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Revert "perf: batch current rolling means per stock"

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This reverts commit 004a46cb41.
This commit is contained in:
boris
2026-09-05 02:33:34 +08:00
parent 004a46cb41
commit 43b15b2098
1 changed files with 7 additions and 105 deletions
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crates/fidc-core/src/platform_expr_strategy.rs
+7 -105
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@@ -718,8 +718,6 @@ struct StockExpressionState {
stock_volume_ma20: f64,
stock_volume_ma60: f64,
stock_volume_ma100: f64,
current_close_rolling_means: [f64; 7],
current_volume_rolling_means: [f64; 5],
current_series_end: Option<usize>,
extra_factors: BTreeMap<String, f64>,
extra_text_factors: BTreeMap<String, String>,
@@ -773,20 +771,6 @@ impl StockRollingRequirements {
};
self.fields.contains(&(field, lookback))
}
fn lookbacks<const N: usize>(&self, field: StockRollingField) -> [usize; N] {
let mut lookbacks = [0; N];
for (slot, (_, lookback)) in self
.fields
.iter()
.filter(|(candidate, _)| *candidate == field)
.take(N)
.enumerate()
{
lookbacks[slot] = *lookback;
}
lookbacks
}
}
#[derive(Debug, Clone)]
@@ -1069,8 +1053,6 @@ pub struct PlatformExprStrategy {
selection_quote_usage: StockFilterQuoteUsage,
stock_rolling_requirements: StockRollingRequirements,
stock_current_rolling_mean_required: bool,
stock_current_close_lookbacks: [usize; 7],
stock_current_volume_lookbacks: [usize; 5],
stock_snapshot_field_requirements: StockSnapshotFieldRequirements,
stock_extra_factors_required: bool,
stock_extra_factor_identifiers: BTreeSet<String>,
@@ -1349,16 +1331,8 @@ impl PlatformExprStrategy {
let selection_quote_usage =
Self::selection_quote_usage_for_config(&config, &normalized_stock_filter_expr);
let stock_rolling_requirements = Self::stock_rolling_requirements_for_config(&config);
let stock_current_rolling_requirements =
Self::stock_current_rolling_requirements_for_config(&config);
let stock_current_close_lookbacks =
stock_current_rolling_requirements.lookbacks(StockRollingField::Close);
let stock_current_volume_lookbacks =
stock_current_rolling_requirements.lookbacks(StockRollingField::Volume);
let stock_current_rolling_mean_required = stock_current_close_lookbacks
.iter()
.chain(&stock_current_volume_lookbacks)
.any(|lookback| *lookback > 0);
let stock_current_rolling_mean_required =
Self::stock_current_rolling_mean_required_for_config(&config);
let stock_snapshot_field_requirements =
Self::stock_snapshot_field_requirements_for_config(&config);
let stock_extra_factors_required =
@@ -1404,8 +1378,6 @@ impl PlatformExprStrategy {
selection_quote_usage,
stock_rolling_requirements,
stock_current_rolling_mean_required,
stock_current_close_lookbacks,
stock_current_volume_lookbacks,
stock_snapshot_field_requirements,
stock_extra_factors_required,
stock_extra_factor_identifiers,
@@ -3962,9 +3934,6 @@ impl PlatformExprStrategy {
field: &str,
lookback: usize,
) -> Option<f64> {
if let Some(value) = self.precomputed_stock_current_rolling_mean(stock, field, lookback) {
return value;
}
ctx.data
.market_current_numeric_moving_average_with_end_by_symbol_id(
date,
@@ -3976,41 +3945,6 @@ impl PlatformExprStrategy {
)
}
fn precomputed_stock_current_rolling_mean(
&self,
stock: &StockExpressionState,
field: &str,
lookback: usize,
) -> Option<Option<f64>> {
let (lookbacks, values): (&[usize], &[f64]) =
if ["close", "prev_close", "stock_close", "price"]
.iter()
.any(|candidate| field.eq_ignore_ascii_case(candidate))
{
(
&self.stock_current_close_lookbacks,
&stock.current_close_rolling_means,
)
} else if ["volume", "stock_volume"]
.iter()
.any(|candidate| field.eq_ignore_ascii_case(candidate))
{
(
&self.stock_current_volume_lookbacks,
&stock.current_volume_rolling_means,
)
} else {
return None;
};
lookbacks
.iter()
.position(|candidate| *candidate == lookback && *candidate > 0)
.map(|index| {
let value = values[index];
value.is_finite().then_some(value)
})
}
fn stock_state_at_time(
&self,
ctx: &StrategyContext<'_>,
@@ -4200,16 +4134,6 @@ impl PlatformExprStrategy {
&volume_lookbacks,
false,
);
let current_rolling_means = ctx
.data
.market_standard_rolling_means_by_symbol_id_with_calendar_index(
date,
calendar_index,
symbol_id,
&self.stock_current_close_lookbacks,
&self.stock_current_volume_lookbacks,
true,
);
let close_rolling = |index: usize| rolling_means.close[index].unwrap_or(f64::NAN);
let volume_rolling = |index: usize| rolling_means.volume[index].unwrap_or(f64::NAN);
let stock_ma_short = close_rolling(0);
@@ -4380,12 +4304,6 @@ impl PlatformExprStrategy {
stock_volume_ma20,
stock_volume_ma60,
stock_volume_ma100,
current_close_rolling_means: std::array::from_fn(|index| {
current_rolling_means.close[index].unwrap_or(f64::NAN)
}),
current_volume_rolling_means: std::array::from_fn(|index| {
current_rolling_means.volume[index].unwrap_or(f64::NAN)
}),
current_series_end,
extra_factors,
extra_text_factors: if self.stock_text_factors_required {
@@ -10127,9 +10045,7 @@ impl PlatformExprStrategy {
requirements
}
fn stock_current_rolling_requirements_for_config(
config: &PlatformExprStrategyConfig,
) -> StockRollingRequirements {
fn stock_current_rolling_mean_required_for_config(config: &PlatformExprStrategyConfig) -> bool {
let mut requirements = StockRollingRequirements::default();
for expr in [
config.prelude.as_str(),
@@ -10146,8 +10062,11 @@ impl PlatformExprStrategy {
&compact,
"rolling_mean_current",
);
if !requirements.fields.is_empty() {
return true;
}
}
requirements
false
}
fn stock_snapshot_field_requirements_for_config(
@@ -14585,11 +14504,6 @@ mod tests {
assert!(!strategy.stock_rolling_requirements.requires("volume", 5));
assert!(!strategy.stock_rolling_requirements.requires("volume", 100));
assert!(strategy.stock_current_rolling_mean_required);
assert_eq!(
strategy.stock_current_close_lookbacks,
[5, 10, 0, 0, 0, 0, 0]
);
assert_eq!(strategy.stock_current_volume_lookbacks, [5, 100, 0, 0, 0]);
let mut signal_only = PlatformExprStrategyConfig::microcap_rotation();
signal_only.stock_filter_expr = "true".to_string();
@@ -31162,18 +31076,6 @@ mod tests {
.expect("current volume rolling mean"),
1_000.0
);
assert_eq!(
strategy.precomputed_stock_current_rolling_mean(&stock, "close", 5),
Some(Some(10.0))
);
assert_eq!(
strategy.precomputed_stock_current_rolling_mean(&stock, "volume", 5),
Some(Some(1_000.0))
);
assert_eq!(
strategy.precomputed_stock_current_rolling_mean(&stock, "close", 7),
None
);
let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
cfg.stock_filter_expr = "stock_ma5 > 0 && stock_volume_ma5 > 0".to_string();