Revert "perf: skip unused explicit-action stock state"
This reverts commit b5934085da.
This commit is contained in:
boris
@@ -1130,7 +1130,6 @@ pub struct PlatformExprStrategy {
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numeric_vm_scratch: RefCell<NumericVmScratch>,
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numeric_vm_hits: RefCell<u64>,
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numeric_vm_fallbacks: RefCell<u64>,
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explicit_action_stock_state_required: Vec<bool>,
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prelude_dependency_plan: PreludeDependencyPlan,
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prelude_identifier_candidates: BTreeSet<String>,
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prelude_declared_identifiers: BTreeSet<String>,
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@@ -1438,7 +1437,7 @@ impl PlatformExprStrategy {
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.portfolio_drawdown_control
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.clone()
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.map(PlatformPortfolioDrawdownController::new);
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let mut strategy = Self {
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Self {
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config,
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engine,
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rebalance_day_counter: 0,
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@@ -1458,7 +1457,6 @@ impl PlatformExprStrategy {
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numeric_vm_scratch: RefCell::new(NumericVmScratch::default()),
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numeric_vm_hits: RefCell::new(0),
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numeric_vm_fallbacks: RefCell::new(0),
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explicit_action_stock_state_required: Vec::new(),
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prelude_dependency_plan,
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prelude_identifier_candidates,
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prelude_declared_identifiers,
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@@ -1476,14 +1474,7 @@ impl PlatformExprStrategy {
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stock_state_cache_date: RefCell::new(None),
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stock_state_cache_calendar_index: RefCell::new(None),
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stock_state_cache: RefCell::new(AHashMap::new()),
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};
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strategy.explicit_action_stock_state_required = strategy
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.config
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.explicit_actions
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.iter()
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.map(|action| strategy.explicit_action_requires_stock_state(action))
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.collect();
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strategy
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}
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}
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/// AST 缓存命中次数（仅用于测试与诊断）。
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@@ -8650,140 +8641,6 @@ impl PlatformExprStrategy {
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|| self.config.signal_rebalance_dates.contains(&decision_date)
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}
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fn numeric_vm_identifier_requires_stock_state(identifier: &str) -> bool {
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!matches!(
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identifier,
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"trade_date"
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| "current_date"
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| "date"
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| "decision_date"
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| "execution_date"
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| "signal_open"
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| "signal_close"
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| "benchmark_open"
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| "benchmark_close"
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| "benchmark_signal_close"
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| "signal_ma5"
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| "signal_ma10"
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| "signal_ma20"
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| "signal_ma30"
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| "signal_ma_short"
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| "signal_ma_long"
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| "benchmark_ma5"
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| "benchmark_ma10"
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| "benchmark_ma20"
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| "benchmark_ma30"
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| "benchmark_ma_short"
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| "benchmark_ma_long"
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| "cash"
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| "available_cash"
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| "frozen_cash"
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| "market_value"
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| "total_equity"
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| "total_value"
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| "portfolio_value"
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| "starting_cash"
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| "unit_net_value"
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| "static_unit_net_value"
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| "daily_pnl"
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| "daily_returns"
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| "total_returns"
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| "transaction_cost"
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| "trading_pnl"
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| "position_pnl"
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| "cash_liabilities"
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| "management_fee_rate"
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| "management_fees"
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| "current_exposure"
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| "position_count"
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| "max_positions"
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| "refresh_rate"
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| "year"
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| "month"
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| "quarter"
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| "day_of_month"
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| "day_of_year"
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| "week_of_year"
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| "weekday"
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| "is_month_start"
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| "is_month_end"
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| "has_open_orders"
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| "open_order_count"
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| "open_buy_order_count"
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| "open_sell_order_count"
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| "open_buy_qty"
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| "open_sell_qty"
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| "latest_open_order_id"
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| "latest_open_order_unfilled_qty"
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| "has_dynamic_universe"
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| "dynamic_universe_count"
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| "has_subscriptions"
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| "subscription_count"
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| "subscription_guard_required"
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| "has_process_events"
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| "process_event_count"
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| "current_process_order_id"
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| "latest_process_order_id"
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)
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}
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fn expression_requires_stock_state(&self, expression: &str) -> bool {
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let plan = self.expression_eval_plan(expression);
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let Some(numeric_vm) = plan.numeric_vm.as_ref() else {
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return true;
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};
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numeric_vm
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.program
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.variables()
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.iter()
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.zip(&numeric_vm.helper_bindings)
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.any(|(identifier, helper)| {
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helper.is_some() || Self::numeric_vm_identifier_requires_stock_state(identifier)
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})
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}
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fn explicit_action_requires_stock_state(&self, action: &PlatformTradeAction) -> bool {
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match action {
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PlatformTradeAction::Order {
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amount_expr,
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limit_price_expr,
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start_time_expr,
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end_time_expr,
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when_expr,
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..
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} => std::iter::once(amount_expr.as_str())
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.chain(limit_price_expr.as_deref())
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.chain(start_time_expr.as_deref())
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.chain(end_time_expr.as_deref())
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.chain(when_expr.as_deref())
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.any(|expression| self.expression_requires_stock_state(expression)),
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PlatformTradeAction::Cancel {
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order_id_expr,
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when_expr,
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..
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} => order_id_expr
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.as_deref()
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.into_iter()
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.chain(when_expr.as_deref())
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.any(|expression| self.expression_requires_stock_state(expression)),
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PlatformTradeAction::Modify {
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order_id_expr,
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new_total_quantity_expr,
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new_limit_price_expr,
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when_expr,
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..
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} => std::iter::once(order_id_expr.as_str())
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.chain(new_total_quantity_expr.as_deref())
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.chain(new_limit_price_expr.as_deref())
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.chain(when_expr.as_deref())
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.any(|expression| self.expression_requires_stock_state(expression)),
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PlatformTradeAction::TargetPortfolioSmart { .. }
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| PlatformTradeAction::Universe { .. }
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| PlatformTradeAction::Account { .. }
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| PlatformTradeAction::Futures { .. } => false,
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}
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}
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fn action_when_matches(
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&self,
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ctx: &StrategyContext<'_>,
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@@ -8805,7 +8662,7 @@ impl PlatformExprStrategy {
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) -> Result<(Vec<OrderIntent>, Vec<String>), BacktestError> {
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let mut intents = Vec::new();
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let mut diagnostics = Vec::new();
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for (action_index, action) in self.config.explicit_actions.iter().enumerate() {
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for action in &self.config.explicit_actions {
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match action {
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PlatformTradeAction::Order {
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kind,
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@@ -8818,11 +8675,7 @@ impl PlatformExprStrategy {
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when_expr,
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reason,
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} => {
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let stock_state = if self.explicit_action_stock_state_required[action_index] {
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self.action_stock_state(ctx, date, Some(symbol))?
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} else {
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None
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};
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let stock_state = self.action_stock_state(ctx, date, Some(symbol))?;
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if !self.action_when_matches(
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ctx,
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day,
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@@ -9286,11 +9139,7 @@ impl PlatformExprStrategy {
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when_expr,
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reason,
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} => {
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let stock_state = if self.explicit_action_stock_state_required[action_index] {
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self.action_stock_state(ctx, date, symbol.as_deref())?
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} else {
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None
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};
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let stock_state = self.action_stock_state(ctx, date, symbol.as_deref())?;
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if !self.action_when_matches(
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ctx,
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day,
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@@ -9340,11 +9189,7 @@ impl PlatformExprStrategy {
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when_expr,
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reason,
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} => {
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let stock_state = if self.explicit_action_stock_state_required[action_index] {
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self.action_stock_state(ctx, date, symbol.as_deref())?
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} else {
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None
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};
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let stock_state = self.action_stock_state(ctx, date, symbol.as_deref())?;
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if !self.action_when_matches(
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ctx,
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day,
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@@ -34576,47 +34421,6 @@ mod tests {
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);
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}
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#[test]
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fn explicit_action_stock_state_dependency_is_compiled_conservatively() {
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let mut config = PlatformExprStrategyConfig::generic();
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config.explicit_actions = vec![
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PlatformTradeAction::Order {
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kind: PlatformExplicitOrderKind::TargetPercent,
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symbol: "000001.SZ".to_string(),
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amount_expr: "if decision_date == \"2025-02-03\" { 0.5 } else { 0.0 }".to_string(),
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limit_price_expr: None,
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time_in_force: None,
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start_time_expr: None,
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end_time_expr: None,
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when_expr: None,
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reason: "date_only".to_string(),
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},
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PlatformTradeAction::Order {
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kind: PlatformExplicitOrderKind::TargetPercent,
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symbol: "000002.SZ".to_string(),
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amount_expr: "allow_buy ? 0.5 : 0.0".to_string(),
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limit_price_expr: None,
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time_in_force: None,
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start_time_expr: None,
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end_time_expr: None,
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when_expr: None,
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reason: "stock_dependent".to_string(),
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},
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];
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let strategy = PlatformExprStrategy::new(config);
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assert_eq!(
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strategy.explicit_action_stock_state_required,
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vec![false, true]
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);
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assert!(!strategy.expression_requires_stock_state(
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"if decision_date == \"2025-02-03\" { cash * 0.1 } else { 0.0 }"
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));
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assert!(!strategy.expression_requires_stock_state("cash * 0.1"));
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assert!(strategy.expression_requires_stock_state("allow_buy"));
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assert!(strategy.expression_requires_stock_state("factor_value(\"quality\") > 0"));
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assert!(strategy.expression_requires_stock_state("symbol == \"000001.SZ\""));
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}
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#[test]
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fn expression_plan_only_executes_prelude_when_expression_depends_on_it() {
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let mut cfg = PlatformExprStrategyConfig::microcap_rotation();
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