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perf: build price series by symbol id

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This commit is contained in:
boris
2026-09-06 20:55:18 +08:00
parent c7d213bf35
commit 96d0cc6fc4
1 changed files with 70 additions and 67 deletions
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crates/fidc-core/src/data.rs
+70 -67
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@@ -1709,44 +1709,81 @@ impl DataSet {
.into_iter()
.map(|instrument| (instrument.symbol.clone(), instrument))
.collect::<HashMap<_, _>>();
let mut market_rows_by_symbol = AHashMap::<String, Vec<&DailyMarketSnapshot>>::new();
for row in market_by_date.values().flatten() {
if let Some(rows) = market_rows_by_symbol.get_mut(row.symbol.as_str()) {
rows.push(row);
continue;
let symbol_id_by_code = build_symbol_id_index(
&instruments,
&market_by_date,
&factor_by_date,
&candidate_by_date,
);
let symbol_count = symbol_id_by_code.len();
let mut symbol_by_id = vec![Arc::<str>::from(""); symbol_count];
for (symbol, symbol_id) in &symbol_id_by_code {
symbol_by_id[*symbol_id as usize] = Arc::<str>::from(symbol.as_str());
}
let market_symbol_ids_by_date =
build_group_symbol_ids(&market_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let factor_symbol_ids_by_date =
build_group_symbol_ids(&factor_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let candidate_symbol_ids_by_date =
build_group_symbol_ids(&candidate_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let mut market_rows_by_symbol_id = (0..symbol_count)
.map(|_| Vec::<&DailyMarketSnapshot>::new())
.collect::<Vec<_>>();
for (date, rows) in &market_by_date {
let symbol_ids = market_symbol_ids_by_date
.get(date)
.expect("market symbol ids missing while building price series");
for (row, symbol_id) in rows.iter().zip(symbol_ids) {
market_rows_by_symbol_id[*symbol_id as usize].push(row);
}
market_rows_by_symbol.insert(row.symbol.clone(), vec![row]);
}
let market_rows_by_symbol = market_rows_by_symbol.into_iter().collect::<Vec<_>>();
let market_series_by_symbol = market_rows_by_symbol
let mut factor_rows_by_symbol_id = (0..symbol_count)
.map(|_| Vec::<&DailyFactorSnapshot>::new())
.collect::<Vec<_>>();
for (date, rows) in &factor_by_date {
let symbol_ids = factor_symbol_ids_by_date
.get(date)
.expect("factor symbol ids missing while building adjusted series");
for (row, symbol_id) in rows.iter().zip(symbol_ids) {
factor_rows_by_symbol_id[*symbol_id as usize].push(row);
}
}
let series_by_symbol_id = market_rows_by_symbol_id
.into_par_iter()
.map(|(symbol, rows)| {
let series = Arc::new(SymbolPriceSeries::from_sorted_rows(symbol.clone(), rows));
(symbol, series)
.zip(factor_rows_by_symbol_id.into_par_iter())
.enumerate()
.map(|(symbol_id, (market_rows, factor_rows))| {
if market_rows.is_empty() {
return (None, None);
}
let symbol = symbol_by_id[symbol_id].to_string();
let market = Arc::new(SymbolPriceSeries::from_sorted_rows(symbol, market_rows));
let adjusted = AdjustedCloseSeries::new(&market, &factor_rows).map(Arc::new);
(Some(market), adjusted)
})
.collect::<Vec<_>>()
.into_iter()
.collect::<AHashMap<_, _>>();
let mut factor_rows_by_symbol = AHashMap::<&str, Vec<&DailyFactorSnapshot>>::new();
for row in factor_by_date.values().flatten() {
factor_rows_by_symbol
.entry(row.symbol.as_str())
.or_default()
.push(row);
.collect::<Vec<_>>();
let mut market_series_by_symbol = AHashMap::with_capacity(symbol_count);
let mut adjusted_close_series_by_symbol = AHashMap::with_capacity(symbol_count);
let mut market_series_by_symbol_id = Vec::with_capacity(symbol_count);
let mut adjusted_close_series_by_symbol_id = Vec::with_capacity(symbol_count);
for (symbol_id, (market, adjusted)) in series_by_symbol_id.into_iter().enumerate() {
let symbol = &symbol_by_id[symbol_id];
if let Some(series) = market.as_ref() {
market_series_by_symbol.insert(symbol.to_string(), Arc::clone(series));
}
if let Some(series) = adjusted.as_ref() {
adjusted_close_series_by_symbol.insert(symbol.to_string(), Arc::clone(series));
}
market_series_by_symbol_id.push(market);
adjusted_close_series_by_symbol_id.push(adjusted);
}
let adjusted_close_series_by_symbol = market_series_by_symbol
.par_iter()
.filter_map(|(symbol, market)| {
let factor_rows = factor_rows_by_symbol
.get(symbol.as_str())
.map(Vec::as_slice)
.unwrap_or_default();
AdjustedCloseSeries::new(market, factor_rows)
.map(|series| (symbol.clone(), Arc::new(series)))
})
.collect::<Vec<_>>()
.into_iter()
.collect::<AHashMap<_, _>>();
let factor_texts = factor_texts
.into_iter()
.filter_map(|mut item| {
@@ -1764,36 +1801,14 @@ impl DataSet {
.map(|item| ((item.date, item.symbol.clone(), item.field.clone()), item))
.collect::<HashMap<_, _>>();
let symbol_id_by_code = build_symbol_id_index(
&instruments,
&market_by_date,
&factor_by_date,
&candidate_by_date,
);
let mut symbol_by_id = vec![Arc::<str>::from(""); symbol_id_by_code.len()];
for (symbol, symbol_id) in &symbol_id_by_code {
symbol_by_id[*symbol_id as usize] = Arc::<str>::from(symbol.as_str());
}
let mut instruments_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, instrument) in &instruments {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
instruments_by_symbol_id[symbol_id as usize] = Some(instrument.clone());
}
}
let market_symbol_ids_by_date =
build_group_symbol_ids(&market_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let factor_symbol_ids_by_date =
build_group_symbol_ids(&factor_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let factor_market_cap_order_by_date =
build_factor_market_cap_order(&factor_by_date, &factor_symbol_ids_by_date);
let candidate_symbol_ids_by_date =
build_group_symbol_ids(&candidate_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let market_row_positions_by_date = build_dense_row_positions(
&market_by_date,
&market_symbol_ids_by_date,
@@ -1809,18 +1824,6 @@ impl DataSet {
&candidate_symbol_ids_by_date,
symbol_id_by_code.len(),
);
let mut market_series_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, series) in &market_series_by_symbol {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
market_series_by_symbol_id[symbol_id as usize] = Some(Arc::clone(series));
}
}
let mut adjusted_close_series_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, series) in &adjusted_close_series_by_symbol {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
adjusted_close_series_by_symbol_id[symbol_id as usize] = Some(Arc::clone(series));
}
}
let market_series_end_positions_by_calendar_index =
build_calendar_series_end_positions(&market_series_by_symbol_id, &calendar);
let execution_quotes_by_date = build_execution_quote_index(execution_quotes);