复用选股日快照视图
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boris
@@ -1335,6 +1335,55 @@ pub struct DataSet {
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futures_params_by_symbol: Arc<HashMap<String, Vec<FuturesTradingParameter>>>,
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}
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struct DailySymbolRows<'a, T> {
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rows: &'a [T],
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symbol_ids: &'a [u32],
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row_positions: Option<&'a [u32]>,
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}
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impl<'a, T> DailySymbolRows<'a, T> {
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fn get(&self, symbol_id: u32) -> Option<&'a T> {
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if let Some(positions) = self.row_positions {
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let position = positions.get(symbol_id as usize).copied()?;
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if position == MISSING_ROW_POSITION {
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return None;
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}
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return self.rows.get(position as usize);
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}
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find_by_symbol_id(self.rows, self.symbol_ids, symbol_id)
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}
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}
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/// Borrowed, immutable snapshots for one trading date.
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///
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/// A strategy evaluates thousands of symbols for the same date. Resolving the
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/// date in three BTreeMaps for every symbol is unnecessary; this view freezes
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/// the already indexed slices once and keeps all lookups read-only.
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pub(crate) struct DailySnapshotView<'a> {
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market: DailySymbolRows<'a, DailyMarketSnapshot>,
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factor_rows: &'a [DailyFactorSnapshot],
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factor_symbol_ids: &'a [u32],
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candidates: DailySymbolRows<'a, CandidateEligibility>,
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}
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impl<'a> DailySnapshotView<'a> {
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pub(crate) fn market(&self, symbol_id: u32) -> Option<&'a DailyMarketSnapshot> {
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self.market.get(symbol_id)
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}
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pub(crate) fn candidate(&self, symbol_id: u32) -> Option<&'a CandidateEligibility> {
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self.candidates.get(symbol_id)
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}
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pub(crate) fn factor_rows(&self) -> &'a [DailyFactorSnapshot] {
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self.factor_rows
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}
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pub(crate) fn factor_symbol_ids(&self) -> &'a [u32] {
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self.factor_symbol_ids
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}
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}
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#[derive(Debug, Clone, Copy)]
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pub(crate) struct StandardRollingMeans {
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pub close: [Option<f64>; 7],
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@@ -1868,6 +1917,52 @@ impl DataSet {
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)
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}
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pub(crate) fn daily_snapshot_view(&self, date: NaiveDate) -> DailySnapshotView<'_> {
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fn rows_on<'a, T>(
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date: NaiveDate,
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rows_by_date: &'a BTreeMap<NaiveDate, Vec<T>>,
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symbol_ids_by_date: &'a BTreeMap<NaiveDate, Vec<u32>>,
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row_positions_by_date: &'a Option<DenseRowPositionIndex>,
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) -> DailySymbolRows<'a, T> {
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DailySymbolRows {
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rows: rows_by_date.get(&date).map(Vec::as_slice).unwrap_or(&[]),
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symbol_ids: symbol_ids_by_date
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.get(&date)
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.map(Vec::as_slice)
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.unwrap_or(&[]),
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row_positions: row_positions_by_date
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.as_ref()
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.and_then(|positions| positions.get(&date))
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.map(Vec::as_slice),
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}
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}
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DailySnapshotView {
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market: rows_on(
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date,
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&self.market_by_date,
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&self.market_symbol_ids_by_date,
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&self.market_row_positions_by_date,
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),
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factor_rows: self
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.factor_by_date
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.get(&date)
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.map(Vec::as_slice)
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.unwrap_or(&[]),
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factor_symbol_ids: self
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.factor_symbol_ids_by_date
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.get(&date)
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.map(Vec::as_slice)
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.unwrap_or(&[]),
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candidates: rows_on(
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date,
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&self.candidate_by_date,
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&self.candidate_symbol_ids_by_date,
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&self.candidate_row_positions_by_date,
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),
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}
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}
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fn market_series(&self, symbol: &str) -> Option<&SymbolPriceSeries> {
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self.market_series_by_symbol.get(symbol).map(Arc::as_ref)
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}
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@@ -4775,11 +4870,16 @@ mod tests {
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for symbol in ["000001.SZ", "600000.SH"] {
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let symbol_id = data.symbol_id(symbol).unwrap();
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let day = data.daily_snapshot_view(date);
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assert_eq!(
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data.market_by_symbol_id(date, symbol_id)
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.map(|row| row.symbol.as_str()),
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Some(symbol)
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);
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assert_eq!(
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day.market(symbol_id).map(|row| row.symbol.as_str()),
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Some(symbol)
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);
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assert_eq!(
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data.factor_by_symbol_id(date, symbol_id)
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.map(|row| row.symbol.as_str()),
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@@ -4790,15 +4890,138 @@ mod tests {
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.map(|row| row.symbol.as_str()),
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Some(symbol)
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);
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assert_eq!(
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day.candidate(symbol_id).map(|row| row.symbol.as_str()),
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Some(symbol)
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);
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}
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let signal_id = data.symbol_id("000300.SH").unwrap();
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let day = data.daily_snapshot_view(date);
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assert_eq!(
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data.market_by_symbol_id(date, signal_id).map(|row| row.symbol.as_str()),
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Some("000300.SH")
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);
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assert!(data.factor_by_symbol_id(date, signal_id).is_none());
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assert!(data.candidate_by_symbol_id(date, signal_id).is_none());
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assert!(day.candidate(signal_id).is_none());
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}
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#[test]
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#[ignore = "manual component benchmark"]
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fn benchmark_daily_snapshot_view_lookup() {
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use std::hint::black_box;
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use std::time::Instant;
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let date = NaiveDate::parse_from_str("2025-01-02", "%Y-%m-%d").unwrap();
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let symbol_count = 6_000usize;
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let symbols = (0..symbol_count)
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.map(|index| format!("{index:06}.SZ"))
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.collect::<Vec<_>>();
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let instruments = symbols
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.iter()
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.map(|symbol| Instrument {
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symbol: symbol.clone(),
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name: symbol.clone(),
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board: "SZ".to_string(),
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round_lot: 100,
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listed_at: None,
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delisted_at: None,
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status: "active".to_string(),
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})
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.collect::<Vec<_>>();
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let market = symbols
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.iter()
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.enumerate()
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.map(|(index, symbol)| {
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let mut row = market_row(
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"2025-01-02",
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10.0 + index as f64 / 1000.0,
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1_000_000,
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);
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row.symbol = symbol.clone();
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row
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})
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.collect::<Vec<_>>();
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let factors = symbols
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.iter()
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.enumerate()
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.map(|(index, symbol)| DailyFactorSnapshot {
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date,
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symbol: symbol.clone(),
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market_cap_bn: 10.0 + index as f64 / 1000.0,
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free_float_cap_bn: 8.0,
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pe_ttm: 10.0,
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turnover_ratio: None,
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effective_turnover_ratio: None,
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extra_factors: NumericFactorMap::new(),
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})
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.collect::<Vec<_>>();
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let candidates = symbols
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.iter()
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.map(|symbol| CandidateEligibility {
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date,
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symbol: symbol.clone(),
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is_st: false,
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is_star_st: false,
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is_new_listing: false,
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is_paused: false,
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allow_buy: true,
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allow_sell: true,
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is_kcb: false,
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is_one_yuan: false,
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risk_level_code: None,
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})
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.collect::<Vec<_>>();
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let data = DataSet::from_components(
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instruments,
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market,
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factors,
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candidates,
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vec![benchmark_row("2025-01-02", 20.0)],
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)
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.unwrap();
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let symbol_ids = symbols
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.iter()
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.map(|symbol| data.symbol_id(symbol).unwrap())
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.collect::<Vec<_>>();
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let rounds = 200usize;
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let started = Instant::now();
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let mut baseline_sum = 0.0;
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for _ in 0..rounds {
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for symbol_id in symbol_ids.iter().copied() {
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baseline_sum += black_box(
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data.market_by_symbol_id(date, symbol_id).unwrap().close
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+ data
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.candidate_by_symbol_id(date, symbol_id)
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.unwrap()
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.allow_buy as u8 as f64,
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);
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}
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}
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let baseline = started.elapsed();
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let day = data.daily_snapshot_view(date);
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let started = Instant::now();
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let mut view_sum = 0.0;
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for _ in 0..rounds {
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for symbol_id in symbol_ids.iter().copied() {
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view_sum += black_box(
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day.market(symbol_id).unwrap().close
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+ day.candidate(symbol_id).unwrap().allow_buy as u8 as f64,
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);
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}
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}
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let view = started.elapsed();
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assert_eq!(baseline_sum, view_sum);
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println!(
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"daily_snapshot_view rows={} rounds={} baseline_seconds={:.6} view_seconds={:.6}",
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symbol_count,
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rounds,
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baseline.as_secs_f64(),
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view.as_secs_f64(),
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);
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}
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#[test]
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@@ -8886,8 +8886,10 @@ impl PlatformExprStrategy {
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) -> (Vec<EligibleUniverseSnapshot>, Vec<FidcRiskDecisionAudit>) {
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let mut rows = Vec::new();
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let mut decisions = Vec::new();
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let factor_rows = ctx.data.factor_snapshot_rows_on(factor_date);
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let factor_symbol_ids = ctx.data.factor_symbol_ids_on(factor_date);
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let execution_day = ctx.data.daily_snapshot_view(date);
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let factor_day = ctx.data.daily_snapshot_view(factor_date);
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let factor_rows = factor_day.factor_rows();
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let factor_symbol_ids = factor_day.factor_symbol_ids();
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debug_assert_eq!(factor_rows.len(), factor_symbol_ids.len());
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for (factor, symbol_id) in factor_rows.iter().zip(factor_symbol_ids.iter().copied()) {
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if ctx.has_dynamic_universe() && !ctx.dynamic_universe_contains(&factor.symbol) {
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@@ -8895,14 +8897,14 @@ impl PlatformExprStrategy {
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}
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let synthetic_candidate;
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let candidate =
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if let Some(candidate) = ctx.data.candidate_by_symbol_id(date, symbol_id) {
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if let Some(candidate) = execution_day.candidate(symbol_id) {
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candidate
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} else {
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synthetic_candidate =
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crate::data::missing_candidate_risk_state(date, &factor.symbol);
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&synthetic_candidate
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};
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let Some(market) = ctx.data.market_by_symbol_id(date, symbol_id) else {
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let Some(market) = execution_day.market(symbol_id) else {
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continue;
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};
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let (reject_from_universe, selection_decision) = if collect_risk_decisions {
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