perf: process batch SL/TP exits in linear time

Codex 🤖, On behalf of Khizar
This commit is contained in:
Khizar Imran
2026-10-20 22:16:46 +00:00
parent c490f274e6
commit c4281671a0
5 changed files with 177 additions and 7 deletions
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# Batch SL/TP benchmark
Run `cargo run --release --example benchmark_sl_tp` from the repository root.
The example opens positions before timing, then measures one `check_sl_tp`
call with all stops triggered. Each of nine repetitions uses a fresh broker;
results are medians. Assertions check that every position closes and trade
order matches submission order. Trade allocation and settlement are included.
Measured on an Intel Core i5-8350U (4 cores / 8 threads), Linux x86_64,
Rust 1.98.1, PyO3 0.28.3, CPython 3.14.4, default Cargo release profile.
The benchmark itself executes entirely in Rust on one thread.
Before uses the repeated `Vec::remove` implementation at commit `867eee6`;
after uses stable in-place compaction. Both use the same example and settings.
| Positions | Before (microseconds) | After (microseconds) |
| ---: | ---: | ---: |
| 1,000 | 521.215 | 7.622 |
| 2,000 | 2,245.135 | 54.041 |
| 4,000 | 10,763.030 | 109.674 |
| 8,000 | 52,533.606 | 222.399 |
| 16,000 | 232,879.797 | 484.124 |
| 32,000 | 966,525.622 | 980.658 |
From 2,000 through 32,000 positions, the new implementation takes roughly
27–31 ns per position, consistent with linear scaling. The 1,000-position
case fits a smaller working set and is faster per position. At 32,000 positions
the measured batch-close speedup is about 986x. These are local microbenchmark
results, not an end-to-end backtest speedup; strategies with few open positions
will see much smaller gains. Timing varies with hardware and system load.
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//! Run with `cargo run --release --example benchmark_sl_tp`.
//! Position setup is excluded; each repetition uses a fresh broker.
use _backtestingfx::broker::Broker;
use _backtestingfx::types::Bar;
use std::hint::black_box;
use std::time::Instant;
fn main() {
const REPEATS: usize = 9;
println!("All positions hit SL on one bar; median of {REPEATS} runs");
for count in [1_000, 2_000, 4_000, 8_000, 16_000, 32_000] {
let mut times = Vec::with_capacity(REPEATS);
for _ in 0..REPEATS {
let mut broker = Broker::new(10_000.0, 7.0, 0.0001, 100_000.0, 1.27);
for i in 0..count {
broker.buy(1.1, 0.01, i as i64, Some(1.09), None);
}
let bar = Bar::new(count as i64, 1.1, 1.11, 1.08, 1.1, 0.0);
let start = Instant::now();
broker.check_sl_tp(black_box(&bar));
times.push(start.elapsed());
assert!(broker.positions.is_empty());
assert_eq!(broker.trade_history.len(), count);
for (i, trade) in broker.trade_history.iter().enumerate() {
assert_eq!(trade.entry_timestamp, i as i64);
}
black_box(&broker);
}
times.sort_unstable();
let median = times[REPEATS / 2];
println!(
"{count:>6} positions: {:>12.3} us ({:.1} ns/position)",
median.as_secs_f64() * 1e6,
median.as_secs_f64() * 1e9 / count as f64
);
}
}