优化分钟历史窗口读取并移除滚动双口径

2026-08-27 13:14:41 +08:00
parent 45cafa5c96
commit ed126a3630
2 changed files with 239 additions and 21 deletions
@@ -0,0 +1,179 @@
+use std::hint::black_box;
+use std::time::Instant;
+
+use chrono::{Duration, NaiveDate, NaiveDateTime, NaiveTime};
+use fidc_core::{
+    BenchmarkSnapshot, DailyMarketSnapshot, DataSet, Instrument, IntradayExecutionQuote,
+};
+
+const SYMBOL: &str = "000001.SZ";
+
+fn dataset(day_count: usize, bars_per_day: usize) -> (DataSet, Vec<NaiveDate>) {
+    let start = NaiveDate::from_ymd_opt(2025, 1, 1).expect("valid start date");
+    let dates = (0..day_count)
+        .map(|offset| start + Duration::days(offset as i64))
+        .collect::<Vec<_>>();
+    let markets = dates
+        .iter()
+        .map(|date| DailyMarketSnapshot {
+            date: *date,
+            symbol: SYMBOL.to_string(),
+            timestamp: None,
+            day_open: 10.0,
+            open: 10.0,
+            high: 10.5,
+            low: 9.5,
+            close: 10.0,
+            last_price: 10.0,
+            bid1: 9.99,
+            ask1: 10.01,
+            prev_close: 10.0,
+            volume: 1_000_000,
+            minute_volume: 1_000,
+            bid1_volume: 10_000,
+            ask1_volume: 10_000,
+            trading_phase: Some("continuous".to_string()),
+            paused: false,
+            upper_limit: 11.0,
+            lower_limit: 9.0,
+            price_tick: 0.01,
+        })
+        .collect::<Vec<_>>();
+    let benchmarks = dates
+        .iter()
+        .map(|date| BenchmarkSnapshot {
+            date: *date,
+            benchmark: "000852.SH".to_string(),
+            open: 1_000.0,
+            close: 1_000.0,
+            prev_close: 1_000.0,
+            volume: 10_000_000,
+        })
+        .collect::<Vec<_>>();
+    let mut quotes = Vec::with_capacity(day_count * bars_per_day);
+    for date in &dates {
+        let session_start = date
+            .and_hms_opt(9, 30, 0)
+            .expect("valid session start");
+        for offset in 0..bars_per_day {
+            let timestamp = session_start + Duration::minutes(offset as i64);
+            quotes.push(IntradayExecutionQuote {
+                date: *date,
+                symbol: SYMBOL.to_string(),
+                timestamp,
+                last_price: 10.0 + offset as f64 / 10_000.0,
+                bid1: 9.99,
+                ask1: 10.01,
+                bid1_volume: 10_000,
+                ask1_volume: 10_000,
+                volume_delta: 1_000,
+                amount_delta: 10_000.0,
+                trading_phase: Some("continuous".to_string()),
+            });
+        }
+    }
+    let data = DataSet::from_components_with_actions_and_quotes(
+        vec![Instrument {
+            symbol: SYMBOL.to_string(),
+            name: "平安银行".to_string(),
+            board: "SZ".to_string(),
+            round_lot: 100,
+            listed_at: Some(start - Duration::days(1_000)),
+            delisted_at: None,
+            status: "active".to_string(),
+        }],
+        markets,
+        Vec::new(),
+        Vec::new(),
+        benchmarks,
+        Vec::new(),
+        quotes,
+    )
+    .expect("build intraday history dataset");
+    (data, dates)
+}
+
+fn timestamp(date: NaiveDate, time: &str) -> NaiveDateTime {
+    let time = NaiveTime::parse_from_str(time, "%H:%M:%S").expect("valid time");
+    date.and_time(time)
+}
+
+#[test]
+fn intraday_history_is_bounded_by_visibility_and_preserves_order() {
+    let (data, dates) = dataset(3, 4);
+    let rows = data.history_intraday_quotes_at(
+        dates[1],
+        Some(timestamp(dates[1], "09:32:00")),
+        SYMBOL,
+        3,
+        false,
+    );
+    assert_eq!(
+        rows.iter().map(|row| row.timestamp).collect::<Vec<_>>(),
+        vec![
+            timestamp(dates[0], "09:33:00"),
+            timestamp(dates[1], "09:30:00"),
+            timestamp(dates[1], "09:31:00"),
+        ]
+    );
+
+    let including_now = data.history_intraday_quotes_at(
+        dates[1],
+        Some(timestamp(dates[1], "09:32:00")),
+        SYMBOL,
+        3,
+        true,
+    );
+    assert_eq!(
+        including_now
+            .iter()
+            .map(|row| row.timestamp)
+            .collect::<Vec<_>>(),
+        vec![
+            timestamp(dates[1], "09:30:00"),
+            timestamp(dates[1], "09:31:00"),
+            timestamp(dates[1], "09:32:00"),
+        ]
+    );
+}
+
+#[test]
+#[ignore = "manual release-mode intraday history benchmark"]
+fn benchmark_bounded_intraday_history() {
+    let (data, dates) = dataset(250, 240);
+    let active_datetime = timestamp(*dates.last().expect("last date"), "13:29:00");
+
+    for _ in 0..5 {
+        black_box(data.history_intraday_quotes_at(
+            active_datetime.date(),
+            Some(active_datetime),
+            SYMBOL,
+            30,
+            true,
+        ));
+    }
+
+    let started = Instant::now();
+    let mut checksum = 0_i64;
+    for _ in 0..200 {
+        let rows = data.history_intraday_quotes_at(
+            active_datetime.date(),
+            Some(active_datetime),
+            SYMBOL,
+            30,
+            true,
+        );
+        checksum += rows
+            .last()
+            .expect("history row")
+            .timestamp
+            .and_utc()
+            .timestamp();
+        black_box(&rows);
+    }
+    let elapsed = started.elapsed();
+    eprintln!(
+        "intraday_history_benchmark iterations=200 rows_per_dataset=60000 elapsed_seconds={:.6} checksum={checksum}",
+        elapsed.as_secs_f64(),
+    );
+}