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保留已有行情和策略代码格式整理

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This commit is contained in:
boris
2026-09-09 05:49:44 +08:00
parent f3cc790659
commit 1703a7aa5e
3 changed files with 54 additions and 66 deletions
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crates/fidc-core/src/data.rs
+23 -28
View File
@@ -1850,9 +1850,9 @@ impl DataSet {
.iter()
.enumerate()
.filter_map(|(symbol_id, series)| {
series.as_ref().map(|series| {
(symbol_by_id[symbol_id].to_string(), Arc::clone(series))
})
series
.as_ref()
.map(|series| (symbol_by_id[symbol_id].to_string(), Arc::clone(series)))
})
.collect::<AHashMap<_, _>>();
@@ -1876,9 +1876,9 @@ impl DataSet {
.iter()
.enumerate()
.filter_map(|(symbol_id, series)| {
series.as_ref().map(|series| {
(symbol_by_id[symbol_id].to_string(), Arc::clone(series))
})
series
.as_ref()
.map(|series| (symbol_by_id[symbol_id].to_string(), Arc::clone(series)))
})
.collect::<AHashMap<_, _>>();
let factor_texts = factor_texts
@@ -1900,16 +1900,10 @@ impl DataSet {
let factor_market_cap_order_by_date =
build_factor_market_cap_order(&factor_by_date, &factor_symbol_ids_by_date);
let market_row_positions_by_date = build_dense_row_positions(
&market_by_date,
&market_symbol_ids_by_date,
symbol_count,
);
let factor_row_positions_by_date = build_dense_row_positions(
&factor_by_date,
&factor_symbol_ids_by_date,
symbol_count,
);
let market_row_positions_by_date =
build_dense_row_positions(&market_by_date, &market_symbol_ids_by_date, symbol_count);
let factor_row_positions_by_date =
build_dense_row_positions(&factor_by_date, &factor_symbol_ids_by_date, symbol_count);
let candidate_row_positions_by_date = build_dense_row_positions(
&candidate_by_date,
&candidate_symbol_ids_by_date,
@@ -2321,7 +2315,10 @@ impl DataSet {
}
for (component, strong_count) in [
("daily market panel", Arc::strong_count(&self.market_by_date)),
(
"daily market panel",
Arc::strong_count(&self.market_by_date),
),
(
"market series by symbol",
Arc::strong_count(&self.market_series_by_symbol),
@@ -2456,7 +2453,8 @@ impl DataSet {
.flat_map(|rows_by_symbol| rows_by_symbol.values())
.map(Vec::len)
.sum();
let mut execution_quote_dates = execution_quotes_by_date.keys().copied().collect::<Vec<_>>();
let mut execution_quote_dates =
execution_quotes_by_date.keys().copied().collect::<Vec<_>>();
execution_quote_dates.sort_unstable();
self.execution_quotes_by_date = Arc::new(execution_quotes_by_date);
self.execution_quote_dates = Arc::new(execution_quote_dates);
@@ -5221,10 +5219,7 @@ mod tests {
[data.symbol_id("000001.SZ").unwrap() as usize]
.as_ref()
.unwrap();
assert!(!Arc::ptr_eq(
&market_series_before,
market_series_after
));
assert!(!Arc::ptr_eq(&market_series_before, market_series_after));
assert!(Arc::ptr_eq(&daily_base_before, &market_series_after.base));
assert_eq!(
serde_json::to_value(market_series_after.snapshot_at(0)).unwrap(),
@@ -6178,10 +6173,7 @@ mod tests {
let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
let quote = IntradayExecutionQuote {
date,
timestamp: NaiveDateTime::parse_from_str(
"2025-01-02 10:18:00",
"%Y-%m-%d %H:%M:%S",
)
timestamp: NaiveDateTime::parse_from_str("2025-01-02 10:18:00", "%Y-%m-%d %H:%M:%S")
.unwrap(),
symbol: "000001.SZ".to_string(),
last_price: 10.0,
@@ -6365,13 +6357,16 @@ mod tests {
"'adjustment_factor_backward1'",
] {
for typed_value in [None, Some(1.0)] {
assert!(matches!(
assert!(
matches!(
normalize_factor_snapshots(vec![snapshot(
typed_value,
BTreeMap::from([(Cow::Borrowed(field), 2.0)]),
)]),
Err(DataSetError::ReservedTypedFactorInExtraMap { .. })
), "reserved alias accepted: {field}");
),
"reserved alias accepted: {field}"
);
}
}
}
crates/fidc-core/src/engine.rs
+3 -5
View File
@@ -454,8 +454,7 @@ pub struct BacktestEngine<S, C, R> {
futures_cost_model: FuturesTransactionCostModel,
futures_validation_config: FuturesValidationConfig,
execution_quote_loader: Option<ExecutionQuoteLoader>,
preplanned_decision_quote_symbols_by_date:
Option<Arc<BTreeMap<NaiveDate, BTreeSet<String>>>>,
preplanned_decision_quote_symbols_by_date: Option<Arc<BTreeMap<NaiveDate, BTreeSet<String>>>>,
execution_quote_request_cache:
BTreeSet<(NaiveDate, String, Option<NaiveTime>, Option<NaiveTime>)>,
risk_free_rate_contract: Option<RiskFreeRateContract>,
@@ -2538,9 +2537,8 @@ where
.map(Arc::clone)
{
let empty_symbols = BTreeSet::new();
let decision_quote_symbols = preplanned
.get(&execution_date)
.unwrap_or(&empty_symbols);
let decision_quote_symbols =
preplanned.get(&execution_date).unwrap_or(&empty_symbols);
self.ensure_execution_quotes_for_symbols_at_times(
execution_date,
decision_quote_symbols,
crates/fidc-core/src/platform_expr_strategy.rs
+19 -24
View File
@@ -4191,10 +4191,7 @@ impl PlatformExprStrategy {
.factor_snapshot_rows_on(date)
.iter()
.flat_map(|row| {
row.extra_factors
.keys()
.map(|key| key.to_string())
.chain(
row.extra_factors.keys().map(|key| key.to_string()).chain(
row.adjustment_factor_backward1
.map(|_| BACKWARD_ADJUSTMENT_FACTOR_FIELD.to_string()),
)
@@ -10397,10 +10394,7 @@ impl PlatformExprStrategy {
) -> std::ops::Range<usize> {
if !matches!(
self.config.market_cap_field.as_str(),
"market_cap"
| "market_cap_bn"
| "candidate_market_cap"
| "candidate_market_cap_bn"
"market_cap" | "market_cap_bn" | "candidate_market_cap" | "candidate_market_cap_bn"
) || !band_low.is_finite()
|| !band_high.is_finite()
{
@@ -10418,8 +10412,7 @@ impl PlatformExprStrategy {
};
let start = symbol_ids.partition_point(|symbol_id| market_cap(*symbol_id) < band_low);
let end = start
+ symbol_ids[start..]
.partition_point(|symbol_id| market_cap(*symbol_id) <= band_high);
+ symbol_ids[start..].partition_point(|symbol_id| market_cap(*symbol_id) <= band_high);
start..end
}
@@ -11553,11 +11546,8 @@ impl PlatformExprStrategy {
&execution_day,
&factor_day,
)?;
let field_value = self.selection_field_value_from_caps(
market_cap_bn,
free_float_cap_bn,
&stock,
);
let field_value =
self.selection_field_value_from_caps(market_cap_bn, free_float_cap_bn, &stock);
if !field_value.is_finite() {
if diagnostics.len() < 12 {
diagnostics.push(format!(
@@ -16128,15 +16118,16 @@ mod tests {
cfg.market_cap_field = "market_cap".to_string();
let strategy = PlatformExprStrategy::new(cfg.clone());
let range = strategy.market_cap_ordered_selection_range(
&factor_day,
symbol_ids,
10.0,
20.0,
);
let range =
strategy.market_cap_ordered_selection_range(&factor_day, symbol_ids, 10.0, 20.0);
let selected_caps = symbol_ids[range]
.iter()
.map(|symbol_id| factor_day.factor(*symbol_id).expect("factor row").market_cap_bn)
.map(|symbol_id| {
factor_day
.factor(*symbol_id)
.expect("factor row")
.market_cap_bn
})
.collect::<Vec<_>>();
assert_eq!(selected_caps, vec![10.0, 20.0]);
@@ -16147,8 +16138,12 @@ mod tests {
);
cfg.market_cap_field = "free_float_cap".to_string();
assert_eq!(
PlatformExprStrategy::new(cfg)
.market_cap_ordered_selection_range(&factor_day, symbol_ids, 10.0, 20.0),
PlatformExprStrategy::new(cfg).market_cap_ordered_selection_range(
&factor_day,
symbol_ids,
10.0,
20.0
),
0..symbol_ids.len()
);
}