优化分钟历史窗口读取并移除滚动双口径

crates/fidc-core/src/data.rs

@@ -1174,6 +1174,7 @@ pub struct DataSet {
     candidate_symbol_ids_by_date: Arc<BTreeMap<NaiveDate, Vec<u32>>>,
     corporate_actions_by_date: Arc<BTreeMap<NaiveDate, Vec<CorporateAction>>>,
     execution_quotes_by_date: Arc<HashMap<NaiveDate, HashMap<String, Vec<IntradayExecutionQuote>>>>,
+    execution_quote_dates: Arc<Vec<NaiveDate>>,
     order_book_depth_index: Arc<HashMap<(NaiveDate, String), Vec<IntradayOrderBookDepthLevel>>>,
     benchmark_by_date: Arc<BTreeMap<NaiveDate, BenchmarkSnapshot>>,
     market_series_by_symbol: Arc<AHashMap<String, Arc<SymbolPriceSeries>>>,
@@ -1441,6 +1442,8 @@ impl DataSet {
         }
         let corporate_actions_by_date = group_by_date(corporate_actions, |item| item.date);
         let execution_quotes_by_date = build_execution_quote_index(execution_quotes);
+        let mut execution_quote_dates = execution_quotes_by_date.keys().copied().collect::<Vec<_>>();
+        execution_quote_dates.sort_unstable();
         let order_book_depth_index = build_order_book_depth_index(order_book_depth);
 
         let benchmark_by_date = benchmarks
@@ -1464,6 +1467,7 @@ impl DataSet {
             candidate_symbol_ids_by_date: Arc::new(candidate_symbol_ids_by_date),
             corporate_actions_by_date: Arc::new(corporate_actions_by_date),
             execution_quotes_by_date: Arc::new(execution_quotes_by_date),
+            execution_quote_dates: Arc::new(execution_quote_dates),
             order_book_depth_index: Arc::new(order_book_depth_index),
             benchmark_by_date: Arc::new(benchmark_by_date),
             market_series_by_symbol: Arc::new(market_series_by_symbol),
@@ -1648,9 +1652,14 @@ impl DataSet {
                 .push(quote);
         }
         let mut added = 0usize;
+        let mut new_dates = Vec::new();
         let execution_quotes_by_date = Arc::make_mut(&mut self.execution_quotes_by_date);
         for (date, rows_by_symbol) in grouped {
+            let date_is_new = !execution_quotes_by_date.contains_key(&date);
             let target_by_symbol = execution_quotes_by_date.entry(date).or_default();
+            if date_is_new {
+                new_dates.push(date);
+            }
             for (symbol, mut incoming) in rows_by_symbol {
                 incoming.sort_by_key(|quote| quote.timestamp);
                 incoming.dedup_by(|left, right| left.timestamp == right.timestamp);
@@ -1688,6 +1697,14 @@ impl DataSet {
                 *target = merged;
             }
         }
+        if !new_dates.is_empty() {
+            let dates = Arc::make_mut(&mut self.execution_quote_dates);
+            for date in new_dates {
+                if let Err(index) = dates.binary_search(&date) {
+                    dates.insert(index, date);
+                }
+            }
+        }
         added
     }
 
@@ -1744,10 +1761,18 @@ impl DataSet {
     }
 
     pub fn remove_execution_quotes_on_date(&mut self, date: NaiveDate) -> usize {
-        Arc::make_mut(&mut self.execution_quotes_by_date)
-            .remove(&date)
-            .map(|rows_by_symbol| rows_by_symbol.into_values().map(|rows| rows.len()).sum())
-            .unwrap_or_default()
+        let removed = Arc::make_mut(&mut self.execution_quotes_by_date).remove(&date);
+        let Some(rows_by_symbol) = removed else {
+            return 0;
+        };
+        let dates = Arc::make_mut(&mut self.execution_quote_dates);
+        if let Ok(index) = dates.binary_search(&date) {
+            dates.remove(index);
+        }
+        rows_by_symbol
+            .into_values()
+            .map(|rows| rows.len())
+            .sum()
     }
 
     pub fn snapshot_components(&self) -> DataSetSnapshotComponents {
@@ -1901,16 +1926,29 @@ impl DataSet {
         if bar_count == 0 {
             return Vec::new();
         }
-        let mut quotes = self
-            .execution_quotes_by_date
-            .values()
-            .filter_map(|rows_by_symbol| rows_by_symbol.get(symbol))
-            .flat_map(|rows| rows.iter())
-            .filter(|quote| intraday_quote_visible(quote, date, active_datetime, include_now))
-            .cloned()
-            .collect::<Vec<_>>();
-        quotes.sort_by_key(|quote| quote.timestamp);
-        take_last(quotes, bar_count)
+        let end = self
+            .execution_quote_dates
+            .partition_point(|quote_date| *quote_date <= date);
+        let mut quotes = Vec::with_capacity(bar_count);
+        'dates: for quote_date in self.execution_quote_dates[..end].iter().rev() {
+            let Some(rows) = self
+                .execution_quotes_by_date
+                .get(quote_date)
+                .and_then(|rows_by_symbol| rows_by_symbol.get(symbol))
+            else {
+                continue;
+            };
+            for quote in rows.iter().rev() {
+                if intraday_quote_visible(quote, date, active_datetime, include_now) {
+                    quotes.push(quote.clone());
+                    if quotes.len() == bar_count {
+                        break 'dates;
+                    }
+                }
+            }
+        }
+        quotes.reverse();
+        quotes
     }
 
     pub fn trading_dates(&self, start: NaiveDate, end: NaiveDate) -> Vec<NaiveDate> {
@@ -3396,13 +3434,6 @@ fn normalize_history_frequency(frequency: &str) -> Option<String> {
     }
 }
 
-fn take_last<T>(mut rows: Vec<T>, count: usize) -> Vec<T> {
-    if rows.len() <= count {
-        return rows;
-    }
-    rows.split_off(rows.len() - count)
-}
-
 fn group_by_date<T, F>(rows: Vec<T>, mut date_of: F) -> BTreeMap<NaiveDate, Vec<T>>
 where
     F: FnMut(&T) -> NaiveDate,
@@ -3864,6 +3895,10 @@ mod tests {
             &data.execution_quotes_by_date,
             &run_data.execution_quotes_by_date
         ));
+        assert!(Arc::ptr_eq(
+            &data.execution_quote_dates,
+            &run_data.execution_quote_dates
+        ));
 
         run_data.add_execution_quotes(vec![IntradayExecutionQuote {
             date,
@@ -3886,6 +3921,10 @@ mod tests {
             &data.execution_quotes_by_date,
             &run_data.execution_quotes_by_date
         ));
+        assert!(!Arc::ptr_eq(
+            &data.execution_quote_dates,
+            &run_data.execution_quote_dates
+        ));
     }
 
     #[test]