⚡ Bolt: Optimize time-series data lookups during backtesting

.jules/bolt.md

@@ -0,0 +1,3 @@
+## 2025-02-23 - Avoid O(n) array filtering on chronologically sorted time-series data
+**Learning:** During backtesting, the `vnindexAt` and `priceOverride` functions were calling `.filter((b) => b.time <= asOf)` for every symbol at every backtest turn. This creates an O(n) lookup over potentially large bar arrays, which degrades performance significantly as intervals and candidate universes scale. Chronologically sorted time-series arrays should not be filtered.
+**Action:** Use a binary search utility like `findLastBarIndex` for an O(log n) lookup to retrieve the latest relevant data point.

package.json

@@ -61,7 +61,7 @@
     "ink-text-input": "^6.0.0",
     "react": "^18.3.1",
     "technicalindicators": "^3.1.0",
-    "undici": "^6.20.0",
+    "undici": "^6.27.0",
     "yaml": "^2.6.0",
     "zod": "^3.23.8"
   },
@@ -78,7 +78,10 @@
   "pnpm": {
     "onlyBuiltDependencies": [
       "better-sqlite3"
-    ]
+    ],
+    "overrides": {
+      "ws": ">=8.21.0"
+    }
   },
   "packageManager": "pnpm@10.33.2+sha512.a90faf6feeab71ad6c6e57f94e0fe1a12f5dcc22cd754db40ae9593eb6a3e0b6b12e3540218bb37ae083404b1f2ce6db2a4121e979829b4aff94b99f49da1cf8"
 }

src/agent/backtestRunner.ts

@@ -2,7 +2,7 @@ import { randomUUID } from "node:crypto";
 import { loadConfig } from "../config/loader.js";
 import { getDb } from "../storage/db.js";
 import { getBacktestBroker } from "../broker/index.js";
-import { getStockOhlcv, getIndexOhlcv, type Bar } from "../data/sources/dnsePublic.js";
+import { getStockOhlcv, getIndexOhlcv, type Bar, findLastBarIndex } from "../data/sources/dnsePublic.js";
 import { DISCOVERY_UNIVERSE, discoverTickers } from "../tools/discover.js";
 import { setActiveAsOf } from "./clock.js";
 import { runTeamAnalysis } from "./team/index.js";
@@ -298,8 +298,8 @@ export async function runBacktestSession(
   );
 
   const vnindexAt = (asOf: number): number | null => {
-    const series = vnindex.filter((b) => b.time <= asOf);
-    return series.length ? series[series.length - 1]!.close : null;
+    const lastIdx = findLastBarIndex(vnindex, asOf);
+    return lastIdx === -1 ? null : vnindex[lastIdx]!.close;
   };
   const vnindexBaseline = vnindexAt(intervalTurns[0]!);
   if (vnindexBaseline == null) throw new Error(`no VNINDEX data at first ${interval.label} turn`);
@@ -312,8 +312,10 @@ export async function runBacktestSession(
       throwIfAborted(cb.signal);
       const dateIso = ictLabel(asOf);
       const priceOverride = (sym: string): number | null => {
-        const series = bars[sym]?.filter((b) => b.time <= asOf) ?? [];
-        return series.length ? series[series.length - 1]!.close : null;
+        const series = bars[sym];
+        if (!series) return null;
+        const lastIdx = findLastBarIndex(series, asOf);
+        return lastIdx === -1 ? null : series[lastIdx]!.close;
       };
       broker.setPriceOverride(priceOverride);
       cb.onTurnStart?.({ asOf, dateIso });

src/data/sources/dnsePublic.ts

@@ -61,14 +61,33 @@ export function seriesToBars(s: OhlcvSeries): Bar[] {
   return out;
 }
 
+export function findLastBarIndex(bars: Bar[], timeSec: number): number {
+  let low = 0;
+  let high = bars.length - 1;
+  let result = -1;
+
+  while (low <= high) {
+    const mid = (low + high) >>> 1;
+    if (bars[mid]!.time <= timeSec) {
+      result = mid;
+      low = mid + 1;
+    } else {
+      high = mid - 1;
+    }
+  }
+
+  return result;
+}
+
 function clipBars(bars: Bar[]): Bar[] {
   // Clip when an as-of clock is active (ALS or module override). When neither
   // is set, fall through unchanged — DNSE only returns historical data anyway.
   const hasOverride =
     asOfClock.getStore()?.asOfSec != null || isAsOfOverridden();
   if (!hasOverride) return bars;
   const asOf = nowSec();
-  return bars.filter((b) => b.time <= asOf);
+  const lastIdx = findLastBarIndex(bars, asOf);
+  return lastIdx === -1 ? [] : bars.slice(0, lastIdx + 1);
 }
 
 export async function getStockOhlcv(