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Revert "分层共享执行行情索引"

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This reverts commit f2de8b281a.
This commit is contained in:
boris
2026-09-07 11:09:02 +08:00
parent f2de8b281a
commit 68c186f649
1 changed files with 10 additions and 95 deletions
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crates/fidc-core/src/data.rs
+10 -95
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@@ -340,12 +340,9 @@ pub struct ExecutionQuoteIterator<'a> {
heap: BinaryHeap<Reverse<(NaiveDateTime, usize, usize)>>,
}
type ExecutionQuotesBySymbol = HashMap<String, Arc<Vec<IntradayExecutionQuote>>>;
type ExecutionQuotesByDate = HashMap<NaiveDate, Arc<ExecutionQuotesBySymbol>>;
impl<'a> ExecutionQuoteIterator<'a> {
fn new(
rows_by_symbol: Option<&'a ExecutionQuotesBySymbol>,
rows_by_symbol: Option<&'a HashMap<String, Vec<IntradayExecutionQuote>>>,
symbols: Option<&BTreeSet<String>>,
) -> Self {
let mut streams = rows_by_symbol
@@ -1317,7 +1314,7 @@ pub struct DataSet {
candidate_symbol_ids_by_date: Arc<BTreeMap<NaiveDate, Vec<u32>>>,
candidate_row_positions_by_date: Arc<Option<DenseRowPositionIndex>>,
corporate_actions_by_date: Arc<BTreeMap<NaiveDate, Vec<CorporateAction>>>,
execution_quotes_by_date: Arc<ExecutionQuotesByDate>,
execution_quotes_by_date: Arc<HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>>,
execution_quote_dates: Arc<Vec<NaiveDate>>,
order_book_depth_index: Arc<HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>>,
benchmark_by_date: Arc<BTreeMap<NaiveDate, BenchmarkSnapshot>>,
@@ -2186,7 +2183,7 @@ impl DataSet {
self.execution_quotes_by_date
.get(&date)
.and_then(|rows_by_symbol| rows_by_symbol.get(symbol))
.map(|rows| rows.as_slice())
.map(Vec::as_slice)
.unwrap_or(&[])
}
@@ -2212,7 +2209,7 @@ impl DataSet {
self.execution_quotes_by_date
.values()
.flat_map(|rows_by_symbol| rows_by_symbol.values())
.map(|rows| rows.len())
.map(Vec::len)
.sum()
}
@@ -2231,22 +2228,14 @@ impl DataSet {
let execution_quotes_by_date = Arc::make_mut(&mut self.execution_quotes_by_date);
for (date, rows_by_symbol) in grouped {
let date_is_new = !execution_quotes_by_date.contains_key(&date);
let target_by_symbol = Arc::make_mut(
execution_quotes_by_date
.entry(date)
.or_insert_with(|| Arc::new(HashMap::new())),
);
let target_by_symbol = execution_quotes_by_date.entry(date).or_default();
if date_is_new {
new_dates.push(date);
}
for (symbol, mut incoming) in rows_by_symbol {
incoming.sort_by_key(|quote| quote.timestamp);
incoming.dedup_by(|left, right| left.timestamp == right.timestamp);
let target = Arc::make_mut(
target_by_symbol
.entry(symbol)
.or_insert_with(|| Arc::new(Vec::new())),
);
let target = target_by_symbol.entry(symbol).or_default();
if target.is_empty() {
added = added.saturating_add(incoming.len());
*target = incoming;
@@ -2311,10 +2300,7 @@ impl DataSet {
date: NaiveDate,
symbols: Option<&BTreeSet<String>>,
) -> ExecutionQuoteIterator<'_> {
ExecutionQuoteIterator::new(
self.execution_quotes_by_date.get(&date).map(Arc::as_ref),
symbols,
)
ExecutionQuoteIterator::new(self.execution_quotes_by_date.get(&date), symbols)
}
pub fn execution_quotes_on_date_for_symbols(
@@ -2336,14 +2322,14 @@ impl DataSet {
if let Ok(index) = dates.binary_search(&date) {
dates.remove(index);
}
rows_by_symbol.values().map(|rows| rows.len()).sum()
rows_by_symbol.into_values().map(|rows| rows.len()).sum()
}
pub fn release_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
let row_count = self
.execution_quotes_by_date
.get(&date)
.map(|rows_by_symbol| rows_by_symbol.values().map(|rows| rows.len()).sum())
.map(|rows_by_symbol| rows_by_symbol.values().map(Vec::len).sum())
.unwrap_or(0);
// Run data shares this immutable map with the prepared-data cache. Arc::make_mut here
// would clone every date just to remove one entry and would not release the cached base.
@@ -4543,7 +4529,7 @@ fn build_futures_params_index(
fn build_execution_quote_index(
execution_quotes: Vec<IntradayExecutionQuote>,
) -> ExecutionQuotesByDate {
) -> HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>> {
let mut grouped = HashMap::<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>::new();
for quote in execution_quotes {
grouped
@@ -4561,15 +4547,6 @@ fn build_execution_quote_index(
}
grouped
.into_iter()
.map(|(date, rows_by_symbol)| {
let rows_by_symbol = rows_by_symbol
.into_iter()
.map(|(symbol, rows)| (symbol, Arc::new(rows)))
.collect();
(date, Arc::new(rows_by_symbol))
})
.collect()
}
fn build_order_book_depth_index(
@@ -4872,68 +4849,6 @@ mod tests {
));
}
#[test]
fn execution_quote_updates_copy_only_the_modified_date_and_symbol_path() {
let first_date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
let second_date = NaiveDate::parse_from_str("2025-01-03", "%Y-%m-%d").unwrap();
let quote = |date: NaiveDate, symbol: &str, time: &str| IntradayExecutionQuote {
date,
timestamp: NaiveDateTime::parse_from_str(
&format!("{date} {time}"),
"%Y-%m-%d %H:%M:%S",
)
.unwrap(),
symbol: symbol.to_string(),
last_price: 10.0,
bid1: 9.99,
ask1: 10.01,
bid1_volume: 10_000,
ask1_volume: 10_000,
volume_delta: 10_000,
amount_delta: 100_000.0,
trading_phase: Some("continuous".to_string()),
};
let data = DataSet::from_components_with_actions_and_quotes(
Vec::new(),
Vec::new(),
Vec::new(),
Vec::new(),
vec![benchmark_row("2025-01-02", 12.0), benchmark_row("2025-01-03", 12.1)],
Vec::new(),
vec![
quote(first_date, "000001.SZ", "10:18:00"),
quote(first_date, "000002.SZ", "10:18:00"),
quote(second_date, "000001.SZ", "10:18:00"),
],
)
.unwrap();
let mut run_data = data.clone();
run_data.add_execution_quotes(vec![quote(first_date, "000001.SZ", "10:19:00")]);
assert!(!Arc::ptr_eq(
&data.execution_quotes_by_date,
&run_data.execution_quotes_by_date
));
let base_first = data.execution_quotes_by_date.get(&first_date).unwrap();
let run_first = run_data.execution_quotes_by_date.get(&first_date).unwrap();
assert!(!Arc::ptr_eq(base_first, run_first));
assert!(!Arc::ptr_eq(
base_first.get("000001.SZ").unwrap(),
run_first.get("000001.SZ").unwrap()
));
assert!(Arc::ptr_eq(
base_first.get("000002.SZ").unwrap(),
run_first.get("000002.SZ").unwrap()
));
assert!(Arc::ptr_eq(
data.execution_quotes_by_date.get(&second_date).unwrap(),
run_data.execution_quotes_by_date.get(&second_date).unwrap()
));
assert_eq!(data.execution_quotes_on(first_date, "000001.SZ").len(), 1);
assert_eq!(run_data.execution_quotes_on(first_date, "000001.SZ").len(), 2);
}
#[test]
fn daily_bundle_constructor_matches_flat_component_constructor() {
let dates = [