feat(data-layer): Resampler (candle resampling) in all 10 languages (#310)

* feat(data-layer): Resampler (candle resampling) in all 10 languages

Second data-layer feature (F3): resample candles into a higher timeframe.

- Native (Node.js/WASM): new Resampler(timeframe) -> update(o,h,l,c,v,ts):
  Candle|null + flush(): Candle|null. Python the same -> tuple|None.
- C ABI: wickra_resampler_new/update/flush/free (update has the multi-output
  shape so the generators auto-emit it; flush is bespoke). Go Update -> (Candle,
  bool) + Flush; C# Candle? Update/Flush; Java Candle update/flush; R update()
  generic + a flush() S3 method (extends base::flush); C/C++ direct.
- Cross-language golden (testdata/golden/data_resampled.csv): the shared input
  candles resampled into 5-unit buckets, the final partial bucket via flush,
  pinned bit-for-bit across every binding.

Verified locally in all 10 (3 candles for the 5-unit smoke; 16 for the golden).
The WickraCandle output record is shared with the tick aggregator (deduped).

* test(node): exclude data-layer types from the indicator completeness contract

The Resampler exposes update(), so the completeness test flagged it as an
indicator and required batch/reset/isReady/warmupPeriod, which a data-layer type
does not have. Exclude TickAggregator and Resampler like the bar builders.
This commit is contained in:
kingchenc
2026-06-15 22:36:16 +02:00
committed by GitHub
parent 8a103ef920
commit cb6da4d737
30 changed files with 901 additions and 4 deletions
@@ -360,6 +360,7 @@ from ._wickra import (
CandleVolume,
# Data layer
TickAggregator,
Resampler,
# Market Profile
CompositeProfile,
HighLowVolumeNodes,
@@ -906,6 +907,7 @@ __all__ = [
"CandleVolume",
# Data layer
"TickAggregator",
"Resampler",
# Market Profile
"CompositeProfile",
"HighLowVolumeNodes",
+50
View File
@@ -28287,6 +28287,7 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyCompositeProfile>()?;
// Data layer.
m.add_class::<PyTickAggregator>()?;
m.add_class::<PyResampler>()?;
// Candlestick patterns.
m.add_class::<PyDoji>()?;
m.add_class::<PyHammer>()?;
@@ -28616,3 +28617,52 @@ impl PyTickAggregator {
format!("TickAggregator(fills_gaps={})", self.inner.fills_gaps())
}
}
// ===== Data layer: resampling (candle -> higher-timeframe candle) =====
/// Resample candles into a higher timeframe (e.g. 1m -> 5m).
#[pyclass(name = "Resampler", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyResampler {
inner: wickra_data::resample::Resampler,
}
#[pymethods]
impl PyResampler {
#[new]
fn new(timeframe: i64) -> PyResult<Self> {
let tf = wickra_data::aggregator::Timeframe::new(timeframe).map_err(map_data_err)?;
Ok(Self {
inner: wickra_data::resample::Resampler::new(tf),
})
}
/// Push one candle; returns the completed higher-timeframe candle as
/// `(open, high, low, close, volume, timestamp)` on a bucket boundary, else
/// `None`.
fn update(
&mut self,
open: f64,
high: f64,
low: f64,
close: f64,
volume: f64,
timestamp: i64,
) -> PyResult<Option<CandleTuple>> {
let candle = wc::Candle::new(open, high, low, close, volume, timestamp).map_err(map_err)?;
Ok(self
.inner
.push(candle)
.map_err(map_data_err)?
.map(|c| (c.open, c.high, c.low, c.close, c.volume, c.timestamp)))
}
/// Emit the final, still-open candle (or `None` if none is pending).
fn flush(&mut self) -> PyResult<Option<CandleTuple>> {
Ok(self
.inner
.flush()
.map_err(map_data_err)?
.map(|c| (c.open, c.high, c.low, c.close, c.volume, c.timestamp)))
}
}
+21
View File
@@ -42,3 +42,24 @@ def test_tick_aggregator_matches_golden(gap_fill, fixture):
for j in range(6):
tol = 1e-9 * max(1.0, abs(w[j]))
assert abs(g[j] - w[j]) <= tol, f"row {i} col {j}: {g[j]} vs {w[j]}"
INPUT = _read("input") # open,high,low,close,volume (timestamp = row index)
def test_resampler_matches_golden():
r = ta.Resampler(5)
got = []
for i, (o, h, l, c, v) in enumerate(INPUT):
candle = r.update(o, h, l, c, v, i)
if candle is not None:
got.append(candle)
f = r.flush()
if f is not None:
got.append(f)
want = _read("data_resampled")
assert len(got) == len(want)
for i, (g, w) in enumerate(zip(got, want)):
for j in range(6):
tol = 1e-9 * max(1.0, abs(w[j]))
assert abs(g[j] - w[j]) <= tol, f"row {i} col {j}: {g[j]} vs {w[j]}"