保持日内覆盖与按股序列一致

2026-09-07 13:25:07 +08:00
parent d5af51c02b
commit 3f6017d98b
1 changed files with 128 additions and 22 deletions
@@ -900,6 +900,37 @@ impl SymbolPriceSeries {
        }
    }

+    fn apply_intraday_market_overlays(
+        &mut self,
+        overlays: &[&IntradayMarketSnapshotOverlay],
+    ) -> Result<(), NaiveDate> {
+        let mut last_price_changed = false;
+        for overlay in overlays {
+            let index = self
+                .dates
+                .binary_search(&overlay.date)
+                .map_err(|_| overlay.date)?;
+            self.timestamps[index] = overlay.timestamp.clone();
+            if let Some(last_price) = overlay
+                .last_price
+                .filter(|value| value.is_finite() && *value > 0.0)
+            {
+                self.last_prices[index] = last_price;
+                last_price_changed = true;
+            }
+            self.bid1s[index] = overlay.bid1;
+            self.ask1s[index] = overlay.ask1;
+            self.minute_volumes[index] = overlay.minute_volume;
+            self.bid1_volumes[index] = overlay.bid1_volume;
+            self.ask1_volumes[index] = overlay.ask1_volume;
+            self.trading_phases[index] = overlay.trading_phase.clone();
+        }
+        if last_price_changed {
+            self.last_prefix = prefix_sums(&self.last_prices);
+        }
+        Ok(())
+    }
+
    fn moving_average(&self, date: NaiveDate, lookback: usize, field: PriceField) -> Option<f64> {
        if lookback == 0 {
            return None;
@@ -2238,7 +2269,7 @@ impl DataSet {
            .sum()
    }

-    /// Applies sparse intraday fields without rebuilding daily series or indexes.
+    /// Applies sparse intraday fields without rebuilding unaffected daily series or indexes.
    ///
    /// The daily market storage must still be uniquely owned. This is deliberate:
    /// silently using `Arc::make_mut` here would deep-copy the full market panel
@@ -2251,8 +2282,25 @@ impl DataSet {
            return Ok(0);
        }

+        for (component, strong_count) in [
+            ("daily market panel", Arc::strong_count(&self.market_by_date)),
+            (
+                "market series by symbol",
+                Arc::strong_count(&self.market_series_by_symbol),
+            ),
+            (
+                "market series by symbol id",
+                Arc::strong_count(&self.market_series_by_symbol_id),
+            ),
+        ] {
+            if strong_count != 1 {
+                return Err(DataSetError::SharedComponentMutation { component });
+            }
+        }
+
        let mut resolved = Vec::with_capacity(overlays.len());
        let mut seen = HashSet::<(NaiveDate, u32)>::with_capacity(overlays.len());
+        let mut overlay_indexes_by_symbol_id = BTreeMap::<u32, Vec<usize>>::new();
        for overlay in overlays {
            let symbol_id = self
                .symbol_id_by_code
@@ -2270,33 +2318,71 @@ impl DataSet {
                });
            }
            let row_position = self
-                .market_symbol_ids_by_date
-                .get(&overlay.date)
-                .and_then(|symbol_ids| symbol_ids.binary_search(&symbol_id).ok())
+                .market_row_positions_by_date
+                .as_ref()
+                .as_ref()
+                .and_then(|positions_by_date| positions_by_date.get(&overlay.date))
+                .and_then(|positions| positions.get(symbol_id as usize))
+                .copied()
+                .filter(|position| *position != MISSING_ROW_POSITION)
+                .map(|position| position as usize)
+                .or_else(|| {
+                    self.market_symbol_ids_by_date
+                        .get(&overlay.date)
+                        .and_then(|symbol_ids| symbol_ids.binary_search(&symbol_id).ok())
+                })
                .ok_or_else(|| DataSetError::MissingSnapshot {
                    kind: "intraday_overlay_market",
                    date: overlay.date,
                    symbol: overlay.symbol.clone(),
                })?;
-            resolved.push((overlay.date, row_position, overlay));
+            let overlay_index = resolved.len();
+            resolved.push((overlay.date, row_position, symbol_id, overlay));
+            overlay_indexes_by_symbol_id
+                .entry(symbol_id)
+                .or_default()
+                .push(overlay_index);
        }

-        let market_by_date = Arc::get_mut(&mut self.market_by_date).ok_or(
-            DataSetError::SharedComponentMutation {
-                component: "daily market panel",
-            },
-        )?;
-        for (date, row_position, overlay) in resolved {
+        let mut series_replacements = Vec::with_capacity(overlay_indexes_by_symbol_id.len());
+        for (symbol_id, overlay_indexes) in overlay_indexes_by_symbol_id {
+            let existing = self
+                .market_series_by_symbol_id
+                .get(symbol_id as usize)
+                .and_then(Option::as_ref)
+                .ok_or_else(|| DataSetError::MissingSnapshot {
+                    kind: "intraday_overlay_market_series",
+                    date: resolved[overlay_indexes[0]].0,
+                    symbol: resolved[overlay_indexes[0]].3.symbol.clone(),
+                })?;
+            let mut updated = (**existing).clone();
+            let series_overlays = overlay_indexes
+                .iter()
+                .map(|index| &resolved[*index].3)
+                .collect::<Vec<_>>();
+            updated
+                .apply_intraday_market_overlays(&series_overlays)
+                .map_err(|date| DataSetError::MissingSnapshot {
+                    kind: "intraday_overlay_market_series_date",
+                    date,
+                    symbol: updated.symbol.clone(),
+                })?;
+            series_replacements.push((symbol_id, Arc::new(updated)));
+        }
+
+        let market_by_date = Arc::get_mut(&mut self.market_by_date)
+            .expect("daily market panel uniqueness checked before overlay");
+        for (date, row_position, _, overlay) in &resolved {
            let row = market_by_date
-                .get_mut(&date)
-                .and_then(|rows| rows.get_mut(row_position))
+                .get_mut(date)
+                .and_then(|rows| rows.get_mut(*row_position))
                .ok_or_else(|| DataSetError::MissingSnapshot {
                    kind: "intraday_overlay_market_row",
-                    date,
+                    date: *date,
                    symbol: overlay.symbol.clone(),
                })?;
            debug_assert_eq!(row.symbol, overlay.symbol);
-            row.timestamp = overlay.timestamp;
+            row.timestamp = overlay.timestamp.clone();
            if let Some(last_price) = overlay
                .last_price
                .filter(|value| value.is_finite() && *value > 0.0)
@@ -2308,9 +2394,19 @@ impl DataSet {
            row.minute_volume = overlay.minute_volume;
            row.bid1_volume = overlay.bid1_volume;
            row.ask1_volume = overlay.ask1_volume;
-            row.trading_phase = overlay.trading_phase;
+            row.trading_phase = overlay.trading_phase.clone();
        }
-        Ok(seen.len())
+
+        let market_series_by_symbol = Arc::get_mut(&mut self.market_series_by_symbol)
+            .expect("market series map uniqueness checked before overlay");
+        let market_series_by_symbol_id = Arc::get_mut(&mut self.market_series_by_symbol_id)
+            .expect("market series id map uniqueness checked before overlay");
+        for (symbol_id, series) in series_replacements {
+            let symbol = self.symbol_by_id[symbol_id as usize].to_string();
+            market_series_by_symbol.insert(symbol, Arc::clone(&series));
+            market_series_by_symbol_id[symbol_id as usize] = Some(series);
+        }
+        Ok(resolved.len())
    }

    /// Replaces the run-local execution quote layer without touching the
@@ -4966,7 +5062,7 @@ mod tests {
    }

    #[test]
-    fn unique_dataset_applies_sparse_intraday_overlay_without_rebuilding_daily_series() {
+    fn unique_dataset_applies_sparse_intraday_overlay_to_daily_and_symbol_views() {
        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
        let mut data = DataSet::from_components(
            vec![Instrument {
@@ -5016,12 +5112,22 @@ mod tests {
        assert_eq!(market.ask1_volume, 3_200);
        assert_eq!(market.trading_phase.as_deref(), Some("continuous"));
        assert_eq!(market.close, 10.0);
-        assert!(Arc::ptr_eq(
+        let market_series_after = data.market_series_by_symbol_id
+            [data.symbol_id("000001.SZ").unwrap() as usize]
+            .as_ref()
+            .unwrap();
+        assert!(!Arc::ptr_eq(
            &market_series_before,
-            data.market_series_by_symbol_id[data.symbol_id("000001.SZ").unwrap() as usize]
-                .as_ref()
-                .unwrap()
+            market_series_after
        ));
+        assert_eq!(
+            serde_json::to_value(market_series_after.snapshot_at(0)).unwrap(),
+            serde_json::to_value(market).unwrap()
+        );
+        assert_eq!(
+            market_series_after.moving_average(date, 1, PriceField::Last),
+            Some(10.08)
+        );
    }

    #[test]