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.

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

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();

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
});

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);

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

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

• 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