foxhunt/services/backtesting_service/ADVANCED_QUERIES_QUICKREF.md

DbnMarketDataRepository - Advanced Queries Quick Reference

Quick Method Reference

Method	Purpose	Performance	Usage
load_by_time_range()	DateTime filtering	<10ms	repo.load_by_time_range(&symbols, start, end).await?
load_with_volume_filter()	Liquidity filtering	<10ms + O(n)	repo.load_with_volume_filter(&symbols, min_vol, start, end).await?
load_regime_samples()	Regime-specific data	<10ms + O(n)	repo.load_regime_samples("trending", 50, &symbols).await?
get_date_range()	Available dates	<10ms	let (first, last) = repo.get_date_range("ES.FUT").await?
resample_bars()	Timeframe aggregation	O(n)	repo.resample_bars(&bars, 5)?
calculate_rolling_stats()	Moving windows	O(n*w)	repo.calculate_rolling_stats(&bars, 20)
generate_summary_stats()	Comprehensive stats	O(n)	repo.generate_summary_stats(&bars)

Regime Types

Regime	Threshold	Description
"trending"	>0.5% range	High directional movement
"ranging"	<0.2% range	Sideways consolidation
"volatile"	>0.8% range + volume	Explosive moves
"stable"	<0.15% range	Minimal volatility

Common Patterns

Filter by Liquidity

let min_volume = Decimal::new(100, 0);
let bars = repo.load_with_volume_filter(&symbols, min_volume, start, end).await?;

Test Regime Strategy

let samples = repo.load_regime_samples("volatile", 50, &symbols).await?;
let results = strategy.backtest(&samples).await?;

Multi-Timeframe Analysis

let bars_1m = repo.load_historical_data(&symbols, start, end).await?;
let bars_5m = repo.resample_bars(&bars_1m, 5)?;
let bars_15m = repo.resample_bars(&bars_1m, 15)?;

Calculate Statistics

let stats = repo.generate_summary_stats(&bars);
println!("Mean: {:.2}", stats["mean_close"]);
println!("Volatility: {:.2}%", stats["std_close"] / stats["mean_close"] * 100.0);

Performance Targets

• Time Range Query: <10ms ✅
• Volume Filter: <10ms + O(n) filter ✅
• Regime Samples: <10ms + O(n) filter ✅
• Resampling: O(n) single pass ✅
• Statistics: O(n) single pass ✅

See Also

• DBN_REPOSITORY_USAGE.md - Detailed usage examples
• AGENT_17_SUMMARY.md - Implementation summary
• dbn_data_source.rs - Underlying DBN loader