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Update perf

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cryptooda
2025-11-11 14:19:41 +07:00
parent 903413692c
commit 583b35d209
4 changed files with 45 additions and 98 deletions
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85
src/Managing.Application/Backtests/BacktestExecutor.cs
View File

@@ -8,8 +8,6 @@ using Managing.Core;
using Managing.Domain.Backtests;
using Managing.Domain.Bots;
using Managing.Domain.Candles;
using Managing.Domain.Indicators;
using Managing.Domain.Scenarios;
using Managing.Domain.Shared.Helpers;
using Managing.Domain.Strategies.Base;
using Managing.Domain.Users;
@@ -226,28 +224,8 @@ public class BacktestExecutor
// Pre-allocate and populate candle structures for maximum performance
var orderedCandles = candles.OrderBy(c => c.Date).ToList();
// Pre-calculate all signals for the entire backtest period
Dictionary<DateTime, LightSignal> preCalculatedSignals = null;
var signalPreCalcStart = Stopwatch.GetTimestamp();
if (config.Scenario != null && preCalculatedIndicatorValues != null)
{
try
{
preCalculatedSignals = PreCalculateAllSignals(orderedCandles, config.Scenario, preCalculatedIndicatorValues);
var signalPreCalcTime = Stopwatch.GetElapsedTime(signalPreCalcStart);
_logger.LogInformation(
"✅ Successfully pre-calculated {SignalCount} signals in {Duration:F2}ms",
preCalculatedSignals.Count, signalPreCalcTime.TotalMilliseconds);
}
catch (Exception ex)
{
var signalPreCalcTime = Stopwatch.GetElapsedTime(signalPreCalcStart);
_logger.LogWarning(ex,
"❌ Failed to pre-calculate signals in {Duration:F2}ms, will calculate on-the-fly. Error: {ErrorMessage}",
signalPreCalcTime.TotalMilliseconds, ex.Message);
preCalculatedSignals = null;
}
}
// Skip pre-calculated signals - the approach was flawed and caused performance regression
// The signal calculation depends on rolling window state and cannot be pre-calculated effectively
// Use optimized rolling window approach - TradingBox.GetSignal only needs last 600 candles
const int rollingWindowSize = 600;
@@ -301,23 +279,10 @@ public class BacktestExecutor
if (!shouldSkipSignalUpdate)
{
// Use pre-calculated signals for maximum performance
// Smart signal caching - reduce signal update frequency for performance
// RSI and similar indicators don't need updates every candle for 15-minute data
var signalUpdateStart = Stopwatch.GetTimestamp();
if (preCalculatedSignals != null && preCalculatedSignals.TryGetValue(candle.Date, out var preCalculatedSignal))
{
// Fast path: use pre-calculated signal directly
if (preCalculatedSignal != null)
{
await tradingBot.AddSignal(preCalculatedSignal);
}
}
else
{
// Fallback: calculate signal on-the-fly (shouldn't happen in optimized path)
await tradingBot.UpdateSignals(fixedCandlesHashSet);
}
await tradingBot.UpdateSignals(fixedCandlesHashSet);
signalUpdateTotalTime += Stopwatch.GetElapsedTime(signalUpdateStart);
telemetry.TotalSignalUpdates++;
}
@@ -589,46 +554,6 @@ public class BacktestExecutor
/// Pre-calculates all signals for the entire backtest period
/// This eliminates repeated GetSignal() calls during the backtest loop
/// </summary>
private Dictionary<DateTime, LightSignal> PreCalculateAllSignals(
List<Candle> orderedCandles,
LightScenario scenario,
Dictionary<IndicatorType, IndicatorsResultBase> preCalculatedIndicatorValues)
{
var signals = new Dictionary<DateTime, LightSignal>();
var previousSignals = new Dictionary<string, LightSignal>();
const int rollingWindowSize = 600;
_logger.LogInformation("⚡ Pre-calculating signals for {CandleCount} candles with rolling window size {WindowSize}",
orderedCandles.Count, rollingWindowSize);
for (int i = 0; i < orderedCandles.Count; i++)
{
var currentCandle = orderedCandles[i];
// Build rolling window: last 600 candles up to current candle
var windowStart = Math.Max(0, i - rollingWindowSize + 1);
var windowCandles = orderedCandles.Skip(windowStart).Take(i - windowStart + 1).ToHashSet();
// Calculate signal for this candle using the same logic as TradingBox.GetSignal
var signal = TradingBox.GetSignal(
windowCandles,
scenario,
previousSignals,
scenario?.LoopbackPeriod ?? 1,
preCalculatedIndicatorValues);
if (signal != null)
{
signals[currentCandle.Date] = signal;
previousSignals[signal.Identifier] = signal;
}
}
_logger.LogInformation("✅ Pre-calculated {SignalCount} signals for {CandleCount} candles",
signals.Count, orderedCandles.Count);
return signals;
}
/// <summary>
/// Converts a Backtest to LightBacktest

7
src/Managing.Workers.Tests/performance-benchmarks-two-scenarios.csv
View File

@@ -2,3 +2,10 @@ DateTime,TestName,CandlesCount,ExecutionTimeSeconds,ProcessingRateCandlesPerSec,
2025-11-11T06:53:40Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576037926 576037588,1.52 1.53,3792.6 3758,8,15.26,11.35,23.73,0.0,0,0.0,0.0,0.0,0.0,2018.27,4 000,00,2.02,1919,e810ab60,dev,development
2025-11-11T06:58:31Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576038904 576038584,1.48 1.49,3890.4 3858,4,15.27,11.03,23.74,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),4 000,00 (Expected: 40,0%),2.02 (Expected: 2.02%),19181918,e810ab60,dev,development
2025-11-11T07:03:00Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576033954 576033649,1.70 1.71,3395.4 3364,9,15.29,11.00,23.75,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19191918,e810ab60,dev,development
2025-11-11T07:07:23Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576028957 576028743,1.99 2.00,2895.7 2874,3,15.30,11.20,24.91,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
2025-11-11T07:08:48Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576020748 576020540,2.78 2.80,2074.8 2054,0,15.27,11.13,24.95,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
2025-11-11T07:09:35Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576019355 576019187,2.98 3.00,1935.5 1918,7,15.28,11.27,23.74,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
2025-11-11T07:10:15Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576031357 576031098,1.84 1.85,3135.7 3109,8,15.29,11.08,24.89,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
2025-11-11T07:10:55Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576034016 576033795,1.69 1.70,3401.6 3379,5,15.27,11.27,23.74,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
2025-11-11T07:14:07Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576029692 576029392,1.94 1.96,2969.2 2939,2,15.26,10.16,23.73,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19191918,90341369,dev,development
2025-11-11T07:15:11Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576018866 576018800,3.05 3.06,1886.6 1880,0,15.71,10.54,24.24,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
1 DateTime,TestName,CandlesCount,ExecutionTimeSeconds,ProcessingRateCandlesPerSec,MemoryStartMB,MemoryEndMB,MemoryPeakMB,SignalUpdatesCount,SignalUpdatesSkipped,SignalUpdateEfficiencyPercent,BacktestStepsCount,AverageSignalUpdateMs,AverageBacktestStepMs,FinalPnL,WinRatePercent,GrowthPercentage,Score,CommitHash,GitBranch,Environment
2 2025-11-11T06:53:40Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576037926 576037588,1.52 1.53,3792.6 3758,8,15.26,11.35,23.73,0.0,0,0.0,0.0,0.0,0.0,2018.27,4 000,00,2.02,1919,e810ab60,dev,development
3 2025-11-11T06:58:31Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576038904 576038584,1.48 1.49,3890.4 3858,4,15.27,11.03,23.74,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),4 000,00 (Expected: 40,0%),2.02 (Expected: 2.02%),19181918,e810ab60,dev,development
4 2025-11-11T07:03:00Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576033954 576033649,1.70 1.71,3395.4 3364,9,15.29,11.00,23.75,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19191918,e810ab60,dev,development
5 2025-11-11T07:07:23Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576028957 576028743,1.99 2.00,2895.7 2874,3,15.30,11.20,24.91,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
6 2025-11-11T07:08:48Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576020748 576020540,2.78 2.80,2074.8 2054,0,15.27,11.13,24.95,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
7 2025-11-11T07:09:35Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576019355 576019187,2.98 3.00,1935.5 1918,7,15.28,11.27,23.74,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
8 2025-11-11T07:10:15Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576031357 576031098,1.84 1.85,3135.7 3109,8,15.29,11.08,24.89,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
9 2025-11-11T07:10:55Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576034016 576033795,1.69 1.70,3401.6 3379,5,15.27,11.27,23.74,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development
10 2025-11-11T07:14:07Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576029692 576029392,1.94 1.96,2969.2 2939,2,15.26,10.16,23.73,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19191918,90341369,dev,development
11 2025-11-11T07:15:11Z,ExecuteBacktest_With_Two_Scenarios_Should_Show_Performance_Telemetry,576018866 576018800,3.05 3.06,1886.6 1880,0,15.71,10.54,24.24,0.0,0,0.0,0.0,0.0,0.0,2018.27 (Expected: 2018.27),40 (Expected: 40%),2.02 (Expected: 2.02%),19181918,90341369,dev,development

7
src/Managing.Workers.Tests/performance-benchmarks.csv
View File

@@ -44,3 +44,10 @@ DateTime,TestName,CandlesCount,ExecutionTimeSeconds,ProcessingRateCandlesPerSec,
2025-11-11T06:53:40Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.12,5112.2,15.26,11.35,23.73,927.80,3828,66.5,78.67,0.48,0.01,24560.79,38,24.56,6015,e810ab60,dev,development
2025-11-11T06:58:31Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.55,3699.6,15.27,11.03,23.74,1319.91,3828,66.5,117.22,0.68,0.02,24560.79,38,24.56,6015,e810ab60,dev,development
2025-11-11T07:03:00Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,2.11,2720.5,15.29,11.00,23.75,1780.10,3828,66.5,145.96,0.92,0.03,24560.79,38,24.56,6015,e810ab60,dev,development
2025-11-11T07:07:23Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,5.115,1123.6,15.30,11.20,24.91,4447.27,3828,66.5,326.88,2.30,0.06,24560.79,38,24.56,6015,90341369,dev,development
2025-11-11T07:08:48Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.5,3827.1,15.27,11.13,24.95,1241.94,3828,66.5,128.70,0.64,0.02,24560.79,38,24.56,6015,90341369,dev,development
2025-11-11T07:09:35Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.015,5645.1,15.28,11.27,23.74,882.37,3828,66.5,62.61,0.46,0.01,24560.79,38,24.56,6015,90341369,dev,development
2025-11-11T07:10:15Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.985,2883.0,15.29,11.08,24.89,1662.32,3828,66.5,166.71,0.86,0.03,24560.79,38,24.56,6015,90341369,dev,development
2025-11-11T07:10:55Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.45,3954.1,15.27,11.27,23.74,1256.06,3828,66.5,94.29,0.65,0.02,24560.79,38,24.56,6015,90341369,dev,development
2025-11-11T07:14:07Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,0.815,7020.8,15.26,10.16,23.73,697.23,3828,66.5,53.42,0.36,0.01,24560.79,38,24.56,6016,90341369,dev,development
2025-11-11T07:15:11Z,ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry,5760,1.76,3256.6,15.71,10.54,24.24,1411.34,3828,66.5,208.73,0.73,0.04,24560.79,38,24.56,6015,90341369,dev,development
1 DateTime TestName CandlesCount ExecutionTimeSeconds ProcessingRateCandlesPerSec MemoryStartMB MemoryEndMB MemoryPeakMB SignalUpdatesCount SignalUpdatesSkipped SignalUpdateEfficiencyPercent BacktestStepsCount AverageSignalUpdateMs AverageBacktestStepMs FinalPnL WinRatePercent GrowthPercentage Score CommitHash GitBranch Environment
44 2025-11-11T06:53:40Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 1.12 5112.2 15.26 11.35 23.73 927.80 3828 66.5 78.67 0.48 0.01 24560.79 38 24.56 6015 e810ab60 dev development
45 2025-11-11T06:58:31Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 1.55 3699.6 15.27 11.03 23.74 1319.91 3828 66.5 117.22 0.68 0.02 24560.79 38 24.56 6015 e810ab60 dev development
46 2025-11-11T07:03:00Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 2.11 2720.5 15.29 11.00 23.75 1780.10 3828 66.5 145.96 0.92 0.03 24560.79 38 24.56 6015 e810ab60 dev development
47 2025-11-11T07:07:23Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 5.115 1123.6 15.30 11.20 24.91 4447.27 3828 66.5 326.88 2.30 0.06 24560.79 38 24.56 6015 90341369 dev development
48 2025-11-11T07:08:48Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 1.5 3827.1 15.27 11.13 24.95 1241.94 3828 66.5 128.70 0.64 0.02 24560.79 38 24.56 6015 90341369 dev development
49 2025-11-11T07:09:35Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 1.015 5645.1 15.28 11.27 23.74 882.37 3828 66.5 62.61 0.46 0.01 24560.79 38 24.56 6015 90341369 dev development
50 2025-11-11T07:10:15Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 1.985 2883.0 15.29 11.08 24.89 1662.32 3828 66.5 166.71 0.86 0.03 24560.79 38 24.56 6015 90341369 dev development
51 2025-11-11T07:10:55Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 1.45 3954.1 15.27 11.27 23.74 1256.06 3828 66.5 94.29 0.65 0.02 24560.79 38 24.56 6015 90341369 dev development
52 2025-11-11T07:14:07Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 0.815 7020.8 15.26 10.16 23.73 697.23 3828 66.5 53.42 0.36 0.01 24560.79 38 24.56 6016 90341369 dev development
53 2025-11-11T07:15:11Z ExecuteBacktest_With_Large_Dataset_Should_Show_Performance_Telemetry 5760 1.76 3256.6 15.71 10.54 24.24 1411.34 3828 66.5 208.73 0.73 0.04 24560.79 38 24.56 6015 90341369 dev development