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
+58
View File
@@ -16043,3 +16043,61 @@ impl WasmTickAggregator {
self.inner.fills_gaps()
}
}
// ===== Data layer: resampling (candle -> higher-timeframe candle) =====
fn candle_object(c: wc::Candle) -> Object {
let obj = Object::new();
Reflect::set(&obj, &"open".into(), &c.open.into()).ok();
Reflect::set(&obj, &"high".into(), &c.high.into()).ok();
Reflect::set(&obj, &"low".into(), &c.low.into()).ok();
Reflect::set(&obj, &"close".into(), &c.close.into()).ok();
Reflect::set(&obj, &"volume".into(), &c.volume.into()).ok();
Reflect::set(&obj, &"timestamp".into(), &(c.timestamp as f64).into()).ok();
obj
}
/// Resample candles into a higher timeframe (e.g. 1m -> 5m).
#[wasm_bindgen(js_name = Resampler)]
pub struct WasmResampler {
inner: wickra_data::resample::Resampler,
}
#[wasm_bindgen(js_class = Resampler)]
impl WasmResampler {
/// Construct a resampler aggregating inputs into `timeframe`-sized candles.
#[wasm_bindgen(constructor)]
pub fn new(timeframe: f64) -> Result<WasmResampler, JsError> {
let tf = wickra_data::aggregator::Timeframe::new(timeframe as i64).map_err(map_data_err)?;
Ok(Self {
inner: wickra_data::resample::Resampler::new(tf),
})
}
/// Push one candle; returns a `{ open, high, low, close, volume, timestamp }`
/// object on a bucket boundary, otherwise `null`.
pub fn update(
&mut self,
open: f64,
high: f64,
low: f64,
close: f64,
volume: f64,
timestamp: f64,
) -> Result<JsValue, JsError> {
let candle =
wc::Candle::new(open, high, low, close, volume, timestamp as i64).map_err(map_err)?;
match self.inner.push(candle).map_err(map_data_err)? {
Some(c) => Ok(candle_object(c).into()),
None => Ok(JsValue::NULL),
}
}
/// Emit the final, still-open candle (or `null` if none is pending).
pub fn flush(&mut self) -> Result<JsValue, JsError> {
match self.inner.flush().map_err(map_data_err)? {
Some(c) => Ok(candle_object(c).into()),
None => Ok(JsValue::NULL),
}
}
}
+22
View File
@@ -49,3 +49,25 @@ test('wasm tick aggregator matches the golden candles', () => {
test('wasm tick aggregator gap-fill matches the golden candles', () => {
assertCandles(run(true), readCsv('data_candles_gap'), 'gap');
});
const INPUT = readCsv('input'); // open,high,low,close,volume (timestamp = row index)
function runResample() {
const r = new W.Resampler(5);
const out = [];
INPUT.forEach(([o, h, l, c, v], i) => {
const candle = r.update(o, h, l, c, v, i);
if (candle) {
out.push([candle.open, candle.high, candle.low, candle.close, candle.volume, candle.timestamp]);
}
});
const f = r.flush();
if (f) {
out.push([f.open, f.high, f.low, f.close, f.volume, f.timestamp]);
}
return out;
}
test('wasm resampler matches the golden candles', () => {
assertCandles(runResample(), readCsv('data_resampled'), 'resample');
});