diff --git a/.jules/bolt.md b/.jules/bolt.md new file mode 100644 index 0000000..989a6ff --- /dev/null +++ b/.jules/bolt.md @@ -0,0 +1,3 @@ +## 2024-05-14 - Time-Series O(log n) Search Pattern +**Learning:** `src/agent/backtestRunner.ts` makes heavy use of `.filter((b) => b.time <= asOf)` to get the latest close price inside loop bounds, changing potentially O(1) loop lookups or O(log n) lookups into repetitive O(n) filtering over large arrays. +**Action:** Expose `findLastBarIndex` in `src/data/sources/dnsePublic.ts` and use binary search or track indices explicitly in tight loops. diff --git a/package.json b/package.json index dd2a5c4..92516ea 100644 --- a/package.json +++ b/package.json @@ -78,7 +78,11 @@ "pnpm": { "onlyBuiltDependencies": [ "better-sqlite3" - ] + ], + "overrides": { + "undici": ">=7.28.0 <8.0.0", + "ws": ">=8.21.0" + } }, "packageManager": "pnpm@10.33.2+sha512.a90faf6feeab71ad6c6e57f94e0fe1a12f5dcc22cd754db40ae9593eb6a3e0b6b12e3540218bb37ae083404b1f2ce6db2a4121e979829b4aff94b99f49da1cf8" } 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..610ee01 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 >= 0 ? 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 +312,9 @@ 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] ?? []; + const idx = findLastBarIndex(series, asOf); + return idx >= 0 ? 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..ee39639 100644 --- a/src/data/sources/dnsePublic.ts +++ b/src/data/sources/dnsePublic.ts @@ -61,6 +61,26 @@ export function seriesToBars(s: OhlcvSeries): Bar[] { return out; } +/** + * O(log n) binary search to find the last bar index with time <= timeSec. + * Returns -1 if no such bar exists. + */ +export function findLastBarIndex(bars: Bar[], timeSec: number): number { + let low = 0; + let high = bars.length - 1; + let ans = -1; + while (low <= high) { + const mid = (low + high) >>> 1; + if (bars[mid]!.time <= timeSec) { + ans = mid; + low = mid + 1; + } else { + high = mid - 1; + } + } + return ans; +} + function clipBars(bars: Bar[]): Bar[] { // Clip when an as-of clock is active (ALS or module override). When neither // is set, fall through unchanged — DNSE only returns historical data anyway.