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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@@ -21865,3 +21865,75 @@ impl VolumeWeightedMacdNode {
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self.inner.warmup_period() as u32
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}
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}
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// ===== Data layer: tick-to-candle aggregation =====
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/// Convert a `wickra-data` error into a JS error.
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fn map_data_err(e: wickra_data::Error) -> NapiError {
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NapiError::new(Status::InvalidArg, e.to_string())
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}
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/// One aggregated OHLCV candle emitted by [`TickAggregatorNode`].
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#[napi(object)]
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pub struct CandleValue {
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pub open: f64,
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pub high: f64,
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pub low: f64,
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pub close: f64,
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pub volume: f64,
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pub timestamp: f64,
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}
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/// Roll trade ticks up into fixed-timeframe OHLCV candles.
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#[napi(js_name = "TickAggregator")]
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pub struct TickAggregatorNode {
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inner: wickra_data::aggregator::TickAggregator,
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}
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#[napi]
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impl TickAggregatorNode {
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/// Construct an aggregator with the given bucket size (in the same unit as
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/// the tick timestamps). Pass `gapFill = true` to emit a flat placeholder
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/// candle for every skipped bucket.
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#[napi(constructor)]
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pub fn new(bucket: f64, gap_fill: Option<bool>) -> napi::Result<Self> {
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let timeframe =
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wickra_data::aggregator::Timeframe::new(bucket as i64).map_err(map_data_err)?;
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let mut inner = wickra_data::aggregator::TickAggregator::new(timeframe);
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if gap_fill.unwrap_or(false) {
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inner = inner.with_gap_fill(true);
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}
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Ok(Self { inner })
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}
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/// Push one trade tick; returns every candle that closed as a result (none
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/// while the open bar keeps growing, one on a bucket boundary, plus one flat
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/// candle per skipped bucket when gap filling is enabled).
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#[napi]
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pub fn push(
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&mut self,
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price: f64,
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size: f64,
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timestamp: f64,
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) -> napi::Result<Vec<CandleValue>> {
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let tick = wc::Tick::new(price, size, timestamp as i64).map_err(map_err)?;
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let candles = self.inner.push(tick).map_err(map_data_err)?;
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Ok(candles
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.into_iter()
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.map(|c| CandleValue {
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open: c.open,
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high: c.high,
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low: c.low,
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close: c.close,
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volume: c.volume,
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timestamp: c.timestamp as f64,
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})
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.collect())
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}
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/// Whether gap filling is enabled.
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#[napi(js_name = "fillsGaps")]
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pub fn fills_gaps(&self) -> bool {
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self.inner.fills_gaps()
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}
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}
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