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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@@ -102,6 +102,16 @@ type CamarillaPivotsOutput struct {
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S4 float64
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}
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// Candle is the output of the Candle indicator.
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type Candle struct {
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Open float64
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High float64
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Low float64
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Close float64
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Volume float64
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Timestamp int64
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}
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// CandleVolumeOutput is the output of the CandleVolume indicator.
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type CandleVolumeOutput struct {
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Body float64
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@@ -36391,6 +36401,51 @@ func (ind *Thrusting) Close() {
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}
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}
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// TickAggregator wraps the TickAggregator indicator over the Wickra C ABI.
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type TickAggregator struct {
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handle *C.struct_TickAggregator
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}
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// NewTickAggregator constructs a TickAggregator. It returns ErrInvalidParams when the
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// native constructor rejects the arguments.
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func NewTickAggregator(bucket int64, gapFill bool) (*TickAggregator, error) {
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ptr := C.wickra_tick_aggregator_new(C.int64_t(bucket), C.bool(gapFill))
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if ptr == nil {
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return nil, ErrInvalidParams
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}
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obj := &TickAggregator{handle: ptr}
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runtime.SetFinalizer(obj, (*TickAggregator).Close)
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return obj, nil
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}
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// Push feeds one trade tick and returns the candles it closed (none while
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// the open bar grows, one per closed bucket, plus gap-fill placeholders).
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func (ind *TickAggregator) Push(price float64, size float64, timestamp int64) []Candle {
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n := int(C.wickra_tick_aggregator_push(ind.handle, C.double(price), C.double(size), C.int64_t(timestamp)))
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runtime.KeepAlive(ind)
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if n <= 0 {
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return nil
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}
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buf := make([]C.struct_WickraCandle, n)
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C.wickra_tick_aggregator_drain(ind.handle, &buf[0], C.uintptr_t(n))
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runtime.KeepAlive(ind)
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out := make([]Candle, n)
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for i := 0; i < n; i++ {
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out[i] = Candle{float64(buf[i].open), float64(buf[i].high), float64(buf[i].low), float64(buf[i].close), float64(buf[i].volume), int64(buf[i].timestamp)}
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}
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return out
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}
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// Close frees the native handle. It is idempotent and safe to call
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// alongside the finalizer.
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func (ind *TickAggregator) Close() {
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if ind.handle != nil {
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C.wickra_tick_aggregator_free(ind.handle)
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ind.handle = nil
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runtime.SetFinalizer(ind, nil)
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}
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}
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// TickBars wraps the TickBars indicator over the Wickra C ABI.
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type TickBars struct {
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handle *C.struct_TickBars
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