From abe4fed4527e07ad7ae4464e574fa582150e306e Mon Sep 17 00:00:00 2001
From: boris <shuaibo.zhang@hotmail.com>
Date: Sat, 5 Sep 2026 02:17:24 +0800
Subject: [PATCH] perf: transpose rolling boundary index by date

---
 crates/fidc-core/src/data.rs | 68 +++++++++++++++++++++++-------------
 1 file changed, 44 insertions(+), 24 deletions(-)

diff --git a/crates/fidc-core/src/data.rs b/crates/fidc-core/src/data.rs
index e9c433a..0753b4b 100644
--- a/crates/fidc-core/src/data.rs
+++ b/crates/fidc-core/src/data.rs
@@ -572,13 +572,11 @@ const MISSING_ROW_POSITION: u32 = u32::MAX;
 const MAX_DENSE_ROW_INDEX_BYTES: usize = 256 * 1024 * 1024;
 
 #[derive(Debug, Clone)]
-struct SymbolSeriesEndPositions {
-    decision: Vec<u32>,
-    current: Vec<u32>,
+struct CalendarSeriesEndPositions {
+    decision: Vec<Vec<u32>>,
+    current: Vec<Vec<u32>>,
 }
 
-type SymbolSeriesEndPositionIndex = Vec<Option<SymbolSeriesEndPositions>>;
-
 const MAX_SERIES_END_POSITION_INDEX_BYTES: usize = 256 * 1024 * 1024;
 
 #[derive(Debug, Clone)]
@@ -1324,7 +1322,7 @@ pub struct DataSet {
     adjusted_close_series_by_symbol: Arc<AHashMap<String, Arc<AdjustedCloseSeries>>>,
     market_series_by_symbol_id: Arc<Vec<Option<Arc<SymbolPriceSeries>>>>,
     adjusted_close_series_by_symbol_id: Arc<Vec<Option<Arc<AdjustedCloseSeries>>>>,
-    market_series_end_positions_by_symbol_id: Arc<Option<SymbolSeriesEndPositionIndex>>,
+    market_series_end_positions_by_calendar_index: Arc<Option<CalendarSeriesEndPositions>>,
     benchmark_series_cache: Arc<BenchmarkPriceSeries>,
     symbol_id_by_code: Arc<AHashMap<String, u32>>,
     symbol_by_id: Arc<Vec<Arc<str>>>,
@@ -1399,8 +1397,8 @@ impl DataSet {
         let mut calendar_dates = self.calendar.days().to_vec();
         calendar_dates.extend(dates);
         let calendar = Arc::new(TradingCalendar::new(calendar_dates));
-        self.market_series_end_positions_by_symbol_id = Arc::new(
-            build_symbol_series_end_positions(&self.market_series_by_symbol_id, &calendar),
+        self.market_series_end_positions_by_calendar_index = Arc::new(
+            build_calendar_series_end_positions(&self.market_series_by_symbol_id, &calendar),
         );
         self.calendar = calendar;
         self
@@ -1823,8 +1821,8 @@ impl DataSet {
                 adjusted_close_series_by_symbol_id[symbol_id as usize] = Some(Arc::clone(series));
             }
         }
-        let market_series_end_positions_by_symbol_id =
-            build_symbol_series_end_positions(&market_series_by_symbol_id, &calendar);
+        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);
         let mut execution_quote_dates =
             execution_quotes_by_date.keys().copied().collect::<Vec<_>>();
@@ -1859,8 +1857,8 @@ impl DataSet {
             adjusted_close_series_by_symbol: Arc::new(adjusted_close_series_by_symbol),
             market_series_by_symbol_id: Arc::new(market_series_by_symbol_id),
             adjusted_close_series_by_symbol_id: Arc::new(adjusted_close_series_by_symbol_id),
-            market_series_end_positions_by_symbol_id: Arc::new(
-                market_series_end_positions_by_symbol_id,
+            market_series_end_positions_by_calendar_index: Arc::new(
+                market_series_end_positions_by_calendar_index,
             ),
             benchmark_series_cache: Arc::new(benchmark_series_cache),
             symbol_id_by_code: Arc::new(symbol_id_by_code),
@@ -2041,17 +2039,21 @@ impl DataSet {
         include_now: bool,
     ) -> Option<usize> {
         let positions = self
-            .market_series_end_positions_by_symbol_id
+            .market_series_end_positions_by_calendar_index
             .as_ref()
-            .as_ref()?
-            .get(symbol_id as usize)?
             .as_ref()?;
         let end = if include_now {
-            positions.current.get(calendar_index)
+            positions
+                .current
+                .get(calendar_index)?
+                .get(symbol_id as usize)
         } else {
-            positions.decision.get(calendar_index)
+            positions
+                .decision
+                .get(calendar_index)?
+                .get(symbol_id as usize)
         }?;
-        Some(*end as usize)
+        (*end != MISSING_ROW_POSITION).then_some(*end as usize)
     }
 
     pub(crate) fn market_current_series_end_index_by_symbol_id(
@@ -4299,10 +4301,10 @@ fn build_dense_row_positions<T>(
     Some(positions_by_date)
 }
 
-fn build_symbol_series_end_positions(
+fn build_calendar_series_end_positions(
     series_by_symbol_id: &[Option<Arc<SymbolPriceSeries>>],
     calendar: &TradingCalendar,
-) -> Option<SymbolSeriesEndPositionIndex> {
+) -> Option<CalendarSeriesEndPositions> {
     let entries = series_by_symbol_id.len().checked_mul(calendar.len())?;
     let bytes = entries
         .checked_mul(2)?
@@ -4316,7 +4318,7 @@ fn build_symbol_series_end_positions(
     }
 
     let calendar_days = calendar.days();
-    let positions = series_by_symbol_id
+    let positions_by_symbol = series_by_symbol_id
         .par_iter()
         .map(|series| {
             let series = series.as_deref()?;
@@ -4339,10 +4341,28 @@ fn build_symbol_series_end_positions(
                 };
                 current.push(current_index as u32);
             }
-            Some(SymbolSeriesEndPositions { decision, current })
+            Some((decision, current))
         })
         .collect::<Vec<_>>();
-    Some(positions)
+    let positions_by_calendar = (0..calendar_days.len())
+        .into_par_iter()
+        .map(|calendar_index| {
+            let mut decision = Vec::with_capacity(series_by_symbol_id.len());
+            let mut current = Vec::with_capacity(series_by_symbol_id.len());
+            for positions in &positions_by_symbol {
+                if let Some((symbol_decision, symbol_current)) = positions {
+                    decision.push(symbol_decision[calendar_index]);
+                    current.push(symbol_current[calendar_index]);
+                } else {
+                    decision.push(MISSING_ROW_POSITION);
+                    current.push(MISSING_ROW_POSITION);
+                }
+            }
+            (decision, current)
+        })
+        .collect::<Vec<_>>();
+    let (decision, current) = positions_by_calendar.into_iter().unzip();
+    Some(CalendarSeriesEndPositions { decision, current })
 }
 
 fn dense_row_position(
@@ -6000,7 +6020,7 @@ mod tests {
         let dates = data.calendar().days();
 
         assert!(
-            data.market_series_end_positions_by_symbol_id
+            data.market_series_end_positions_by_calendar_index
                 .as_ref()
                 .is_some()
         );