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共享因子候选索引内存

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boris
2026-06-17 10:05:55 +08:00
parent 596d64280b
commit 828b55c747
1 changed files with 45 additions and 16 deletions
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crates/fidc-core/src/data.rs
+45 -16
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@@ -1,6 +1,7 @@
use std::collections::{BTreeMap, HashMap, HashSet};
use std::fs;
use std::path::Path;
use std::sync::Arc;
use chrono::{NaiveDate, NaiveDateTime};
use serde::{Deserialize, Serialize};
@@ -955,12 +956,12 @@ pub struct DataSet {
calendar: TradingCalendar,
market_by_date: BTreeMap<NaiveDate, Vec<DailyMarketSnapshot>>,
market_index: HashMap<(NaiveDate, String), DailyMarketSnapshot>,
factor_by_date: BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
factor_index: HashMap<(NaiveDate, String), DailyFactorSnapshot>,
factor_by_date: BTreeMap<NaiveDate, Vec<Arc<DailyFactorSnapshot>>>,
factor_index: HashMap<(NaiveDate, String), Arc<DailyFactorSnapshot>>,
factor_text_by_date: BTreeMap<NaiveDate, Vec<FactorTextValue>>,
factor_text_index: HashMap<(NaiveDate, String, String), FactorTextValue>,
candidate_by_date: BTreeMap<NaiveDate, Vec<CandidateEligibility>>,
candidate_index: HashMap<(NaiveDate, String), CandidateEligibility>,
candidate_by_date: BTreeMap<NaiveDate, Vec<Arc<CandidateEligibility>>>,
candidate_index: HashMap<(NaiveDate, String), Arc<CandidateEligibility>>,
corporate_actions_by_date: BTreeMap<NaiveDate, Vec<CorporateAction>>,
execution_quotes_by_date: HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>,
order_book_depth_index: HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>,
@@ -1205,7 +1206,11 @@ impl DataSet {
) -> Result<Self, DataSetError> {
let benchmark_code = collect_benchmark_code(&benchmarks)?;
let calendar = TradingCalendar::new(benchmarks.iter().map(|item| item.date).collect());
let factors = normalize_factor_snapshots(factors);
let factors = normalize_factor_snapshots(factors)
.into_iter()
.map(Arc::new)
.collect::<Vec<_>>();
let candidates = candidates.into_iter().map(Arc::new).collect::<Vec<_>>();
let instruments = instruments
.into_iter()
@@ -1218,7 +1223,7 @@ impl DataSet {
.map(|item| ((item.date, item.symbol.clone()), item))
.collect::<HashMap<_, _>>();
let factor_by_date = group_by_date(factors.clone(), |item| item.date);
let factor_by_date = group_arc_by_date(&factors, |item| item.date);
let factor_index = factors
.into_iter()
.map(|item| ((item.date, item.symbol.clone()), item))
@@ -1240,7 +1245,7 @@ impl DataSet {
.map(|item| ((item.date, item.symbol.clone(), item.field.clone()), item))
.collect::<HashMap<_, _>>();
let candidate_by_date = group_by_date(candidates.clone(), |item| item.date);
let candidate_by_date = group_arc_by_date(&candidates, |item| item.date);
let candidate_index = candidates
.into_iter()
.map(|item| ((item.date, item.symbol.clone()), item))
@@ -1329,11 +1334,15 @@ impl DataSet {
}
pub fn factor(&self, date: NaiveDate, symbol: &str) -> Option<&DailyFactorSnapshot> {
self.factor_index.get(&(date, symbol.to_string()))
self.factor_index
.get(&(date, symbol.to_string()))
.map(Arc::as_ref)
}
pub fn candidate(&self, date: NaiveDate, symbol: &str) -> Option<&CandidateEligibility> {
self.candidate_index.get(&(date, symbol.to_string()))
self.candidate_index
.get(&(date, symbol.to_string()))
.map(Arc::as_ref)
}
pub fn benchmark(&self, date: NaiveDate) -> Option<&BenchmarkSnapshot> {
@@ -2089,7 +2098,7 @@ impl DataSet {
pub fn factor_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyFactorSnapshot> {
self.factor_by_date
.get(&date)
.map(|rows| rows.iter().collect())
.map(|rows| rows.iter().map(Arc::as_ref).collect())
.unwrap_or_default()
}
@@ -2110,7 +2119,7 @@ impl DataSet {
pub fn candidate_snapshots_on(&self, date: NaiveDate) -> Vec<&CandidateEligibility> {
self.candidate_by_date
.get(&date)
.map(|rows| rows.iter().collect())
.map(|rows| rows.iter().map(Arc::as_ref).collect())
.unwrap_or_default()
}
@@ -2123,11 +2132,15 @@ impl DataSet {
date,
benchmark,
market: self.market_by_date.get(&date).cloned().unwrap_or_default(),
factors: self.factor_by_date.get(&date).cloned().unwrap_or_default(),
factors: self
.factor_by_date
.get(&date)
.map(|rows| rows.iter().map(|row| row.as_ref().clone()).collect())
.unwrap_or_default(),
candidates: self
.candidate_by_date
.get(&date)
.cloned()
.map(|rows| rows.iter().map(|row| row.as_ref().clone()).collect())
.unwrap_or_default(),
corporate_actions: self
.corporate_actions_by_date
@@ -2200,7 +2213,9 @@ impl DataSet {
.iter()
.map(|day| {
evaluator(
self.candidate_index.get(&(*day, symbol.to_string())),
self.candidate_index
.get(&(*day, symbol.to_string()))
.map(Arc::as_ref),
self.market_index.get(&(*day, symbol.to_string())),
)
})
@@ -3375,6 +3390,20 @@ where
grouped
}
fn group_arc_by_date<T, F>(rows: &[Arc<T>], mut date_of: F) -> BTreeMap<NaiveDate, Vec<Arc<T>>>
where
F: FnMut(&T) -> NaiveDate,
{
let mut grouped = BTreeMap::<NaiveDate, Vec<Arc<T>>>::new();
for row in rows {
grouped
.entry(date_of(row.as_ref()))
.or_default()
.push(Arc::clone(row));
}
grouped
}
fn collect_benchmark_code(benchmarks: &[BenchmarkSnapshot]) -> Result<String, DataSetError> {
let mut codes = benchmarks
.iter()
@@ -3523,8 +3552,8 @@ fn build_order_book_depth_index(
}
fn build_eligible_universe(
factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
candidate_index: &HashMap<(NaiveDate, String), CandidateEligibility>,
factor_by_date: &BTreeMap<NaiveDate, Vec<Arc<DailyFactorSnapshot>>>,
candidate_index: &HashMap<(NaiveDate, String), Arc<CandidateEligibility>>,
market_index: &HashMap<(NaiveDate, String), DailyMarketSnapshot>,
instruments: &HashMap<String, Instrument>,
) -> BTreeMap<NaiveDate, Vec<EligibleUniverseSnapshot>> {