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
+7 -7
View File
@@ -30,12 +30,12 @@
/* Aggregate `in` into fixed-width time buckets of `tf_ms`. Writes the bucketed
* candles into the caller-owned `out` (capacity >= count) and returns how many
* buckets were produced. */
static size_t resample(const WickraCandle *in, size_t count, int64_t tf_ms,
WickraCandle *out) {
static size_t resample(const WickraBar *in, size_t count, int64_t tf_ms,
WickraBar *out) {
size_t produced = 0;
int open_bucket = 0;
int64_t bucket_start = 0;
WickraCandle cur = {0};
WickraBar cur = {0};
for (size_t i = 0; i < count; ++i) {
int64_t b = in[i].timestamp - (in[i].timestamp % tf_ms);
if (!open_bucket || b != bucket_start) {
@@ -63,7 +63,7 @@ static size_t resample(const WickraCandle *in, size_t count, int64_t tf_ms,
return produced;
}
static void summarize(const char *label, const WickraCandle *candles, size_t n) {
static void summarize(const char *label, const WickraBar *candles, size_t n) {
if (n == 0) {
printf(" %-5s (empty)\n", label);
return;
@@ -76,7 +76,7 @@ static void summarize(const char *label, const WickraCandle *candles, size_t n)
double last_hist = NAN;
double last_adx = NAN;
for (size_t i = 0; i < n; ++i) {
const WickraCandle *c = &candles[i];
const WickraBar *c = &candles[i];
double r = wickra_rsi_update(rsi, c->close);
if (isfinite(r)) {
last_rsi = r;
@@ -119,14 +119,14 @@ static void summarize(const char *label, const WickraCandle *candles, size_t n)
int main(int argc, char **argv) {
const char *path = (argc > 1) ? argv[1] : WICKRA_DATA_DIR "/btcusdt-1m.csv";
WickraCandle *ones = NULL;
WickraBar *ones = NULL;
size_t n = wickra_load_csv(path, &ones);
if (n == 0) {
fprintf(stderr, "multi_timeframe: no candles read from %s\n", path);
return 1;
}
/* Resampling only ever produces fewer candles than the 1m source. */
WickraCandle *buf = (WickraCandle *)malloc(n * sizeof(*buf));
WickraBar *buf = (WickraBar *)malloc(n * sizeof(*buf));
if (buf == NULL) {
fprintf(stderr, "multi_timeframe: allocation failed\n");
free(ones);