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).
This commit is contained in:
kingchenc
2026-06-15 21:24:33 +02:00
committed by GitHub
parent fd9f4c8bc6
commit 8a103ef920
48 changed files with 1368 additions and 29 deletions
+55
View File
@@ -102,6 +102,16 @@ type CamarillaPivotsOutput struct {
S4 float64
}
// Candle is the output of the Candle indicator.
type Candle struct {
Open float64
High float64
Low float64
Close float64
Volume float64
Timestamp int64
}
// CandleVolumeOutput is the output of the CandleVolume indicator.
type CandleVolumeOutput struct {
Body float64
@@ -36391,6 +36401,51 @@ func (ind *Thrusting) Close() {
}
}
// TickAggregator wraps the TickAggregator indicator over the Wickra C ABI.
type TickAggregator struct {
handle *C.struct_TickAggregator
}
// NewTickAggregator constructs a TickAggregator. It returns ErrInvalidParams when the
// native constructor rejects the arguments.
func NewTickAggregator(bucket int64, gapFill bool) (*TickAggregator, error) {
ptr := C.wickra_tick_aggregator_new(C.int64_t(bucket), C.bool(gapFill))
if ptr == nil {
return nil, ErrInvalidParams
}
obj := &TickAggregator{handle: ptr}
runtime.SetFinalizer(obj, (*TickAggregator).Close)
return obj, nil
}
// Push feeds one trade tick and returns the candles it closed (none while
// the open bar grows, one per closed bucket, plus gap-fill placeholders).
func (ind *TickAggregator) Push(price float64, size float64, timestamp int64) []Candle {
n := int(C.wickra_tick_aggregator_push(ind.handle, C.double(price), C.double(size), C.int64_t(timestamp)))
runtime.KeepAlive(ind)
if n <= 0 {
return nil
}
buf := make([]C.struct_WickraCandle, n)
C.wickra_tick_aggregator_drain(ind.handle, &buf[0], C.uintptr_t(n))
runtime.KeepAlive(ind)
out := make([]Candle, n)
for i := 0; i < n; i++ {
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)}
}
return out
}
// Close frees the native handle. It is idempotent and safe to call
// alongside the finalizer.
func (ind *TickAggregator) Close() {
if ind.handle != nil {
C.wickra_tick_aggregator_free(ind.handle)
ind.handle = nil
runtime.SetFinalizer(ind, nil)
}
}
// TickBars wraps the TickBars indicator over the Wickra C ABI.
type TickBars struct {
handle *C.struct_TickBars