foxhunt/docs/examples/dbn_multi_day_loading.rs

//! Multi-Day DBN Loading Example
//!
//! This example shows how to load data from multiple DBN files (multi-day backtests).
//!
//! ## Usage
//!
//! ```bash
//! cargo run --example dbn_multi_day_loading
//! ```

use backtesting_service::dbn_data_source::DbnDataSource;
use std::collections::HashMap;

#[tokio::main]
async fn main() -> anyhow::Result<()> {
    println!("=== DBN Multi-Day Loading Example ===\n");

    // 1. Create file mapping with multiple files per symbol
    let mut file_mapping = HashMap::new();
    file_mapping.insert(
        "ESH4".to_string(),
        vec![
            "test_data/real/databento/ESH4_ohlcv-1m_2024-01-03.dbn".to_string(),
            "test_data/real/databento/ESH4_ohlcv-1m_2024-01-04.dbn".to_string(),
            "test_data/real/databento/ESH4_ohlcv-1m_2024-01-05.dbn".to_string(),
        ],
    );

    println!("Creating data source with 3 files for ESH4...");

    // 2. Create data source (multi-file mode)
    let data_source = DbnDataSource::new_multi_file(file_mapping).await?;

    println!("Files configured: {}", data_source.get_file_count("ESH4"));

    // 3. Load all files (merged and sorted)
    println!("\nLoading all days for ESH4...");
    let start = std::time::Instant::now();
    let bars = data_source.load_ohlcv_bars_all("ESH4").await?;
    let duration = start.elapsed();

    println!(
        "✅ Loaded {} bars from {} files in {:?} ({:.2}ms)",
        bars.len(),
        3,
        duration,
        duration.as_secs_f64() * 1000.0
    );

    // 4. Analyze data by day
    println!("\n=== Data by Day ===");

    let mut day_stats: HashMap<String, Vec<_>> = HashMap::new();
    for bar in &bars {
        let day = bar.timestamp.format("%Y-%m-%d").to_string();
        day_stats.entry(day).or_default().push(bar);
    }

    for (day, bars_for_day) in day_stats.iter() {
        let first = bars_for_day.first().unwrap();
        let last = bars_for_day.last().unwrap();

        println!(
            "{}: {} bars | {} to {} | Range: {} to {}",
            day,
            bars_for_day.len(),
            first.timestamp.format("%H:%M"),
            last.timestamp.format("%H:%M"),
            first.close,
            last.close
        );
    }

    // 5. Verify chronological ordering across all days
    println!("\n=== Cross-Day Validation ===");

    let mut ordered = true;
    for i in 1..bars.len() {
        if bars[i].timestamp < bars[i - 1].timestamp {
            println!(
                "❌ Ordering issue at index {}: {} < {}",
                i,
                bars[i].timestamp,
                bars[i - 1].timestamp
            );
            ordered = false;
            break;
        }
    }

    if ordered {
        println!("✅ All bars properly ordered across {} days", day_stats.len());
    }

    // 6. Calculate daily returns
    println!("\n=== Daily Returns ===");

    for (day, bars_for_day) in day_stats.iter() {
        if bars_for_day.len() > 1 {
            let first_close = bars_for_day.first().unwrap().close;
            let last_close = bars_for_day.last().unwrap().close;

            let return_pct =
                ((last_close - first_close) / first_close * rust_decimal::Decimal::from(100))
                    .to_string()
                    .parse::<f64>()
                    .unwrap();

            println!("{}: {:.2}% return", day, return_pct);
        }
    }

    println!("\n✅ Example completed successfully!");

    Ok(())
}