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:
@@ -94,12 +94,66 @@ static int check(const char *fixture, bool gap, const double *ticks, int nt) {
|
||||
return fails;
|
||||
}
|
||||
|
||||
static int check_resample(void) {
|
||||
double input[MAXROWS * 5];
|
||||
int ni = read_csv("input", input, 5);
|
||||
double want[MAXROWS * 6];
|
||||
int nw = read_csv("data_resampled", want, 6);
|
||||
struct Resampler *r = wickra_resampler_new(5);
|
||||
if (!r) {
|
||||
printf("FAIL resample: new returned NULL\n");
|
||||
return 1;
|
||||
}
|
||||
double got[MAXROWS * 6];
|
||||
int ng = 0;
|
||||
struct WickraCandle out;
|
||||
for (int i = 0; i < ni; i++) {
|
||||
if (wickra_resampler_update(r, input[i * 5 + 0], input[i * 5 + 1], input[i * 5 + 2],
|
||||
input[i * 5 + 3], input[i * 5 + 4], (int64_t)i, &out)) {
|
||||
got[ng * 6 + 0] = out.open;
|
||||
got[ng * 6 + 1] = out.high;
|
||||
got[ng * 6 + 2] = out.low;
|
||||
got[ng * 6 + 3] = out.close;
|
||||
got[ng * 6 + 4] = out.volume;
|
||||
got[ng * 6 + 5] = (double)out.timestamp;
|
||||
ng++;
|
||||
}
|
||||
}
|
||||
if (wickra_resampler_flush(r, &out)) {
|
||||
got[ng * 6 + 0] = out.open;
|
||||
got[ng * 6 + 1] = out.high;
|
||||
got[ng * 6 + 2] = out.low;
|
||||
got[ng * 6 + 3] = out.close;
|
||||
got[ng * 6 + 4] = out.volume;
|
||||
got[ng * 6 + 5] = (double)out.timestamp;
|
||||
ng++;
|
||||
}
|
||||
wickra_resampler_free(r);
|
||||
if (ng != nw) {
|
||||
printf("FAIL resample: %d candles vs %d\n", ng, nw);
|
||||
return 1;
|
||||
}
|
||||
int fails = 0;
|
||||
for (int i = 0; i < ng; i++) {
|
||||
for (int j = 0; j < 6; j++) {
|
||||
double w = want[i * 6 + j];
|
||||
double tol = 1e-9 * fmax(1.0, fabs(w));
|
||||
if (fabs(got[i * 6 + j] - w) > tol) {
|
||||
printf("FAIL resample row %d col %d: %g vs %g\n", i, j, got[i * 6 + j], w);
|
||||
fails++;
|
||||
}
|
||||
}
|
||||
}
|
||||
return fails;
|
||||
}
|
||||
|
||||
int main(int argc, char **argv) {
|
||||
GDIR = (argc > 1) ? argv[1] : "testdata/golden";
|
||||
double ticks[MAXROWS * 3];
|
||||
int nt = read_csv("data_ticks", ticks, 3);
|
||||
int fails = check("data_candles", false, ticks, nt);
|
||||
fails += check("data_candles_gap", true, ticks, nt);
|
||||
fails += check_resample();
|
||||
if (fails == 0) {
|
||||
printf("C/C++ data layer: OK (%d ticks)\n", nt);
|
||||
}
|
||||
|
||||
@@ -20,6 +20,7 @@ use wickra::{
|
||||
Indicator, IntradayIntensity, MacdIndicator, Rsi, Sma, Tick,
|
||||
};
|
||||
use wickra_data::aggregator::{TickAggregator, Timeframe};
|
||||
use wickra_data::resample::Resampler;
|
||||
|
||||
const N: usize = 80;
|
||||
|
||||
@@ -185,9 +186,37 @@ fn main() {
|
||||
emit_profiles(dir, &candles);
|
||||
emit_bars(dir, &candles);
|
||||
emit_data_layer(dir);
|
||||
emit_resampler(dir, &candles);
|
||||
println!("golden fixtures written to {}", dir.display());
|
||||
}
|
||||
|
||||
/// Data layer: the resampler. Resamples the shared input candles (timestamp =
|
||||
/// row index) into 5-unit buckets; the final partial bucket comes out of flush.
|
||||
fn emit_resampler(dir: &Path, candles: &[Candle]) {
|
||||
let mut resampler = Resampler::new(Timeframe::new(5).unwrap());
|
||||
let mut rows = Vec::new();
|
||||
for &candle in candles {
|
||||
if let Some(out) = resampler.push(candle).expect("valid resample push") {
|
||||
rows.push(format!(
|
||||
"{},{},{},{},{},{}",
|
||||
out.open, out.high, out.low, out.close, out.volume, out.timestamp
|
||||
));
|
||||
}
|
||||
}
|
||||
if let Some(out) = resampler.flush().expect("valid resample flush") {
|
||||
rows.push(format!(
|
||||
"{},{},{},{},{},{}",
|
||||
out.open, out.high, out.low, out.close, out.volume, out.timestamp
|
||||
));
|
||||
}
|
||||
write_csv(
|
||||
dir,
|
||||
"data_resampled",
|
||||
"open,high,low,close,volume,timestamp",
|
||||
&rows,
|
||||
);
|
||||
}
|
||||
|
||||
/// Deterministic trade tick `i`: price on the shared varied path, a small
|
||||
/// repeating size, and a timestamp that places roughly three ticks per
|
||||
/// 1000-unit bucket. A deliberate jump at `i == 36` opens a multi-bucket gap so
|
||||
|
||||
Reference in New Issue
Block a user