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
+44
View File
@@ -0,0 +1,44 @@
"""Cross-language data-layer parity for the Python binding: replay the shared
golden tick stream through the TickAggregator and check the candles against the
Rust-generated fixtures, with and without gap filling. Fixtures are produced by
``cargo run -p wickra-examples --bin gen_golden``.
"""
import csv
import os
import pytest
import wickra as ta
HERE = os.path.dirname(__file__)
GOLDEN = os.path.normpath(os.path.join(HERE, "..", "..", "..", "testdata", "golden"))
def _read(name):
with open(os.path.join(GOLDEN, name + ".csv"), newline="") as f:
rows = list(csv.reader(f))
return [[float(x) for x in r] for r in rows[1:] if r]
TICKS = _read("data_ticks")
def _run(gap_fill):
agg = ta.TickAggregator(1000, gap_fill=gap_fill)
out = []
for price, size, ts in TICKS:
out.extend(agg.push(price, size, int(ts)))
return out
@pytest.mark.parametrize(
"gap_fill,fixture",
[(False, "data_candles"), (True, "data_candles_gap")],
)
def test_tick_aggregator_matches_golden(gap_fill, fixture):
got = _run(gap_fill)
want = _read(fixture)
assert len(got) == len(want)
for i, (g, w) in enumerate(zip(got, want)):
for j in range(6):
tol = 1e-9 * max(1.0, abs(w[j]))
assert abs(g[j] - w[j]) <= tol, f"row {i} col {j}: {g[j]} vs {w[j]}"