让分钟行情按流式迭代器处理

crates/fidc-core/src/data.rs

@@ -321,6 +321,57 @@ impl IntradayExecutionQuote {
     }
 }
 
+/// A borrowed, timestamp-ordered merge of the execution-quote streams for one
+/// trading day. The iterator keeps only stream cursors and never clones quote
+/// payloads; callers decide how much of the day they need to retain.
+pub struct ExecutionQuoteIterator<'a> {
+    streams: Vec<(&'a str, &'a [IntradayExecutionQuote])>,
+    heap: BinaryHeap<Reverse<(NaiveDateTime, usize, usize)>>,
+}
+
+impl<'a> ExecutionQuoteIterator<'a> {
+    fn new(
+        rows_by_symbol: Option<&'a HashMap<String, Vec<IntradayExecutionQuote>>>,
+        symbols: Option<&BTreeSet<String>>,
+    ) -> Self {
+        let mut streams = rows_by_symbol
+            .into_iter()
+            .flat_map(|rows_by_symbol| rows_by_symbol.iter())
+            .filter(|(symbol, _)| {
+                symbols
+                    .map(|allowed_symbols| allowed_symbols.contains(*symbol))
+                    .unwrap_or(true)
+            })
+            .map(|(symbol, rows)| (symbol.as_str(), rows.as_slice()))
+            .collect::<Vec<_>>();
+        streams.sort_by_key(|(symbol, _)| *symbol);
+
+        let mut heap = BinaryHeap::with_capacity(streams.len());
+        for (stream_index, (_, rows)) in streams.iter().enumerate() {
+            if let Some(first) = rows.first() {
+                heap.push(Reverse((first.timestamp, stream_index, 0)));
+            }
+        }
+        Self { streams, heap }
+    }
+}
+
+impl<'a> Iterator for ExecutionQuoteIterator<'a> {
+    type Item = &'a IntradayExecutionQuote;
+
+    fn next(&mut self) -> Option<Self::Item> {
+        let Reverse((_timestamp, stream_index, row_index)) = self.heap.pop()?;
+        let rows = self.streams.get(stream_index)?.1;
+        let quote = rows.get(row_index)?;
+        let next_index = row_index + 1;
+        if let Some(next) = rows.get(next_index) {
+            self.heap
+                .push(Reverse((next.timestamp, stream_index, next_index)));
+        }
+        Some(quote)
+    }
+}
+
 impl CorporateAction {
     pub fn split_ratio(&self) -> f64 {
         1.0 + self.share_bonus.max(0.0) + self.share_gift.max(0.0)
@@ -1723,41 +1774,22 @@ impl DataSet {
         self.execution_quotes_on_date_for_symbols(date, None)
     }
 
+    pub fn execution_quotes_iter_on_date_for_symbols(
+        &self,
+        date: NaiveDate,
+        symbols: Option<&BTreeSet<String>>,
+    ) -> ExecutionQuoteIterator<'_> {
+        ExecutionQuoteIterator::new(self.execution_quotes_by_date.get(&date), symbols)
+    }
+
     pub fn execution_quotes_on_date_for_symbols(
         &self,
         date: NaiveDate,
         symbols: Option<&BTreeSet<String>>,
     ) -> Vec<IntradayExecutionQuote> {
-        let Some(rows_by_symbol) = self.execution_quotes_by_date.get(&date) else {
-            return Vec::new();
-        };
-        let mut streams = rows_by_symbol
-            .iter()
-            .filter(|(symbol, _)| {
-                symbols
-                    .map(|allowed_symbols| allowed_symbols.contains(*symbol))
-                    .unwrap_or(true)
-            })
-            .map(|(symbol, rows)| (symbol.as_str(), rows.as_slice()))
-            .collect::<Vec<_>>();
-        streams.sort_by_key(|(symbol, _)| *symbol);
-        let total_rows = streams.iter().map(|(_, rows)| rows.len()).sum();
-        let mut heap = BinaryHeap::<Reverse<(NaiveDateTime, usize, usize)>>::new();
-        for (stream_index, (_, rows)) in streams.iter().enumerate() {
-            if let Some(first) = rows.first() {
-                heap.push(Reverse((first.timestamp, stream_index, 0)));
-            }
-        }
-        let mut merged = Vec::with_capacity(total_rows);
-        while let Some(Reverse((_timestamp, stream_index, row_index))) = heap.pop() {
-            let (_, rows) = streams[stream_index];
-            merged.push(rows[row_index].clone());
-            let next_index = row_index + 1;
-            if let Some(next) = rows.get(next_index) {
-                heap.push(Reverse((next.timestamp, stream_index, next_index)));
-            }
-        }
-        merged
+        self.execution_quotes_iter_on_date_for_symbols(date, symbols)
+            .cloned()
+            .collect()
     }
 
     pub fn remove_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
@@ -4030,6 +4062,11 @@ mod tests {
                 ("09:32:00".to_string(), "000001.SZ".to_string()),
             ]
         );
+        let streamed_keys = run_data
+            .execution_quotes_iter_on_date_for_symbols(date, None)
+            .map(|row| (row.timestamp.time().to_string(), row.symbol.clone()))
+            .collect::<Vec<_>>();
+        assert_eq!(streamed_keys, keys);
         assert_eq!(merged[2].last_price, 10.0);
         let allowed_symbols = BTreeSet::from(["000001.SZ".to_string()]);
         let filtered = run_data.execution_quotes_on_date_for_symbols(date, Some(&allowed_symbols));