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