Add todo for backtest performance

2025-11-15 20:53:08 +07:00
parent 49a693b44a
commit 428e36d744
4 changed files with 173 additions and 0 deletions
--- a/src/Managing.Application/Backtests/BacktestExecutor.cs
+++ b/src/Managing.Application/Backtests/BacktestExecutor.cs
@@ -264,6 +264,8 @@ public class BacktestExecutor
            // Run with optimized backtest path (minimize async calls)
            var signalUpdateStart = Stopwatch.GetTimestamp();
            // Convert rolling window to HashSet for TradingBot.UpdateSignals compatibility
+            // NOTE: Recreating HashSet each iteration is necessary to maintain correct enumeration order
+            // Incremental updates break business logic (changes PnL results)
            var fixedCandles = new HashSet<Candle>(rollingWindowCandles);
            await tradingBot.UpdateSignals(fixedCandles, preCalculatedIndicatorValues);
            signalUpdateTotalTime += Stopwatch.GetElapsedTime(signalUpdateStart);
--- a/src/Managing.Workers.Tests/performance-benchmarks-two-scenarios.csv
+++ b/src/Managing.Workers.Tests/performance-benchmarks-two-scenarios.csv
@@ -21,3 +21,4 @@ DateTime,TestName,CandlesCount,ExecutionTimeSeconds,ProcessingRateCandlesPerSec,
 2025-11-15T06:46:21Z,Telemetry_ETH_RSI_EMACROSS,5760,12.58,457.8,28.82,21.79,35.28,0.0,0,0.0,0.0,0.0,0.0,-35450.45,20,-49.76,0.00,e814eb74,dev,development
 2025-11-15T06:50:04Z,Telemetry_ETH_RSI_EMACROSS,5760,4.84,1190.4,29.01,19.10,35.17,0.0,0,0.0,0.0,0.0,0.0,-35450.45,20,-49.76,0.00,e814eb74,dev,development
 2025-11-15T07:11:55Z,Telemetry_ETH_RSI_EMACROSS,5760,5.44,1059.4,28.81,18.07,33.80,0.0,0,0.0,0.0,0.0,0.0,-35450.45,20,-49.76,0.00,bed25e72,dev,development
+2025-11-15T07:22:05Z,Telemetry_ETH_RSI_EMACROSS,5760,10.71,537.9,28.81,18.06,33.84,0.0,0,0.0,0.0,0.0,0.0,-35450.45,20,-49.76,0.00,49a693b4,dev,development
--- a/src/Managing.Workers.Tests/performance-benchmarks.csv
+++ b/src/Managing.Workers.Tests/performance-benchmarks.csv
@@ -66,3 +66,4 @@ DateTime,TestName,CandlesCount,ExecutionTimeSeconds,ProcessingRateCandlesPerSec,
 2025-11-15T06:46:21Z,Telemetry_ETH_RSI,5760,4.83,1191.0,29.02,20.22,37.20,4105.51,0,0.0,499.39,0.00,0.09,-30689.97,24,-51.70,0.00,e814eb74,dev,development
 2025-11-15T06:50:04Z,Telemetry_ETH_RSI,5760,4.47,1286.2,28.81,20.58,34.89,3324.75,0,0.0,965.71,0.00,0.17,-30689.97,24,-51.70,0.00,e814eb74,dev,development
 2025-11-15T07:11:55Z,Telemetry_ETH_RSI,5760,3.365,1707.1,29.06,20.43,36.29,2872.29,0,0.0,371.33,0.00,0.06,-30689.97,24,-51.70,0.00,bed25e72,dev,development
+2025-11-15T07:22:05Z,Telemetry_ETH_RSI,5760,7.49,766.2,28.80,20.86,34.90,5992.19,0,0.0,916.71,0.00,0.16,-30689.97,24,-51.70,0.00,49a693b4,dev,development