feat(data-layer): TickAggregator (tick-to-candle) in all 10 languages (#309)
* feat(data-layer): TickAggregator in Node, WASM, Python + C ABI hub First data-layer feature (F2): roll trade ticks up into fixed-timeframe OHLCV candles, exposed natively and over the C ABI. - wickra-data wired as a binding dependency (workspace dep; its wickra-core dep is default-features=false so it never forces rayon into the rayon-free WASM build — native bindings re-enable parallel through their own dependency). - Node `TickAggregator(bucket, gapFill?)` -> `push(price, size, ts): Candle[]`; WASM the same (array of objects); Python `push(...) -> list[tuple]`. - C ABI: `WickraCandle` struct + `wickra_tick_aggregator_new/push/free` (push writes candles into a caller buffer and returns the count), generated via the capi generator's new DATA_LAYER section; cbindgen now parses wickra-data so `TickAggregator` is a forward-declared opaque; header vendored to bindings/go. Verified bit-identical across Node/WASM/Python/C/C++ (o=100 h=101 l=100 c=101 v=3 ts=0 for the shared 3-tick probe). WIP: Go/C#/Java/R generated bindings and the cross-language golden are still pending. * feat(data-layer): TickAggregator in Go, C#, Java, R (lossless push/drain) Complete F2 across all 10 languages: the C-ABI tick aggregator now uses a two-step push/drain so gap-fill candles are never lost, and the four generated bindings expose it idiomatically. - C ABI redesigned: opaque TickAggregator handle (inner aggregator + pending buffer); push consumes a tick and returns the closed-candle count, drain copies them into a count-sized caller buffer. - Go: NewTickAggregator + Push(price,size,ts) []Candle; C#: TickAggregator + Candle[] Push(...); Java: TickAggregator + Candle[] push(...); R: TickAggregator constructor + push() S3 generic returning an (n x 6) numeric matrix. - Candle output record generated per language from WickraCandle. Verified bit-identical to the native bindings (o=100 h=101 l=100 c=101 v=3 ts=0) in Go, C#, Java, and R at runtime; R passes R CMD check (pre-existing doc warnings only). WIP: cross-language data-layer golden + CHANGELOG still pending. * test(data-layer): cross-language golden for the tick aggregator + CHANGELOG gen_golden emits a deterministic tick stream (testdata/golden/data_ticks.csv) and the reference candle streams with and without gap filling (data_candles.csv, data_candles_gap.csv). Every binding replays the shared ticks through its TickAggregator and checks the candles bit-for-bit (fp tolerance) against the Rust reference: - Node / WASM / Python / Go / C# / Java / R: a dedicated parity test each. - C / C++: data_layer_test.c (compiled as both, run as ctest). The gap-fill fixture closes several candles from a single push, exercising the lossless push/drain path. Records the feature under CHANGELOG [Unreleased]. * fix(examples): rename the CSV-loader candle to WickraBar The example CSV helper (wickra_csv.h) defined its own struct WickraCandle, which now collides with the public C ABI WickraCandle (the tick aggregator output) in any example that includes both headers (backtest, multi_timeframe, the strategy examples). The public type owns the name; rename the example loader's bar to WickraBar. The generated golden_test.c is untouched (its only match was the unrelated WickraCandleVolumeOutput).
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@@ -16,6 +16,7 @@ public readonly record struct AutoFibOutput(double Level0, double Level236, doub
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public readonly record struct BollingerOutput(double Upper, double Middle, double Lower, double Stddev);
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public readonly record struct BomarBandsOutput(double Upper, double Middle, double Lower);
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public readonly record struct CamarillaPivotsOutput(double Pp, double R1, double R2, double R3, double R4, double S1, double S2, double S3, double S4);
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public readonly record struct Candle(double Open, double High, double Low, double Close, double Volume, double Timestamp);
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public readonly record struct CandleVolumeOutput(double Body, double Width);
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public readonly record struct CentralPivotRangeOutput(double Pivot, double Tc, double Bc);
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public readonly record struct ChandeKrollStopOutput(double StopLong, double StopShort);
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@@ -34704,6 +34705,51 @@ public sealed class Thrusting : IDisposable
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public void Dispose() => _handle.Dispose();
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}
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public sealed class TickAggregator : IDisposable
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{
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private readonly WickraHandle _handle;
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public TickAggregator(long bucket, bool gapFill)
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{
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var ptr = NativeMethods.wickra_tick_aggregator_new(bucket, gapFill);
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if (ptr == nint.Zero)
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{
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throw new ArgumentException("invalid TickAggregator parameters");
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}
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_handle = new WickraHandle(ptr, NativeMethods.wickra_tick_aggregator_free);
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}
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/// <summary>Feed one trade tick; returns the candles it closed.</summary>
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public Candle[] Push(double price, double size, long timestamp)
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{
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var count = (long)NativeMethods.wickra_tick_aggregator_push(_handle.DangerousGetHandle(), price, size, timestamp);
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GC.KeepAlive(_handle);
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if (count <= 0)
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{
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return Array.Empty<Candle>();
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}
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var buffer = new WickraCandle[count];
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unsafe
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{
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fixed (WickraCandle* ptr = buffer)
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{
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NativeMethods.wickra_tick_aggregator_drain(_handle.DangerousGetHandle(), ptr, (nuint)count);
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}
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}
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GC.KeepAlive(_handle);
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var result = new Candle[count];
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for (var i = 0; i < count; i++)
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{
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result[i] = new Candle(buffer[i].open, buffer[i].high, buffer[i].low, buffer[i].close, buffer[i].volume, buffer[i].timestamp);
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}
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return result;
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}
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public void Dispose() => _handle.Dispose();
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}
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public sealed class TickBars : IDisposable
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{
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private readonly WickraHandle _handle;
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