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perf(core): align market factor candidate lookups

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This commit is contained in:
boris
2026-08-28 08:00:31 +08:00
parent 87c18574a8
commit 3d2ab17d72
2 changed files with 201 additions and 13 deletions
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crates/fidc-core/src/data.rs
+173
View File
@@ -1239,6 +1239,13 @@ pub struct DataSet {
futures_params_by_symbol: Arc<HashMap<String, Vec<FuturesTradingParameter>>>,
}
#[derive(Debug, Clone, Copy)]
pub(crate) struct SymbolSnapshotRefs<'a> {
pub market: Option<&'a DailyMarketSnapshot>,
pub factor: Option<&'a DailyFactorSnapshot>,
pub candidate: Option<&'a CandidateEligibility>,
}
impl DataSet {
pub fn with_additional_trading_dates(
mut self,
@@ -1647,6 +1654,63 @@ impl DataSet {
)
}
pub(crate) fn symbol_snapshots_by_id(
&self,
date: NaiveDate,
symbol_id: u32,
) -> SymbolSnapshotRefs<'_> {
let market_rows = self.market_by_date.get(&date).map(Vec::as_slice);
let market_symbol_ids = self
.market_symbol_ids_by_date
.get(&date)
.map(Vec::as_slice);
let market_index = market_rows
.zip(market_symbol_ids)
.and_then(|(rows, symbol_ids)| symbol_id_index(rows.len(), symbol_ids, symbol_id));
let market = market_index.and_then(|index| market_rows?.get(index));
let factor = self
.factor_by_date
.get(&date)
.map(Vec::as_slice)
.zip(
self.factor_symbol_ids_by_date
.get(&date)
.map(Vec::as_slice),
)
.and_then(|(rows, symbol_ids)| {
find_by_symbol_id_with_preferred_index(
rows,
symbol_ids,
symbol_id,
market_index,
)
});
let candidate = self
.candidate_by_date
.get(&date)
.map(Vec::as_slice)
.zip(
self.candidate_symbol_ids_by_date
.get(&date)
.map(Vec::as_slice),
)
.and_then(|(rows, symbol_ids)| {
find_by_symbol_id_with_preferred_index(
rows,
symbol_ids,
symbol_id,
market_index,
)
});
SymbolSnapshotRefs {
market,
factor,
candidate,
}
}
pub fn benchmark(&self, date: NaiveDate) -> Option<&BenchmarkSnapshot> {
self.benchmark_by_date.get(&date)
}
@@ -3554,9 +3618,30 @@ where
}
fn find_by_symbol_id<'a, T>(rows: &'a [T], symbol_ids: &[u32], symbol_id: u32) -> Option<&'a T> {
find_by_symbol_id_with_preferred_index(rows, symbol_ids, symbol_id, None)
}
fn symbol_id_index(rows_len: usize, symbol_ids: &[u32], symbol_id: u32) -> Option<usize> {
if rows_len != symbol_ids.len() {
return None;
}
symbol_ids.binary_search(&symbol_id).ok()
}
fn find_by_symbol_id_with_preferred_index<'a, T>(
rows: &'a [T],
symbol_ids: &[u32],
symbol_id: u32,
preferred_index: Option<usize>,
) -> Option<&'a T> {
if rows.len() != symbol_ids.len() {
return None;
}
if let Some(index) = preferred_index
&& symbol_ids.get(index).copied() == Some(symbol_id)
{
return rows.get(index);
}
symbol_ids
.binary_search(&symbol_id)
.ok()
@@ -3959,6 +4044,94 @@ mod tests {
));
}
#[test]
fn combined_symbol_snapshot_lookup_uses_alignment_and_falls_back_for_sparse_rows() {
let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
let instrument = |symbol: &str| Instrument {
symbol: symbol.to_string(),
name: symbol.to_string(),
board: symbol
.rsplit_once('.')
.map(|(_, value)| value)
.unwrap_or("")
.to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
};
let market = |symbol: &str, close: f64| {
let mut row = market_row("2025-01-02", close, 1_000_000);
row.symbol = symbol.to_string();
row
};
let factor = |symbol: &str, market_cap_bn: f64| DailyFactorSnapshot {
date,
symbol: symbol.to_string(),
market_cap_bn,
free_float_cap_bn: market_cap_bn,
pe_ttm: 0.0,
turnover_ratio: None,
effective_turnover_ratio: None,
extra_factors: NumericFactorMap::new(),
};
let candidate = |symbol: &str| CandidateEligibility {
date,
symbol: symbol.to_string(),
is_st: false,
is_star_st: false,
is_new_listing: false,
is_paused: false,
allow_buy: true,
allow_sell: true,
is_kcb: false,
is_one_yuan: false,
risk_level_code: None,
};
let data = DataSet::from_components(
vec![
instrument("000001.SZ"),
instrument("000300.SH"),
instrument("600000.SH"),
],
vec![
market("000001.SZ", 10.0),
market("000300.SH", 20.0),
market("600000.SH", 12.0),
],
vec![factor("000001.SZ", 100.0), factor("600000.SH", 120.0)],
vec![candidate("000001.SZ"), candidate("600000.SH")],
vec![benchmark_row("2025-01-02", 20.0)],
)
.unwrap();
for symbol in ["000001.SZ", "600000.SH"] {
let symbol_id = data.symbol_id(symbol).unwrap();
let combined = data.symbol_snapshots_by_id(date, symbol_id);
assert_eq!(
combined.market.map(|row| row.symbol.as_str()),
data.market_by_symbol_id(date, symbol_id)
.map(|row| row.symbol.as_str())
);
assert_eq!(
combined.factor.map(|row| row.symbol.as_str()),
data.factor_by_symbol_id(date, symbol_id)
.map(|row| row.symbol.as_str())
);
assert_eq!(
combined.candidate.map(|row| row.symbol.as_str()),
data.candidate_by_symbol_id(date, symbol_id)
.map(|row| row.symbol.as_str())
);
}
let signal_id = data.symbol_id("000300.SH").unwrap();
let signal = data.symbol_snapshots_by_id(date, signal_id);
assert_eq!(signal.market.map(|row| row.symbol.as_str()), Some("000300.SH"));
assert!(signal.factor.is_none());
assert!(signal.candidate.is_none());
}
#[test]
fn additional_terminal_calendar_dates_are_isolated_from_shared_market_data() {
let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
crates/fidc-core/src/platform_expr_strategy.rs
+28 -13
View File
@@ -3898,13 +3898,34 @@ impl PlatformExprStrategy {
return Ok(Arc::clone(state));
}
let market = ctx
.data
.require_market_by_symbol_id(date, symbol_id, symbol)?;
let feature_market = ctx
.data
.market_by_symbol_id(factor_date, symbol_id)
.unwrap_or(market);
let execution_snapshots = ctx.data.symbol_snapshots_by_id(date, symbol_id);
let market = execution_snapshots.market.ok_or_else(|| {
BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
kind: "market",
date,
symbol: symbol.to_string(),
})
})?;
let candidate = execution_snapshots.candidate.ok_or_else(|| {
BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
kind: "candidate",
date,
symbol: symbol.to_string(),
})
})?;
let factor_snapshots = if factor_date == date {
execution_snapshots
} else {
ctx.data.symbol_snapshots_by_id(factor_date, symbol_id)
};
let feature_market = factor_snapshots.market.unwrap_or(market);
let factor = factor_snapshots.factor.ok_or_else(|| {
BacktestError::Data(crate::data::DataSetError::MissingSnapshot {
kind: "factor",
date: factor_date,
symbol: symbol.to_string(),
})
})?;
let intraday_same_day_factor = self.uses_intraday_execution_quotes()
&& factor_date == date
&& !ctx.is_lagged_execution();
@@ -3913,12 +3934,6 @@ impl PlatformExprStrategy {
} else {
None
};
let factor = ctx
.data
.require_factor_by_symbol_id(factor_date, symbol_id, symbol)?;
let candidate = ctx
.data
.require_candidate_by_symbol_id(date, symbol_id, symbol)?;
let instrument = ctx.data.instrument(symbol);
let rolling = |field: &'static str, lookback: usize| -> f64 {
if !self.stock_rolling_requirements.requires(field, lookback) {