支持复用只读日线基础面板

crates/fidc-core/src/data.rs

@@ -83,6 +83,10 @@ pub enum DataSetError {
         row_date: NaiveDate,
         symbol: String,
     },
+    #[error("duplicate intraday market overlay for {date} / {symbol}")]
+    DuplicateIntradayMarketOverlay { date: NaiveDate, symbol: String },
+    #[error("cannot mutate shared {component} while finalizing a backtest dataset")]
+    SharedComponentMutation { component: &'static str },
 }
 
 #[derive(Debug, Clone, Copy, PartialEq, Eq)]
@@ -273,6 +277,27 @@ pub struct IntradayExecutionQuote {
     pub trading_phase: Option<String>,
 }
 
+/// Sparse same-day fields layered onto an already-built immutable daily panel.
+///
+/// These fields do not participate in daily price series, adjustment series,
+/// symbol indexes, or rolling windows. Applying them in place lets the runner
+/// reuse the candidate-planning `DataSet` as the final execution `DataSet`
+/// without rebuilding the full market panel.
+#[derive(Debug, Clone, Serialize, Deserialize)]
+pub struct IntradayMarketSnapshotOverlay {
+    #[serde(with = "date_format")]
+    pub date: NaiveDate,
+    pub symbol: String,
+    pub timestamp: Option<String>,
+    pub last_price: Option<f64>,
+    pub bid1: f64,
+    pub ask1: f64,
+    pub minute_volume: u64,
+    pub bid1_volume: u64,
+    pub ask1_volume: u64,
+    pub trading_phase: Option<String>,
+}
+
 #[derive(Debug, Clone, Serialize, Deserialize)]
 pub struct IntradayOrderBookDepthLevel {
     #[serde(with = "date_format")]
@@ -2213,6 +2238,97 @@ impl DataSet {
             .sum()
     }
 
+    /// Applies sparse intraday fields without rebuilding daily series or indexes.
+    ///
+    /// The daily market storage must still be uniquely owned. This is deliberate:
+    /// silently using `Arc::make_mut` here would deep-copy the full market panel
+    /// and defeat the candidate-plan/final-dataset reuse contract.
+    pub fn apply_intraday_market_overlays(
+        &mut self,
+        overlays: Vec<IntradayMarketSnapshotOverlay>,
+    ) -> Result<usize, DataSetError> {
+        if overlays.is_empty() {
+            return Ok(0);
+        }
+
+        let mut resolved = Vec::with_capacity(overlays.len());
+        let mut seen = HashSet::<(NaiveDate, u32)>::with_capacity(overlays.len());
+        for overlay in overlays {
+            let symbol_id = self
+                .symbol_id_by_code
+                .get(overlay.symbol.as_str())
+                .copied()
+                .ok_or_else(|| DataSetError::MissingSnapshot {
+                    kind: "intraday_overlay_symbol",
+                    date: overlay.date,
+                    symbol: overlay.symbol.clone(),
+                })?;
+            if !seen.insert((overlay.date, symbol_id)) {
+                return Err(DataSetError::DuplicateIntradayMarketOverlay {
+                    date: overlay.date,
+                    symbol: overlay.symbol,
+                });
+            }
+            let row_position = self
+                .market_symbol_ids_by_date
+                .get(&overlay.date)
+                .and_then(|symbol_ids| symbol_ids.binary_search(&symbol_id).ok())
+                .ok_or_else(|| DataSetError::MissingSnapshot {
+                    kind: "intraday_overlay_market",
+                    date: overlay.date,
+                    symbol: overlay.symbol.clone(),
+                })?;
+            resolved.push((overlay.date, row_position, overlay));
+        }
+
+        let market_by_date = Arc::get_mut(&mut self.market_by_date).ok_or(
+            DataSetError::SharedComponentMutation {
+                component: "daily market panel",
+            },
+        )?;
+        for (date, row_position, overlay) in resolved {
+            let row = market_by_date
+                .get_mut(&date)
+                .and_then(|rows| rows.get_mut(row_position))
+                .ok_or_else(|| DataSetError::MissingSnapshot {
+                    kind: "intraday_overlay_market_row",
+                    date,
+                    symbol: overlay.symbol.clone(),
+                })?;
+            debug_assert_eq!(row.symbol, overlay.symbol);
+            row.timestamp = overlay.timestamp;
+            if let Some(last_price) = overlay
+                .last_price
+                .filter(|value| value.is_finite() && *value > 0.0)
+            {
+                row.last_price = last_price;
+            }
+            row.bid1 = overlay.bid1;
+            row.ask1 = overlay.ask1;
+            row.minute_volume = overlay.minute_volume;
+            row.bid1_volume = overlay.bid1_volume;
+            row.ask1_volume = overlay.ask1_volume;
+            row.trading_phase = overlay.trading_phase;
+        }
+        Ok(seen.len())
+    }
+
+    /// Replaces the run-local execution quote layer without touching the
+    /// immutable daily panel.
+    pub fn replace_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
+        let execution_quotes_by_date = build_execution_quote_index(quotes);
+        let quote_count = execution_quotes_by_date
+            .values()
+            .flat_map(|rows_by_symbol| rows_by_symbol.values())
+            .map(Vec::len)
+            .sum();
+        let mut execution_quote_dates = execution_quotes_by_date.keys().copied().collect::<Vec<_>>();
+        execution_quote_dates.sort_unstable();
+        self.execution_quotes_by_date = Arc::new(execution_quotes_by_date);
+        self.execution_quote_dates = Arc::new(execution_quote_dates);
+        quote_count
+    }
+
     pub fn add_execution_quotes(&mut self, quotes: Vec<IntradayExecutionQuote>) -> usize {
         let mut grouped = HashMap::<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>::new();
         for quote in quotes {
@@ -4849,6 +4965,131 @@ mod tests {
         ));
     }
 
+    #[test]
+    fn unique_dataset_applies_sparse_intraday_overlay_without_rebuilding_daily_series() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut data = DataSet::from_components(
+            vec![Instrument {
+                symbol: "000001.SZ".to_string(),
+                name: "平安银行".to_string(),
+                board: "SZ".to_string(),
+                round_lot: 100,
+                listed_at: None,
+                delisted_at: None,
+                status: "active".to_string(),
+            }],
+            vec![market_row("2025-01-02", 10.0, 1_000_000)],
+            Vec::new(),
+            Vec::new(),
+            vec![benchmark_row("2025-01-02", 12.0)],
+        )
+        .unwrap();
+        let market_series_before = Arc::clone(
+            data.market_series_by_symbol_id[data.symbol_id("000001.SZ").unwrap() as usize]
+                .as_ref()
+                .unwrap(),
+        );
+
+        assert_eq!(
+            data.apply_intraday_market_overlays(vec![IntradayMarketSnapshotOverlay {
+                date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: Some("2025-01-02 10:18:00".to_string()),
+                last_price: Some(10.08),
+                bid1: 10.07,
+                ask1: 10.08,
+                minute_volume: 12_300,
+                bid1_volume: 4_500,
+                ask1_volume: 3_200,
+                trading_phase: Some("continuous".to_string()),
+            }])
+            .unwrap(),
+            1
+        );
+
+        let market = data.market(date, "000001.SZ").unwrap();
+        assert_eq!(market.last_price, 10.08);
+        assert_eq!(market.bid1, 10.07);
+        assert_eq!(market.ask1, 10.08);
+        assert_eq!(market.minute_volume, 12_300);
+        assert_eq!(market.bid1_volume, 4_500);
+        assert_eq!(market.ask1_volume, 3_200);
+        assert_eq!(market.trading_phase.as_deref(), Some("continuous"));
+        assert_eq!(market.close, 10.0);
+        assert!(Arc::ptr_eq(
+            &market_series_before,
+            data.market_series_by_symbol_id[data.symbol_id("000001.SZ").unwrap() as usize]
+                .as_ref()
+                .unwrap()
+        ));
+    }
+
+    #[test]
+    fn intraday_overlay_fails_closed_when_daily_panel_is_shared() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let mut data = DataSet::from_components(
+            Vec::new(),
+            vec![market_row("2025-01-02", 10.0, 1_000_000)],
+            Vec::new(),
+            Vec::new(),
+            vec![benchmark_row("2025-01-02", 12.0)],
+        )
+        .unwrap();
+        let shared = data.clone();
+        let error = data
+            .apply_intraday_market_overlays(vec![IntradayMarketSnapshotOverlay {
+                date,
+                symbol: "000001.SZ".to_string(),
+                timestamp: None,
+                last_price: None,
+                bid1: 0.0,
+                ask1: 0.0,
+                minute_volume: 0,
+                bid1_volume: 0,
+                ask1_volume: 0,
+                trading_phase: None,
+            }])
+            .unwrap_err();
+
+        assert!(matches!(
+            error,
+            DataSetError::SharedComponentMutation {
+                component: "daily market panel"
+            }
+        ));
+        assert_eq!(shared.market(date, "000001.SZ").unwrap().last_price, 10.0);
+    }
+
+    #[test]
+    fn replacing_execution_quotes_preserves_duplicate_timestamp_rows() {
+        let date = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
+        let timestamp = date.and_hms_opt(10, 18, 0).unwrap();
+        let mut data = DataSet::from_components(
+            Vec::new(),
+            vec![market_row("2025-01-02", 10.0, 1_000_000)],
+            Vec::new(),
+            Vec::new(),
+            vec![benchmark_row("2025-01-02", 12.0)],
+        )
+        .unwrap();
+        let quote = IntradayExecutionQuote {
+            date,
+            symbol: "000001.SZ".to_string(),
+            timestamp,
+            last_price: 10.08,
+            bid1: 10.07,
+            ask1: 10.08,
+            bid1_volume: 4_500,
+            ask1_volume: 3_200,
+            volume_delta: 12_300,
+            amount_delta: 123_000.0,
+            trading_phase: Some("continuous".to_string()),
+        };
+
+        assert_eq!(data.replace_execution_quotes(vec![quote.clone(), quote]), 2);
+        assert_eq!(data.execution_quotes_on(date, "000001.SZ").len(), 2);
+    }
+
     #[test]
     fn daily_bundle_constructor_matches_flat_component_constructor() {
         let dates = [

crates/fidc-core/src/lib.rs

@@ -31,8 +31,8 @@ pub use data::{
     BenchmarkSnapshot, CandidateEligibility, CorporateAction, DailyFactorSnapshot,
     DailyMarketSnapshot, DailySnapshotBundle, DataSet, DataSetError, DividendRecord,
     EligibleUniverseSnapshot, FactorTextValue, FactorValue, IntradayExecutionQuote,
-    IntradayOrderBookDepthLevel, NumericFactorMap, PriceBar, PriceField, SecuritiesMarginRecord,
+    IntradayMarketSnapshotOverlay, IntradayOrderBookDepthLevel, NumericFactorMap, PriceBar,
-    SplitRecord, YieldCurvePoint,
+    PriceField, SecuritiesMarginRecord, SplitRecord, YieldCurvePoint,
 };
 pub use engine::{
     AnalyzerMonthlyReturnRow, AnalyzerPositionRow, AnalyzerReport, AnalyzerRiskSummary,