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Revert "perf: build calendar series boundaries in one pass"

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This reverts commit f927ef8c0f.
This commit is contained in:
boris
2026-09-06 22:24:18 +08:00
parent f927ef8c0f
commit dd376e4b32
1 changed files with 44 additions and 93 deletions
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crates/fidc-core/src/data.rs
+44 -93
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@@ -1397,12 +1397,9 @@ impl DataSet {
let mut calendar_dates = self.calendar.days().to_vec();
calendar_dates.extend(dates);
let calendar = Arc::new(TradingCalendar::new(calendar_dates));
self.market_series_end_positions_by_calendar_index =
Arc::new(build_calendar_series_end_positions(
&self.market_series_by_symbol_id,
&self.market_symbol_ids_by_date,
&calendar,
));
self.market_series_end_positions_by_calendar_index = Arc::new(
build_calendar_series_end_positions(&self.market_series_by_symbol_id, &calendar),
);
self.calendar = calendar;
self
}
@@ -1824,11 +1821,8 @@ impl DataSet {
adjusted_close_series_by_symbol_id[symbol_id as usize] = Some(Arc::clone(series));
}
}
let market_series_end_positions_by_calendar_index = build_calendar_series_end_positions(
&market_series_by_symbol_id,
&market_symbol_ids_by_date,
&calendar,
);
let market_series_end_positions_by_calendar_index =
build_calendar_series_end_positions(&market_series_by_symbol_id, &calendar);
let execution_quotes_by_date = build_execution_quote_index(execution_quotes);
let mut execution_quote_dates =
execution_quotes_by_date.keys().copied().collect::<Vec<_>>();
@@ -4332,7 +4326,6 @@ fn build_dense_row_positions<T>(
fn build_calendar_series_end_positions(
series_by_symbol_id: &[Option<Arc<SymbolPriceSeries>>],
market_symbol_ids_by_date: &BTreeMap<NaiveDate, Vec<u32>>,
calendar: &TradingCalendar,
) -> Option<CalendarSeriesEndPositions> {
let entries = series_by_symbol_id.len().checked_mul(calendar.len())?;
@@ -4347,65 +4340,54 @@ fn build_calendar_series_end_positions(
return None;
}
let mut completed_rows_by_symbol = series_by_symbol_id
.iter()
let calendar_days = calendar.days();
let positions_by_symbol = series_by_symbol_id
.par_iter()
.map(|series| {
if series.is_some() {
0
} else {
MISSING_ROW_POSITION
let series = series.as_deref()?;
let mut decision = Vec::with_capacity(calendar_days.len());
let mut current = Vec::with_capacity(calendar_days.len());
let mut series_index = 0usize;
for date in calendar_days {
while series
.dates
.get(series_index)
.is_some_and(|series_date| *series_date < *date)
{
series_index += 1;
}
decision.push(series_index as u32);
let current_index = if series.dates.get(series_index) == Some(date) {
series_index + 1
} else {
series_index
};
current.push(current_index as u32);
}
Some((decision, current))
})
.collect::<Vec<_>>();
let mut market_dates = market_symbol_ids_by_date.iter().peekable();
let mut decision = Vec::with_capacity(calendar.len());
let mut current = Vec::with_capacity(calendar.len());
for date in calendar.days() {
while market_dates
.peek()
.is_some_and(|(market_date, _)| *market_date < date)
{
let (_, symbol_ids) = market_dates.next()?;
advance_completed_series_rows(&mut completed_rows_by_symbol, symbol_ids)?;
}
decision.push(completed_rows_by_symbol.clone());
let mut current_on_date = completed_rows_by_symbol.clone();
if market_dates
.peek()
.is_some_and(|(market_date, _)| *market_date == date)
{
let (_, symbol_ids) = market_dates.next()?;
for symbol_id in symbol_ids {
let end = current_on_date.get_mut(*symbol_id as usize)?;
if *end == MISSING_ROW_POSITION {
return None;
let positions_by_calendar = (0..calendar_days.len())
.into_par_iter()
.map(|calendar_index| {
let mut decision = Vec::with_capacity(series_by_symbol_id.len());
let mut current = Vec::with_capacity(series_by_symbol_id.len());
for positions in &positions_by_symbol {
if let Some((symbol_decision, symbol_current)) = positions {
decision.push(symbol_decision[calendar_index]);
current.push(symbol_current[calendar_index]);
} else {
decision.push(MISSING_ROW_POSITION);
current.push(MISSING_ROW_POSITION);
}
*end = completed_rows_by_symbol[*symbol_id as usize].checked_add(1)?;
}
advance_completed_series_rows(&mut completed_rows_by_symbol, symbol_ids)?;
}
current.push(current_on_date);
}
(decision, current)
})
.collect::<Vec<_>>();
let (decision, current) = positions_by_calendar.into_iter().unzip();
Some(CalendarSeriesEndPositions { decision, current })
}
fn advance_completed_series_rows(
completed_rows_by_symbol: &mut [u32],
symbol_ids: &[u32],
) -> Option<()> {
for symbol_id in symbol_ids {
let completed = completed_rows_by_symbol.get_mut(*symbol_id as usize)?;
if *completed == MISSING_ROW_POSITION {
return None;
}
*completed = completed.checked_add(1)?;
}
Some(())
}
fn dense_row_position(
positions_by_date: &Option<DenseRowPositionIndex>,
date: NaiveDate,
@@ -6128,37 +6110,6 @@ mod tests {
);
}
#[test]
fn series_end_position_index_preserves_sparse_and_duplicate_date_boundaries() {
let first = NaiveDate::from_ymd_opt(2025, 1, 2).unwrap();
let duplicate_date = NaiveDate::from_ymd_opt(2025, 1, 3).unwrap();
let last = NaiveDate::from_ymd_opt(2025, 1, 6).unwrap();
let rows = vec![
market_row("2025-01-03", 10.0, 100),
market_row("2025-01-03", 10.1, 110),
market_row("2025-01-06", 10.2, 120),
];
let series = Arc::new(SymbolPriceSeries::new("000001.SZ".to_string(), rows.iter()));
let series_by_symbol_id = vec![Some(series), None];
let market_symbol_ids_by_date =
BTreeMap::from([(duplicate_date, vec![0, 0]), (last, vec![0])]);
let calendar = TradingCalendar::new(vec![first, duplicate_date, last]);
let positions = build_calendar_series_end_positions(
&series_by_symbol_id,
&market_symbol_ids_by_date,
&calendar,
)
.expect("series position index");
assert_eq!(positions.decision[0], vec![0, MISSING_ROW_POSITION]);
assert_eq!(positions.current[0], vec![0, MISSING_ROW_POSITION]);
assert_eq!(positions.decision[1], vec![0, MISSING_ROW_POSITION]);
assert_eq!(positions.current[1], vec![1, MISSING_ROW_POSITION]);
assert_eq!(positions.decision[2], vec![2, MISSING_ROW_POSITION]);
assert_eq!(positions.current[2], vec![3, MISSING_ROW_POSITION]);
}
#[test]
fn source_volume_contract_rejects_windows_containing_missing_values() {
let data = volume_contract_data(Some([1.0, 0.0, 1.0]));