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