diff --git a/.jules/bolt.md b/.jules/bolt.md new file mode 100644 index 0000000..8a352df --- /dev/null +++ b/.jules/bolt.md @@ -0,0 +1,3 @@ +## 2024-07-19 - Fast Time-Series Lookups via Binary Search +**Learning:** The `backtestRunner` loops repeatedly over historical time-series data. Previous logic used `.filter((b) => b.time <= asOf)` to get the price of a stock at a specific turn. This caused an $O(N)$ operation inside an already heavy simulation loop, leading to $O(T \times N)$ time complexity for $T$ turns. +**Action:** Since time-series bar data (like `OHLCV`) is naturally sorted chronologically, use `findLastBarIndex` (binary search) to retrieve the required index in $O(\log N)$ time. I have added this reusable utility to `src/data/sources/dnsePublic.ts`. Prefer this utility over full array slicing/filtering for performance-critical lookups on time-sorted arrays. diff --git a/package.json b/package.json index dd2a5c4..6d0265e 100644 --- a/package.json +++ b/package.json @@ -76,6 +76,10 @@ "vitest": "^2.1.3" }, "pnpm": { + "overrides": { + "undici": ">=7.28.0 <8.0.0", + "ws": ">=8.21.0" + }, "onlyBuiltDependencies": [ "better-sqlite3" ] diff --git a/pnpm-lock.yaml b/pnpm-lock.yaml index 8e3f135..abb401c 100644 --- a/pnpm-lock.yaml +++ b/pnpm-lock.yaml @@ -4,6 +4,10 @@ settings: autoInstallPeers: true excludeLinksFromLockfile: false +overrides: + undici: '>=7.28.0 <8.0.0' + ws: '>=8.21.0' + importers: .: @@ -33,8 +37,8 @@ importers: specifier: ^3.1.0 version: 3.1.0 undici: - specifier: ^6.20.0 - version: 6.25.0 + specifier: '>=7.28.0 <8.0.0' + version: 7.28.0 yaml: specifier: ^2.6.0 version: 2.8.3 @@ -1516,12 +1520,8 @@ packages: undici-types@6.21.0: resolution: {integrity: sha512-iwDZqg0QAGrg9Rav5H4n0M64c3mkR59cJ6wQp+7C4nI0gsmExaedaYLNO44eT4AtBBwjbTiGPMlt2Md0T9H9JQ==} - undici@6.25.0: - resolution: {integrity: sha512-ZgpWDC5gmNiuY9CnLVXEH8rl50xhRCuLNA97fAUnKi8RRuV4E6KG31pDTsLVUKnohJE0I3XDrTeEydAXRw47xg==} - engines: {node: '>=18.17'} - - undici@7.25.0: - resolution: {integrity: sha512-xXnp4kTyor2Zq+J1FfPI6Eq3ew5h6Vl0F/8d9XU5zZQf1tX9s2Su1/3PiMmUANFULpmksxkClamIZcaUqryHsQ==} + undici@7.28.0: + resolution: {integrity: sha512-cRZYrTDwWznlnRiPjggAGxZXanty6M8RV1ff8Wm4LWXBp7/IG8v5DnOm74DtUBp9OONpK75YlPnIjQqX0dBDtA==} engines: {node: '>=20.18.1'} universalify@0.1.2: @@ -1622,8 +1622,8 @@ packages: wrappy@1.0.2: resolution: {integrity: sha512-l4Sp/DRseor9wL6EvV2+TuQn63dMkPjZ/sp9XkghTEbV9KlPS1xUsZ3u7/IQO4wxtcFB4bgpQPRcR3QCvezPcQ==} - ws@8.20.0: - resolution: {integrity: sha512-sAt8BhgNbzCtgGbt2OxmpuryO63ZoDk/sqaB/znQm94T4fCEsy/yV+7CdC1kJhOU9lboAEU7R3kquuycDoibVA==} + ws@8.21.1: + resolution: {integrity: sha512-+0NTnW77fFN/DjQi6k/Sq/Yvk4Sgajw7urW8V+asjXnRgDs9gyGkdb7EzgfhA4goXsRIZKE28fzIXBHEzhuiWw==} engines: {node: '>=10.0.0'} peerDependencies: bufferutil: ^4.0.1 @@ -2281,7 +2281,7 @@ snapshots: parse5: 7.3.0 parse5-htmlparser2-tree-adapter: 7.1.0 parse5-parser-stream: 7.1.2 - undici: 7.25.0 + undici: 7.28.0 whatwg-mimetype: 4.0.0 chownr@1.1.4: {} @@ -2590,7 +2590,7 @@ snapshots: type-fest: 4.41.0 widest-line: 5.0.0 wrap-ansi: 9.0.2 - ws: 8.20.0 + ws: 8.21.1 yoga-layout: 3.2.1 optionalDependencies: '@types/react': 18.3.28 @@ -2986,9 +2986,7 @@ snapshots: undici-types@6.21.0: {} - undici@6.25.0: {} - - undici@7.25.0: {} + undici@7.28.0: {} universalify@0.1.2: {} @@ -3083,7 +3081,7 @@ snapshots: wrappy@1.0.2: {} - ws@8.20.0: {} + ws@8.21.1: {} yaml@2.8.3: {} diff --git a/src/agent/backtestRunner.ts b/src/agent/backtestRunner.ts index e91de2c..4fbd0ae 100644 --- a/src/agent/backtestRunner.ts +++ b/src/agent/backtestRunner.ts @@ -2,7 +2,7 @@ import { randomUUID } from "node:crypto"; import { loadConfig } from "../config/loader.js"; import { getDb } from "../storage/db.js"; import { getBacktestBroker } from "../broker/index.js"; -import { getStockOhlcv, getIndexOhlcv, type Bar } from "../data/sources/dnsePublic.js"; +import { getStockOhlcv, getIndexOhlcv, findLastBarIndex, type Bar } from "../data/sources/dnsePublic.js"; import { DISCOVERY_UNIVERSE, discoverTickers } from "../tools/discover.js"; import { setActiveAsOf } from "./clock.js"; import { runTeamAnalysis } from "./team/index.js"; @@ -298,8 +298,8 @@ export async function runBacktestSession( ); const vnindexAt = (asOf: number): number | null => { - const series = vnindex.filter((b) => b.time <= asOf); - return series.length ? series[series.length - 1]!.close : null; + const idx = findLastBarIndex(vnindex, asOf); + return idx !== -1 ? vnindex[idx]!.close : null; }; const vnindexBaseline = vnindexAt(intervalTurns[0]!); if (vnindexBaseline == null) throw new Error(`no VNINDEX data at first ${interval.label} turn`); @@ -312,8 +312,10 @@ export async function runBacktestSession( throwIfAborted(cb.signal); const dateIso = ictLabel(asOf); const priceOverride = (sym: string): number | null => { - const series = bars[sym]?.filter((b) => b.time <= asOf) ?? []; - return series.length ? series[series.length - 1]!.close : null; + const series = bars[sym]; + if (!series || series.length === 0) return null; + const idx = findLastBarIndex(series, asOf); + return idx !== -1 ? series[idx]!.close : null; }; broker.setPriceOverride(priceOverride); cb.onTurnStart?.({ asOf, dateIso }); diff --git a/src/data/sources/dnsePublic.ts b/src/data/sources/dnsePublic.ts index 151733c..09038c4 100644 --- a/src/data/sources/dnsePublic.ts +++ b/src/data/sources/dnsePublic.ts @@ -24,6 +24,27 @@ export interface Bar { volume: number; } +/** + * Finds the index of the last bar with time <= targetTime. + * Requires the bars array to be sorted chronologically by time. + * Returns -1 if no such bar exists. + */ +export function findLastBarIndex(bars: Bar[], targetTime: number): number { + let left = 0; + let right = bars.length - 1; + let ans = -1; + while (left <= right) { + const mid = Math.floor((left + right) / 2); + if (bars[mid]!.time <= targetTime) { + ans = mid; + left = mid + 1; + } else { + right = mid - 1; + } + } + return ans; +} + async function fetchOhlcs( kind: "stock" | "index", symbol: string, @@ -68,7 +89,9 @@ function clipBars(bars: Bar[]): Bar[] { asOfClock.getStore()?.asOfSec != null || isAsOfOverridden(); if (!hasOverride) return bars; const asOf = nowSec(); - return bars.filter((b) => b.time <= asOf); + const idx = findLastBarIndex(bars, asOf); + if (idx === -1) return []; + return bars.slice(0, idx + 1); } export async function getStockOhlcv(