microsoft / microsoft/qlib

[SeriesDFilter] Redundant execution of filter_pipe for each fields_group causes slow data loading

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bug
Dominant language
Python
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Description

Description

During data loading, I noticed that filter_pipe is executed repeatedly for each fields_group instead of being applied once or cached. This causes significant slowdowns in data preparation, especially when multiple field groups are configured.

Steps to Reproduce / Observation

  1. Added logging/print statements inside the _getFilterSeries method.
  2. Ran the data loading pipeline with multiple fields_groups (e.g., 3 groups in my setup).
  3. Observed that the filter pipeline was called exactly 3 times, once per fields_group, rather than sharing the filtered result across groups.

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First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Locate the _getFilterSeries method and trace how filter_pipe is invoked for each fields_group. Reproduce the behavior with multiple groups and confirm the filter result is reused or cached rather than recomputed; done means the redundant executions are removed without changing data-loading results.

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Assessment

Tech stack
python
Domain
data-engineering, performance
Issue type
Bug
Difficulty
4/5
Estimated time
3-5 days
Activity status
Quiet
Clarity
Mostly clear
Newbie friendliness
45/100

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