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perf: build market series by symbol id

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boris
2026-09-06 06:18:21 +08:00
parent cda249e9b4
commit 5a7c49a454
1 changed files with 56 additions and 66 deletions
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crates/fidc-core/src/data.rs
+56 -66
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@@ -1318,8 +1318,6 @@ pub struct DataSet {
execution_quote_dates: Arc<Vec<NaiveDate>>,
order_book_depth_index: Arc<HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>>,
benchmark_by_date: Arc<BTreeMap<NaiveDate, BenchmarkSnapshot>>,
market_series_by_symbol: Arc<AHashMap<String, Arc<SymbolPriceSeries>>>,
adjusted_close_series_by_symbol: Arc<AHashMap<String, Arc<AdjustedCloseSeries>>>,
market_series_by_symbol_id: Arc<Vec<Option<Arc<SymbolPriceSeries>>>>,
adjusted_close_series_by_symbol_id: Arc<Vec<Option<Arc<AdjustedCloseSeries>>>>,
market_series_end_positions_by_calendar_index: Arc<Option<CalendarSeriesEndPositions>>,
@@ -1709,44 +1707,68 @@ impl DataSet {
.into_iter()
.map(|instrument| (instrument.symbol.clone(), instrument))
.collect::<HashMap<_, _>>();
let mut market_rows_by_symbol = AHashMap::<String, Vec<&DailyMarketSnapshot>>::new();
for row in market_by_date.values().flatten() {
if let Some(rows) = market_rows_by_symbol.get_mut(row.symbol.as_str()) {
rows.push(row);
continue;
let symbol_id_by_code = build_symbol_id_index(
&instruments,
&market_by_date,
&factor_by_date,
&candidate_by_date,
);
let symbol_count = symbol_id_by_code.len();
let mut symbol_by_id = vec![Arc::<str>::from(""); symbol_count];
for (symbol, symbol_id) in &symbol_id_by_code {
symbol_by_id[*symbol_id as usize] = Arc::<str>::from(symbol.as_str());
}
let mut instruments_by_symbol_id = vec![None; symbol_count];
for (symbol, instrument) in &instruments {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
instruments_by_symbol_id[symbol_id as usize] = Some(instrument.clone());
}
market_rows_by_symbol.insert(row.symbol.clone(), vec![row]);
}
let market_rows_by_symbol = market_rows_by_symbol.into_iter().collect::<Vec<_>>();
let market_series_by_symbol = market_rows_by_symbol
let mut market_rows_by_symbol_id = (0..symbol_count)
.map(|_| Vec::<&DailyMarketSnapshot>::new())
.collect::<Vec<_>>();
for row in market_by_date.values().flatten() {
let symbol_id = *symbol_id_by_code
.get(row.symbol.as_str())
.expect("market symbol missing from FIDC symbol index");
market_rows_by_symbol_id[symbol_id as usize].push(row);
}
let market_series_by_symbol_id = market_rows_by_symbol_id
.into_par_iter()
.map(|(symbol, rows)| {
let series = Arc::new(SymbolPriceSeries::from_sorted_rows(symbol.clone(), rows));
(symbol, series)
.enumerate()
.map(|(symbol_id, rows)| {
if rows.is_empty() {
return None;
}
Some(Arc::new(SymbolPriceSeries::from_sorted_rows(
symbol_by_id[symbol_id].to_string(),
rows,
)))
})
.collect::<Vec<_>>()
.into_iter()
.collect::<AHashMap<_, _>>();
let mut factor_rows_by_symbol = AHashMap::<&str, Vec<&DailyFactorSnapshot>>::new();
.collect::<Vec<_>>();
let mut factor_rows_by_symbol_id = (0..symbol_count)
.map(|_| Vec::<&DailyFactorSnapshot>::new())
.collect::<Vec<_>>();
for row in factor_by_date.values().flatten() {
factor_rows_by_symbol
.entry(row.symbol.as_str())
.or_default()
.push(row);
let symbol_id = *symbol_id_by_code
.get(row.symbol.as_str())
.expect("factor symbol missing from FIDC symbol index");
factor_rows_by_symbol_id[symbol_id as usize].push(row);
}
let adjusted_close_series_by_symbol = market_series_by_symbol
let adjusted_close_series_by_symbol_id = market_series_by_symbol_id
.par_iter()
.filter_map(|(symbol, market)| {
let factor_rows = factor_rows_by_symbol
.get(symbol.as_str())
.map(Vec::as_slice)
.unwrap_or_default();
AdjustedCloseSeries::new(market, factor_rows)
.map(|series| (symbol.clone(), Arc::new(series)))
.enumerate()
.map(|(symbol_id, market)| {
market.as_ref().and_then(|market| {
AdjustedCloseSeries::new(
market,
factor_rows_by_symbol_id[symbol_id].as_slice(),
)
.map(Arc::new)
})
})
.collect::<Vec<_>>()
.into_iter()
.collect::<AHashMap<_, _>>();
.collect::<Vec<_>>();
let factor_texts = factor_texts
.into_iter()
.filter_map(|mut item| {
@@ -1764,22 +1786,6 @@ impl DataSet {
.map(|item| ((item.date, item.symbol.clone(), item.field.clone()), item))
.collect::<HashMap<_, _>>();
let symbol_id_by_code = build_symbol_id_index(
&instruments,
&market_by_date,
&factor_by_date,
&candidate_by_date,
);
let mut symbol_by_id = vec![Arc::<str>::from(""); symbol_id_by_code.len()];
for (symbol, symbol_id) in &symbol_id_by_code {
symbol_by_id[*symbol_id as usize] = Arc::<str>::from(symbol.as_str());
}
let mut instruments_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, instrument) in &instruments {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
instruments_by_symbol_id[symbol_id as usize] = Some(instrument.clone());
}
}
let market_symbol_ids_by_date =
build_group_symbol_ids(&market_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
@@ -1809,18 +1815,6 @@ impl DataSet {
&candidate_symbol_ids_by_date,
symbol_id_by_code.len(),
);
let mut market_series_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, series) in &market_series_by_symbol {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
market_series_by_symbol_id[symbol_id as usize] = Some(Arc::clone(series));
}
}
let mut adjusted_close_series_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, series) in &adjusted_close_series_by_symbol {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
adjusted_close_series_by_symbol_id[symbol_id as usize] = Some(Arc::clone(series));
}
}
let market_series_end_positions_by_calendar_index =
build_calendar_series_end_positions(&market_series_by_symbol_id, &calendar);
let execution_quotes_by_date = build_execution_quote_index(execution_quotes);
@@ -1853,8 +1847,6 @@ impl DataSet {
execution_quote_dates: Arc::new(execution_quote_dates),
order_book_depth_index: Arc::new(order_book_depth_index),
benchmark_by_date: Arc::new(benchmark_by_date),
market_series_by_symbol: Arc::new(market_series_by_symbol),
adjusted_close_series_by_symbol: Arc::new(adjusted_close_series_by_symbol),
market_series_by_symbol_id: Arc::new(market_series_by_symbol_id),
adjusted_close_series_by_symbol_id: Arc::new(adjusted_close_series_by_symbol_id),
market_series_end_positions_by_calendar_index: Arc::new(
@@ -1993,7 +1985,7 @@ impl DataSet {
}
fn market_series(&self, symbol: &str) -> Option<&SymbolPriceSeries> {
self.market_series_by_symbol.get(symbol).map(Arc::as_ref)
self.market_series_by_symbol_id(self.symbol_id(symbol)?)
}
fn market_series_by_symbol_id(&self, symbol_id: u32) -> Option<&SymbolPriceSeries> {
@@ -2003,9 +1995,7 @@ impl DataSet {
}
fn adjusted_close_series(&self, symbol: &str) -> Option<&AdjustedCloseSeries> {
self.adjusted_close_series_by_symbol
.get(symbol)
.map(Arc::as_ref)
self.adjusted_close_series_by_symbol_id(self.symbol_id(symbol)?)
}
fn adjusted_close_series_by_symbol_id(&self, symbol_id: u32) -> Option<&AdjustedCloseSeries> {