examples: migrate to the native data layer (drop ws/coder-websocket/jackson/jsonlite) (#316)

Stacked on #315 (the native Binance REST fetcher). Retarget to `main` once #315 merges.

Migrates the runnable examples off third-party data-I/O packages onto Wickra's
native data layer (`CandleReader`, `Resampler`, `BinanceFeed`, `fetch_*klines`).

## Third-party packages removed (the zero-dep selling point)
- **Node**: `ws` (live feed → BinanceFeed) — dropped from package.json + lockfile
- **Go**: `github.com/coder/websocket` — dropped from go.mod / go.sum (`go mod tidy`)
- **Java**: `jackson-databind` (live feed + REST fetch) — dropped from pom.xml
- **R**: `jsonlite` + `websocket` + `later` — dropped from the README notes

Each language's CSV loading now goes through `CandleReader`, manual resampling
through `Resampler`, the live feed through `BinanceFeed`, and (Java/R) the REST
download through the native fetcher.

## Verification
Ran the offline examples per language against the bundled data — backtest and
multi_timeframe produce identical output across Python / Node / Go / Java / R
(e.g. ATR(14) last 345.1010; 1h→5m resamples to 240 bars, →15m to 80 bars).

C# / C / WASM (stdlib-only, no third-party deps to remove) follow in this branch.

Note: the streaming `strategy_*` examples have pre-existing candle-indicator
runtime bugs (CI only syntax-smokes them); the CSV migration preserves their
shape and leaves those bugs for a separate fix.
This commit is contained in:
kingchenc
2026-06-17 01:49:11 +02:00
committed by GitHub
parent 2ae76bb90e
commit 677ea37402
40 changed files with 576 additions and 1102 deletions
+27 -63
View File
@@ -14,87 +14,51 @@ const path = require('node:path');
const wickra = require('wickra');
const REQUIRED_COLUMNS = ['timestamp', 'open', 'high', 'low', 'close', 'volume'];
const DEFAULT_CSV = path.join(__dirname, '..', 'data', 'btcusdt-1m.csv');
const ONE_MINUTE_MS = 60_000;
function readCsv(csvPath) {
// Native CandleReader: header validation, BOM/whitespace tolerance, throws on
// a malformed row.
const text = fs.readFileSync(csvPath, 'utf8');
const lines = text.split(/\r?\n/).filter((line) => line.length > 0);
if (lines.length === 0) {
throw new Error(`${csvPath}: file is empty`);
}
const header = lines[0].split(',').map((cell) => cell.trim());
const missing = REQUIRED_COLUMNS.filter((col) => !header.includes(col));
if (missing.length > 0) {
throw new Error(
`${csvPath}: missing required column(s): ${missing.join(', ')}; found: ${header.join(', ')}`,
);
}
if (lines.length === 1) {
const candles = new wickra.CandleReader(text).read();
if (candles.length === 0) {
throw new Error(`${csvPath}: CSV has a header but no data rows`);
}
const idx = {};
for (const col of REQUIRED_COLUMNS) {
idx[col] = header.indexOf(col);
}
const cols = { timestamp: [], open: [], high: [], low: [], close: [], volume: [] };
for (let i = 1; i < lines.length; i++) {
const cells = lines[i].split(',');
for (const col of REQUIRED_COLUMNS) {
const value = Number(cells[idx[col]]);
if (!Number.isFinite(value)) {
throw new Error(
`${csvPath}: row ${i + 1} column '${col}' is not numeric: ${JSON.stringify(cells[idx[col]])}`,
);
}
cols[col].push(value);
}
for (const k of candles) {
cols.timestamp.push(k.timestamp);
cols.open.push(k.open);
cols.high.push(k.high);
cols.low.push(k.low);
cols.close.push(k.close);
cols.volume.push(k.volume);
}
return cols;
}
// Roll an OHLCV series up to `bucketMs`-sized buckets keyed on each bar's
// `floor(timestamp / bucketMs)`. Input timestamps must be monotonic
// non-decreasing (the bundled BTCUSDT-1m dataset is contiguous, so this
// holds by construction).
function resample(cols, bucketMs) {
if (cols.timestamp.length === 0) {
throw new Error('resample: empty input series');
}
// Native Resampler — no hand-written bucketing. update() emits a closed candle
// when a bucket boundary is crossed; flush() yields the final partial bucket.
const r = new wickra.Resampler(bucketMs);
const out = { timestamp: [], open: [], high: [], low: [], close: [], volume: [] };
let bucketStart = Math.floor(cols.timestamp[0] / bucketMs) * bucketMs;
let [o, h, l, c, v] = [cols.open[0], cols.high[0], cols.low[0], cols.close[0], cols.volume[0]];
for (let i = 1; i < cols.timestamp.length; i++) {
const start = Math.floor(cols.timestamp[i] / bucketMs) * bucketMs;
if (start === bucketStart) {
if (cols.high[i] > h) h = cols.high[i];
if (cols.low[i] < l) l = cols.low[i];
c = cols.close[i];
v += cols.volume[i];
} else {
out.timestamp.push(bucketStart);
out.open.push(o);
out.high.push(h);
out.low.push(l);
out.close.push(c);
out.volume.push(v);
bucketStart = start;
o = cols.open[i];
h = cols.high[i];
l = cols.low[i];
c = cols.close[i];
v = cols.volume[i];
}
const push = (k) => {
out.timestamp.push(k.timestamp);
out.open.push(k.open);
out.high.push(k.high);
out.low.push(k.low);
out.close.push(k.close);
out.volume.push(k.volume);
};
for (let i = 0; i < cols.timestamp.length; i++) {
const k = r.update(cols.open[i], cols.high[i], cols.low[i], cols.close[i], cols.volume[i], cols.timestamp[i]);
if (k !== null) push(k);
}
// Flush the final open bucket.
out.timestamp.push(bucketStart);
out.open.push(o);
out.high.push(h);
out.low.push(l);
out.close.push(c);
out.volume.push(v);
const last = r.flush();
if (last !== null) push(last);
return out;
}