⚡ Bolt: O(log n) binary search lookups for time-series data - #82
⚡ Bolt: O(log n) binary search lookups for time-series data#82toreleon wants to merge 2 commits into
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- Add reusable `findLastBarIndex` for O(log n) searches on sorted bar data. - Refactor `clipBars` to use binary search and slice instead of O(n) filter. - Refactor backtester inner loop lookups to use binary search. Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
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- Add reusable `findLastBarIndex` for O(log n) searches on sorted bar data. - Refactor `clipBars` to use binary search and slice instead of O(n) filter. - Refactor backtester inner loop lookups to use binary search. - Bump undici to address security vulnerabilities Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
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💡 What: Replaced O(n)
.filter()operations with O(log n) binary searches for querying historical tick / bar data by chronological timestamp.🎯 Why: The application simulated historical prices by doing full linear
.filter()operations inside the nested loop of the backtester, resulting in O(m * n) computational complexity during simulation runs.📊 Impact: Reduces time complexity for price evaluations from O(m * n) to O(m * log n). Backtester loop intervals now scale logarithmically instead of linearly, offering drastically improved performance for longer ranges or lower timeframes.
🔬 Measurement: Run
pnpm testto verify backtester functionality and timing. Observe significant speedups when running heavy, multi-turn backtest sweeps over a broad universe of tickers.PR created automatically by Jules for task 11270832097658688566 started by @toreleon