支持回测数据集快照组件导出

2026-06-18 16:32:41 +08:00
parent 213deb6e99
commit 616d9cdce2
1 changed files with 54 additions and 0 deletions
@@ -365,6 +365,17 @@ pub struct DailySnapshotBundle {
    pub corporate_actions: Vec<CorporateAction>,
 }

+#[derive(Debug, Clone)]
+pub struct DataSetSnapshotComponents {
+    pub instruments: Vec<Instrument>,
+    pub market: Vec<DailyMarketSnapshot>,
+    pub factors: Vec<DailyFactorSnapshot>,
+    pub candidates: Vec<CandidateEligibility>,
+    pub benchmarks: Vec<BenchmarkSnapshot>,
+    pub corporate_actions: Vec<CorporateAction>,
+    pub execution_quotes: Vec<IntradayExecutionQuote>,
+}
+
 #[derive(Debug, Clone, Serialize)]
 pub struct PriceBar {
    #[serde(with = "date_format")]
@@ -1441,6 +1452,49 @@ impl DataSet {
        quotes
    }

+    pub fn snapshot_components(&self) -> DataSetSnapshotComponents {
+        let mut instruments = self.instruments.values().cloned().collect::<Vec<_>>();
+        instruments.sort_by(|left, right| left.symbol.cmp(&right.symbol));
+
+        let market = self
+            .market_by_date
+            .values()
+            .flat_map(|rows| rows.iter().cloned())
+            .collect::<Vec<_>>();
+        let factors = self
+            .factor_by_date
+            .values()
+            .flat_map(|rows| rows.iter().map(|row| row.as_ref().clone()))
+            .collect::<Vec<_>>();
+        let candidates = self
+            .candidate_by_date
+            .values()
+            .flat_map(|rows| rows.iter().map(|row| row.as_ref().clone()))
+            .collect::<Vec<_>>();
+        let benchmarks = self.benchmark_by_date.values().cloned().collect::<Vec<_>>();
+        let corporate_actions = self
+            .corporate_actions_by_date
+            .values()
+            .flat_map(|rows| rows.iter().cloned())
+            .collect::<Vec<_>>();
+        let execution_quotes = self
+            .execution_quotes_by_date
+            .values()
+            .flat_map(|rows_by_symbol| rows_by_symbol.values())
+            .flat_map(|rows| rows.iter().cloned())
+            .collect::<Vec<_>>();
+
+        DataSetSnapshotComponents {
+            instruments,
+            market,
+            factors,
+            candidates,
+            benchmarks,
+            corporate_actions,
+            execution_quotes,
+        }
+    }
+
    pub fn benchmark_series(&self) -> Vec<BenchmarkSnapshot> {
        self.benchmark_by_date.values().cloned().collect()
    }