DDSketch: A fast and fully-mergeable quantile sketch with relative-error guarantees

TL;DR

DDSketch is a novel, fully-mergeable quantile sketching algorithm that provides formal relative-error guarantees, enabling accurate and efficient distribution analysis in large-scale, distributed data systems.

Contribution

It introduces the first fully-mergeable quantile sketch with formal relative-error guarantees suitable for distributed environments.

Findings

Extremely fast and accurate in practice.

Provides formal guarantees on relative error.

Used at large scale by Datadog.

Abstract

Summary statistics such as the mean and variance are easily maintained for large, distributed data streams, but order statistics (i.e., sample quantiles) can only be approximately summarized. There is extensive literature on maintaining quantile sketches where the emphasis has been on bounding the rank error of the sketch while using little memory. Unfortunately, rank error guarantees do not preclude arbitrarily large relative errors, and this often occurs in practice when the data is heavily skewed. Given the distributed nature of contemporary large-scale systems, another crucial property for quantile sketches is mergeablility, i.e., several combined sketches must be as accurate as a single sketch of the same data. We present the first fully-mergeable, relative-error quantile sketching algorithm with formal guarantees. The sketch is extremely fast and accurate, and is currently being used by Datadog at a wide-scale.