zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

复用标准rolling的交易日边界索引

Browse Source
This commit is contained in:
boris
2026-08-29 06:15:28 +08:00
parent c55caaf79b
commit 362d85773a
1 changed files with 5 additions and 2 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/data.rs
+5 -2
View File
@@ -1964,10 +1964,13 @@ impl DataSet {
volume_lookbacks: &[usize; 5], volume_lookbacks: &[usize; 5],
include_now: bool, include_now: bool,
) -> StandardRollingMeans { ) -> StandardRollingMeans {
// Both series are built from the same market-date sequence. Reuse the
// indexed boundary lookup instead of repeating it for close and volume.
let series_end = self.market_series_end_index_by_symbol_id(date, symbol_id, include_now);
let close = if close_lookbacks.iter().any(|lookback| *lookback > 0) { let close = if close_lookbacks.iter().any(|lookback| *lookback > 0) {
self.adjusted_close_series_by_symbol_id(symbol_id) self.adjusted_close_series_by_symbol_id(symbol_id)
.map(|series| { .map(|series| {
self.market_series_end_index_by_symbol_id(date, symbol_id, include_now) series_end
.map(|end| series.moving_averages_at_end(end, close_lookbacks)) .map(|end| series.moving_averages_at_end(end, close_lookbacks))
.unwrap_or_else(|| series.moving_averages(date, close_lookbacks, include_now)) .unwrap_or_else(|| series.moving_averages(date, close_lookbacks, include_now))
}) })
@@ -1978,7 +1981,7 @@ impl DataSet {
let volume = if volume_lookbacks.iter().any(|lookback| *lookback > 0) { let volume = if volume_lookbacks.iter().any(|lookback| *lookback > 0) {
self.market_series_by_symbol_id(symbol_id) self.market_series_by_symbol_id(symbol_id)
.map(|series| { .map(|series| {
self.market_series_end_index_by_symbol_id(date, symbol_id, include_now) series_end
.map(|end| series.volume_moving_averages_at_end(end, volume_lookbacks)) .map(|end| series.volume_moving_averages_at_end(end, volume_lookbacks))
.unwrap_or_else(|| { .unwrap_or_else(|| {
series.volume_moving_averages(date, volume_lookbacks, include_now) series.volume_moving_averages(date, volume_lookbacks, include_now)