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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@@ -28285,6 +28285,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyProfileShape>()?;
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m.add_class::<PyHighLowVolumeNodes>()?;
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m.add_class::<PyCompositeProfile>()?;
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// Data layer.
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m.add_class::<PyTickAggregator>()?;
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// Candlestick patterns.
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m.add_class::<PyDoji>()?;
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m.add_class::<PyHammer>()?;
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@@ -28557,3 +28559,60 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyM2Measure>()?;
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Ok(())
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}
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// ===== Data layer: tick-to-candle aggregation =====
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/// One aggregated candle as `(open, high, low, close, volume, timestamp)`.
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type CandleTuple = (f64, f64, f64, f64, f64, i64);
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/// Convert a `wickra-data` error into a Python `ValueError`.
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fn map_data_err(e: wickra_data::Error) -> PyErr {
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PyValueError::new_err(e.to_string())
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}
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/// Roll trade ticks up into fixed-timeframe OHLCV candles.
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#[pyclass(
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name = "TickAggregator",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyTickAggregator {
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inner: wickra_data::aggregator::TickAggregator,
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}
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#[pymethods]
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impl PyTickAggregator {
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#[new]
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#[pyo3(signature = (bucket, gap_fill = false))]
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fn new(bucket: i64, gap_fill: bool) -> PyResult<Self> {
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let timeframe = wickra_data::aggregator::Timeframe::new(bucket).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 {
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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 the candles closed as a result, each a
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/// `(open, high, low, close, volume, timestamp)` tuple.
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fn push(&mut self, price: f64, size: f64, timestamp: i64) -> PyResult<Vec<CandleTuple>> {
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let tick = wc::Tick::new(price, size, timestamp).map_err(map_err)?;
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Ok(self
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.inner
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.push(tick)
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.map_err(map_data_err)?
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.into_iter()
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.map(|c| (c.open, c.high, c.low, c.close, c.volume, c.timestamp))
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.collect())
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}
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#[getter]
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fn fills_gaps(&self) -> bool {
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self.inner.fills_gaps()
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}
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fn __repr__(&self) -> String {
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format!("TickAggregator(fills_gaps={})", self.inner.fills_gaps())
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}
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}
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