perf: isolate ordered selection hot path
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@@ -10122,6 +10122,51 @@ impl PlatformExprStrategy {
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// complete ranking for replacement limiting, select directly from the
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// complete ranking for replacement limiting, select directly from the
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// ordered stream instead of materializing a second candidate vector.
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// ordered stream instead of materializing a second candidate vector.
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if self.rank_reuses_market_cap_order() && self.config.daily_replacement_limit == 0 {
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if self.rank_reuses_market_cap_order() && self.config.daily_replacement_limit == 0 {
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let selected = self.select_market_cap_ordered_symbols(
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ctx,
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date,
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universe_factor_date,
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stock_factor_date,
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day,
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band_low,
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band_high,
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limit,
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universe_symbol_ids,
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&mut diagnostics,
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)?;
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return Ok((selected, diagnostics, risk_decisions));
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}
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let selected = self.select_ranked_symbols(
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ctx,
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date,
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universe_factor_date,
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stock_factor_date,
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day,
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band_low,
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band_high,
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limit,
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universe_symbol_ids,
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&mut diagnostics,
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)?;
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Ok((selected, diagnostics, risk_decisions))
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}
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#[inline(never)]
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#[allow(clippy::too_many_arguments)]
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fn select_market_cap_ordered_symbols(
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&self,
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ctx: &StrategyContext<'_>,
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date: NaiveDate,
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universe_factor_date: NaiveDate,
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stock_factor_date: NaiveDate,
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day: &DayExpressionState,
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band_low: f64,
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band_high: f64,
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limit: usize,
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universe_symbol_ids: Vec<u32>,
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diagnostics: &mut Vec<String>,
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) -> Result<Vec<String>, BacktestError> {
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let execution_day = ctx.data.daily_snapshot_view(date);
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let execution_day = ctx.data.daily_snapshot_view(date);
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let universe_factor_day = ctx.data.daily_snapshot_view(universe_factor_date);
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let universe_factor_day = ctx.data.daily_snapshot_view(universe_factor_date);
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let factor_day = ctx.data.daily_snapshot_view(stock_factor_date);
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let factor_day = ctx.data.daily_snapshot_view(stock_factor_date);
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@@ -10154,7 +10199,7 @@ impl PlatformExprStrategy {
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day,
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day,
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symbol,
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symbol,
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&stock,
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&stock,
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&mut diagnostics,
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diagnostics,
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)? {
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)? {
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selected.push(factor.symbol.clone());
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selected.push(factor.symbol.clone());
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if selected.len() >= limit {
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if selected.len() >= limit {
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@@ -10162,22 +10207,7 @@ impl PlatformExprStrategy {
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}
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}
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}
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}
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}
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}
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return Ok((selected, diagnostics, risk_decisions));
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Ok(selected)
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}
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let selected = self.select_ranked_symbols(
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ctx,
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date,
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universe_factor_date,
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stock_factor_date,
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day,
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band_low,
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band_high,
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limit,
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universe_symbol_ids,
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&mut diagnostics,
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)?;
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Ok((selected, diagnostics, risk_decisions))
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}
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}
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#[inline(never)]
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#[inline(never)]
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