orderflow_backtest/level_parser.py

"""Ultra-fast level parsing for strings like:
"[['110173.4', '0.0000454', '0', '4'], ['110177.1', '0', '0', '0'], ...]"
"""

from typing import List, Tuple, Any


def normalize_levels(levels: Any) -> List[List[float]]:
    """
    Return [[price, size], ...] with size > 0 only (floats).
    Assumes 'levels' is a single-quoted list-of-lists string as above.
    """
    pairs = _fast_pairs(levels)
    # filter strictly positive sizes
    return [[p, s] for (p, s) in pairs if s > 0.0]


def parse_levels_including_zeros(levels: Any) -> List[Tuple[float, float]]:
    """
    Return [(price, size), ...] (floats), preserving zeros for deletions.
    Assumes 'levels' is a single-quoted list-of-lists string as above.
    """
    return _fast_pairs(levels)


# ----------------- internal: fast path -----------------

def _fast_pairs(levels: Any) -> List[Tuple[float, float]]:
    """
    Extremely fast parser for inputs like:
      "[['110173.4','0.0000454','0','4'],['110177.1','0','0','0'], ...]"
    Keeps only the first two fields from each row and converts to float.
    """
    if not levels:
        return []

    # If already a list (rare in your pipeline), fall back to simple handling
    if isinstance(levels, (list, tuple)):
        out: List[Tuple[float, float]] = []
        for item in levels:
            if isinstance(item, (list, tuple)) and len(item) >= 2:
                try:
                    p = float(item[0]); s = float(item[1])
                    out.append((p, s))
                except Exception:
                    continue
        return out

    # Expect a string: strip outer brackets and single quotes fast
    s = str(levels).strip()
    if len(s) < 5:  # too short to contain "[[...]]"
        return []

    # Remove the outermost [ and ] quickly (tolerant)
    if s[0] == '[':
        s = s[1:]
    if s and s[-1] == ']':
        s = s[:-1]

    # Remove *all* single quotes (input uses single quotes, not JSON)
    s = s.replace("'", "")

    # Now s looks like: [[110173.4, 0.0000454, 0, 4], [110177.1, 0, 0, 0], ...]
    # Split into rows on "],", then strip brackets/spaces per row
    rows = s.split("],")
    out: List[Tuple[float, float]] = []

    for row in rows:
        row = row.strip()
        # strip any leading/trailing brackets/spaces
        if row.startswith('['):
            row = row[1:]
        if row.endswith(']'):
            row = row[:-1]

        # fast split by commas and take first two fields
        cols = row.split(',')
        if len(cols) < 2:
            continue
        try:
            p = float(cols[0].strip())
            s_ = float(cols[1].strip())
            out.append((p, s_))
        except Exception:
            continue

    return out