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