diff --git a/.jules/bolt.md b/.jules/bolt.md new file mode 100644 index 0000000..cb86dc1 --- /dev/null +++ b/.jules/bolt.md @@ -0,0 +1,3 @@ +## 2025-06-17 - [Optimize Chronological Array Lookups] +**Learning:** In backtesting hot loops (`agent/backtestRunner.ts`) and data source processing (`data/sources/dnsePublic.ts`), time-series data (like OHLCV arrays) is chronologically sorted. Using `Array.prototype.filter` to slice arrays up to a target time results in an unnecessary O(N) full-array scan. +**Action:** Always prefer O(log N) binary search utilities like `findLastBarIndex` when looking up historical time-series data to dramatically improve performance in repeated lookups. diff --git a/package.json b/package.json index dd2a5c4..acba067 100644 --- a/package.json +++ b/package.json @@ -78,7 +78,10 @@ "pnpm": { "onlyBuiltDependencies": [ "better-sqlite3" - ] + ], + "overrides": { + "ws": ">=8.21.0" + } }, "packageManager": "pnpm@10.33.2+sha512.a90faf6feeab71ad6c6e57f94e0fe1a12f5dcc22cd754db40ae9593eb6a3e0b6b12e3540218bb37ae083404b1f2ce6db2a4121e979829b4aff94b99f49da1cf8" } diff --git a/pnpm-lock.yaml b/pnpm-lock.yaml index 8e3f135..af81897 100644 --- a/pnpm-lock.yaml +++ b/pnpm-lock.yaml @@ -4,6 +4,9 @@ settings: autoInstallPeers: true excludeLinksFromLockfile: false +overrides: + ws: '>=8.21.0' + importers: .: @@ -1622,8 +1625,8 @@ 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@8.21.0: + resolution: {integrity: sha512-Vsp28b7DRcimFQvrqu2Wek3z1iYxDCWqHYB8Qsnk/S4RfaCQzPGPyBNuVjJV3cd6UiKtUtp6sNM77gWvzcCH+g==} engines: {node: '>=10.0.0'} peerDependencies: bufferutil: ^4.0.1 @@ -2590,7 +2593,7 @@ snapshots: type-fest: 4.41.0 widest-line: 5.0.0 wrap-ansi: 9.0.2 - ws: 8.20.0 + ws: 8.21.0 yoga-layout: 3.2.1 optionalDependencies: '@types/react': 18.3.28 @@ -3083,7 +3086,7 @@ snapshots: wrappy@1.0.2: {} - ws@8.20.0: {} + ws@8.21.0: {} yaml@2.8.3: {} diff --git a/src/agent/backtestRunner.ts b/src/agent/backtestRunner.ts index e91de2c..dd9712f 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, type Bar, findLastBarIndex } 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 ? null : vnindex[idx]!.close; }; 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 ? null : series[idx]!.close; }; broker.setPriceOverride(priceOverride); cb.onTurnStart?.({ asOf, dateIso }); diff --git a/src/data/sources/dnsePublic.ts b/src/data/sources/dnsePublic.ts index 151733c..c29f6ad 100644 --- a/src/data/sources/dnsePublic.ts +++ b/src/data/sources/dnsePublic.ts @@ -61,6 +61,31 @@ export function seriesToBars(s: OhlcvSeries): Bar[] { return out; } +/** + * ⚡ Bolt: O(log N) binary search for chronological time-series lookups. + * + * Replaces O(N) Array.prototype.filter() allocations. Since Ohlcv time-series + * arrays are strictly chronologically sorted, we can locate the target time bound + * in milliseconds rather than iterating through the entire historical dataset. + */ +export function findLastBarIndex(bars: Bar[], targetTime: number): number { + let low = 0; + let high = bars.length - 1; + let result = -1; + + while (low <= high) { + const mid = Math.floor((low + high) / 2); + if (bars[mid]!.time <= targetTime) { + result = mid; + low = mid + 1; + } else { + high = mid - 1; + } + } + + return result; +} + 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. @@ -68,7 +93,8 @@ 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); + return idx === -1 ? [] : bars.slice(0, idx + 1); } export async function getStockOhlcv(