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共享回测分钟报价索引

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boris
2026-08-27 01:37:18 +08:00
parent 5c300f8181
commit 21cfa65af2
1 changed files with 13 additions and 4 deletions
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crates/fidc-core/src/data.rs
+13 -4
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@@ -1173,7 +1173,7 @@ pub struct DataSet {
candidate_by_date: Arc<BTreeMap<NaiveDate, Vec<CandidateEligibility>>>, candidate_by_date: Arc<BTreeMap<NaiveDate, Vec<CandidateEligibility>>>,
candidate_symbol_ids_by_date: Arc<BTreeMap<NaiveDate, Vec<u32>>>, candidate_symbol_ids_by_date: Arc<BTreeMap<NaiveDate, Vec<u32>>>,
corporate_actions_by_date: Arc<BTreeMap<NaiveDate, Vec<CorporateAction>>>, corporate_actions_by_date: Arc<BTreeMap<NaiveDate, Vec<CorporateAction>>>,
execution_quotes_by_date: HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>, execution_quotes_by_date: Arc<HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>>,
order_book_depth_index: Arc<HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>>, order_book_depth_index: Arc<HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>>,
benchmark_by_date: Arc<BTreeMap<NaiveDate, BenchmarkSnapshot>>, benchmark_by_date: Arc<BTreeMap<NaiveDate, BenchmarkSnapshot>>,
market_series_by_symbol: Arc<AHashMap<String, Arc<SymbolPriceSeries>>>, market_series_by_symbol: Arc<AHashMap<String, Arc<SymbolPriceSeries>>>,
@@ -1463,7 +1463,7 @@ impl DataSet {
candidate_by_date: Arc::new(candidate_by_date), candidate_by_date: Arc::new(candidate_by_date),
candidate_symbol_ids_by_date: Arc::new(candidate_symbol_ids_by_date), candidate_symbol_ids_by_date: Arc::new(candidate_symbol_ids_by_date),
corporate_actions_by_date: Arc::new(corporate_actions_by_date), corporate_actions_by_date: Arc::new(corporate_actions_by_date),
execution_quotes_by_date, execution_quotes_by_date: Arc::new(execution_quotes_by_date),
order_book_depth_index: Arc::new(order_book_depth_index), order_book_depth_index: Arc::new(order_book_depth_index),
benchmark_by_date: Arc::new(benchmark_by_date), benchmark_by_date: Arc::new(benchmark_by_date),
market_series_by_symbol: Arc::new(market_series_by_symbol), market_series_by_symbol: Arc::new(market_series_by_symbol),
@@ -1648,8 +1648,9 @@ impl DataSet {
.push(quote); .push(quote);
} }
let mut added = 0usize; let mut added = 0usize;
let execution_quotes_by_date = Arc::make_mut(&mut self.execution_quotes_by_date);
for (date, rows_by_symbol) in grouped { for (date, rows_by_symbol) in grouped {
let target_by_symbol = self.execution_quotes_by_date.entry(date).or_default(); let target_by_symbol = execution_quotes_by_date.entry(date).or_default();
for (symbol, mut incoming) in rows_by_symbol { for (symbol, mut incoming) in rows_by_symbol {
incoming.sort_by_key(|quote| quote.timestamp); incoming.sort_by_key(|quote| quote.timestamp);
incoming.dedup_by(|left, right| left.timestamp == right.timestamp); incoming.dedup_by(|left, right| left.timestamp == right.timestamp);
@@ -1743,7 +1744,7 @@ impl DataSet {
} }
pub fn remove_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize { pub fn remove_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
self.execution_quotes_by_date Arc::make_mut(&mut self.execution_quotes_by_date)
.remove(&date) .remove(&date)
.map(|rows_by_symbol| rows_by_symbol.into_values().map(|rows| rows.len()).sum()) .map(|rows_by_symbol| rows_by_symbol.into_values().map(|rows| rows.len()).sum())
.unwrap_or_default() .unwrap_or_default()
@@ -3859,6 +3860,10 @@ mod tests {
&data.benchmark_by_date, &data.benchmark_by_date,
&run_data.benchmark_by_date &run_data.benchmark_by_date
)); ));
assert!(Arc::ptr_eq(
&data.execution_quotes_by_date,
&run_data.execution_quotes_by_date
));
run_data.add_execution_quotes(vec![IntradayExecutionQuote { run_data.add_execution_quotes(vec![IntradayExecutionQuote {
date, date,
@@ -3877,6 +3882,10 @@ mod tests {
assert_eq!(data.execution_quote_count(), 0); assert_eq!(data.execution_quote_count(), 0);
assert_eq!(run_data.execution_quote_count(), 1); assert_eq!(run_data.execution_quote_count(), 1);
assert!(!Arc::ptr_eq(
&data.execution_quotes_by_date,
&run_data.execution_quotes_by_date
));
} }
#[test] #[test]