perf: reuse current rolling series boundary

crates/fidc-core/src/data.rs

@@ -2012,6 +2012,14 @@ impl DataSet {
         Some(*end as usize)
     }
 
+    pub(crate) fn market_current_series_end_index_by_symbol_id(
+        &self,
+        date: NaiveDate,
+        symbol_id: u32,
+    ) -> Option<usize> {
+        self.market_series_end_index_by_symbol_id(date, symbol_id, true)
+    }
+
     pub fn factor(&self, date: NaiveDate, symbol: &str) -> Option<&DailyFactorSnapshot> {
         let symbol_id = self.symbol_id(symbol)?;
         self.factor_by_symbol_id(date, symbol_id)
@@ -3347,20 +3355,56 @@ impl DataSet {
         symbol: &str,
         field: &str,
         lookback: usize,
+    ) -> Option<f64> {
+        let normalized = normalized_field(field);
+        let series_end = matches!(
+            normalized.as_ref(),
+            "close"
+                | "prev_close"
+                | "stock_close"
+                | "price"
+                | "volume"
+                | "stock_volume"
+                | "day_open"
+                | "dayopen"
+                | "open"
+                | "last"
+                | "last_price"
+        )
+        .then(|| self.market_current_series_end_index_by_symbol_id(date, symbol_id))
+        .flatten();
+        self.market_current_numeric_moving_average_with_end_by_symbol_id(
+            date,
+            symbol_id,
+            symbol,
+            normalized.as_ref(),
+            lookback,
+            series_end,
+        )
+    }
+
+    pub(crate) fn market_current_numeric_moving_average_with_end_by_symbol_id(
+        &self,
+        date: NaiveDate,
+        symbol_id: u32,
+        symbol: &str,
+        field: &str,
+        lookback: usize,
+        series_end: Option<usize>,
     ) -> Option<f64> {
         let field = normalized_field(field);
         match field.as_ref() {
             "close" | "prev_close" | "stock_close" | "price" => self
                 .adjusted_close_series_by_symbol_id(symbol_id)
                 .and_then(|series| {
-                    self.market_series_end_index_by_symbol_id(date, symbol_id, true)
+                    series_end
                         .map(|end| series.moving_average_at_end(end, lookback))
                         .unwrap_or_else(|| series.current_moving_average(date, lookback))
                 }),
             "volume" | "stock_volume" => {
                 self.market_series_by_symbol_id(symbol_id)
                     .and_then(|series| {
-                        self.market_series_end_index_by_symbol_id(date, symbol_id, true)
+                        series_end
                             .map(|end| {
                                 series
                                     .valid_volume_window(end, lookback)
@@ -3379,7 +3423,7 @@ impl DataSet {
             "day_open" | "dayopen" => {
                 self.market_series_by_symbol_id(symbol_id)
                     .and_then(|series| {
-                        self.market_series_end_index_by_symbol_id(date, symbol_id, true)
+                        series_end
                             .map(|end| {
                                 series.moving_average_at_end(end, lookback, PriceField::DayOpen)
                             })
@@ -3391,14 +3435,14 @@ impl DataSet {
             "open" => self
                 .market_series_by_symbol_id(symbol_id)
                 .and_then(|series| {
-                    self.market_series_end_index_by_symbol_id(date, symbol_id, true)
+                    series_end
                         .map(|end| series.moving_average_at_end(end, lookback, PriceField::Open))
                         .unwrap_or_else(|| series.moving_average(date, lookback, PriceField::Open))
                 }),
             "last" | "last_price" => {
                 self.market_series_by_symbol_id(symbol_id)
                     .and_then(|series| {
-                        self.market_series_end_index_by_symbol_id(date, symbol_id, true)
+                        series_end
                             .map(|end| {
                                 series.moving_average_at_end(end, lookback, PriceField::Last)
                             })
@@ -5052,6 +5096,137 @@ mod tests {
         );
     }
 
+    #[test]
+    #[ignore = "manual release-mode current rolling boundary benchmark"]
+    fn benchmark_current_rolling_reuses_symbol_boundary() {
+        let start = NaiveDate::from_ymd_opt(2025, 1, 1).unwrap();
+        let dates = (0..160)
+            .map(|offset| start + chrono::Duration::days(offset))
+            .collect::<Vec<_>>();
+        let data = DataSet::from_components(
+            vec![Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "000001.SZ".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            dates
+                .iter()
+                .enumerate()
+                .map(|(index, date)| {
+                    market_row(
+                        &date.format("%Y-%m-%d").to_string(),
+                        10.0 + index as f64 / 100.0,
+                        100_000 + index as u64,
+                    )
+                })
+                .collect(),
+            dates
+                .iter()
+                .map(|date| DailyFactorSnapshot {
+                    date: *date,
+                    symbol: "000001.SZ".to_string(),
+                    market_cap_bn: 10.0,
+                    free_float_cap_bn: 8.0,
+                    pe_ttm: 10.0,
+                    turnover_ratio: None,
+                    effective_turnover_ratio: None,
+                    extra_factors: NumericFactorMap::from([(
+                        Cow::Borrowed(BACKWARD_ADJUSTMENT_FACTOR_FIELD),
+                        1.0,
+                    )]),
+                })
+                .collect(),
+            Vec::new(),
+            dates
+                .iter()
+                .enumerate()
+                .map(|(index, date)| {
+                    benchmark_row(&date.format("%Y-%m-%d").to_string(), 1_000.0 + index as f64)
+                })
+                .collect(),
+        )
+        .unwrap();
+        let date = *dates.last().unwrap();
+        let symbol = "000001.SZ";
+        let symbol_id = data.symbol_id(symbol).unwrap();
+        let requirements = [
+            ("close", 5usize),
+            ("close", 10usize),
+            ("close", 30usize),
+            ("volume", 5usize),
+            ("volume", 100usize),
+        ];
+        let iterations = 100_000usize;
+        let mut repeated_nanos = 0u128;
+        let mut reused_nanos = 0u128;
+        let mut repeated_checksum = 0.0;
+        let mut reused_checksum = 0.0;
+
+        for iteration in 0..iterations {
+            if iteration % 2 == 0 {
+                let started = std::time::Instant::now();
+                for (field, lookback) in requirements {
+                    repeated_checksum += data
+                        .market_current_numeric_moving_average_by_symbol_id(
+                            date, symbol_id, symbol, field, lookback,
+                        )
+                        .unwrap();
+                }
+                repeated_nanos += started.elapsed().as_nanos();
+                let started = std::time::Instant::now();
+                let series_end = data.market_current_series_end_index_by_symbol_id(date, symbol_id);
+                for (field, lookback) in requirements {
+                    reused_checksum += data
+                        .market_current_numeric_moving_average_with_end_by_symbol_id(
+                            date, symbol_id, symbol, field, lookback, series_end,
+                        )
+                        .unwrap();
+                }
+                reused_nanos += started.elapsed().as_nanos();
+            } else {
+                let started = std::time::Instant::now();
+                let series_end = data.market_current_series_end_index_by_symbol_id(date, symbol_id);
+                for (field, lookback) in requirements {
+                    reused_checksum += data
+                        .market_current_numeric_moving_average_with_end_by_symbol_id(
+                            date, symbol_id, symbol, field, lookback, series_end,
+                        )
+                        .unwrap();
+                }
+                reused_nanos += started.elapsed().as_nanos();
+                let started = std::time::Instant::now();
+                for (field, lookback) in requirements {
+                    repeated_checksum += data
+                        .market_current_numeric_moving_average_by_symbol_id(
+                            date, symbol_id, symbol, field, lookback,
+                        )
+                        .unwrap();
+                }
+                repeated_nanos += started.elapsed().as_nanos();
+            }
+        }
+
+        assert!((repeated_checksum - reused_checksum).abs() < 1e-6);
+        let repeated_seconds = repeated_nanos as f64 / 1_000_000_000.0;
+        let reused_seconds = reused_nanos as f64 / 1_000_000_000.0;
+        eprintln!(
+            "{}",
+            serde_json::json!({
+                "schemaVersion": "fidc-current-rolling-boundary-benchmark/v1",
+                "iterations": iterations,
+                "helperCallsPerIteration": requirements.len(),
+                "repeatedLookupSeconds": repeated_seconds,
+                "reusedBoundarySeconds": reused_seconds,
+                "speedup": repeated_seconds / reused_seconds,
+                "equal": true,
+            })
+        );
+    }
+
     #[test]
     #[ignore = "manual component benchmark"]
     fn benchmark_daily_snapshot_view_lookup() {

crates/fidc-core/src/platform_expr_strategy.rs

@@ -718,6 +718,7 @@ struct StockExpressionState {
     stock_volume_ma20: f64,
     stock_volume_ma60: f64,
     stock_volume_ma100: f64,
+    current_series_end: Option<usize>,
     extra_factors: BTreeMap<String, f64>,
     extra_text_factors: BTreeMap<String, String>,
 }
@@ -1044,6 +1045,7 @@ pub struct PlatformExprStrategy {
     stock_filter_expr_present: bool,
     selection_quote_usage: StockFilterQuoteUsage,
     stock_rolling_requirements: StockRollingRequirements,
+    stock_current_rolling_mean_required: bool,
     stock_extra_factors_required: bool,
     stock_extra_factor_identifiers: BTreeSet<String>,
     stock_extra_factor_map_required: bool,
@@ -1321,6 +1323,8 @@ 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_mean_required =
+            Self::stock_current_rolling_mean_required_for_config(&config);
         let stock_extra_factors_required =
             Self::stock_extra_factors_required_for_config(&config, &prelude_declared_identifiers);
         let stock_extra_factor_identifiers =
@@ -1363,6 +1367,7 @@ impl PlatformExprStrategy {
             stock_filter_expr_present,
             selection_quote_usage,
             stock_rolling_requirements,
+            stock_current_rolling_mean_required,
             stock_extra_factors_required,
             stock_extra_factor_identifiers,
             stock_extra_factor_map_required,
@@ -3913,13 +3918,18 @@ impl PlatformExprStrategy {
         &self,
         ctx: &StrategyContext<'_>,
         date: NaiveDate,
-        symbol_id: u32,
+        stock: &StockExpressionState,
-        symbol: &str,
         field: &str,
         lookback: usize,
     ) -> Option<f64> {
-        ctx.data.market_current_numeric_moving_average_by_symbol_id(
+        ctx.data
-            date, symbol_id, symbol, field, lookback,
+            .market_current_numeric_moving_average_with_end_by_symbol_id(
+                date,
+                stock.symbol_id,
+                &stock.symbol,
+                field,
+                lookback,
+                stock.current_series_end,
             )
     }
 
@@ -4065,6 +4075,13 @@ impl PlatformExprStrategy {
             None
         };
         let instrument = ctx.data.instrument_by_symbol_id(symbol_id);
+        let current_series_end = self
+            .stock_current_rolling_mean_required
+            .then(|| {
+                ctx.data
+                    .market_current_series_end_index_by_symbol_id(date, symbol_id)
+            })
+            .flatten();
         let required_rolling = |field: &'static str, lookback: usize| {
             self.stock_rolling_requirements
                 .requires(field, lookback)
@@ -4258,6 +4275,7 @@ impl PlatformExprStrategy {
             stock_volume_ma20,
             stock_volume_ma60,
             stock_volume_ma100,
+            current_series_end,
             extra_factors,
             extra_text_factors: if self.stock_text_factors_required {
                 ctx.data
@@ -7091,14 +7109,7 @@ impl PlatformExprStrategy {
                         "rolling_mean_current(\"{other}\", {lookback}) requires stock context"
                     ))
                 })?;
-                self.stock_current_rolling_mean(
+                self.stock_current_rolling_mean(ctx, day.date, stock, other, lookback)
-                    ctx,
-                    day.date,
-                    stock.symbol_id,
-                    &stock.symbol,
-                    other,
-                    lookback,
-                )
             }
         };
         value.ok_or_else(|| {
@@ -9993,6 +10004,30 @@ impl PlatformExprStrategy {
         requirements
     }
 
+    fn stock_current_rolling_mean_required_for_config(config: &PlatformExprStrategyConfig) -> bool {
+        let mut requirements = StockRollingRequirements::default();
+        for expr in [
+            config.prelude.as_str(),
+            config.stock_filter_expr.as_str(),
+            config.buy_scale_expr.as_str(),
+            config.stop_loss_expr.as_str(),
+            config.take_profit_expr.as_str(),
+            config.rank_expr.as_str(),
+            config.market_cap_field.as_str(),
+        ] {
+            let compact = Self::compact_expr(&Self::normalize_expr(expr));
+            Self::require_stock_rollings_for_named_helper(
+                &mut requirements,
+                &compact,
+                "rolling_mean_current",
+            );
+            if !requirements.fields.is_empty() {
+                return true;
+            }
+        }
+        false
+    }
+
     fn stock_extra_factors_required_for_config(
         config: &PlatformExprStrategyConfig,
         prelude_declared_identifiers: &BTreeSet<String>,
@@ -14272,6 +14307,16 @@ mod tests {
         assert!(!strategy.stock_rolling_requirements.requires("close", 10));
         assert!(!strategy.stock_rolling_requirements.requires("volume", 5));
         assert!(!strategy.stock_rolling_requirements.requires("volume", 100));
+        assert!(strategy.stock_current_rolling_mean_required);
+
+        let mut signal_only = PlatformExprStrategyConfig::microcap_rotation();
+        signal_only.stock_filter_expr = "true".to_string();
+        signal_only.prelude =
+            "let signal_ma = rolling_mean_current(\"signal_close\", 20);".to_string();
+        assert!(
+            !PlatformExprStrategy::new(signal_only).stock_current_rolling_mean_required,
+            "signal-only rolling helpers must not add per-stock current boundaries"
+        );
     }
 
     #[test]