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
+59
View File
@@ -28285,6 +28285,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyProfileShape>()?;
m.add_class::<PyHighLowVolumeNodes>()?;
m.add_class::<PyCompositeProfile>()?;
// Data layer.
m.add_class::<PyTickAggregator>()?;
// Candlestick patterns.
m.add_class::<PyDoji>()?;
m.add_class::<PyHammer>()?;
@@ -28557,3 +28559,60 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyM2Measure>()?;
Ok(())
}
// ===== Data layer: tick-to-candle aggregation =====
/// One aggregated candle as `(open, high, low, close, volume, timestamp)`.
type CandleTuple = (f64, f64, f64, f64, f64, i64);
/// Convert a `wickra-data` error into a Python `ValueError`.
fn map_data_err(e: wickra_data::Error) -> PyErr {
PyValueError::new_err(e.to_string())
}
/// Roll trade ticks up into fixed-timeframe OHLCV candles.
#[pyclass(
name = "TickAggregator",
module = "wickra._wickra",
skip_from_py_object
)]
#[derive(Clone)]
struct PyTickAggregator {
inner: wickra_data::aggregator::TickAggregator,
}
#[pymethods]
impl PyTickAggregator {
#[new]
#[pyo3(signature = (bucket, gap_fill = false))]
fn new(bucket: i64, gap_fill: bool) -> PyResult<Self> {
let timeframe = wickra_data::aggregator::Timeframe::new(bucket).map_err(map_data_err)?;
let mut inner = wickra_data::aggregator::TickAggregator::new(timeframe);
if gap_fill {
inner = inner.with_gap_fill(true);
}
Ok(Self { inner })
}
/// Push one trade tick; returns the candles closed as a result, each a
/// `(open, high, low, close, volume, timestamp)` tuple.
fn push(&mut self, price: f64, size: f64, timestamp: i64) -> PyResult<Vec<CandleTuple>> {
let tick = wc::Tick::new(price, size, timestamp).map_err(map_err)?;
Ok(self
.inner
.push(tick)
.map_err(map_data_err)?
.into_iter()
.map(|c| (c.open, c.high, c.low, c.close, c.volume, c.timestamp))
.collect())
}
#[getter]
fn fills_gaps(&self) -> bool {
self.inner.fills_gaps()
}
fn __repr__(&self) -> String {
format!("TickAggregator(fills_gaps={})", self.inner.fills_gaps())
}
}