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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@@ -3471,6 +3471,14 @@ Thrusting <- function() {
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.wk_obj("thrusting", ptr, "Thrusting")
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}
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#' TickAggregator indicator
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#' @keywords internal
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#' @export
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TickAggregator <- function(bucket, gap_fill) {
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ptr <- .Call("wk_tick_aggregator_new", bucket, gap_fill, PACKAGE = "wickra")
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.wk_obj("tick_aggregator", ptr, "TickAggregator")
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}
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#' TickBars indicator
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#' @keywords internal
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#' @export
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@@ -138,3 +138,35 @@ name <- function(object) {
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name.wickra_indicator <- function(object) {
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.Call(paste0("wk_", object$prefix, "_name"), object$ptr, PACKAGE = "wickra")
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}
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#' Push a trade tick into a tick aggregator
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#'
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#' Feeds one trade tick to a [TickAggregator()] and returns the candles it
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#' closed as a numeric matrix with columns `open`, `high`, `low`, `close`,
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#' `volume`, `timestamp` (zero rows while the open bar merely grows).
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#'
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#' @param object A `wickra_indicator` created by [TickAggregator()].
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#' @param price Trade price.
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#' @param size Trade size (volume).
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#' @param timestamp Trade timestamp, in the same unit as the aggregator bucket.
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#' @return A numeric matrix with six named columns (possibly zero rows).
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#' @examples
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#' agg <- TickAggregator(1000)
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#' push(agg, 100, 1, 0)
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#' push(agg, 102, 1, 1000) # closes the first bucket
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#' @export
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push <- function(object, price, size, timestamp) {
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UseMethod("push")
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}
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#' @rdname push
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#' @export
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push.wickra_indicator <- function(object, price, size, timestamp) {
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out <- .Call(
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paste0("wk_", object$prefix, "_push"),
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object$ptr, price, size, timestamp,
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PACKAGE = "wickra"
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)
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colnames(out) <- c("open", "high", "low", "close", "volume", "timestamp")
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out
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}
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