@datadog/sketches-js
v2.1.1
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TypeScript implementation of DDSketch, a distributed quantile sketch algorithm
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sketches-js
This repo contains the TypeScript implementation of the distributed quantile sketch algorithm DDSketch. DDSketch is mergeable, meaning that multiple sketches from distributed systems can be combined in a central node.
Installation
The package is under @datadog/sketches-js and can be installed through NPM or Yarn:
# NPM
npm install @datadog/sketches-js
# Yarn
yarn add @datadog/sketches-js
When using Protobuf serialization, the protobufjs module must also be installed manually:
# NPM
npm install protobufjs
# Yarn
yarn add protobufjs
Usage
Initialize a sketch
To initialize a sketch with the default parameters:
import { DDSketch } from '@datadog/sketches-js'; // or const { DDSketch } = require('@datadog/sketches-js');
const sketch = new DDSketch();
Modify the relativeAccuracy
If you want more granular control over how accurate the sketch's results will be, you can pass a relativeAccuracy
parameter when initializing a sketch.
Whereas other histograms use rank error guarantees (i.e. retrieving the p99 of the histogram will give you a value between p98.9 and p99.1), DDSketch uses a relative error guarantee (if the actual value at p99 is 100, the value will be between 99 and 101 for a relativeAccuracy
of 0.01).
This property makes DDSketch especially useful for long-tailed distributions of data, like measurements of latency.
import { DDSketch } from '@datadog/sketches-js';
const sketch = new DDSketch({
relativeAccuracy: 0.01, // `relativeAccuracy` must be between 0 and 1
});
Add values to a sketch
To add a number to a sketch, call sketch.accept(value)
. Both positive and negative numbers are supported.
const measurementOne = 1607374726;
const measurementTwo = 0;
const measurementThree = -3.1415;
sketch.accept(measurementOne);
sketch.accept(measurementTwo);
sketch.accept(measurementThree);
Retrieve measurements from the sketch
To retrieve measurements from a sketch, use sketch.getValueAtQuantile(quantile)
. Any number between 0 and 1 (inclusive) can be used as a quantile.
Additionally, common summary statistics are available such as sketch.min
, sketch.max
, sketch.sum
, and sketch.count
:
const measurementOne = 1607374726;
const measurementTwo = 0;
const measurementThree = -3.1415;
sketch.accept(measurementOne);
sketch.accept(measurementTwo);
sketch.accept(measurementThree);
sketch.getValueAtQuantile(0) // -3.1415
sketch.getValueAtQuantile(0.5) // 0
sketch.getValueAtQuantile(0.99) // 1607374726
sketch.getValueAtQuantile(1) // 1607374726
sketch.min // -3.1415
sketch.max // 1607374726
sketch.count // 3
sketch.sum // 1607374722.86
Merge multiple sketches
Independent sketches can be merged together, provided that they were initialized with the same relativeAccuracy
. This allows collecting and transmitting measurements in a distributed manner, and merging their results together while preserving the relativeAccuracy
guarantee.
import { DDSketch } from '@datadog/sketches-js';
const sketch1 = new DDSketch();
const sketch2 = new DDSketch();
[1,2,3,4,5].forEach(value => sketch1.accept(value));
[6,7,8,9,10].forEach(value => sketch2.accept(value));
// `sketch2` is merged into `sketch1`, without modifying `sketch2`
sketch1.merge(sketch2);
sketch1.getValueAtQuantile(1) // 10
References
- DDSketch: A Fast and Fully-Mergeable Quantile Sketch with Relative-Error Guarantees. Charles Masson, Jee E. Rim and Homin K. Lee. 2019.
- Java implementation: https://github.com/DataDog/sketches-java
- Go implementation: https://github.com/DataDog/sketches-go
- Python implementation: https://github.com/DataDog/sketches-py