⚡ Bolt: Replace O(N) array filtering with O(log N) binary search for price lookups

.jules/bolt.md

@@ -0,0 +1,3 @@
+## 2025-02-09 - O(log N) Time Series Lookups in Backtesting
+**Learning:** Backtest engines running repeated interval simulations often re-query historical price arrays. Using `.filter()` to truncate arrays up to an `asOf` date is an O(N) operation per query that allocates intermediate arrays, severely bottlenecking multi-interval backtests.
+**Action:** Always prefer O(log N) binary search lookups over O(N) array filtering when interacting with chronologically sorted time-series data, specifically returning index positions to avoid array copying overhead.

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 +312,9 @@ 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 !== -1 ? series[idx]!.close : null;
       };
       broker.setPriceOverride(priceOverride);
       cb.onTurnStart?.({ asOf, dateIso });

src/data/sources/dnsePublic.ts

@@ -24,6 +24,26 @@ export interface Bar {
   volume: number;
 }
 
+/**
+ * Binary search to find the index of the last bar with time <= asOf.
+ * This is O(log n) compared to O(n) array filtering.
+ */
+export function findLastBarIndex(bars: readonly Bar[], asOf: 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 <= asOf) {
+      ans = mid;
+      low = mid + 1;
+    } else {
+      high = mid - 1;
+    }
+  }
+  return ans;
+}
+
 async function fetchOhlcs(
   kind: "stock" | "index",
   symbol: string,
@@ -68,7 +88,9 @@ 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 index = findLastBarIndex(bars, asOf);
+  if (index === -1) return [];
+  return bars.slice(0, index + 1);
 }
 
 export async function getStockOhlcv(