point type as the homogeneous representation.
However; if you don't know anything about the requirements of the original data types (and only know that whatever the requirements were they led to the selection of a 64-bit integer type and a 64-bit floating point type), then you'll have to assume "worst cases". This leads to needing a homogeneous representation that has a sign flag, 62 bits of precision (plus an implied 1 bit) and an 8 bit exponent. Of course this 71 bit floating point type doesn't exist, so you need to select the next largest type.
Also note that sometimes there is no "next largest type" that hardware supports. When this happens you need to resort to "composed types" - a combination of 2 or more primitive types. This can include anything up to and including "big rational numbers" (numbers represented by 3 big integers in "numerator / divisor * (1 << exponent)" form).
Of course if the original types (the 64-bit integer type and 64-bit floating point type) were primitive types and your homogeneous representation needs to use a "composed type"; then your "for performance reasons we may want to convert it in homogeneous representation" assumption is likely to be false (it's likely that, for performance reasons, you want to avoid using a homogeneous representation).
In other words:
If you don't know anything about the requirements of the original data types, it's likely that, for performance reasons, you want to avoid using a homogeneous representation.
Now...
Let's rephrase your question as "How to deal with design failures (choosing the wrong types which don't meet requirements)?". There is only one answer, and that is to avoid the design failure. Run-time checks (e.g. throwing an exception if the conversion to the homogeneous representation caused precision loss) serve no purpose other than to notify developers of design failures.
It is actually very basic: use 64 bits floating point. Floating point is an approximation, and you will loose precision for many ints. But there are no uncertainties other than "might this originally have been integral" and "does the original value deviates more than 1.0".
I know of one non-standard floating point representation that would be more powerfull (to be found in the net). That might (or might not) help cover the ints.
The only way to have an exact int mapping, would be to reduce the int range, and guarantee (say) 60 bits ints to be precise, and the remaining range approximated by floating point. Floating point would have to be reduced too, either exponential range as mentioned, or precision (the mantissa).
My application requires a fractional quantity multiplied by a monetary value.
For example, $65.50 × 0.55 hours = $36.025 (rounded to $36.03).
I know that floats should not be used to represent money, so I'm storing all of my monetary values as cents. $65.50 in the above equation is stored as 6550 (integer).
For the fractional coefficient, my issue is that 0.55 does not have a 32-bit float representation. In the use case above, 0.55 hours == 33 minutes, so 0.55 is an example of a specific value that my application will need to account for exactly. The floating point representation of 0.550000012 is insufficient, because the user will not understand where the additional 0.000000012 came from. I cannot simply call a rounding function on 0.550000012 because it will round to the whole number.
Multiplication solution
To solve this, my first idea was to store all quantities as integers and multiply × 1000. So 0.55 entered by the user would become 550 (integer) when stored. All calculations would happen without floats, and then simply divide by 1000 (integer division, not float) when presenting the result to the user.
I realize that this would permanently limit me to 3 decimal places of
precision. If I decide that 3 is adequate for the lifetime of my
application, does this approach make sense?
Are there potential rounding issues if I were to use integer division?
Is there a name for this process? EDIT: As indicated by #SergGr, this is fixed-point arithmetic.
Is there a better approach?
EDIT:
I should have clarified, this is not time-specific. It is for generic quantities like 1.256 pounds of flour, 1 sofa, or 0.25 hours (think invoices).
What I'm trying to replicate here is a more exact version of Postgres's extra_float_digits = 0 functionality, where if the user enters 0.55 (float32), the database stores 0.550000012 but when queried for the result returns 0.55 which appears to be exactly what the user typed.
I am willing to limit this application's precision to 3 decimal places (it's business, not scientific), so that's what made me consider the × 1000 approach.
I'm using the Go programming language, but I'm interested in generic cross-language solutions.
Another solution to store the result is using the rational form of the value. You can explain the number by two integer value which the number is equal p/q, such that both p and q are integers. Hence, you can have more precision for your numbers and do some math with the rational numbers in the format of two integers.
Note: This is an attempt to merge different comments into one coherent answer as was requested by Matt.
TL;DR
Yes, this approach makes sense but most probably is not the best choice
Yes, there are rounding issues but there inevitably will be some no matter what representation you use
What you suggest using is called Decimal fixed point numbers
I'd argue yes, there is a better approach and it is to use some standard or popular decimal floating point numbers library for your language (Go is not my native language so I can't recommend one)
In PostgreSQL it is better to use Numeric (something like Numeric(15,3) for example) rather than a combination of float4/float8 and extra_float_digits. Actually this is what the first item in the PostgreSQL doc on Floating-Point Types suggests:
If you require exact storage and calculations (such as for monetary amounts), use the numeric type instead.
Some more details on how non-integer numbers can be stored
First of all there is a fundamental fact that there are infinitely many numbers in the range [0;1] so you obviously can't store every number there in any finite data structure. It means you have to make some compromises: no matter what way you choose, there will be some numbers you can't store exactly so you'll have to round.
Another important point is that people are used to 10-based system and in that system only results of division by numbers in a form of 2^a*5^b can be represented using a finite number of digits. For every other rational number even if you somehow store it in the exact form, you will have to do some truncation and rounding at the formatting for human usage stage.
Potentially there are infinitely many ways to store numbers. In practice only a few are widely used:
floating point numbers with two major branches of binary (this is what most today's hardware natively implements and what is support by most of the languages as float or double) and decimal. This is the format that store mantissa and exponent (can be negative), so the number is mantissa * base^exponent (I omit sign and just say it is logically a part of the mantissa although in practice it is usually stored separately). Binary vs. decimal is specified by the base. For example 0.5 will be stored in binary as a pair (1,-1) i.e. 1*2^-1 and in decimal as a pair (5,-1) i.e. 5*10^-1. Theoretically you can use any other base as well but in practice only 2 and 10 make sense as the bases.
fixed point numbers with the same division in binary and decimal. The idea is the same as in floating point numbers but some fixed exponent is used for all the numbers. What you suggests is actually a decimal fixed point number with the exponent fixed at -3. I've seen a usage of binary fixed-point numbers on some embedded hardware where there is no built-in support of floating point numbers, because binary fixed-point numbers can be implemented with reasonable efficiency using integer arithmetic. As for decimal fixed-point numbers, in practice they are not much easier to implement that decimal floating-point numbers but provide much less flexibility.
rational numbers format i.e. the value is stored as a pair of (p, q) which represents p/q (and usually q>0 so sign stored in p and either p=0, q=1 for 0 or gcd(p,q) = 1 for every other number). Usually this requires some big integer arithmetic to be useful in the first place (here is a Go example of math.big.Rat). Actually this might be an useful format for some problems and people often forget about this possibility, probably because it is often not a part of a standard library. Another obvious drawback is that as I said people are not used to think in rational numbers (can you easily compare which is greater 123/456 or 213/789?) so you'll have to convert the final results to some other form. Another drawback is that if you have a long chain of computations, internal numbers (p and q) might easily become very big values so computations will be slow. Still it may be useful to store intermediate results of calculations.
In practical terms there is also a division into arbitrary length and fixed length representations. For example:
IEEE 754 float or double are fixed length floating-point binary representations,
Go math.big.Float is an arbitrary length floating-point binary representations
.Net decimal is a fixed length floating-point decimal representations
Java BigDecimal is an arbitrary length floating-point decimal representations
In practical terms I'd says that the best solution for your problem is some big enough fixed length floating point decimal representations (like .Net decimal). An arbitrary length implementation would also work. If you have to make an implementation from scratch, than your idea of a fixed length fixed point decimal representation might be OK because it is the easiest thing to implement yourself (a bit easier than the previous alternatives) but it may become a burden at some point.
As mentioned in the comments, it would be best to use some builtin Decimal module in your language to handle exact arithmetic. However, since you haven't specified a language, we cannot be certain that your language may even have such a module. If it does not, here is how to go about doing so.
Consider using Binary Coded Decimal to store your values. The way it works is by restricting the values that can be stored per byte to 0 through 9 (inclusive), "wasting" the rest. You can encode a decimal representation of a number byte by byte that way. For example, 613 would become
6 -> 0000 0110
1 -> 0000 0001
3 -> 0000 0011
613 -> 0000 0110 0000 0001 0000 0011
Where each grouping of 4 digits above is a "nibble" of a byte. In practice, a packed variant is used, where two decimal digits are packed into a byte (one per nibble) to be less "wasteful". You can then implement a few methods to do your basic addition, subtract, multiplication, etc. Just iterate over an array of bytes, and perform your classic grade school addition / multiplication algorithms (keep in mind for the packed variant that you may need to pad a zero to get an even number of nibbles). You just need to keep a variable to store where the decimal point is, and remember to carry where necessary to preserve the encoding.
I’m writing a Radix-2 DIT FFT algorithm in VHDL, which requires some fractional multiplication of input data by Twiddle Factor (TF). I use Fixed Point arithmetic’s to achieve that, with every word being 16 bit long, where 1 bit is a sign bit and the rest is distributed between integer and fraction. Therefore my dilemma:
I have no idea, in what range my input data will be, so if I just decide that 4 bits go to integer and the rest 11 bits to fraction, in case I get integer numbers higher than 4 bits = 15 decimal, I’m screwed. The same applies if I do 50/50, like 7 bits to integer and the rest to fraction. If I get numbers, which are very small, I’m screwed because of truncation or rounding, i.e:
Let’s assume I have an integer "3"(0000 0011) on input and TF of "0.7071" ( 0.10110101 - 8 bit), and let’s assume, for simplicity, my data is 8 bit long, therefore:
3x0.7071 = 2.1213
3x0.7071 = 0000 0010 . 0001 1111 = 2.12109375 (for 16 bits).
Here comes the trick - I need to up/down round or truncate 16 bits to 8 bits, therefore, I get 0000 0010, i.e 2 - the error is way too high.
My questions are:
How would you solve this problem of range vs precision if you don’t know the range of your input data AND you would have numbers represented in fixed point?
Should I make a process, which decides after every multiplication where to put the comma? Wouldn’t it make the multiplication slower?
Xilinx IP Core has 3 different ways for Fixed Number Arithmetic’s – Unscaled (similar to what I want to do, just truncate in case overflow happens), Scaled fixed point (I would assume, that in that case it decides after each multiplication, where the comma should be and what should be rounded) and Block Floating Point(No idea what it is or how it works - would appreciate an explanation). So how does this IP Core decide where to put the comma? If the decision is made depending on the highest value in my dataset, then in case I have just 1 high peak and the rest of the data is low, the error will be very high.
I will appreciate any ideas or information on any known methods.
You don't need to know the fixed-point format of your input. You can safely treat it as normalized -1 to 1 range or full integer-range.
The reason is that your output will have the same format as the input. Or, more likely for FFT, a known relationship like 3 bits increase, which would the output has 3 more integer bits than the input.
It is the core user's burden to know where the decimal point will end up, you have to document the change to dynamic range of course.
I have an array of numbers that potentially have up to 8 decimal places and I need to find the smallest common number I can multiply them by so that they are all whole numbers. I need this so all the original numbers can all be multiplied out to the same scale and be processed by a sealed system that will only deal with whole numbers, then I can retrieve the results and divide them by the common multiplier to get my relative results.
Currently we do a few checks on the numbers and multiply by 100 or 1,000,000, but the processing done by the *sealed system can get quite expensive when dealing with large numbers so multiplying everything by a million just for the sake of it isn’t really a great option. As an approximation lets say that the sealed algorithm gets 10 times more expensive every time you multiply by a factor of 10.
What is the most efficient algorithm, that will also give the best possible result, to accomplish what I need and is there a mathematical name and/or formula for what I’m need?
*The sealed system isn’t really sealed. I own/maintain the source code for it but its 100,000 odd lines of proprietary magic and it has been thoroughly bug and performance tested, altering it to deal with floats is not an option for many reasons. It is a system that creates a grid of X by Y cells, then rects that are X by Y are dropped into the grid, “proprietary magic” occurs and results are spat out – obviously this is an extremely simplified version of reality, but it’s a good enough approximation.
So far there are quiet a few good answers and I wondered how I should go about choosing the ‘correct’ one. To begin with I figured the only fair way was to create each solution and performance test it, but I later realised that pure speed wasn’t the only relevant factor – an more accurate solution is also very relevant. I wrote the performance tests anyway, but currently the I’m choosing the correct answer based on speed as well accuracy using a ‘gut feel’ formula.
My performance tests process 1000 different sets of 100 randomly generated numbers.
Each algorithm is tested using the same set of random numbers.
Algorithms are written in .Net 3.5 (although thus far would be 2.0 compatible)
I tried pretty hard to make the tests as fair as possible.
Greg – Multiply by large number
and then divide by GCD – 63
milliseconds
Andy – String Parsing
– 199 milliseconds
Eric – Decimal.GetBits – 160 milliseconds
Eric – Binary search – 32
milliseconds
Ima – sorry I couldn’t
figure out a how to implement your
solution easily in .Net (I didn’t
want to spend too long on it)
Bill – I figure your answer was pretty
close to Greg’s so didn’t implement
it. I’m sure it’d be a smidge faster
but potentially less accurate.
So Greg’s Multiply by large number and then divide by GCD” solution was the second fastest algorithm and it gave the most accurate results so for now I’m calling it correct.
I really wanted the Decimal.GetBits solution to be the fastest, but it was very slow, I’m unsure if this is due to the conversion of a Double to a Decimal or the Bit masking and shifting. There should be a
similar usable solution for a straight Double using the BitConverter.GetBytes and some knowledge contained here: http://blogs.msdn.com/bclteam/archive/2007/05/29/bcl-refresher-floating-point-types-the-good-the-bad-and-the-ugly-inbar-gazit-matthew-greig.aspx but my eyes just kept glazing over every time I read that article and I eventually ran out of time to try to implement a solution.
I’m always open to other solutions if anyone can think of something better.
I'd multiply by something sufficiently large (100,000,000 for 8 decimal places), then divide by the GCD of the resulting numbers. You'll end up with a pile of smallest integers that you can feed to the other algorithm. After getting the result, reverse the process to recover your original range.
Multiple all the numbers by 10
until you have integers.
Divide
by 2,3,5,7 while you still have all
integers.
I think that covers all cases.
2.1 * 10/7 -> 3
0.008 * 10^3/2^3 -> 1
That's assuming your multiplier can be a rational fraction.
If you want to find some integer N so that N*x is also an exact integer for a set of floats x in a given set are all integers, then you have a basically unsolvable problem. Suppose x = the smallest positive float your type can represent, say it's 10^-30. If you multiply all your numbers by 10^30, and then try to represent them in binary (otherwise, why are you even trying so hard to make them ints?), then you'll lose basically all the information of the other numbers due to overflow.
So here are two suggestions:
If you have control over all the related code, find another
approach. For example, if you have some function that takes only
int's, but you have floats, and you want to stuff your floats into
the function, just re-write or overload this function to accept
floats as well.
If you don't have control over the part of your system that requires
int's, then choose a precision to which you care about, accept that
you will simply have to lose some information sometimes (but it will
always be "small" in some sense), and then just multiply all your
float's by that constant, and round to the nearest integer.
By the way, if you're dealing with fractions, rather than float's, then it's a different game. If you have a bunch of fractions a/b, c/d, e/f; and you want a least common multiplier N such that N*(each fraction) = an integer, then N = abc / gcd(a,b,c); and gcd(a,b,c) = gcd(a, gcd(b, c)). You can use Euclid's algorithm to find the gcd of any two numbers.
Greg: Nice solution but won't calculating a GCD that's common in an array of 100+ numbers get a bit expensive? And how would you go about that? Its easy to do GCD for two numbers but for 100 it becomes more complex (I think).
Evil Andy: I'm programing in .Net and the solution you pose is pretty much a match for what we do now. I didn't want to include it in my original question cause I was hoping for some outside the box (or my box anyway) thinking and I didn't want to taint peoples answers with a potential solution. While I don't have any solid performance statistics (because I haven't had any other method to compare it against) I know the string parsing would be relatively expensive and I figured a purely mathematical solution could potentially be more efficient.
To be fair the current string parsing solution is in production and there have been no complaints about its performance yet (its even in production in a separate system in a VB6 format and no complaints there either). It's just that it doesn't feel right, I guess it offends my programing sensibilities - but it may well be the best solution.
That said I'm still open to any other solutions, purely mathematical or otherwise.
What language are you programming in? Something like
myNumber.ToString().Substring(myNumber.ToString().IndexOf(".")+1).Length
would give you the number of decimal places for a double in C#. You could run each number through that and find the largest number of decimal places(x), then multiply each number by 10 to the power of x.
Edit: Out of curiosity, what is this sealed system which you can pass only integers to?
In a loop get mantissa and exponent of each number as integers. You can use frexp for exponent, but I think bit mask will be required for mantissa. Find minimal exponent. Find most significant digits in mantissa (loop through bits looking for last "1") - or simply use predefined number of significant digits.
Your multiple is then something like 2^(numberOfDigits-minMantissa). "Something like" because I don't remember biases/offsets/ranges, but I think idea is clear enough.
So basically you want to determine the number of digits after the decimal point for each number.
This would be rather easier if you had the binary representation of the number. Are the numbers being converted from rationals or scientific notation earlier in your program? If so, you could skip the earlier conversion and have a much easier time. Otherwise you might want to pass each number to a function in an external DLL written in C, where you could work with the floating point representation directly. Or you could cast the numbers to decimal and do some work with Decimal.GetBits.
The fastest approach I can think of in-place and following your conditions would be to find the smallest necessary power-of-ten (or 2, or whatever) as suggested before. But instead of doing it in a loop, save some computation by doing binary search on the possible powers. Assuming a maximum of 8, something like:
int NumDecimals( double d )
{
// make d positive for clarity; it won't change the result
if( d<0 ) d=-d;
// now do binary search on the possible numbers of post-decimal digits to
// determine the actual number as quickly as possible:
if( NeedsMore( d, 10e4 ) )
{
// more than 4 decimals
if( NeedsMore( d, 10e6 ) )
{
// > 6 decimal places
if( NeedsMore( d, 10e7 ) ) return 10e8;
return 10e7;
}
else
{
// <= 6 decimal places
if( NeedsMore( d, 10e5 ) ) return 10e6;
return 10e5;
}
}
else
{
// <= 4 decimal places
// etc...
}
}
bool NeedsMore( double d, double e )
{
// check whether the representation of D has more decimal points than the
// power of 10 represented in e.
return (d*e - Math.Floor( d*e )) > 0;
}
PS: you wouldn't be passing security prices to an option pricing engine would you? It has exactly the flavor...