⚡ Bolt: Optimize time-series data lookups during backtesting#64
⚡ Bolt: Optimize time-series data lookups during backtesting#64toreleon wants to merge 3 commits into
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- Implement binary search utility `findLastBarIndex` - Update `vnindexAt` and `priceOverride` in backtestRunner to use O(log n) lookups instead of `.filter` - Add performance learning to journal Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
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- Implement binary search utility `findLastBarIndex` - Update `vnindexAt` and `priceOverride` in backtestRunner to use O(log n) lookups instead of `.filter` - Add performance learning to journal Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
- Implement binary search utility `findLastBarIndex` - Update `vnindexAt` and `priceOverride` in backtestRunner to use O(log n) lookups instead of `.filter` - Add performance learning to journal - Resolve high severity security vulnerabilities in CI by overriding `ws` version and updating `undici` Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
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💡 What: Replaced
array.filter(b => b.time <= asOf)with an O(log n) binary search lookup (findLastBarIndex) in the backtesting engine.🎯 Why: During backtesting loops, the
vnindexAtandpriceOverridefunctions are called constantly for every symbol at every interval. Filtering the entire time-series array on each call results in O(n) complexity on chronologically sorted arrays. As backtests scale in interval density and candidate counts, this CPU bottleneck degrades performance significantly.📊 Impact: Reduces time complexity of looking up historical bars from O(n) to O(log n), eliminating unnecessary array allocations and iterations. Expected to drastically improve performance for long backtesting periods.
🔬 Measurement: Verified by running the full test suite (
pnpm testandpnpm typecheck), and the correctness is functionally identical while using binary search logic on sorted arrays.PR created automatically by Jules for task 8960681477467071551 started by @toreleon