⚡ Bolt: Use binary search for timeseries lookups in backtesting#43
⚡ Bolt: Use binary search for timeseries lookups in backtesting#43toreleon wants to merge 1 commit into
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💡 What: Replaced an O(n) array `.filter()` inside the backtest interval loop with an O(log n) binary search utility `findPriceAt` for retrieving the latest price `asOf` a timestamp. 🎯 Why: Backtests loop through thousands of intervals. Filtering an entire timeseries array every interval creates a severe O(n*m) performance bottleneck on the critical path. 📊 Impact: Expected to reduce lookup time from O(n) to O(log n), making overall backtest sessions significantly faster, especially over longer time frames or larger symbol universes. 🔬 Measurement: Run a large backtest before and after to observe runtime difference, or run an isolated script benchmarking `.filter()` vs binary search on an array of 10,000 dates (shows a multi-hundredfold improvement in lookups). Co-authored-by: toreleon <42534763+toreleon@users.noreply.github.com>
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💡 What: Replaced an O(n) array
.filter()inside the backtest interval loop with an O(log n) binary search utilityfindPriceAtfor retrieving the latest priceasOfa timestamp.🎯 Why: Backtests loop through thousands of intervals. Filtering an entire timeseries array every interval creates a severe O(n*m) performance bottleneck on the critical path.
📊 Impact: Expected to reduce lookup time from O(n) to O(log n), making overall backtest sessions significantly faster, especially over longer time frames or larger symbol universes.
🔬 Measurement: Run a large backtest before and after to observe runtime difference, or run an isolated script benchmarking
.filter()vs binary search on an array of 10,000 dates (shows a multi-hundredfold improvement in lookups).PR created automatically by Jules for task 12546536491596426527 started by @toreleon