foxhunt/services/backtesting_service/benches/dbn_loading_benchmark.rs

#![allow(clippy::inconsistent_digit_grouping, dead_code, unused_variables)]
//! Performance benchmarks for DBN data loading
//!
//! This benchmark measures the performance of loading real market data from DBN files
//! to ensure it meets HFT requirements.

use backtesting_service::dbn_repository::DbnMarketDataRepository;
use backtesting_service::repositories::MarketDataRepository;
use criterion::{black_box, criterion_group, criterion_main, BenchmarkId, Criterion};
use std::collections::HashMap;
use tokio::runtime::Runtime;

fn benchmark_dbn_loading(c: &mut Criterion) {
    let rt = Runtime::new().unwrap();

    // Find workspace root to get absolute path to test file
    let current_dir = std::env::current_dir().expect("INVARIANT: Current directory should be accessible");
    let workspace_root = current_dir
        .ancestors()
        .find(|p| p.join("Cargo.toml").exists() && p.join("test_data").exists())
        .expect("Could not find workspace root");
    let test_file = workspace_root.join("test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn");

    if !test_file.exists() {
        panic!("Test file not found: {}", test_file.display());
    }

    let mut file_mapping = HashMap::new();
    file_mapping.insert(
        "ES.FUT".to_string(),
        test_file.to_string_lossy().to_string(),
    );

    let repo = rt.block_on(async { DbnMarketDataRepository::new(file_mapping).await.unwrap() });

    c.bench_function("load_es_fut_390_bars", |b| {
        b.to_async(&rt).iter(|| async {
            let symbols = vec!["ES.FUT".to_string()];
            let start_time = 1704153600_000_000_000i64; // 2024-01-02 00:00:00
            let end_time = 1704240000_000_000_000i64; // 2024-01-03 00:00:00

            let data = repo
                .load_historical_data(&symbols, start_time, end_time)
                .await
                .unwrap();

            black_box(data);
        });
    });
}

fn benchmark_multiple_loads(c: &mut Criterion) {
    let rt = Runtime::new().unwrap();

    // Find workspace root to get absolute path to test file
    let current_dir = std::env::current_dir().expect("INVARIANT: Current directory should be accessible");
    let workspace_root = current_dir
        .ancestors()
        .find(|p| p.join("Cargo.toml").exists() && p.join("test_data").exists())
        .expect("Could not find workspace root");
    let test_file = workspace_root.join("test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn");

    let mut file_mapping = HashMap::new();
    file_mapping.insert(
        "ES.FUT".to_string(),
        test_file.to_string_lossy().to_string(),
    );

    let repo = rt.block_on(async { DbnMarketDataRepository::new(file_mapping).await.unwrap() });

    let mut group = c.benchmark_group("multiple_loads");

    for iterations in [1, 5, 10].iter() {
        group.bench_with_input(
            BenchmarkId::from_parameter(iterations),
            iterations,
            |b, &iterations| {
                b.to_async(&rt).iter(|| async {
                    for _ in 0..iterations {
                        let symbols = vec!["ES.FUT".to_string()];
                        let start_time = 1704153600_000_000_000i64;
                        let end_time = 1704240000_000_000_000i64;

                        let data = repo
                            .load_historical_data(&symbols, start_time, end_time)
                            .await
                            .unwrap();

                        black_box(data);
                    }
                });
            },
        );
    }
    group.finish();
}

fn benchmark_partial_day_load(c: &mut Criterion) {
    let rt = Runtime::new().unwrap();

    // Find workspace root to get absolute path to test file
    let current_dir = std::env::current_dir().expect("INVARIANT: Current directory should be accessible");
    let workspace_root = current_dir
        .ancestors()
        .find(|p| p.join("Cargo.toml").exists() && p.join("test_data").exists())
        .expect("Could not find workspace root");
    let test_file = workspace_root.join("test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn");

    let mut file_mapping = HashMap::new();
    file_mapping.insert(
        "ES.FUT".to_string(),
        test_file.to_string_lossy().to_string(),
    );

    let repo = rt.block_on(async { DbnMarketDataRepository::new(file_mapping).await.unwrap() });

    c.bench_function("load_es_fut_partial_day", |b| {
        b.to_async(&rt).iter(|| async {
            let symbols = vec!["ES.FUT".to_string()];
            // Load only first 4 hours (9:30 AM - 1:30 PM ET)
            let start_time = 1704203400_000_000_000i64; // 2024-01-02 09:30:00 ET
            let end_time = 1704217800_000_000_000i64; // 2024-01-02 13:30:00 ET

            let data = repo
                .load_historical_data(&symbols, start_time, end_time)
                .await
                .unwrap();

            black_box(data);
        });
    });
}

criterion_group!(
    benches,
    benchmark_dbn_loading,
    benchmark_multiple_loads,
    benchmark_partial_day_load
);
criterion_main!(benches);