feat(data): native Binance REST kline fetcher in 9 languages (#315)

Adds `BinanceRest::fetch_klines` to `wickra-data`: a blocking historical kline
downloader (`GET /api/v3/klines`) and the historical counterpart to the F4 live
`BinanceFeed`. It is the last native data-layer primitive needed to drop
third-party HTTP/JSON download helpers (`jackson`, `jsonlite`, `urllib`, …) from
the examples.

## What

- **Core** (`wickra-data`): `fetch_klines(symbol, interval, limit, start?, end?)`
  built on `ureq` with native-tls — sharing the exact same TLS backend
  (native-tls 0.2 / SChannel) as the existing tokio-tungstenite live feed, so the
  two pull one TLS stack, not two. Parses Binance's 12-element array rows via the
  existing serde infrastructure into validated `Candle`s. Blocking by design (a
  one-shot request needs no async runtime; the FFI boundary is synchronous
  anyway). Nine mock-HTTP-server tests cover parse / empty / limit / transport /
  JSON / invariant-violation paths.
- **C ABI**: `wickra_binance_fetch_klines(...)` (blocking drain into a caller
  buffer, `-1` on error) + regenerated cbindgen header and its vendored Go copy.
- **Bindings**: native Node `fetchBinanceKlines` / Python `fetch_binance_klines`;
  generated Go `FetchBinanceKlines` / C# `BinanceFeed.FetchKlines` / Java
  `BinanceFeed.fetchKlines` / R `fetch_binance_klines`. C / C++ call the C ABI
  directly. **WASM is excluded** (browsers use the host `fetch`).

The four C-ABI bindings are regenerated from the ScriptHelpers generators (not
hand-edited); the regen diff is exactly the new wrapper in each.

## Verification

All ten toolchains green locally: Rust (`cargo test`/`clippy`/`fmt`), Node, Python,
Go, C#, Java, R (`R CMD INSTALL` + smoke), WASM (`cargo check`, confirmed `ureq`
is not pulled). Each binding has an error-path smoke test; the parse/HTTP success
path is covered by the Rust mock-server tests.

No release in this PR — ships with the data-layer + numpy bundle later.
This commit is contained in:
kingchenc
2026-06-17 01:48:24 +02:00
committed by GitHub
parent b92ad32037
commit 2ae76bb90e
29 changed files with 863 additions and 209 deletions
+1
View File
@@ -530,6 +530,7 @@ export(Zlema)
export(batch)
export(binance_close)
export(binance_next)
export(fetch_binance_klines)
export(is_ready)
export(name)
export(push)
+21
View File
@@ -4180,3 +4180,24 @@ binance_close <- function(feed) {
invisible(NULL)
}
#' Fetch historical Binance klines over REST
#'
#' Downloads up to `limit` (`1:1000`) historical klines for `symbol` at the given
#' `interval` code (an integer `0:15`, the same order as the other bindings).
#' `start_ms`/`end_ms` are optional inclusive Unix-millisecond bounds (a negative
#' value means unset); `base_url` overrides the host (`NULL` = production). Returns
#' an `n x 6` numeric matrix with columns `open`, `high`, `low`, `close`,
#' `volume`, `timestamp`. Blocks until the response arrives. Not available in the
#' wasm (r-universe/webR) build, which has no raw sockets.
#'
#' @keywords internal
#' @export
fetch_binance_klines <- function(symbol, interval, limit, start_ms = -1,
end_ms = -1, base_url = NULL) {
m <- .Call("wk_binance_fetch_klines", symbol, as.integer(interval),
as.integer(limit), as.numeric(start_ms), as.numeric(end_ms),
base_url, PACKAGE = "wickra")
colnames(m) <- c("open", "high", "low", "close", "volume", "timestamp")
m
}
+26
View File
@@ -22707,6 +22707,31 @@ SEXP wk_binance_close(SEXP e) {
wickra_binance_close(h);
return R_NilValue;
}
SEXP wk_binance_fetch_klines(SEXP symbol, SEXP interval, SEXP limit,
SEXP start_ms, SEXP end_ms, SEXP base_url) {
const char *url = (base_url == R_NilValue || Rf_xlength(base_url) == 0)
? NULL : CHAR(STRING_ELT(base_url, 0));
uint32_t lim = (uint32_t)Rf_asInteger(limit);
if (lim == 0) Rf_error("limit must be in 1..=1000");
struct WickraCandle *buf =
(struct WickraCandle *)R_alloc(lim, sizeof(struct WickraCandle));
intptr_t n = wickra_binance_fetch_klines(
CHAR(STRING_ELT(symbol, 0)), (uint8_t)Rf_asInteger(interval), lim,
(int64_t)Rf_asReal(start_ms), (int64_t)Rf_asReal(end_ms), url, buf,
(uintptr_t)lim);
if (n < 0) Rf_error("invalid fetch_binance_klines parameters or transport error");
SEXP r = PROTECT(Rf_allocMatrix(REALSXP, (int)n, 6));
for (intptr_t i = 0; i < n; i++) {
REAL(r)[i + n * 0] = buf[i].open;
REAL(r)[i + n * 1] = buf[i].high;
REAL(r)[i + n * 2] = buf[i].low;
REAL(r)[i + n * 3] = buf[i].close;
REAL(r)[i + n * 4] = buf[i].volume;
REAL(r)[i + n * 5] = (double)buf[i].timestamp;
}
UNPROTECT(1);
return r;
}
#endif
static const R_CallMethodDef CallEntries[] = {
@@ -26141,6 +26166,7 @@ static const R_CallMethodDef CallEntries[] = {
{"wk_binance_connect", (DL_FUNC)&wk_binance_connect, 3},
{"wk_binance_next", (DL_FUNC)&wk_binance_next, 2},
{"wk_binance_close", (DL_FUNC)&wk_binance_close, 1},
{"wk_binance_fetch_klines", (DL_FUNC)&wk_binance_fetch_klines, 6},
#endif
{NULL, NULL, 0}
};
+10
View File
@@ -6,3 +6,13 @@ test_that("binance feed rejects bad parameters", {
expect_error(BinanceFeed("", 1L), "BinanceFeed")
expect_error(BinanceFeed("BTCUSDT", 1L, "ws://127.0.0.1:1"), "BinanceFeed")
})
# The REST fetcher's parse/HTTP success path is covered by the Rust
# mock-HTTP-server tests; here we only assert the binding's error paths.
test_that("fetch_binance_klines rejects bad parameters", {
expect_error(fetch_binance_klines("BTCUSDT", 6L, 0L), "limit")
expect_error(
fetch_binance_klines("BTCUSDT", 6L, 1L, base_url = "http://127.0.0.1:1"),
"fetch_binance_klines"
)
})