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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@@ -17,8 +17,9 @@ use std::path::Path;
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use wickra::{
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AdOscillator, Adx, Atr, AverageDrawdown, AwesomeOscillatorHistogram, Beta, Candle, Ema,
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Indicator, IntradayIntensity, MacdIndicator, Rsi, Sma,
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Indicator, IntradayIntensity, MacdIndicator, Rsi, Sma, Tick,
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};
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use wickra_data::aggregator::{TickAggregator, Timeframe};
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const N: usize = 80;
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@@ -183,9 +184,52 @@ fn main() {
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emit_special(dir, &candles);
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emit_profiles(dir, &candles);
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emit_bars(dir, &candles);
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emit_data_layer(dir);
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println!("golden fixtures written to {}", dir.display());
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}
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/// Deterministic trade tick `i`: price on the shared varied path, a small
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/// repeating size, and a timestamp that places roughly three ticks per
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/// 1000-unit bucket. A deliberate jump at `i == 36` opens a multi-bucket gap so
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/// the gap-fill fixture exercises several flat candles emitted from one push.
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fn tick(i: usize) -> (f64, f64, i64) {
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let t = i as f64;
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let price = 100.0 + 10.0 * (t * 0.3).sin() + 0.5 * t;
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let size = 1.0 + (i % 5) as f64;
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let base = i64::try_from(i).expect("tick index fits i64") * 350;
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let ts = if i >= 36 { base + 5000 } else { base };
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(price, size, ts)
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}
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/// Data layer: the tick-to-candle aggregator. Writes the shared tick input plus
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/// the reference candle streams with and without gap filling.
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fn emit_data_layer(dir: &Path) {
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const N_TICKS: usize = 60;
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let ticks: Vec<(f64, f64, i64)> = (0..N_TICKS).map(tick).collect();
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let mut tin = Vec::with_capacity(N_TICKS);
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for &(price, size, ts) in &ticks {
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tin.push(format!("{price},{size},{ts}"));
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}
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write_csv(dir, "data_ticks", "price,size,timestamp", &tin);
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let header = "open,high,low,close,volume,timestamp";
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for (name, gap_fill) in [("data_candles", false), ("data_candles_gap", true)] {
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let mut agg = TickAggregator::new(Timeframe::new(1000).unwrap()).with_gap_fill(gap_fill);
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let mut rows = Vec::new();
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for &(price, size, ts) in &ticks {
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let tick = Tick::new(price, size, ts).expect("valid tick");
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for c in agg.push(tick).expect("valid push") {
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rows.push(format!(
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"{},{},{},{},{},{}",
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c.open, c.high, c.low, c.close, c.volume, c.timestamp
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));
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}
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}
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write_csv(dir, name, header, &rows);
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}
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}
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// AUTO-GENERATED scalar-output golden tranche (single f64 output).
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#[allow(clippy::too_many_lines)]
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fn emit_scalar(dir: &Path, candles: &[Candle], closes: &[f64]) {
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