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线性合并分钟行情窗口

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boris
2026-08-25 04:17:53 +08:00
parent 81d70f18b3
commit 24e4ac9284
1 changed files with 64 additions and 28 deletions
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crates/fidc-core/src/data.rs
+64 -28
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@@ -1576,32 +1576,53 @@ impl DataSet {
}
pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
let mut added = 0usize;
let mut touched = HashSet::<(NaiveDate, String)>::new();
let mut grouped = HashMap::<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>::new();
for quote in quotes {
let key = (quote.date, quote.symbol.clone());
let rows = self
.execution_quotes_by_date
grouped
.entry(quote.date)
.or_default()
.entry(quote.symbol.clone())
.or_default();
if rows.iter().any(|existing| {
existing.timestamp == quote.timestamp && existing.symbol == quote.symbol
}) {
continue;
}
rows.push(quote);
touched.insert(key);
added += 1;
.or_default()
.push(quote);
}
for (date, symbol) in touched {
if let Some(rows) = self
.execution_quotes_by_date
.get_mut(&date)
.and_then(|rows_by_symbol| rows_by_symbol.get_mut(&symbol))
{
rows.sort_by_key(|quote| quote.timestamp);
let mut added = 0usize;
for (date, rows_by_symbol) in grouped {
let target_by_symbol = self.execution_quotes_by_date.entry(date).or_default();
for (symbol, mut incoming) in rows_by_symbol {
incoming.sort_by_key(|quote| quote.timestamp);
incoming.dedup_by(|left, right| left.timestamp == right.timestamp);
let target = target_by_symbol.entry(symbol).or_default();
if target.is_empty() {
added = added.saturating_add(incoming.len());
*target = incoming;
continue;
}
let mut existing = std::mem::take(target).into_iter().peekable();
let mut incoming = incoming.into_iter().peekable();
let mut merged = Vec::with_capacity(existing.len() + incoming.len());
while let (Some(existing_quote), Some(incoming_quote)) =
(existing.peek(), incoming.peek())
{
match existing_quote.timestamp.cmp(&incoming_quote.timestamp) {
std::cmp::Ordering::Less => {
merged.push(existing.next().expect("peeked existing quote"));
}
std::cmp::Ordering::Greater => {
merged.push(incoming.next().expect("peeked incoming quote"));
added = added.saturating_add(1);
}
std::cmp::Ordering::Equal => {
merged.push(existing.next().expect("peeked existing quote"));
incoming.next();
}
}
}
merged.extend(existing);
for quote in incoming {
merged.push(quote);
added = added.saturating_add(1);
}
*target = merged;
}
}
added
@@ -3785,12 +3806,25 @@ mod tests {
trading_phase: Some("continuous".to_string()),
};
let mut run_data = data.clone();
run_data.add_execution_quotes(vec![
quote("000002.SZ", "09:31:00"),
quote("000001.SZ", "09:31:00"),
quote("000002.SZ", "09:30:00"),
quote("000001.SZ", "09:30:00"),
]);
assert_eq!(
run_data.add_execution_quotes(vec![
quote("000002.SZ", "09:31:00"),
quote("000001.SZ", "09:31:00"),
quote("000002.SZ", "09:30:00"),
quote("000001.SZ", "09:30:00"),
]),
4
);
let mut conflicting = quote("000001.SZ", "09:31:00");
conflicting.last_price = 99.0;
assert_eq!(
run_data.add_execution_quotes(vec![
conflicting,
quote("000001.SZ", "09:32:00"),
quote("000001.SZ", "09:32:00"),
]),
1
);
let merged = run_data.execution_quotes_on_date(date);
let keys = merged
@@ -3804,9 +3838,11 @@ mod tests {
("09:30:00".to_string(), "000002.SZ".to_string()),
("09:31:00".to_string(), "000001.SZ".to_string()),
("09:31:00".to_string(), "000002.SZ".to_string()),
("09:32:00".to_string(), "000001.SZ".to_string()),
]
);
assert_eq!(run_data.remove_execution_quotes_on_date(date), 4);
assert_eq!(merged[2].last_price, 10.0);
assert_eq!(run_data.remove_execution_quotes_on_date(date), 5);
assert_eq!(run_data.execution_quote_count(), 0);
}