下推分钟报价订阅过滤

crates/fidc-core/src/data.rs

@@ -1,6 +1,6 @@
 use std::borrow::Cow;
 use std::cmp::Reverse;
-use std::collections::{BTreeMap, BinaryHeap, HashMap, HashSet};
+use std::collections::{BTreeMap, BTreeSet, BinaryHeap, HashMap, HashSet};
 use std::sync::{Arc, OnceLock};
 
 use ahash::AHashMap;
@@ -1692,11 +1692,24 @@ impl DataSet {
     }
 
     pub fn execution_quotes_on_date(&self, date: NaiveDate) -> Vec<IntradayExecutionQuote> {
+        self.execution_quotes_on_date_for_symbols(date, None)
+    }
+
+    pub fn execution_quotes_on_date_for_symbols(
+        &self,
+        date: NaiveDate,
+        symbols: Option<&BTreeSet<String>>,
+    ) -> Vec<IntradayExecutionQuote> {
         let Some(rows_by_symbol) = self.execution_quotes_by_date.get(&date) else {
             return Vec::new();
         };
         let mut streams = rows_by_symbol
             .iter()
+            .filter(|(symbol, _)| {
+                symbols
+                    .map(|allowed_symbols| allowed_symbols.contains(*symbol))
+                    .unwrap_or(true)
+            })
             .map(|(symbol, rows)| (symbol.as_str(), rows.as_slice()))
             .collect::<Vec<_>>();
         streams.sort_by_key(|(symbol, _)| *symbol);
@@ -3929,6 +3942,19 @@ mod tests {
             ]
         );
         assert_eq!(merged[2].last_price, 10.0);
+        let allowed_symbols = BTreeSet::from(["000001.SZ".to_string()]);
+        let filtered = run_data.execution_quotes_on_date_for_symbols(date, Some(&allowed_symbols));
+        assert_eq!(
+            filtered
+                .iter()
+                .map(|row| (row.timestamp.time().to_string(), row.symbol.clone()))
+                .collect::<Vec<_>>(),
+            vec![
+                ("09:30:00".to_string(), "000001.SZ".to_string()),
+                ("09:31:00".to_string(), "000001.SZ".to_string()),
+                ("09:32:00".to_string(), "000001.SZ".to_string()),
+            ]
+        );
         assert_eq!(run_data.remove_execution_quotes_on_date(date), 5);
         assert_eq!(run_data.execution_quote_count(), 0);
     }

crates/fidc-core/src/engine.rs

@@ -2529,15 +2529,10 @@ where
                         &mut minute_symbols,
                     )?;
                 }
-                let filter_by_subscription = !self.subscriptions.is_empty();
-                let minute_quotes = self
-                    .data
-                    .execution_quotes_on_date(execution_date)
-                    .into_iter()
-                    .filter(|quote| {
-                        !filter_by_subscription || self.subscriptions.contains(&quote.symbol)
-                    })
-                    .collect::<Vec<_>>();
+                let minute_quotes = self.data.execution_quotes_on_date_for_symbols(
+                    execution_date,
+                    (!self.subscriptions.is_empty()).then_some(&self.subscriptions),
+                );
                 let requires_minute_callbacks = self.strategy.requires_minute_callbacks();
                 let has_minute_process_listeners = self.process_event_bus.has_listeners_for(&[
                     ProcessEventKind::PreMinute,