⚡ Bolt: Replace O(n) array filtering with O(log n) binary search in time-series lookups - #85
⚡ Bolt: Replace O(n) array filtering with O(log n) binary search in time-series lookups#85toreleon wants to merge 2 commits into
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Replaces the O(n) `.filter()` array scanning with an O(log n) `findLastBarIndex()` binary search utility for time-series lookups in `backtestRunner.ts` and `dnsePublic.ts`. This vastly improves the algorithmic time complexity of lookup routines within the simulation loop. Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
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Replaces the O(n) `.filter()` array scanning with an O(log n) `findLastBarIndex()` binary search utility for time-series lookups in `backtestRunner.ts` and `dnsePublic.ts`. This vastly improves the algorithmic time complexity of lookup routines within the simulation loop. Also adds pnpm overrides for vulnerable ws and undici packages to fix the failing audit CI check. Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
💡 What: Replaces the$O(T \times N)$ operations where $T$ is the number of intervals and $N$ is the number of historical price bars.$O(n)$ to $O(\log n)$ . For a dataset of 1,000 bars, this requires at most ~10 checks instead of exactly 1,000 element scans plus array allocations per simulation step per stock ticker.
O(n).filter()array scanning with anO(log n)findLastBarIndex()binary search utility for time-series lookups inbacktestRunner.tsanddnsePublic.ts.🎯 Why: During backtesting, the runtime needs to repeatedly fetch the price of a ticker "as of" the simulated time. Previously, this was done using
.filter((b) => b.time <= asOf)which created a new array and checked every single element. Since time-series data is already sorted chronologically, this created an unnecessary bottleneck of📊 Impact: Reduces algorithmic complexity of historical time lookups from
🔬 Measurement: Verified using existing test suite (
pnpm test) to ensure lookups yield exact same output. Type integrity verified viapnpm typecheck.PR created automatically by Jules for task 18229871251248953845 started by @toreleon