优化复权与成交量滚动窗口

crates/fidc-core/src/data.rs

@@ -493,6 +493,8 @@ struct AdjustedCloseSeries {
     dates: Vec<NaiveDate>,
     backward_factors: Vec<Option<f64>>,
     back_adjusted_closes: Vec<Option<f64>>,
+    back_adjusted_close_prefix: Vec<f64>,
+    missing_back_adjusted_close_prefix: Vec<u32>,
 }
 
 impl AdjustedCloseSeries {
@@ -502,6 +504,10 @@ impl AdjustedCloseSeries {
     ) -> Option<Self> {
         let mut backward_factors = Vec::with_capacity(market.dates.len());
         let mut back_adjusted_closes = Vec::with_capacity(market.dates.len());
+        let mut back_adjusted_close_prefix = Vec::with_capacity(market.dates.len() + 1);
+        let mut missing_back_adjusted_close_prefix = Vec::with_capacity(market.dates.len() + 1);
+        back_adjusted_close_prefix.push(0.0);
+        missing_back_adjusted_close_prefix.push(0);
         for (date, close) in market.dates.iter().zip(&market.closes) {
             let factor = factor_by_date
                 .get(date)
@@ -515,11 +521,27 @@ impl AdjustedCloseSeries {
                 .map(|factor| close * factor);
             backward_factors.push(factor);
             back_adjusted_closes.push(back_adjusted_close);
+            back_adjusted_close_prefix.push(
+                back_adjusted_close_prefix
+                    .last()
+                    .copied()
+                    .unwrap_or_default()
+                    + back_adjusted_close.unwrap_or_default(),
+            );
+            missing_back_adjusted_close_prefix.push(
+                missing_back_adjusted_close_prefix
+                    .last()
+                    .copied()
+                    .unwrap_or_default()
+                    + u32::from(back_adjusted_close.is_none()),
+            );
         }
         Some(Self {
             dates: market.dates.clone(),
             backward_factors,
             back_adjusted_closes,
+            back_adjusted_close_prefix,
+            missing_back_adjusted_close_prefix,
         })
     }
 
@@ -537,10 +559,12 @@ impl AdjustedCloseSeries {
         }
         let base_factor = self.backward_factors.get(end - 1).copied().flatten()?;
         let start = end - lookback;
-        let sum = self.back_adjusted_closes[start..end]
+        if self.missing_back_adjusted_close_prefix[end]
-            .iter()
+            != self.missing_back_adjusted_close_prefix[start]
-            .copied()
+        {
-            .try_fold(0.0, |sum, value| value.map(|value| sum + value))?;
+            return None;
+        }
+        let sum = self.back_adjusted_close_prefix[end] - self.back_adjusted_close_prefix[start];
         if !sum.is_finite() {
             return None;
         }
@@ -779,10 +803,7 @@ impl SymbolPriceSeries {
             return None;
         }
         let start = end - lookback;
-        let sum = self.volumes[start..end]
+        let sum = self.volume_prefix[end] - self.volume_prefix[start];
-            .iter()
-            .map(|value| *value as f64)
-            .sum::<f64>();
         if !sum.is_finite() {
             return None;
         }
@@ -3705,7 +3726,9 @@ mod tests {
                 .map(|index| start + chrono::Duration::days(index as i64))
                 .collect(),
             backward_factors: vec![Some(1.0); 30],
-            back_adjusted_closes: values.into_iter().map(Some).collect(),
+            back_adjusted_closes: values.iter().copied().map(Some).collect(),
+            back_adjusted_close_prefix: prefix_sums(&values),
+            missing_back_adjusted_close_prefix: vec![0; 31],
         };
         let date = *series.dates.last().expect("last date");