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优化日循环对象查找并加入 profiling 工具

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This commit is contained in:
boris
2026-08-29 18:51:20 +08:00
parent 70d72d5d02
commit 82fec0ff10
4 changed files with 240 additions and 14 deletions
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crates/fidc-core/src/data.rs
+87
View File
@@ -1314,6 +1314,8 @@ pub struct DataSet {
factor_symbol_ids_by_date: Arc<BTreeMap<NaiveDate, Vec<u32>>>,
factor_row_positions_by_date: Arc<Option<DenseRowPositionIndex>>,
factor_text_by_date: Arc<BTreeMap<NaiveDate, Vec<FactorTextValue>>>,
factor_text_symbol_indices_by_date:
Arc<BTreeMap<NaiveDate, AHashMap<String, Vec<usize>>>>,
factor_text_index: Arc<HashMap<(NaiveDate, String, String), FactorTextValue>>,
candidate_by_date: Arc<BTreeMap<NaiveDate, Vec<CandidateEligibility>>>,
candidate_symbol_ids_by_date: Arc<BTreeMap<NaiveDate, Vec<u32>>>,
@@ -1711,6 +1713,19 @@ impl DataSet {
})
.collect::<Vec<_>>();
let factor_text_by_date = group_by_date(factor_texts.clone(), |item| item.date);
let mut factor_text_symbol_indices_by_date =
BTreeMap::<NaiveDate, AHashMap<String, Vec<usize>>>::new();
for (date, rows) in &factor_text_by_date {
let by_symbol = factor_text_symbol_indices_by_date
.entry(*date)
.or_default();
for (index, row) in rows.iter().enumerate() {
by_symbol
.entry(row.symbol.clone())
.or_default()
.push(index);
}
}
let factor_text_index = factor_texts
.into_iter()
.map(|item| ((item.date, item.symbol.clone(), item.field.clone()), item))
@@ -1781,6 +1796,7 @@ impl DataSet {
factor_symbol_ids_by_date: Arc::new(factor_symbol_ids_by_date),
factor_row_positions_by_date: Arc::new(factor_row_positions_by_date),
factor_text_by_date: Arc::new(factor_text_by_date),
factor_text_symbol_indices_by_date: Arc::new(factor_text_symbol_indices_by_date),
factor_text_index: Arc::new(factor_text_index),
candidate_by_date: Arc::new(candidate_by_date),
candidate_symbol_ids_by_date: Arc::new(candidate_symbol_ids_by_date),
@@ -2897,6 +2913,31 @@ impl DataSet {
.unwrap_or(&[])
}
pub fn for_each_factor_text_row_for_symbol_on<F>(
&self,
date: NaiveDate,
symbol: &str,
mut visit: F,
) where
F: FnMut(&FactorTextValue),
{
let Some(rows) = self.factor_text_by_date.get(&date) else {
return;
};
let Some(indices) = self
.factor_text_symbol_indices_by_date
.get(&date)
.and_then(|by_symbol| by_symbol.get(symbol))
else {
return;
};
for index in indices {
if let Some(row) = rows.get(*index) {
visit(row);
}
}
}
pub fn market_snapshots_on(&self, date: NaiveDate) -> Vec<&DailyMarketSnapshot> {
self.market_by_date
.get(&date)
@@ -5909,4 +5950,50 @@ mod tests {
Some((200.0 + 9_999.0) / 2.0)
);
}
#[test]
fn factor_text_symbol_index_matches_scan_semantics() {
let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
let data = DataSet::from_components_with_factor_texts(
vec![Instrument {
symbol: "000001.SZ".to_string(),
name: "平安银行".to_string(),
board: "SZ".to_string(),
round_lot: 100,
listed_at: None,
delisted_at: None,
status: "active".to_string(),
}],
vec![market_row("2025-01-02", 10.0, 1_000_000)],
Vec::new(),
Vec::new(),
vec![benchmark_row("2025-01-02", 12.0)],
vec![
FactorTextValue {
date,
symbol: "000001.SZ".to_string(),
field: "signal".to_string(),
value: "buy".to_string(),
},
FactorTextValue {
date,
symbol: "000002.SZ".to_string(),
field: "signal".to_string(),
value: "hold".to_string(),
},
],
)
.unwrap();
let mut values = Vec::new();
data.for_each_factor_text_row_for_symbol_on(date, "000001.SZ", |row| {
values.push((row.field.clone(), row.value.clone()));
});
assert_eq!(values, vec![("signal".to_string(), "buy".to_string())]);
let mut missing = Vec::new();
data.for_each_factor_text_row_for_symbol_on(date, "000003.SZ", |row| {
missing.push(row.field.clone());
});
assert!(missing.is_empty());
}
}
crates/fidc-core/src/platform_expr_strategy.rs
+54 -14
View File
@@ -996,6 +996,7 @@ pub struct PlatformExprStrategy {
stock_state_cache: RefCell<
AHashMap<(NaiveDate, NaiveDate, u32, Option<NaiveTime>, bool), Arc<StockExpressionState>>,
>,
normalized_universe_exclude: AHashSet<String>,
}
#[derive(Debug, Clone, PartialEq)]
@@ -1274,6 +1275,12 @@ impl PlatformExprStrategy {
&normalized_stock_filter_expr,
&prelude_declared_identifiers,
);
let normalized_universe_exclude = config
.universe_exclude
.iter()
.map(|item| item.trim().to_ascii_uppercase())
.filter(|item| !item.is_empty())
.collect();
let portfolio_drawdown_controller = config
.portfolio_drawdown_control
.clone()
@@ -1310,6 +1317,7 @@ impl PlatformExprStrategy {
stock_text_factors_required,
stock_state_cache_date: RefCell::new(None),
stock_state_cache: RefCell::new(AHashMap::new()),
normalized_universe_exclude,
}
}
@@ -3885,12 +3893,19 @@ impl PlatformExprStrategy {
symbol: symbol.to_string(),
})
})?;
{
let reset_stock_state_cache = {
let mut cache_date = self.stock_state_cache_date.borrow_mut();
if *cache_date != Some(date) {
self.stock_state_cache.borrow_mut().clear();
*cache_date = Some(date);
true
} else {
false
}
};
if reset_stock_state_cache {
let mut cache = self.stock_state_cache.borrow_mut();
cache.clear();
cache.reserve(ctx.data.factor_snapshot_rows_on(factor_date).len());
}
let cache_key = (
date,
@@ -4135,12 +4150,15 @@ impl PlatformExprStrategy {
stock_volume_ma100,
extra_factors,
extra_text_factors: if self.stock_text_factors_required {
ctx.data
.factor_text_rows_on(date)
.iter()
.filter(|row| row.symbol == symbol)
.map(|row| (row.field.clone(), row.value.clone()))
.collect()
let mut values = BTreeMap::new();
ctx.data.for_each_factor_text_row_for_symbol_on(
date,
symbol,
|row| {
values.insert(row.field.clone(), row.value.clone());
},
);
values
} else {
BTreeMap::new()
},
@@ -8881,9 +8899,13 @@ impl PlatformExprStrategy {
selection_risk_deferral: SelectionRiskDeferral,
collect_risk_decisions: bool,
) -> (Vec<EligibleUniverseSnapshot>, Vec<FidcRiskDecisionAudit>) {
let mut rows = Vec::new();
let mut decisions = Vec::new();
let factor_rows = ctx.data.factor_snapshot_rows_on(factor_date);
let mut rows = Vec::with_capacity(factor_rows.len());
let mut decisions = if collect_risk_decisions {
Vec::with_capacity(factor_rows.len())
} else {
Vec::new()
};
let factor_symbol_ids = ctx.data.factor_symbol_ids_on(factor_date);
debug_assert_eq!(factor_rows.len(), factor_symbol_ids.len());
for (factor, symbol_id) in factor_rows.iter().zip(factor_symbol_ids.iter().copied()) {
@@ -9060,9 +9082,29 @@ impl PlatformExprStrategy {
_candidate: &crate::data::CandidateEligibility,
market: &DailyMarketSnapshot,
) -> bool {
Self::universe_exclude_reason(&self.config.universe_exclude, &market.symbol).is_none()
self.configured_universe_exclude_reason(&market.symbol).is_none()
}
fn configured_universe_exclude_reason(&self, symbol: &str) -> Option<&'static str> {
let normalized_symbol = symbol.trim().to_ascii_uppercase();
if normalized_symbol.is_empty() {
return None;
}
let symbol_base = normalized_symbol.split('.').next().unwrap_or("");
if self.normalized_universe_exclude.contains("BJSE")
&& normalized_symbol.ends_with(".BJ")
{
return Some("bjse");
}
if self.normalized_universe_exclude.contains(&normalized_symbol)
|| (!symbol_base.is_empty() && self.normalized_universe_exclude.contains(symbol_base))
{
return Some("universe_exclude");
}
None
}
#[cfg(test)]
fn universe_exclude_reason(excludes: &[String], symbol: &str) -> Option<&'static str> {
let normalized_symbol = symbol.trim().to_ascii_lowercase();
if normalized_symbol.is_empty() {
@@ -9370,9 +9412,7 @@ impl PlatformExprStrategy {
let market = ctx.data.require_market(date, symbol)?;
let candidate = ctx.data.require_candidate(date, symbol)?;
if let Some(reason) =
Self::universe_exclude_reason(&self.config.universe_exclude, &market.symbol)
{
if let Some(reason) = self.configured_universe_exclude_reason(&market.symbol) {
return Ok(Some(reason.to_string()));
}
let upper_limit_check_price =