zsb/fidc-backtest-engine
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

按符号索引一次构建行情序列

Browse Source
This commit is contained in:
boris
2026-09-07 13:46:59 +08:00
parent 94632f42d6
commit fbf5a6d61a
1 changed files with 115 additions and 73 deletions
Download Patch File Download Diff File Expand all files Collapse all files
crates/fidc-core/src/data.rs
+115 -73
View File
@@ -87,6 +87,15 @@ pub enum DataSetError {
DuplicateIntradayMarketOverlay { date: NaiveDate, symbol: String },
#[error("cannot mutate shared {component} while finalizing a backtest dataset")]
SharedComponentMutation { component: &'static str },
#[error(
"{kind} snapshot rows and symbol ids are misaligned on {date}: rows={row_count}, ids={symbol_id_count}"
)]
SnapshotSymbolIndexAlignment {
kind: &'static str,
date: NaiveDate,
row_count: usize,
symbol_id_count: usize,
},
}
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
@@ -1780,43 +1789,88 @@ impl DataSet {
.into_iter()
.map(|instrument| (instrument.symbol.clone(), instrument))
.collect::<HashMap<_, _>>();
let mut market_rows_by_symbol = AHashMap::<String, Vec<&DailyMarketSnapshot>>::new();
for row in market_by_date.values().flatten() {
if let Some(rows) = market_rows_by_symbol.get_mut(row.symbol.as_str()) {
rows.push(row);
continue;
let symbol_id_by_code = build_symbol_id_index(
&instruments,
&market_by_date,
&factor_by_date,
&candidate_by_date,
);
let symbol_count = symbol_id_by_code.len();
let mut symbol_by_id = vec![Arc::<str>::from(""); symbol_count];
for (symbol, symbol_id) in &symbol_id_by_code {
symbol_by_id[*symbol_id as usize] = Arc::<str>::from(symbol.as_str());
}
let mut instruments_by_symbol_id = vec![None; symbol_count];
for (symbol, instrument) in &instruments {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
instruments_by_symbol_id[symbol_id as usize] = Some(instrument.clone());
}
market_rows_by_symbol.insert(row.symbol.clone(), vec![row]);
}
let market_rows_by_symbol = market_rows_by_symbol.into_iter().collect::<Vec<_>>();
let market_series_by_symbol = market_rows_by_symbol
let market_symbol_ids_by_date =
build_group_symbol_ids(&market_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let factor_symbol_ids_by_date =
build_group_symbol_ids(&factor_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let candidate_symbol_ids_by_date =
build_group_symbol_ids(&candidate_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let market_rows_by_symbol_id = group_rows_by_symbol_id(
"market",
&market_by_date,
&market_symbol_ids_by_date,
symbol_count,
)?;
let market_series_by_symbol_id = market_rows_by_symbol_id
.into_par_iter()
.map(|(symbol, rows)| {
let series = Arc::new(SymbolPriceSeries::from_sorted_rows(symbol.clone(), rows));
(symbol, series)
.enumerate()
.map(|(symbol_id, rows)| {
(!rows.is_empty()).then(|| {
Arc::new(SymbolPriceSeries::from_sorted_rows(
symbol_by_id[symbol_id].to_string(),
rows,
))
})
})
.collect::<Vec<_>>();
let market_series_by_symbol = market_series_by_symbol_id
.iter()
.enumerate()
.filter_map(|(symbol_id, series)| {
series.as_ref().map(|series| {
(symbol_by_id[symbol_id].to_string(), Arc::clone(series))
})
})
.collect::<Vec<_>>()
.into_iter()
.collect::<AHashMap<_, _>>();
let mut factor_rows_by_symbol = AHashMap::<&str, Vec<&DailyFactorSnapshot>>::new();
for row in factor_by_date.values().flatten() {
factor_rows_by_symbol
.entry(row.symbol.as_str())
.or_default()
.push(row);
}
let adjusted_close_series_by_symbol = market_series_by_symbol
let factor_rows_by_symbol_id = group_rows_by_symbol_id(
"factor",
&factor_by_date,
&factor_symbol_ids_by_date,
symbol_count,
)?;
let adjusted_close_series_by_symbol_id = market_series_by_symbol_id
.par_iter()
.filter_map(|(symbol, market)| {
let factor_rows = factor_rows_by_symbol
.get(symbol.as_str())
.map(Vec::as_slice)
.unwrap_or_default();
AdjustedCloseSeries::new(market, factor_rows)
.map(|series| (symbol.clone(), Arc::new(series)))
.enumerate()
.map(|(symbol_id, market)| {
market.as_ref().and_then(|market| {
AdjustedCloseSeries::new(market, &factor_rows_by_symbol_id[symbol_id])
.map(Arc::new)
})
})
.collect::<Vec<_>>();
let adjusted_close_series_by_symbol = adjusted_close_series_by_symbol_id
.iter()
.enumerate()
.filter_map(|(symbol_id, series)| {
series.as_ref().map(|series| {
(symbol_by_id[symbol_id].to_string(), Arc::clone(series))
})
})
.collect::<Vec<_>>()
.into_iter()
.collect::<AHashMap<_, _>>();
let factor_texts = factor_texts
.into_iter()
@@ -1835,63 +1889,23 @@ impl DataSet {
.map(|item| ((item.date, item.symbol.clone(), item.field.clone()), item))
.collect::<HashMap<_, _>>();
let symbol_id_by_code = build_symbol_id_index(
&instruments,
&market_by_date,
&factor_by_date,
&candidate_by_date,
);
let mut symbol_by_id = vec![Arc::<str>::from(""); symbol_id_by_code.len()];
for (symbol, symbol_id) in &symbol_id_by_code {
symbol_by_id[*symbol_id as usize] = Arc::<str>::from(symbol.as_str());
}
let mut instruments_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, instrument) in &instruments {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
instruments_by_symbol_id[symbol_id as usize] = Some(instrument.clone());
}
}
let market_symbol_ids_by_date =
build_group_symbol_ids(&market_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let factor_symbol_ids_by_date =
build_group_symbol_ids(&factor_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let factor_market_cap_order_by_date =
build_factor_market_cap_order(&factor_by_date, &factor_symbol_ids_by_date);
let candidate_symbol_ids_by_date =
build_group_symbol_ids(&candidate_by_date, &symbol_id_by_code, |item| {
item.symbol.as_str()
});
let market_row_positions_by_date = build_dense_row_positions(
&market_by_date,
&market_symbol_ids_by_date,
symbol_id_by_code.len(),
symbol_count,
);
let factor_row_positions_by_date = build_dense_row_positions(
&factor_by_date,
&factor_symbol_ids_by_date,
symbol_id_by_code.len(),
symbol_count,
);
let candidate_row_positions_by_date = build_dense_row_positions(
&candidate_by_date,
&candidate_symbol_ids_by_date,
symbol_id_by_code.len(),
symbol_count,
);
let mut market_series_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, series) in &market_series_by_symbol {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
market_series_by_symbol_id[symbol_id as usize] = Some(Arc::clone(series));
}
}
let mut adjusted_close_series_by_symbol_id = vec![None; symbol_id_by_code.len()];
for (symbol, series) in &adjusted_close_series_by_symbol {
if let Some(symbol_id) = symbol_id_by_code.get(symbol).copied() {
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, &calendar);
let execution_quotes_by_date = build_execution_quote_index(execution_quotes);
@@ -4493,6 +4507,34 @@ where
.collect()
}
fn group_rows_by_symbol_id<'a, T>(
kind: &'static str,
groups: &'a BTreeMap<NaiveDate, Vec<T>>,
symbol_ids_by_date: &BTreeMap<NaiveDate, Vec<u32>>,
symbol_count: usize,
) -> Result<Vec<Vec<&'a T>>, DataSetError> {
let mut rows_by_symbol_id = (0..symbol_count)
.map(|_| Vec::<&T>::new())
.collect::<Vec<_>>();
for (date, rows) in groups {
let symbol_ids = symbol_ids_by_date
.get(date)
.expect("daily snapshot symbol ids must exist before series grouping");
if rows.len() != symbol_ids.len() {
return Err(DataSetError::SnapshotSymbolIndexAlignment {
kind,
date: *date,
row_count: rows.len(),
symbol_id_count: symbol_ids.len(),
});
}
for (row, symbol_id) in rows.iter().zip(symbol_ids) {
rows_by_symbol_id[*symbol_id as usize].push(row);
}
}
Ok(rows_by_symbol_id)
}
fn build_factor_market_cap_order(
factor_by_date: &BTreeMap<NaiveDate, Vec<DailyFactorSnapshot>>,
factor_symbol_ids_by_date: &BTreeMap<NaiveDate, Vec<u32>>,