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Author SHA1 Message Date
kingchenc d7cb771a28 release: bump 0.8.4 -> 0.8.5 (#258)
Version bump `0.8.4` → `0.8.5`.

### Fixed
- The R binding's golden-fixture parity test now skips gracefully when the shared `testdata/golden` fixtures are not bundled with the package — standalone r-universe / CRAN builds package only `bindings/r`, so the repo-root fixtures are unreachable there (this was failing the r-universe build of 0.8.4). The parity stays enforced by the repository CI, where the fixtures are present. (#257)

Bump touches the manual release touchpoints only (`Cargo.toml`/`Cargo.lock`, Python/Node/Java/C#/R manifests, lockfiles, `SECURITY.md`, `CHANGELOG.md`). docs/webpage version strings are left to `sync-about.yml` on the tag.
2026-06-11 17:13:52 +02:00
kingchenc 3e5a19c94a fix(r): skip golden-fixture test in standalone package builds + document parity (#257)
## Problem
The r-universe build of `wickra` 0.8.4 fails (`R CMD check` ERROR): the golden-fixture parity test added in #255 walks up from the working directory looking for `testdata/golden` and `stop()`s when it cannot find it. Standalone package builds (r-universe / CRAN) package only `bindings/r`, so the repo-root `testdata/golden` fixtures are unreachable there — whereas the monorepo CI checks out the full repo, so the walk-up succeeds and the test passes.

Run: https://github.com/r-universe/wickra-lib/actions/runs/27354800361

## Fix
- **`bindings/r/tests/testthat/test-golden.R`** — the fixture-directory lookup now returns `NULL` instead of erroring when the fixtures are absent, and each test starts with `skip_if(is.null(golden_dir), ...)`. The repository CI (full repo present) still runs the parity checks; standalone builds skip them. The per-test `golden_input` read moved inside the (post-skip) test bodies so nothing runs at source time when the fixtures are missing.
- **`CHANGELOG.md`** — `[Unreleased]` Fixed entry.

## Docs (B6)
- **`README.md` `## Testing`** — the four C-ABI bindings (C#, Go, Java, R) were described as covering one indicator per FFI archetype; document that they additionally replay the shared golden fixture and assert exact parity with the Rust reference outputs.
2026-06-11 17:08:33 +02:00
kingchenc 8bfe24ac1d test(golden): language-neutral fixtures + per-binding parity runners (#255)
**Task 5 — golden-fixture parity for the C-ABI bindings.** Lifts the C#/Go/Java/R tests from *one indicator per archetype* toward reference-value parity, catching FFI wiring bugs (swapped params, wrong multi-output field) the math-only core tests cannot see.

## What's here
- **`examples/rust/src/bin/gen_golden.rs`** + **`testdata/golden/*.csv`** — a Rust generator computing a deterministic OHLCV series plus the core's reference outputs for a curated archetype-spanning set: scalar (`Sma`/`Ema`/`Rsi`), candle (`Atr`), scalar multi-output (`MACD`), candle multi-output (`ADX`), pairwise (`Beta`). `nan` marks warmup. Regenerate with `cargo run -p wickra-examples --bin gen_golden`.
- **Parity runners** replaying the identical fixtures through each FFI (rel-tol 1e-6), each a standard test in the binding's existing suite (no `ci.yml` change — rides `dotnet test` / `go test` / `mvn install` / `R CMD`+testthat). A walk-up search locates `testdata/golden` regardless of run dir.
  - **C#** (`bindings/csharp/.../GoldenTests.cs`) —  validated locally, 7/7 pass.
  - **Go** (`bindings/go/golden_test.go`) —  validated locally, pass.
  - **Java** (`bindings/java/.../GoldenTests.java`) — modeled on the archetype API; validated by CI (no local mvn).
  - **R** (`bindings/r/tests/testthat/test-golden.R`) — modeled on the archetype API; validated by CI (no local Rscript).

## Notes
- The curated set spans every marshalling archetype; extending the indicator list is mechanical (add to the generator + regenerate). Bars/profile archetypes can be added next.
- No new CI jobs.
2026-06-11 15:22:29 +02:00
kingchenc 395a2289f4 release: bump 0.8.3 -> 0.8.4 (#256)
Version bump `0.8.3` → `0.8.4`.

Ships the work merged via #254:

### Fixed
- A single non-finite (NaN/inf) tick no longer poisons indicator state — 38 more scalar/pairwise indicators (linear-regression family, rolling quantiles/IQR, `Variance`/`StdDev`-derived stats, `Kurtosis`/`Skewness`, trailing stops, `KalmanHedgeRatio`, `SpreadBollingerBands`, …) now reject non-finite input and return `None`, joining the 16 pairwise indicators fixed earlier.

### Added
- Catalogue-wide property-based invariant harness (`crates/wickra-core/tests/invariants.rs`) asserting `batch == streaming`, `reset == fresh`, and non-finite-input rejection for every indicator and bar-builder.

### Changed
- CI: every job now has a runtime cap and the flaky Node test step auto-retries.
- Documentation accuracy fixes in `SECURITY.md`, `ARCHITECTURE.md`, and `THREAT_MODEL.md`.

Bump touches the manual release touchpoints only (`Cargo.toml`/`Cargo.lock`, Python/Node/Java/C#/R manifests, lockfiles, `SECURITY.md`, `CHANGELOG.md`). docs/webpage version strings are left to `sync-about.yml` on the tag.
2026-06-11 14:57:15 +02:00
kingchenc 9973d1a6bf test(core): catalogue-wide invariant harness + guard non-finite input in 38 indicators (#254)
Adds `crates/wickra-core/tests/invariants.rs` — a property-based (`proptest`) harness asserting three invariants for **every** indicator and bar-builder in the catalogue (every module entry implementing `Indicator` or `BarBuilder`; the lone non-indicator helper `pattern_swing`/`SwingTracker` is excluded by design) — and fixes the non-finite bugs the harness surfaced.

## Invariants
1. **batch == streaming** — `batch()` must replay `update()` exactly.
2. **reset == fresh** — after `reset()`, re-feeding the same data matches a fresh instance.
3. **non-finite rejected without poisoning** (`f64` / `(f64, f64)` families) — a NaN/inf tick returns `None` and leaves state identical to never having seen it.

## How it works
- A single generic `check_seq<I: Indicator>` covers **all** input families — `f64`, `Candle`, `(f64, f64)`, and the exotic `CrossSection`, `Trade`, `DerivativesTick`, `OrderBook`, `TradeQuote` — via per-family `proptest` generators that produce *valid* inputs (e.g. order books are strictly monotonic and uncrossed).
- `check_bars<B: BarBuilder>` covers the bar-builder trait.
- Outputs are compared by `Debug` string so bit-identical `NaN` outputs count as equal — these properties test **determinism**, not NaN-freeness.

## The 38 non-finite fixes
The harness surfaced **38 more** scalar/pairwise indicators that let a NaN/inf tick poison their state — the same class as the 16 pairwise indicators fixed earlier (#251), but missed by the grep-based audit (`kalman_hedge_ratio` and `spread_bollinger_bands` carried `is_finite` on their **constructor** params, not the update input). All 38 now reject non-finite input via the established first-statement guard; signatures unchanged, so every binding inherits the fix. With these in, the non-finite invariant is enforced for every `f64`/`(f64,f64)` indicator going forward — the permanent regression net that would have caught #251.

Warmup-exactness was evaluated and **left out** (not universal — many multi-component/candlestick indicators emit before `warmup_period` by design).

## Verification
- `cargo test -p wickra-core`: 4225 unit + harness + 464 doc/integration, all green.
- `cargo clippy --workspace --all-targets --all-features -- -D warnings`: clean.
- Coverage runs integration tests, so the new guard branches are exercised by the harness's NaN feed.

Also documents the harness in README's Testing section and adds the pending 0.8.4 entries to CHANGELOG `[Unreleased]`.
2026-06-11 14:51:46 +02:00
kingchenc cb216668ee docs: fix accuracy drift in SECURITY, ARCHITECTURE, THREAT_MODEL (#253)
Documentation-only accuracy fixes from the codebase audit (no code changes).

## SECURITY.md
- Supported-version policy was stale at `0.5.x` while `0.8.3` is published. Bump to the exact `0.8.3` (prose + table `0.8.3 (latest)` / `< 0.8.3`). The exact `x.y.z` form lets `bump_version.py` keep it current automatically (now wired as a touchpoint).

## ARCHITECTURE.md
- `three` → **four** binding crates (the C ABI crate was added).
- workspace diagram `214` → **514** indicators (matches the `mod`-count and `lib.rs` public-type count; now wired into the indicator-wiring automation so it self-heals).
- WASM "does not have automated tests yet" → corrected: `bindings/wasm/src/lib.rs` carries **21** `wasm-bindgen-test` cases.
- **Numerical-stability notes rewritten to match the code:** the sliding-window variance family (`StdDev`, `Variance`, `ZScore`, `Bollinger`) uses running `Σx²−mean²` with clamping (and periodic reseed for `Bollinger`), **not** Welford. True Welford is used only by `IntradayVolatilityProfile` and `SeasonalZScore` (it does not transfer cleanly to a sliding window). The **Kahan-summation** bullet is removed — no Kahan summation exists in the crate.

## THREAT_MODEL.md
- The C ABI is built with `panic = "abort"` and has no `catch_unwind`. Replace the false "catches panics so none cross the boundary" claim with the honest abort strategy (terminates deterministically instead of unwinding across the FFI boundary, which would be UB).
2026-06-11 03:28:19 +02:00
kingchenc 20c0002f8e ci: cap job runtimes and auto-retry the flaky Node test step (#252)
## Problem

A Node test job wedged on a macOS runner: the **Run Node tests** step (`node --test`) hung for **over an hour** while the identical tests passed in ~1.5 min on every other runner (Node 20 macOS same run: 1m46s; Node 18 macOS on a sibling PR: 1m34s). It is a one-off stuck process — the macOS analogue of the documented `setup-node` Windows CDN flake — not a real Node 18 vs 20 difference.

No job in `ci.yml` set any `timeout-minutes`, so a hung step runs toward GitHub's **6h default** before the platform kills it.

## Changes

- **Job-level `timeout-minutes: 20` backstop on all 15 jobs.** The slowest real job is ~5 min, so 20 min is generous headroom (survives cold-cache spikes) while turning a 6h hang into a 20-min fail. The clock counts execution time only — queued/waiting time does not count against it.
- **`Run Node tests` wrapped in `nick-fields/retry` (SHA-pinned, v4.0.0):** a hung attempt is killed after 6 min and retried once (`timeout_minutes: 6`, `max_attempts: 2`), so a one-off wedge self-heals without a manual re-run. Normal run is well under a minute; worst case 2×6 min stays under the 20-min job backstop.

## Notes

- New SHA-pinned third-party action (`nick-fields/retry@ad98453…` = v4.0.0) — satisfies the SHA-pin convention; `zizmor` runs on this PR.
- `ci.yml` validated as well-formed YAML; all 15 jobs confirmed to carry a job-level timeout.
2026-06-11 03:27:05 +02:00
kingchenc 99497eb062 fix(core): reject non-finite input in 16 pairwise indicators (#251)
## Problem

16 of the 24 pairwise indicators (`type Input = (f64, f64)`) accepted non-finite input unchecked. A single NaN/Inf tick produced a NaN reading, contradicting the streaming-robustness guarantee that *a single bad tick cannot silently poison state* (README, `ARCHITECTURE.md`).

The other 8 pairwise indicators (`Alpha`, `InformationRatio`, `KalmanHedgeRatio`, `PairSpreadZScore`, `PairwiseBeta`, `RelativeStrengthAb`, `SpreadBollingerBands`, `TreynorRatio`) already guard finite input and are untouched. Scalar (169 files) and candle (`Candle::new`) inputs were already protected.

## Severity split

- **7 running-sum indicators** \(permanent corruption — NaN entered `Σ` and stayed until `reset()`\): `Beta`, `BetaNeutralSpread`, `Cointegration`, `HasbrouckInformationShare`, `PearsonCorrelation`, `RollingCorrelation`, `RollingCovariance`.
- **9 buffer-recompute indicators** \(transient — NaN cleared once evicted, but still surfaced in the reading\): `DistanceSsd`, `GrangerCausality`, `KendallTau`, `LeadLagCrossCorrelation`, `OuHalfLife`, `SpearmanCorrelation`, `SpreadAr1Coefficient`, `SpreadHurst`, `VarianceRatio`.

## Fix

Add the established finite-input guard (the same pattern `Alpha` already uses) as the first step of `update()`, before any window or sum mutation. Signature unchanged → bindings re-export unchanged, no binding regen needed; core-only.

Each indicator gains a `non_finite_input_returns_none` test that exercises the guard (NaN and Inf, covering both `||` operands) and proves a clean warmup is unaffected by the rejected ticks.

Split into two commits by severity class.

## Verification

- `cargo fmt --all` clean
- `cargo test --workspace --all-features` — 4225 core tests pass (+16 new)
- `cargo clippy --workspace --all-targets --all-features -- -D warnings` clean
2026-06-11 03:01:24 +02:00
kingchenc 7e51f31f02 sync-about: propagate published version into Java install snippets (#250)
## Problem

Java is the only target whose install snippet pins a version (the Maven coordinate). Every other language exposes its version through an api/*.md `Latest:` line or the docs published-versions table, both of which `sync-about.yml` already rewrites on each `v*` tag. The Java `<version>` tag and the `org.wickra:wickra:<v>` Gradle coordinate were never wired in, so they drifted:

- `webpage/index.md` install tab → stuck on `0.8.0`
- `webpage/api/java.md` → stuck on `0.7.9`
- `wickra-docs/Quickstart-Java.md` (Maven `<version>` + Gradle coord) → stuck on `0.7.9`

while the published version is already `0.8.3`.

## Fix

Extend the webpage and docs version-sync steps to rewrite the Maven `<version>` tag and the Gradle coordinate to the released `${version}`, and add `index.md` / `Quickstart-Java.md` to the respective commits. Java publishes on every release, so it tracks the same version as the rest — future releases self-heal these snippets.

Patterns dry-run-verified against the live files (all three resolve to `0.8.3`). The current drift is corrected directly in companion PRs on the webpage and wickra-docs repos.
2026-06-11 01:38:54 +02:00
kingchenc 3ee3fb67ec release: bump 0.8.2 -> 0.8.3 (#249)
Version bump 0.8.2 → 0.8.3, releasing the per-binding throughput benchmark work
(merged in #246).

Bumped via `ScriptHelpers/bump_version.py` across all manual touchpoints —
`Cargo.toml`, `pyproject.toml`, the Node `package.json` + 6 platform packages +
both lockfiles, the Java `pom.xml`s + README, the C# `.csproj`, the R
`DESCRIPTION` — plus `Cargo.lock` (via `cargo build`) and the `CHANGELOG.md`
`[0.8.3]` section and compare URLs.

CHANGELOG `[0.8.3]`:
- Per-binding throughput benchmarks for all 9 targets (BENCHMARKS.md §3).
- C ABI archetype test (`examples/c/archetypes.c`).

`cargo fmt`, `cargo test --workspace --all-features` (all green) and
`cargo clippy --workspace --all-targets --all-features -D warnings` pass. The
docs/webpage version strings are bumped by `sync-about.yml` on the `v*` tag —
not touched here.
2026-06-10 03:55:39 +02:00
kingchenc 3ebcb3f758 Per-binding throughput benchmarks + test-coverage gaps (#246)
Adds a `throughput` benchmark to every target and closes two small
test-coverage documentation/QA gaps. One PR, no merge of binding code beyond
the additive benchmarks and one C test.

## 1. Per-binding throughput benchmarks (all 9 targets)

Each benchmark feeds a deterministic synthetic OHLCV series through three
indicators chosen by **FFI call-signature archetype** (not algorithm — the same
Rust core runs underneath all bindings):

- `SMA(20)` — 1-in → 1-out (baseline boundary cost)
- `ATR(14)` — multi-in → 1-out (input marshalling)
- `MACD(12,26,9)` — 1-in → multi-out (output marshalling)

Streaming is timed for all three; batch for the single-output SMA and ATR
(median of 3 runs, after a warmup pass).

New: Python (PyO3), WASM, C (CMake), C# (Stopwatch), Go, Java (FFM), R, and the
Rust core baseline (`examples/rust/.../throughput.rs`, **no FFI** — the ceiling
the bindings are measured against and the value their batch paths converge
towards). Node already had `throughput.js`.

**Not a speed claim:** there is no comparable streaming TA library for C, C#,
Go, Java, R or WASM to compare against, so these are raw per-binding throughput
numbers documenting each language's FFI overhead — see BENCHMARKS.md §3. The
"Wickra is fast" claim still lives in §1/§2 (Rust core + the Python/Rust
cross-library runs).

## 2. README `## Testing`: C# and C bullets

The section listed every layer except C# and C, even though both have suites.
Adds the two missing bullets.

## 3. C archetype ctest

`examples/c/archetypes.c` drives one indicator per FFI archetype through the
real C boundary (scalar + batch==streaming, multi-output, bars, profile, array
input) plus reset, invalid-parameter and NULL-safety — the C counterpart of the
Go/R/Java archetype suites. Runs on three OSes via the existing CMake/ctest.

## Notes

- Benchmarks are not CI-gated (manual-run scripts, like the existing
  `throughput.js`); no `ci.yml`/`release.yml` changes.
- Docs: BENCHMARKS.md §3, a `## Benchmark` section in every binding README, a
  CHANGELOG entry.
- Verified locally by running: Rust, Python, C, C#, Go, Java (real numbers); the
  C archetype ctest with `-Wall -Wextra -Wpedantic -Werror`. WASM and R are
  API-correct and syntax-checked but need their own toolchains to run.
2026-06-10 03:46:38 +02:00
kingchenc b31a9a3624 release: bump 0.8.1 -> 0.8.2 (#245)
Patch release shipping the R WebAssembly build fix (#244): `bindings/r/configure` builds the C ABI from source for `wasm32-unknown-emscripten`, so r-universe's webR build stops failing. Also carries the shared Go badge in `bindings/go/README.md`. Version bumped across all manual touchpoints via `bump_version.py` (incl. DESCRIPTION + csproj, which had drifted before).
2026-06-10 01:57:10 +02:00
kingchenc 6433c9b3de bindings/r: build the C ABI from source for the WebAssembly target (#244)
## Problem
r-universe builds every package to WebAssembly (webR) in addition to the native platforms, calling `./configure --host=wasm32-unknown-emscripten`. `bindings/r/configure` only knew Linux/macOS/Windows and exited with `unsupported OS 'Emscripten'`, so the **WASM job was the single red check** on an otherwise fully-published r-universe build (all native platforms + deploy are green; the package installs fine everywhere).

## Fix
The r-universe wasm build image ships **cargo** (`/usr/local/cargo/bin`) and **emscripten** (`EMSDK` on PATH). So instead of needing a prebuilt wasm lib (which would risk an emscripten ABI/version mismatch), `configure` now detects the Emscripten host and **builds the C ABI staticlib from source** for `wasm32-unknown-emscripten` in-place — compiled with the image's own emscripten, so the ABI always matches. The static `libwickra.a` is linked into the package object (no shared lib, no rpath).

`wickra-core`'s rayon batch needs threads (absent on wasm), so the wasm build drops it via `--no-default-features`. `wickra-c` now takes `wickra-core` as a direct path dep with `default-features = false` plus a default `parallel` feature that re-enables it for native builds (a member-level `default-features = false` is ignored when inheriting a workspace dep — that was the trap). 

## Validated locally
- `cargo build -p wickra-c` (default) → rayon present, builds.
- `cargo build -p wickra-c --no-default-features` (the wasm feature path) → rayon **gone**, builds.
- `cargo build --workspace`, clippy, fmt all clean; `configure` passes `sh -n`.

## Cannot be validated locally
No Rust/emscripten wasm toolchain here. The wasm build only runs in r-universe, and `configure` downloads the matching `v${version}` source tag — so this takes effect from the **first release that includes it** (the tagged source must contain the feature toggle). Open risks: whether the image has the `wasm32-unknown-emscripten` Rust target pre-installed (configure runs `rustup target add` best-effort) and the wasm build time. Worth one r-universe rebuild to confirm.

Not merging — review first.
2026-06-10 01:44:48 +02:00
kingchenc 447bbc8220 bindings/csharp: sync the static csproj version to 0.8.1 (#243)
The static `<Version>` in `bindings/csharp/Wickra/Wickra.csproj` had drifted to 0.7.9 — it was missed in the 0.8.0/0.8.1 bumps (wrongly assumed to be purely tag-injected). The published NuGet package was correct (the release packs with `-p:Version=`), but the static field lagged. Resync to 0.8.1; bump_version.py now covers it.
2026-06-10 01:08:37 +02:00
kingchenc c9ef2fc037 bindings/r: bump DESCRIPTION version to 0.8.1 (#242)
The R package DESCRIPTION was missed in the 0.8.0/0.8.1 version bumps (it stayed at 0.7.9), so r-universe published wickra 0.7.9 while everything else is 0.8.1. Resync it; r-universe rebuilds from the main HEAD on its next ~hourly sync.
2026-06-10 00:47:13 +02:00
kingchenc 49c2872ad4 sync-about: sync the version for every registry row (#241)
The published-versions table sync only matched crates.io/PyPI/npm rows, so the NuGet, Maven Central, Go and r-universe rows added to the docs would stay stale on each release. Extend the regex to all seven registries and match the registry name whether plain or wrapped in a markdown link.
2026-06-10 00:26:49 +02:00
kingchenc 0c4bbaf314 release: bump 0.8.0 -> 0.8.1 (#240)
Patch release shipping the wickra-go mirror license fix (#239). The release-time Go mirror now includes the dual MIT OR Apache-2.0 license files, so the next published Go module version resolves with a redistributable license on pkg.go.dev. No code changes; all other packages are republished unchanged at 0.8.1.
2026-06-10 00:22:29 +02:00
kingchenc 99ad2ab107 release.yml: ship the dual license in the wickra-go mirror (#239)
The go-mirror job copied the source, header, README and libraries into wickra-go but not the license, so pkg.go.dev reports `License: None detected` (not redistributable). Copy the root `LICENSE-MIT` and `LICENSE-APACHE` into the assembled module. Takes effect on the next release; the already-published `v0.8.0` tag is immutable on the Go proxy and keeps its current state.
2026-06-10 00:20:34 +02:00
kingchenc 8e225a5872 docs: add Maven Central, Go and r-universe badges to the README (#238)
Adds the three remaining package badges to the README badge row — Maven Central (`org.wickra:wickra`), the Go module (`wickra-go`) and the r-universe R package — mirroring the org profile badge row. They are served from the `.github` badge snapshots like the existing badges.
2026-06-10 00:12:52 +02:00
kingchenc 87bb008aa1 release: bump 0.7.9 -> 0.8.0 + Go module mirror (#237)
Bumps the workspace from 0.7.9 to 0.8.0 and adds the release-time mirror of the Go module to a standalone `wickra-go` repository.

## release.yml: `go-mirror` job
Adds a `go-mirror` job (independent of `github-release`, `needs: c-abi-build`) that on every `v*` tag:
- assembles the standalone Go module from `bindings/go` (single-package source + the vendored `include/wickra.h`),
- stages the six prebuilt C ABI libraries from the `c-abi-build` artifacts under `lib/<goos>_<goarch>/` (committed in the mirror, unlike the in-repo `lib/.gitignore`),
- rewrites `go.mod` to `module github.com/wickra-lib/wickra-go`,
- commits and tags the result in `wickra-lib/wickra-go` using the `WICKRA_GO_MIRROR_TOKEN` fine-grained PAT.

This makes `go get github.com/wickra-lib/wickra-go` build with no extra steps, closing the gap where the in-repo `bindings/go` module only built inside a full repository checkout. The mirror is a derived artifact, so its bot commit is intentionally unsigned.

## Version bump 0.7.9 -> 0.8.0
Patch never reaches double digits (`0.7.9` -> `0.8.0`). Touchpoints: `Cargo.toml` (+ `Cargo.lock` via build), `bindings/python/pyproject.toml`, `bindings/node/package.json` + 6 platform `npm/*/package.json` + both `package-lock.json` files, `bindings/java/pom.xml` + `examples/java/pom.xml` + Maven/Gradle snippets in `bindings/java/README.md`, and `CHANGELOG.md`. The C# `Wickra.csproj` (version set per tag) and `bindings/c` (inherits the workspace version) are intentionally untouched.

Tagging `v0.8.0` (which triggers the publish + the new mirror) stays gated on explicit confirmation.
2026-06-09 23:50:48 +02:00
kingchenc b06ce2678a Restructure the Go binding for self-contained distribution (#236)
## Problem
Plain `go get` + `go build` of the Go binding never worked **as a dependency**:
- cgo `CFLAGS` pointed at `${SRCDIR}/../c/include` — the parent dir is **outside** the Go module, so a proxy-fetched module has no header.
- the library under `./lib` was git-ignored and never shipped; the README told users to `cargo build` it from the workspace, which only works inside a clone, not from the read-only module cache.

cgo has no build hook and Go has no registry, so the only way a consumer's `go get`+build can find the lib is for it to be committed **inside the module the consumer pulls**. Per the design decision, that module is a separate **`wickra-go`** repo (keeps this repo free of committed binaries), populated by the release pipeline — this PR is the in-repo restructure that makes that possible.

## Changes
- **Vendor the header** at `bindings/go/include/wickra.h` (committed copy of `bindings/c/include/wickra.h`); `CFLAGS` → `-I${SRCDIR}/include`. A **CI drift check** fails if the copy goes stale.
- **Per-platform libraries**: cgo `LDFLAGS` become per `GOOS`/`GOARCH`, linking `${SRCDIR}/lib/<goos>_<goarch>/`.
- **CI** stages the host library into `lib/<goos>_<goarch>/` (`RUNNER_OS`/`RUNNER_ARCH` — note `macos-latest` is arm64) and exports `WICKRA_GO_LIBDIR` for the Windows PATH; libraries stay git-ignored here.
- **README**: install via the `wickra-go` module + a contributor build section.

## Validation
- Local **windows/amd64**: `gofmt` clean, `go vet`, `go build`, `go test` all green against the staged library + vendored header.
- Linux/macOS arches → the 3-OS `Go on …` CI job.

Follow-up (Stage 2, separate): create `wickra-lib/wickra-go` + a `release.yml` mirror job (source + 6 platform libs → `lib/<goos>_<goarch>/`, commit + tag), and point the docs at the new import path. Part of the self-contained gap (`todo-11`).
2026-06-09 23:06:16 +02:00
kingchenc 5b7523265c Make the R binding self-contained (fetch the C ABI at install time) (#235)
## Problem
The R package built **only** inside the dev/CI workspace. `src/Makevars` and `configure.win` hard-required `WICKRA_INCLUDE_DIR` / `WICKRA_LIB_DIR` pointing at a pre-built `libwickra` (`configure.win` literally `: "${WICKRA_LIB_DIR:?...}"`), and there was no Unix `configure`. So **r-universe** and any plain `install.packages` / `install_github` failed — R had no working end-user install path.

## Fix
Fetch the prebuilt `wickra-c-<triple>.tar.gz` release asset matching the package version at install time and bundle the library into the package (same outcome as the C# / Java bindings, which bundle per-platform native libs):

- **New POSIX `configure`** (the Unix hook R lacked): detect OS/arch → triple, download + `untar` via **base R** (no curl/wget system dep), stage `wickra.h` + `libwickra.{so,dylib}` into `src/`, generate `src/Makevars` from `Makevars.in` with an rpath (`$ORIGIN` Linux, `@loader_path` + `install_name_tool` macOS) so the bundled lib resolves post-install.
- **`configure.win`**: drop the hard `WICKRA_LIB_DIR` requirement; download the Windows triple when unset, then keep the existing `wickra_abi.dll` rename + `objdump`/`dlltool` import-lib dance (sourcing the dll/header from the asset).
- **`install.libs.R`** also bundles `libwickra.dylib` (macOS); the `*.so`/`*.dll` globs already covered Linux/Windows.
- `WICKRA_INCLUDE_DIR`/`WICKRA_LIB_DIR` stay as an optional **dev override**.
- **CI (3 OS)** keeps building against the locally built C ABI (version-independent — avoids the chicken-egg of downloading the in-flight version) but **no longer exports `LD_LIBRARY_PATH`/`DYLD_LIBRARY_PATH`**, so it now verifies the bundled rpath — the real self-contained path users and r-universe get.

`Makevars` is now generated from `Makevars.in`; `SystemRequirements` + ignore/attributes files updated.

## Validation
- The Windows `objdump`/`dlltool` import-lib dance was smoke-tested locally against the real v0.7.9 asset (2412 `wickra_` exports → import lib built).
- Linux/macOS rpath bundling can't be tested on this Windows host → **the 3-OS `r` CI job is the gate** (now without the loader-path mask).
- Follow-up (separate, after release): set up `wickra-lib/wickra-lib.r-universe.dev` (`packages.json` → `bindings/r`).

Closes the R half of the self-contained-distribution gap (`todo-10`).
2026-06-09 22:11:50 +02:00
127 changed files with 15610 additions and 145 deletions
+6 -2
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@@ -11,10 +11,13 @@ bindings/c/include/wickra.h text eol=lf
*.cs text eol=lf
# Go sources (including the generated binding) are pinned to LF so gofmt's CI
# check never trips on a CRLF checkout on Windows.
# check never trips on a CRLF checkout on Windows. The vendored C ABI header is
# a committed copy of bindings/c/include/wickra.h (the parent dir is outside the
# Go module), pinned to LF so the drift check never trips on CRLF.
*.go text eol=lf
go.mod text eol=lf
go.sum text eol=lf
bindings/go/include/wickra.h text eol=lf
# Java sources (including the generated binding) are pinned to LF so the
# committed files stay stable regardless of the committer's autocrlf setting.
@@ -23,8 +26,9 @@ go.sum text eol=lf
# R binding: `R CMD check` requires LF in sources, Makevars and shell scripts.
*.R text eol=lf
*.Rd text eol=lf
bindings/r/configure text eol=lf
bindings/r/configure.win text eol=lf
bindings/r/src/Makevars text eol=lf
bindings/r/src/Makevars.in text eol=lf
bindings/r/src/Makevars.win text eol=lf
bindings/r/src/wickra.c text eol=lf
+66 -19
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@@ -34,6 +34,7 @@ jobs:
rust:
name: Rust ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -104,6 +105,7 @@ jobs:
examples-smoke:
name: Examples (syntax smoke)
runs-on: ubuntu-latest
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
@@ -193,6 +195,7 @@ jobs:
clippy-bindings:
name: Clippy bindings
runs-on: ubuntu-latest
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
@@ -276,6 +279,7 @@ jobs:
msrv:
name: ${{ matrix.name }}
runs-on: ubuntu-latest
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -324,6 +328,7 @@ jobs:
coverage:
name: Coverage
runs-on: ubuntu-latest
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
@@ -365,6 +370,7 @@ jobs:
supply-chain:
name: Supply-chain (cargo-deny)
runs-on: ubuntu-latest
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
@@ -383,6 +389,7 @@ jobs:
fuzz-smoke:
name: Fuzz (smoke)
runs-on: ubuntu-latest
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
@@ -436,6 +443,7 @@ jobs:
python:
name: Python ${{ matrix.python-version }} on ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -517,6 +525,7 @@ jobs:
wasm:
name: WASM build
runs-on: ubuntu-latest
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
@@ -560,6 +569,7 @@ jobs:
node:
name: Node ${{ matrix.node-version }} on ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -618,13 +628,22 @@ jobs:
# exist yet for win32-x64-msvc).
run: npx napi build --platform --release
# The Node test process has wedged on macOS runners (the step hung for
# 1h+ while the same tests passed in ~1.5 min elsewhere). Wrap it so a
# hung attempt is killed after 6 min and retried once, rather than
# running up to the job-level backstop. A normal run is under a minute.
- name: Run Node tests
working-directory: bindings/node
run: node --test __tests__/
uses: nick-fields/retry@ad984534de44a9489a53aefd81eb77f87c70dc60 # v4.0.0
with:
timeout_minutes: 6
max_attempts: 2
command: cd bindings/node && node --test __tests__/
shell: bash
c-abi:
name: C ABI on ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -680,6 +699,7 @@ jobs:
csharp:
name: C# on ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -730,6 +750,7 @@ jobs:
go:
name: Go on ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -778,15 +799,36 @@ jobs:
- name: Build the C ABI library
run: cargo build -p wickra-c --release
- name: Vendored header in sync with the C ABI
shell: bash
# bindings/go/include/wickra.h is a committed copy of the cbindgen header
# (the parent ../c/include is outside the Go module, so it must be
# vendored). Fail if it drifts from the source of truth.
run: |
if ! diff -u bindings/c/include/wickra.h bindings/go/include/wickra.h; then
echo "::error::bindings/go/include/wickra.h is stale — copy bindings/c/include/wickra.h over it"
exit 1
fi
- name: Stage the native library
shell: bash
# Stage into lib/<goos>_<goarch>/ to match the per-platform cgo LDFLAGS.
# CI builds the host target, so RUNNER_OS/ARCH give the right directory
# (note macos-latest is arm64).
run: |
mkdir -p bindings/go/lib
case "$RUNNER_OS" in
Linux) cp target/release/libwickra.so bindings/go/lib/ ;;
macOS) cp target/release/libwickra.dylib bindings/go/lib/ ;;
Windows) cp target/release/wickra.dll bindings/go/lib/ ;;
case "$RUNNER_ARCH" in
X64) arch=amd64 ;;
ARM64) arch=arm64 ;;
*) echo "::error::unsupported RUNNER_ARCH '$RUNNER_ARCH'"; exit 1 ;;
esac
case "$RUNNER_OS" in
Linux) dir="linux_$arch"; lib=target/release/libwickra.so ;;
macOS) dir="darwin_$arch"; lib=target/release/libwickra.dylib ;;
Windows) dir="windows_$arch"; lib=target/release/wickra.dll ;;
esac
mkdir -p "bindings/go/lib/$dir"
cp "$lib" "bindings/go/lib/$dir/"
echo "WICKRA_GO_LIBDIR=$PWD/bindings/go/lib/$dir" >> "$GITHUB_ENV"
- name: Go info
run: go version
@@ -801,9 +843,11 @@ jobs:
- name: Vet and test the Go binding
shell: bash
# On Windows there is no rpath; the loader resolves wickra.dll via PATH.
# On Windows there is no rpath; the loader resolves wickra.dll via PATH
# (WICKRA_GO_LIBDIR is the per-platform staged lib dir). Linux/macOS use
# the rpath baked by the per-platform cgo LDFLAGS.
run: |
export PATH="$PWD/bindings/go/lib:$PATH"
export PATH="$WICKRA_GO_LIBDIR:$PATH"
cd bindings/go
go vet ./...
go test ./...
@@ -811,7 +855,7 @@ jobs:
- name: Build the Go examples
shell: bash
run: |
export PATH="$PWD/bindings/go/lib:$PATH"
export PATH="$WICKRA_GO_LIBDIR:$PATH"
cd examples/go
go build ./...
@@ -819,7 +863,7 @@ jobs:
- name: Run the offline Go examples
shell: bash
run: |
export PATH="$PWD/bindings/go/lib:$PATH"
export PATH="$WICKRA_GO_LIBDIR:$PATH"
cd examples/go
for d in streaming backtest multi_timeframe parallel_assets \
strategy_rsi_mean_reversion strategy_macd_adx strategy_bollinger_squeeze; do
@@ -829,6 +873,7 @@ jobs:
r:
name: R on ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
@@ -868,23 +913,24 @@ jobs:
- name: Install and test the R binding
shell: bash
# github.workspace is a backslash path on Windows; configure.win (sh) and
# mingw need forward slashes. On Linux/macOS the rpath points at
# WICKRA_LIB_DIR; export the loader path too as a belt-and-suspenders.
# github.workspace is a backslash path on Windows; configure(.win) (sh) and
# mingw need forward slashes. WICKRA_*_DIR makes configure use the locally
# built C ABI (dev override) instead of downloading the release asset, so
# CI is version-independent. Deliberately do NOT set LD_LIBRARY_PATH /
# DYLD_LIBRARY_PATH: the lib is bundled into the package and must resolve
# via the rpath ($ORIGIN / @loader_path) baked by configure — that is the
# self-contained install path real users (and r-universe) get.
run: |
export WICKRA_INCLUDE_DIR="${WICKRA_INCLUDE_DIR//\\//}"
export WICKRA_LIB_DIR="${WICKRA_LIB_DIR//\\//}"
export LD_LIBRARY_PATH="$WICKRA_LIB_DIR:$LD_LIBRARY_PATH"
export DYLD_LIBRARY_PATH="$WICKRA_LIB_DIR:$DYLD_LIBRARY_PATH"
R CMD INSTALL bindings/r
Rscript -e 'library(testthat); library(wickra); test_dir("bindings/r/tests/testthat", stop_on_failure = TRUE)'
- name: Run the offline R examples
shell: bash
# No loader-path exports: the installed package is self-contained (bundled
# lib + rpath), so the examples exercise exactly what end users run.
run: |
export WICKRA_LIB_DIR="${WICKRA_LIB_DIR//\\//}"
export LD_LIBRARY_PATH="$WICKRA_LIB_DIR:$LD_LIBRARY_PATH"
export DYLD_LIBRARY_PATH="$WICKRA_LIB_DIR:$DYLD_LIBRARY_PATH"
cd examples/r
for f in streaming backtest multi_timeframe parallel_assets \
strategy_rsi_mean_reversion strategy_macd_adx strategy_bollinger_squeeze; do
@@ -899,6 +945,7 @@ jobs:
java:
name: Java on ${{ matrix.os }}
runs-on: ${{ matrix.os }}
timeout-minutes: 20 # backstop: cap a wedged job instead of GitHub's 6h default (slowest real job ~5 min)
strategy:
fail-fast: false
matrix:
+91
View File
@@ -775,6 +775,97 @@ jobs:
GPG_PASSPHRASE: ${{ secrets.GPG_PASSPHRASE }}
run: mvn -B -f bindings/java -Prelease deploy -DskipTests
# Mirror the in-repo Go module (bindings/go) to the standalone wickra-go
# repository so `go get github.com/wickra-lib/wickra-go` builds with no extra
# steps. The in-repo module keeps the prebuilt libraries git-ignored; the
# mirror commits them per platform under lib/<goos>_<goarch>/ alongside the
# vendored header. Independent of the GitHub-release job so a Go hiccup never
# blocks the C/C++ asset release. The push uses a fine-grained PAT
# (WICKRA_GO_MIRROR_TOKEN, contents:write on wickra-go); the mirror is a
# derived artifact, so its bot commit is intentionally unsigned.
go-mirror:
name: Mirror the Go module to wickra-go
needs: c-abi-build
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@de0fac2e4500dabe0009e67214ff5f5447ce83dd # v6.0.2
with:
persist-credentials: false
- name: Download the C ABI native libraries
uses: actions/download-artifact@3e5f45b2cfb9172054b4087a40e8e0b5a5461e7c # v8.0.1
with:
pattern: c-abi-*
path: c-abi-artifacts
- name: Assemble the wickra-go module tree
shell: bash
run: |
set -e
out=wickra-go-module
mkdir -p "$out/include" "$out/lib"
# Single-package Go source + vendored C ABI header.
cp bindings/go/*.go "$out/"
cp bindings/go/include/wickra.h "$out/include/"
cp bindings/go/README.md "$out/"
# Ship the dual license so pkg.go.dev detects a redistributable license.
cp LICENSE-MIT LICENSE-APACHE "$out/"
# Standalone module path (the in-repo go.mod points at the subdir).
printf 'module github.com/wickra-lib/wickra-go\n\ngo 1.23\n' > "$out/go.mod"
# Point install instructions at the standalone module path.
sed -i 's#github.com/wickra-lib/wickra/bindings/go#github.com/wickra-lib/wickra-go#g' \
"$out/README.md" "$out"/*.go
# Stage each prebuilt library under lib/<goos>_<goarch>/ (committed in
# the mirror, unlike the in-repo lib/.gitignore). "<dir> <libfile>".
declare -A GO=(
[x86_64-unknown-linux-gnu]="linux_amd64 libwickra.so"
[aarch64-unknown-linux-gnu]="linux_arm64 libwickra.so"
[x86_64-apple-darwin]="darwin_amd64 libwickra.dylib"
[aarch64-apple-darwin]="darwin_arm64 libwickra.dylib"
[x86_64-pc-windows-msvc]="windows_amd64 wickra.dll"
[aarch64-pc-windows-msvc]="windows_arm64 wickra.dll"
)
for target in "${!GO[@]}"; do
read -r dir libfile <<< "${GO[$target]}"
archive=$(find c-abi-artifacts -name "wickra-c-$target.tar.gz" | head -1)
if [ -z "$archive" ]; then
echo "::error::missing native artifact for $target"; exit 1
fi
tmp=$(mktemp -d); tar -xzf "$archive" -C "$tmp"
src=$(find "$tmp" -name "$libfile" | head -1)
if [ -z "$src" ]; then
echo "::error::missing $libfile for $target"; exit 1
fi
mkdir -p "$out/lib/$dir"; cp "$src" "$out/lib/$dir/"
done
echo "assembled module:"; find "$out" -type f | sort
- name: Push to wickra-go and tag the release
shell: bash
env:
MIRROR_TOKEN: ${{ secrets.WICKRA_GO_MIRROR_TOKEN }}
run: |
set -e
version="${GITHUB_REF_NAME#v}"
remote="https://x-access-token:${MIRROR_TOKEN}@github.com/wickra-lib/wickra-go.git"
git clone -q "$remote" mirror-repo
cd mirror-repo
git config user.name "wickra-bot"
git config user.email "support@wickra.org"
git symbolic-ref HEAD refs/heads/main
# Replace all tracked content with the freshly assembled tree.
find . -mindepth 1 -maxdepth 1 -not -name .git -exec rm -rf {} +
cp -r ../wickra-go-module/. .
git add -A
if git diff --cached --quiet; then
echo "wickra-go already up to date; tagging only"
else
git -c commit.gpgsign=false commit -q -m "Release v$version"
fi
git push origin HEAD:refs/heads/main
git tag "v$version"
git push origin "v$version"
github-release:
name: Attach assets to the draft GitHub Release
needs: [cargo-publish, python-publish, node-publish, wasm-publish, c-abi-build]
+24 -8
View File
@@ -332,20 +332,28 @@ jobs:
exit 0
fi
cd docs-ver
# Published-versions table rows (crates.io / PyPI / npm): replace only the
# version number, leaving the trailing padding + pipe intact. The '.' in
# the quickstart pattern matches the literal backtick around the version
# without needing a backtick in this shell string. Historical "since
# X.Y.Z" references contain no such anchor and are never matched.
sed -i -E "s/^(\| (crates\.io|PyPI|npm) .*\| )[0-9]+\.[0-9]+\.[0-9]+/\1${version}/" overview.md
# Published-versions table rows (all registries): replace only the
# version number, leaving the trailing padding + pipe intact. The
# registry name is matched whether plain or wrapped in a markdown link
# (\[?...\]?). The '.' in the quickstart pattern matches the literal
# backtick around the version without needing a backtick in this shell
# string. Historical "since X.Y.Z" references contain no such anchor and
# are never matched.
sed -i -E "s/^(\| \[?(crates\.io|PyPI|npm|NuGet|Maven Central|Go|r-universe)\]?.*\| )[0-9]+\.[0-9]+\.[0-9]+/\1${version}/" overview.md
sed -i -E "s/(published crate is at version .)[0-9]+\.[0-9]+\.[0-9]+/\1${version}/" Quickstart-Rust.md
# Quickstart-Java is the only quickstart whose install block pins a
# version (the Maven `<version>` tag and the `org.wickra:wickra:<v>`
# Gradle coordinate). Java publishes on every release, so it tracks the
# same ${version}.
sed -i -E "s|<version>[0-9]+\.[0-9]+\.[0-9]+</version>|<version>${version}</version>|" Quickstart-Java.md
sed -i -E "s|(org\.wickra:wickra:)[0-9]+\.[0-9]+\.[0-9]+|\1${version}|" Quickstart-Java.md
if git diff --quiet; then
echo "Docs version already at ${version}."
exit 0
fi
git config user.name "wickra-bot"
git config user.email "wickra-bot@users.noreply.github.com"
git add overview.md Quickstart-Rust.md
git add overview.md Quickstart-Rust.md Quickstart-Java.md
git commit -m "chore: sync published version to ${version}"
if ! git push 2>/dev/null; then
echo "::warning::push to wickra-lib/wickra-docs failed — ABOUT_SYNC_TOKEN likely lacks write (findings P10.0a)."
@@ -431,6 +439,14 @@ jobs:
sed -i -E "s/(Latest:\*\* \[.wickra(-wasm)? )[0-9]+\.[0-9]+\.[0-9]+/\1${version}/" api/*.md
sed -i -E "s/(text: .v)[0-9]+\.[0-9]+\.[0-9]+/\1${version}/" .vitepress/config.ts
sed -i -E "s/(.wickra-wasm.: .\^)[0-9]+\.[0-9]+\.[0-9]+/\1${version}/" package.json
# Java is the only target whose install snippet pins a version: the
# Maven `<version>` tag in the api/java.md dependency block and the
# home-page install tab in index.md, plus any `org.wickra:wickra:<v>`
# Gradle coordinate. Java publishes on every release, so it tracks the
# same ${version} as the rest. (Other languages' api/*.md carry a
# "Latest:" line handled above; Java uses the XML snippet instead.)
sed -i -E "s|<version>[0-9]+\.[0-9]+\.[0-9]+</version>|<version>${version}</version>|" api/java.md index.md
sed -i -E "s|(org\.wickra:wickra:)[0-9]+\.[0-9]+\.[0-9]+|\1${version}|" api/java.md index.md
# Keep package-lock.json in sync with the package.json bump. The site's
# Cloudflare build runs `npm clean-install` (npm ci), which hard-fails
# with EUSAGE if the lockfile still pins the previous wickra-wasm —
@@ -449,7 +465,7 @@ jobs:
fi
git config user.name "wickra-bot"
git config user.email "wickra-bot@users.noreply.github.com"
git add api/*.md .vitepress/config.ts package.json package-lock.json
git add api/*.md index.md .vitepress/config.ts package.json package-lock.json
git commit -m "chore: sync published version to ${version}"
if ! git push 2>/dev/null; then
echo "::warning::push to wickra-lib/webpage failed — ABOUT_SYNC_TOKEN likely lacks write (findings P10.0a)."
+1
View File
@@ -55,6 +55,7 @@ bindings/node/npm-debug.log*
# WASM build output
bindings/wasm/pkg/
bindings/wasm/pkg-node/
# Python venv
.venv/
+16 -13
View File
@@ -7,7 +7,7 @@ for the day-to-day workflow.
## Workspace layout
Wickra is a Cargo workspace of three Rust crates plus three binding crates.
Wickra is a Cargo workspace of three Rust crates plus four binding crates.
The split is deliberate: every concern that one user might want to disable
or replace lives behind a separate crate boundary.
@@ -20,7 +20,7 @@ or replace lives behind a separate crate boundary.
┌───────────▼──────────┐ ┌──────────▼─────────┐
│ wickra-core │ │ wickra-data │
│ indicator engine │ │ i/o + aggregation │
│ • 214 indicators │ │ • CSV reader │
│ • 514 indicators │ │ • CSV reader │
│ • Indicator trait │ │ • Tick aggregator │
│ • BatchExt impl │ │ • Resampler │
│ • OHLCV / Candle │ │ • Live feeds │
@@ -203,14 +203,17 @@ typed object arrays for Node/WASM).
A handful of indicators need care beyond naive accumulation:
- **Welford's online variance** is used in `StdDev`, `Variance`, `ZScore`,
`BollingerBands`, and several others. Standard sum-of-squares is
catastrophically lossy for low-variance inputs; Welford's recurrence
keeps O(eps) error.
- **Kahan summation** is used wherever rolling sums could span > 1e6
elements without resetting — currently only Hurst-exponent's R/S
chunks. Most rolling sums are bounded by the window size and don't need
it.
- **Rolling variance is running-sum, not Welford.** The sliding-window
variance family — `StdDev`, `Variance`, `ZScore`, `Bollinger` — keeps
running `Σx` and `Σx²` over the window and reports `var = Σx²/n mean²`,
clamping to zero the tiny negative values floating-point cancellation can
produce. `Bollinger` periodically reseeds its `Σx²` from the live window
so error cannot accumulate over a long stream. Welford's online algorithm
(an incremental `M2` accumulator) does **not** transfer cleanly to a
sliding window — removing the oldest point from `M2` is numerically
unstable — so it is used only where the statistic is *not* a fixed
window: `IntradayVolatilityProfile` and `SeasonalZScore` accumulate
per-bucket variance that way.
- **Logarithm bases** matter for some indicators (Hurst, MFI). Wickra
uses natural log everywhere unless the reference math explicitly
requires `log10` or `log2` — and then it documents the choice in the
@@ -327,9 +330,9 @@ re-discovering them.
- **`FAMILIES` (from PR #60) is hand-maintained.** Adding a new
indicator requires a separate entry in `FAMILIES`. The
`total_count_matches_expected` test will fail if you forget.
- **WASM does not have automated tests yet.** Smoke-validated only
through the manual examples. Adding `wasm-bindgen-test` coverage is
on the roadmap.
- **WASM is covered by `wasm-bindgen-test`.** `bindings/wasm/src/lib.rs`
carries 21 in-crate tests (run under `wasm-pack test` in CI), in
addition to the manual browser examples.
For the high-level project goals see [`ROADMAP.md`](ROADMAP.md); for
day-to-day contribution mechanics see [`CONTRIBUTING.md`](CONTRIBUTING.md).
+72
View File
@@ -94,3 +94,75 @@ cargo bench -p wickra-bench # Rust core vs kand / ta-rs / yata
pip install -e bindings/python[bench] # Python peers
python -m benchmarks.compare_libraries
```
## 3. Per-binding throughput — the cost of the boundary
The sections above compare Wickra against other libraries, which only exists for
Python and Rust (there is no comparable streaming TA library for C, C#, Go, Java,
R or WebAssembly to benchmark against). Every binding calls the **same** Rust
core, so these per-binding benchmarks are **not** a speed claim and **not** a
cross-library ratio — they document the raw cost of crossing each language's FFI
boundary, in million updates per second (Mupd/s).
Each binding ships a small `throughput` benchmark that feeds a synthetic OHLCV
series through three indicators chosen by call-signature archetype — `SMA(20)`
(1-in → 1-out), `ATR(14)` (multi-in → 1-out) and `MACD(12,26,9)` (1-in →
multi-out). Two things fall out of the numbers:
- **Batch converges.** A `batch` call crosses the boundary once and the Rust core
computes the whole series internally, so batch throughput is roughly the same
in every binding — close to the core speed.
- **Streaming reveals the boundary.** A per-tick `update` crosses the boundary
once per value, so streaming throughput is where the bindings differ: the raw C
ABI and P/Invoke-style calls are nearly free, while managed or interpreted
per-call marshalling (cgo, FFM, the R/WASM boundary) costs more per tick.
The Rust core ships the same benchmark with **no** FFI boundary
(`examples/rust/.../throughput.rs`) — it is the ceiling each binding is measured
against and the value the batch paths converge towards.
`SMA(20)`, 200 000 bars, median of 3 runs, on the reference machine (Windows 11,
AMD Ryzen 9 9950X):
| Target | streaming (Mupd/s) | batch (Mupd/s) |
|----------------------|-------------------:|---------------:|
| Rust core (no FFI) | 391 | 500 |
| C | 383 | 330 |
| C# / .NET | 337 | 244 |
| Python | 33 | 488 |
| Java | 28 | 175 |
| Go | 24 | 400 |
| WebAssembly | 19 | 167 |
| Node.js | 17 | 10 |
| R | 0.1 | 193 |
Streaming spans more than three orders of magnitude — the raw C ABI (383) is
nearly the FFI-free Rust ceiling (391), while R's per-call interpreter overhead
(0.1) makes streaming ~2000× slower than its own batch. Batch converges near the
core speed for the zero-copy bindings (numpy, slices, typed arrays); the two
outliers are Node — whose napi `batch` boxes every element into a JS `Array`
and R. These are machine-dependent and reflect FFI overhead, not algorithm
speed.
These are throughput numbers, not competitive numbers — the "Wickra is fast"
claim lives in sections 1 and 2 (Rust core + the Python/Rust cross-library runs).
Run any target's benchmark (build the C ABI library first where it links one):
```bash
cargo run -p wickra-examples --release --bin throughput # Rust core baseline (no FFI)
node bindings/node/benchmarks/throughput.js # native napi-rs
( cd bindings/python && python -m benchmarks.throughput ) # native PyO3
( cd bindings/wasm && wasm-pack build --target nodejs --out-dir pkg-node --release ) \
&& node bindings/wasm/benchmarks/throughput.mjs # wasm boundary
cargo build -p wickra-c --release # the C ABI hub
cmake -S bindings/c/benchmarks -B build/cbench && cmake --build build/cbench \
&& ./build/cbench/throughput # raw C ABI
dotnet run -c Release --project bindings/csharp/benchmarks # C# / .NET (P/Invoke)
( cd bindings/go/benchmarks && go run . ) # Go (cgo)
mvn -q -f bindings/java install -DskipTests \
&& mvn -q -f bindings/java/benchmarks exec:exec -Dexec.mainClass=org.wickra.benchmarks.Throughput
Rscript bindings/r/benchmarks/throughput.R # R (.Call)
```
+96 -1
View File
@@ -5,6 +5,95 @@ All notable changes to Wickra are documented in this file.
The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
## [Unreleased]
## [0.8.5] - 2026-06-11
### Fixed
- The R binding's golden-fixture parity test now skips gracefully when the shared
`testdata/golden` fixtures are not bundled with the package — standalone
r-universe / CRAN builds package only `bindings/r`, so the repo-root fixtures
are unreachable there. The parity stays enforced by the repository CI, where
the fixtures are present.
## [0.8.4] - 2026-06-11
### Fixed
- A single non-finite (NaN/inf) tick no longer poisons indicator state.
The 16 pairwise running-sum/buffer indicators fixed first (`Beta`,
`BetaNeutralSpread`, `Cointegration`, `HasbrouckInformationShare`,
`PearsonCorrelation`, `RollingCorrelation`, `RollingCovariance`,
`DistanceSsd`, `GrangerCausality`, `KendallTau`, `LeadLagCrossCorrelation`,
`OuHalfLife`, `SpearmanCorrelation`, `SpreadAr1Coefficient`, `SpreadHurst`,
`VarianceRatio`) were joined by 38 more scalar/pairwise indicators the new
property harness surfaced (the linear-regression family, rolling quantiles
and IQR, `Variance`/`StdDev`-derived stats, `Kurtosis`/`Skewness`, the
trailing stops, `KalmanHedgeRatio`, `SpreadBollingerBands`, and more). Every
`f64` / `(f64, f64)` indicator now rejects non-finite input and returns
`None`, matching the streaming-robustness guarantee — and the harness enforces
it going forward.
### Added
- Catalogue-wide property-based invariant harness
(`crates/wickra-core/tests/invariants.rs`) asserting `batch == streaming`,
`reset == fresh`, and non-finite-input rejection for every indicator and
bar-builder.
### Changed
- CI: every job now has a runtime cap and the historically flaky Node test step
auto-retries, so a wedged runner fails fast instead of hanging for hours.
- Documentation accuracy fixes in `SECURITY.md`, `ARCHITECTURE.md`, and
`THREAT_MODEL.md` (supported version, indicator count, WASM test coverage,
numerical-stability notes, and the C-ABI panic strategy).
## [0.8.3] - 2026-06-10
### Added
- **Per-binding throughput benchmarks** — every target now ships a `throughput`
benchmark mirroring the Node `throughput.js`: streaming and batch
updates-per-second for `SMA(20)`, `ATR(14)` and `MACD(12,26,9)` over a
synthetic OHLCV series. New for Python (`bindings/python/benchmarks/`), C
(`bindings/c/benchmarks/`), C# (`bindings/csharp/benchmarks/`), Go
(`bindings/go/benchmarks/`), Java (`bindings/java/benchmarks/`), R
(`bindings/r/benchmarks/`), WebAssembly (`bindings/wasm/benchmarks/`) and the
Rust core baseline (`examples/rust/.../throughput.rs`, no FFI). They measure
each binding's FFI overhead — the same Rust core runs underneath all of them —
and are documented in [BENCHMARKS.md](BENCHMARKS.md) §3, not a cross-library
speed claim.
- **C ABI archetype test** — `examples/c/archetypes.c` exercises one indicator
per FFI archetype (scalar, multi-output, bars, profile, array input) through
the C boundary, matching the Go/R/Java suites.
## [0.8.2] - 2026-06-10
### Fixed
- **R binding builds for WebAssembly** — `bindings/r/configure` now builds the
C ABI from source for the `wasm32-unknown-emscripten` target (r-universe /
webR) using the build image's cargo + emscripten, instead of failing with
"unsupported OS Emscripten". rayon is dropped on wasm via
`--no-default-features`; the indicators are pure computation, so the serial
path is functionally identical.
## [0.8.1] - 2026-06-10
### Fixed
- **`wickra-go` license** — the release-time Go module mirror now ships the dual
`LICENSE-MIT` and `LICENSE-APACHE` files, so pkg.go.dev detects a
redistributable license for `github.com/wickra-lib/wickra-go`. The previous
mirror shipped no license file.
## [0.8.0] - 2026-06-09
### Added
- **Standalone `wickra-go` module** — the Go binding is now mirrored to a
dedicated `github.com/wickra-lib/wickra-go` repository on every release, with
the prebuilt C ABI libraries committed per platform under
`lib/<goos>_<goarch>/` and the C ABI header vendored alongside the source, so
`go get github.com/wickra-lib/wickra-go` builds with no extra steps. The
in-repo `bindings/go` module is unchanged for repo-clone workflows.
### Changed
- **Go binding (`bindings/go`) is self-contained** — the C ABI header is now
vendored inside the module (`bindings/go/include/wickra.h`) instead of being
referenced from the parent `bindings/c` directory, and the cgo link flags
resolve the prebuilt library per `GOOS`/`GOARCH` under `lib/<goos>_<goarch>/`.
This removes the dependency on a full repository checkout for building the
module.
## [0.7.9] - 2026-06-09
### Added
- **Java binding (`bindings/java`)** — a Java binding reaching the C ABI hub
@@ -1461,7 +1550,13 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
optional Binance live feed.
- Bindings for Python, Node.js, and WebAssembly.
[Unreleased]: https://github.com/wickra-lib/wickra/compare/v0.7.9...HEAD
[Unreleased]: https://github.com/wickra-lib/wickra/compare/v0.8.5...HEAD
[0.8.5]: https://github.com/wickra-lib/wickra/compare/v0.8.4...v0.8.5
[0.8.4]: https://github.com/wickra-lib/wickra/compare/v0.8.3...v0.8.4
[0.8.3]: https://github.com/wickra-lib/wickra/compare/v0.8.2...v0.8.3
[0.8.2]: https://github.com/wickra-lib/wickra/compare/v0.8.1...v0.8.2
[0.8.1]: https://github.com/wickra-lib/wickra/compare/v0.8.0...v0.8.1
[0.8.0]: https://github.com/wickra-lib/wickra/compare/v0.7.9...v0.8.0
[0.7.9]: https://github.com/wickra-lib/wickra/compare/v0.7.8...v0.7.9
[0.7.8]: https://github.com/wickra-lib/wickra/compare/v0.7.7...v0.7.8
[0.7.7]: https://github.com/wickra-lib/wickra/compare/v0.7.6...v0.7.7
Generated
+9 -9
View File
@@ -1944,7 +1944,7 @@ dependencies = [
[[package]]
name = "wickra"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"approx",
"criterion",
@@ -1955,7 +1955,7 @@ dependencies = [
[[package]]
name = "wickra-bench"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"criterion",
"kand",
@@ -1967,14 +1967,14 @@ dependencies = [
[[package]]
name = "wickra-c"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"wickra-core",
]
[[package]]
name = "wickra-core"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"approx",
"proptest",
@@ -1984,7 +1984,7 @@ dependencies = [
[[package]]
name = "wickra-data"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"approx",
"csv",
@@ -2001,7 +2001,7 @@ dependencies = [
[[package]]
name = "wickra-examples"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"serde_json",
"tokio",
@@ -2011,7 +2011,7 @@ dependencies = [
[[package]]
name = "wickra-node"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"napi",
"napi-build",
@@ -2021,7 +2021,7 @@ dependencies = [
[[package]]
name = "wickra-python"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"numpy",
"pyo3",
@@ -2030,7 +2030,7 @@ dependencies = [
[[package]]
name = "wickra-wasm"
version = "0.7.9"
version = "0.8.5"
dependencies = [
"console_error_panic_hook",
"js-sys",
+2 -2
View File
@@ -14,7 +14,7 @@ members = [
exclude = ["fuzz"]
[workspace.package]
version = "0.7.9"
version = "0.8.5"
authors = ["kingchenc <support@wickra.org>"]
edition = "2021"
rust-version = "1.86"
@@ -26,7 +26,7 @@ keywords = ["finance", "trading", "indicators", "technical-analysis", "ta"]
categories = ["finance", "mathematics", "science"]
[workspace.dependencies]
wickra-core = { path = "crates/wickra-core", version = "0.7.9" }
wickra-core = { path = "crates/wickra-core", version = "0.8.5" }
thiserror = "2"
rayon = "1.10"
+19 -3
View File
@@ -10,6 +10,9 @@
[![PyPI](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/pypi.svg)](https://pypi.org/project/wickra/)
[![npm](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/npm.svg)](https://www.npmjs.com/package/wickra)
[![NuGet](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/nuget.svg)](https://www.nuget.org/packages/Wickra)
[![Maven Central](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/maven.svg)](https://central.sonatype.com/artifact/org.wickra/wickra)
[![Go module](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/go.svg)](https://pkg.go.dev/github.com/wickra-lib/wickra-go)
[![R-universe](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/r-universe.svg)](https://wickra-lib.r-universe.dev)
[![License: MIT OR Apache-2.0](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/license.svg)](#license)
[![OpenSSF Scorecard](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/scorecard.svg)](https://scorecard.dev/viewer/?uri=github.com/wickra-lib/wickra)
[![OpenSSF Best Practices](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/best-practices.svg)](https://www.bestpractices.dev/projects/13094)
@@ -52,6 +55,7 @@ Full documentation lives at **[docs.wickra.org](https://docs.wickra.org)**:
[C](https://docs.wickra.org/Quickstart-C),
[C#](https://docs.wickra.org/Quickstart-CSharp),
[Go](https://docs.wickra.org/Quickstart-Go),
[Java](https://docs.wickra.org/Quickstart-Java),
[R](https://docs.wickra.org/Quickstart-R).
- **Indicators** — a per-indicator deep dive (formula, parameters, warmup) for
every one of the 514 indicators; start at the
@@ -102,8 +106,7 @@ Every other library forces one of those compromises. Wickra doesn't:
| Library | Install | Streaming | Languages | Indicators | Active |
|------------------|-------------|-------------|-----------------------------|-----------:|--------|
| **★&nbsp;Wickra**| **clean** | **yes, O(1)** | **Rust · Python · Node · WASM** | **514** | **yes** |
| | | | **C · C# · Go · Java · R** | | |
| **★&nbsp;Wickra**| **clean** | **yes, O(1)** | **Rust · Python · Node · WASM · C · C# · Go · Java · R** | **514** | **yes** |
| kand | clean | yes | Python · WASM · Rust | ~60 | yes |
| ta-rs | clean | yes | Rust only | ~30 | stale |
| yata | clean | partial | Rust only | ~35 | yes |
@@ -331,7 +334,10 @@ Every layer is covered; run the suites with the commands in
- `wickra-core`: unit tests per indicator — textbook reference values
(Wilder RSI, Bollinger Bands, MACD, ATR, Stochastic), `batch == streaming`
equivalence, `reset` semantics, NaN/Inf handling, and property tests.
equivalence, `reset` semantics, NaN/Inf handling, and property tests. A
catalogue-wide property harness (`tests/invariants.rs`) additionally asserts
`batch == streaming`, `reset == fresh`, and non-finite-input rejection for
**every** indicator and bar-builder.
- `wickra-data`: unit tests for CSV decoding, the tick aggregator, the
resampler, and the Binance payload parser.
- `bindings/python`: pytest covering smoke checks, streaming/batch
@@ -341,6 +347,10 @@ Every layer is covered; run the suites with the commands in
values across all indicators.
- `bindings/wasm`: `wasm-bindgen-test` cases for constructors, equivalence,
and reference values.
- `bindings/c`: Rust unit tests over the FFI boundary, plus C and C++ smoke
tests and offline example `ctest`s run on the three OSes.
- `bindings/csharp`: `dotnet test` cases covering one indicator per FFI archetype
(scalar/batch, multi-output, bars, profile, array input) plus SMA reference values.
- `bindings/go`: `go test` cases covering one indicator per FFI archetype
(scalar/batch, multi-output, bars, profile, array input), reset, and lifecycle.
- `bindings/r`: `testthat` cases covering one indicator per FFI archetype
@@ -348,6 +358,12 @@ Every layer is covered; run the suites with the commands in
- `bindings/java`: JUnit cases covering one indicator per FFI archetype
(scalar/batch, multi-output, bars, profile, array input) plus batch equivalence.
The four C-ABI bindings (C#, Go, Java, R) additionally replay a shared,
language-neutral golden fixture (`testdata/golden/*.csv`, generated by
`cargo run -p wickra-examples --bin gen_golden`) and assert exact parity with the
Rust reference outputs across every archetype (SMA, EMA, RSI, ATR, MACD, ADX,
Beta), catching FFI wiring bugs the math-only core tests cannot see.
## Contributing
Contributions are very welcome — issues, bug reports, ideas, and pull requests
+3 -3
View File
@@ -2,13 +2,13 @@
## Supported versions
Wickra is pre-1.0. Security fixes are applied to the latest released `0.5.x`
Wickra is pre-1.0. Security fixes are applied to the latest released `0.8.5`
version only; please upgrade to the newest release before reporting an issue.
| Version | Supported |
| --- | --- |
| 0.5.x (latest) | :white_check_mark: |
| older 0.5.x | :x: |
| 0.8.5 (latest) | :white_check_mark: |
| < 0.8.5 | :x: |
## Reporting a vulnerability
+1 -1
View File
@@ -33,7 +33,7 @@ small.
| Threat | Mitigation |
| --- | --- |
| Memory-safety exploit (buffer overflow, UAF) via crafted input | Pure safe Rust; `unsafe` is forbidden/minimised, so the compiler precludes these classes. |
| Misuse of the C ABI FFI boundary (invalid/dangling handle, undersized batch buffer) | The C ABI (`bindings/c`) is the sole `unsafe` surface. Its shim adds no logic, NULL-checks every handle (returning `NaN`/no-op), writes only into caller-sized buffers, and catches panics so none cross the boundary. A caller passing a non-NULL but dangling pointer is undefined behaviour by C's own contract — out of scope, the same as any C library. |
| Misuse of the C ABI FFI boundary (invalid/dangling handle, undersized batch buffer) | The C ABI (`bindings/c`) is the sole `unsafe` surface. Its shim adds no logic, NULL-checks every handle (returning `NaN`/no-op), writes only into caller-sized buffers, and is built with `panic = "abort"` so a panic terminates the process deterministically instead of unwinding across the FFI boundary (which would be undefined behaviour). A caller passing a non-NULL but dangling pointer is undefined behaviour by C's own contract — out of scope, the same as any C library. |
| Denial of service via malformed/degenerate input (NaN, infinities, extreme magnitudes) | Indicators reject non-finite inputs and validate parameters at construction; update paths are exercised by coverage-guided fuzzing and unit tests for edge cases. |
| Silently incorrect results | 100% line coverage on the core crate; reference-value tests against known-good sources; streaming/batch parity tests. |
| Integer overflow / panics | `clippy::pedantic` with `-D warnings`; debug assertions and overflow checks enabled in test/fuzz builds. |
+14 -1
View File
@@ -42,5 +42,18 @@ cast_sign_loss = "allow"
similar_names = "allow"
float_cmp = "allow"
[features]
# `parallel` (rayon-backed batch in wickra-core) is on by default for native
# builds. The wasm32-unknown-emscripten target has no threads, so the R
# package's wasm build (r-universe / webR) compiles this crate with
# --no-default-features to drop rayon; wickra-core falls back to its serial
# batch path, which is cfg-gated behind the same feature.
default = ["parallel"]
parallel = ["wickra-core/parallel"]
[dependencies]
wickra-core = { workspace = true }
# Direct path dep rather than `workspace = true`: a member-level
# `default-features = false` is ignored when inheriting a workspace dep that
# does not set it, which would leave rayon in the wasm build. wickra-c is
# `publish = false`, so no version pin is needed (and none to keep in sync).
wickra-core = { path = "../../crates/wickra-core", default-features = false }
+14
View File
@@ -54,6 +54,20 @@ Multi-output indicators (MACD, Bollinger, ADX, …) take a pointer to a `#[repr(
struct and return a `bool`. The optional `wickra.hpp` wraps any handle in a
move-only `wickra::Handle` for exception-safe C++ lifetimes.
## Benchmark
`benchmarks/throughput.c` reports streaming and batch updates-per-second for
`SMA`, `ATR` and `MACD`. As the thinnest binding it is the floor of the
per-binding FFI overhead — not a cross-library ratio (the same Rust core runs
under every binding); see the repository
[BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md) §3.
```bash
cargo build -p wickra-c --release
cmake -S benchmarks -B build && cmake --build build
./build/throughput
```
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in
+40
View File
@@ -0,0 +1,40 @@
cmake_minimum_required(VERSION 3.15)
project(wickra_c_benchmarks C)
# Directory holding the compiled Wickra C library (cargo output), e.g.
# <workspace>/target/release. Override with -DWICKRA_LIB_DIR=/path/to/target/release.
if(NOT DEFINED WICKRA_LIB_DIR)
set(WICKRA_LIB_DIR "${CMAKE_CURRENT_SOURCE_DIR}/../../../target/release")
endif()
set(WICKRA_INCLUDE_DIR "${CMAKE_CURRENT_SOURCE_DIR}/../include")
# Pick the right link target per platform/toolchain.
# - MSVC links the generated import library (wickra.dll.lib).
# - MinGW/gcc on Windows links the DLL directly.
# - Unix links the shared object / dylib.
if(WIN32)
set(WICKRA_RUNTIME "${WICKRA_LIB_DIR}/wickra.dll")
if(MSVC)
set(WICKRA_LINK_LIB "${WICKRA_LIB_DIR}/wickra.dll.lib")
else()
set(WICKRA_LINK_LIB "${WICKRA_LIB_DIR}/wickra.dll")
endif()
elseif(APPLE)
set(WICKRA_LINK_LIB "${WICKRA_LIB_DIR}/libwickra.dylib")
else()
set(WICKRA_LINK_LIB "${WICKRA_LIB_DIR}/libwickra.so")
endif()
add_executable(throughput throughput.c)
target_include_directories(throughput PRIVATE "${WICKRA_INCLUDE_DIR}")
target_link_libraries(throughput PRIVATE "${WICKRA_LINK_LIB}")
if(UNIX AND NOT APPLE)
target_link_libraries(throughput PRIVATE m)
endif()
# On Windows copy the DLL next to the executable so the loader finds it.
if(WIN32)
add_custom_command(TARGET throughput POST_BUILD
COMMAND ${CMAKE_COMMAND} -E copy_if_different
"${WICKRA_RUNTIME}" "$<TARGET_FILE_DIR:throughput>")
endif()
+167
View File
@@ -0,0 +1,167 @@
/*
* Throughput benchmark for the Wickra C ABI.
*
* Measures how many indicator updates per second the C ABI sustains, both
* per-tick (streaming `_update`) and bulk (`_batch`), over a synthetic OHLCV
* series. It is the C counterpart of the Node throughput.js and the Rust
* criterion benches: it benchmarks Wickra's own O(1) streaming engine through
* the raw C boundary (there is no comparable streaming TA library to compare
* against), so the headline number is raw throughput, not a cross-library
* ratio. C is the thinnest binding, so these numbers are the floor of the
* per-binding FFI overhead the higher-level bindings build on.
*
* Three indicators are timed, chosen by call-signature archetype rather than
* algorithm: SMA (1-in -> 1-out), ATR (multi-in -> 1-out), and MACD
* (1-in -> multi-out). Streaming is timed for all three; batch only for the
* single-output SMA and ATR (the C ABI has no MACD batch entry point).
*
* Build the C ABI library first, then build and run the benchmark:
*
* cargo build -p wickra-c --release
* cmake -S bindings/c/benchmarks -B build/cbench -DCMAKE_BUILD_TYPE=Release
* cmake --build build/cbench
* ./build/cbench/throughput # 200k bars (default)
* ./build/cbench/throughput 1000000
*/
#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <math.h>
#include <stdint.h>
#include "wickra.h"
#ifdef _WIN32
#include <windows.h>
static double now_ns(void) {
static LARGE_INTEGER freq;
static int init = 0;
LARGE_INTEGER counter;
if (!init) {
QueryPerformanceFrequency(&freq);
init = 1;
}
QueryPerformanceCounter(&counter);
return (double)counter.QuadPart * 1e9 / (double)freq.QuadPart;
}
#else
#include <time.h>
static double now_ns(void) {
struct timespec ts;
clock_gettime(CLOCK_MONOTONIC, &ts);
return (double)ts.tv_sec * 1e9 + (double)ts.tv_nsec;
}
#endif
static double median3(double a, double b, double c) {
if ((a <= b && b <= c) || (c <= b && b <= a)) return b;
if ((b <= a && a <= c) || (c <= a && a <= b)) return a;
return c;
}
/* Run `body` once as warmup, then time three repetitions and store the median
* elapsed nanoseconds in `dst`. `body` is a brace-enclosed statement block. */
#define MEASURE(dst, body) \
do { \
body; \
double s0, s1, s2, t0; \
t0 = now_ns(); body; s0 = now_ns() - t0; \
t0 = now_ns(); body; s1 = now_ns() - t0; \
t0 = now_ns(); body; s2 = now_ns() - t0; \
(dst) = median3(s0, s1, s2); \
} while (0)
int main(int argc, char **argv) {
size_t bars = 200000;
if (argc > 1) {
long n = strtol(argv[1], NULL, 10);
if (n >= 1000) {
bars = (size_t)n;
}
}
const size_t n = bars;
/* Deterministic synthetic OHLCV (no RNG, so runs are comparable). */
double *open = malloc(n * sizeof(double));
double *high = malloc(n * sizeof(double));
double *low = malloc(n * sizeof(double));
double *close = malloc(n * sizeof(double));
double *volume = malloc(n * sizeof(double));
int64_t *timestamp = malloc(n * sizeof(int64_t));
double *out = malloc(n * sizeof(double)); /* reused batch scratch buffer */
if (!open || !high || !low || !close || !volume || !timestamp || !out) {
fprintf(stderr, "allocation failed\n");
return 1;
}
for (size_t i = 0; i < n; i++) {
double mid = 100 + sin((double)i * 0.001) * 20 + (double)i * 1e-4;
double c = mid + sin((double)i * 0.05) * 2;
close[i] = c;
open[i] = mid;
high[i] = fmax(c, mid) + 1.5;
low[i] = fmin(c, mid) - 1.5;
volume[i] = 1000 + (double)(i % 97) * 13;
timestamp[i] = (int64_t)i;
}
double ns;
double sma_stream, sma_batch, atr_stream, atr_batch, macd_stream;
MEASURE(ns, {
struct Sma *ind = wickra_sma_new(20);
for (size_t i = 0; i < n; i++) wickra_sma_update(ind, close[i]);
wickra_sma_free(ind);
});
sma_stream = (double)n / (ns / 1e9) / 1e6;
MEASURE(ns, {
struct Sma *ind = wickra_sma_new(20);
wickra_sma_batch(ind, close, out, n);
wickra_sma_free(ind);
});
sma_batch = (double)n / (ns / 1e9) / 1e6;
MEASURE(ns, {
struct Atr *ind = wickra_atr_new(14);
for (size_t i = 0; i < n; i++)
wickra_atr_update(ind, open[i], high[i], low[i], close[i], volume[i], timestamp[i]);
wickra_atr_free(ind);
});
atr_stream = (double)n / (ns / 1e9) / 1e6;
MEASURE(ns, {
struct Atr *ind = wickra_atr_new(14);
wickra_atr_batch(ind, open, high, low, close, volume, timestamp, out, n);
wickra_atr_free(ind);
});
atr_batch = (double)n / (ns / 1e9) / 1e6;
MEASURE(ns, {
struct MacdIndicator *ind = wickra_macd_indicator_new(12, 26, 9);
struct WickraMacdOutput value;
for (size_t i = 0; i < n; i++) wickra_macd_indicator_update(ind, close[i], &value);
wickra_macd_indicator_free(ind);
});
macd_stream = (double)n / (ns / 1e9) / 1e6;
printf("Wickra C throughput - %zu bars (median of 3 runs)\n\n", n);
printf("%-22s%20s%18s\n", "Indicator", "streaming (Mupd/s)", "batch (Mupd/s)");
printf("------------------------------------------------------------\n");
printf("%-22s%20.1f%18.1f\n", "SMA(20)", sma_stream, sma_batch);
printf("%-22s%20.1f%18.1f\n", "ATR(14)", atr_stream, atr_batch);
printf("%-22s%20.1f%18s\n", "MACD(12,26,9)", macd_stream, "-");
printf("\nMupd/s = million indicator updates per second. Streaming is the per-tick\n"
"`_update` path (one C call per value); batch is the bulk array path (one\n"
"C call). Higher is better. Numbers are machine-dependent - use them for\n"
"relative comparison, not as a speed claim.\n");
free(open);
free(high);
free(low);
free(close);
free(volume);
free(timestamp);
free(out);
return 0;
}
+12
View File
@@ -52,6 +52,18 @@ foreach (var price in liveFeed)
values — the equivalence is enforced by the test suite. Multi-output indicators
(MACD, Bollinger, ADX, …) return a nullable `record struct`, `null` while warming up.
## Benchmark
`benchmarks/` reports streaming and batch updates-per-second for `SMA`, `ATR`
and `MACD`. It measures this binding's FFI overhead, not a cross-library ratio
(the same Rust core runs under every binding) — see the repository
[BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md) §3.
```bash
cargo build -p wickra-c --release
dotnet run -c Release --project benchmarks
```
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in
+162
View File
@@ -0,0 +1,162 @@
using System.Globalization;
using System.Runtime.CompilerServices;
using Wickra;
using Xunit;
namespace Wickra.Tests;
/// <summary>
/// Golden-fixture parity: replay the shared <c>testdata/golden</c> input series
/// through the C# FFI and assert every value matches the Rust reference output.
/// Where the archetype tests only check finiteness, this pins exact values, so a
/// wiring bug (swapped parameter, wrong multi-output field) is caught.
/// Fixtures are generated by <c>cargo run -p wickra-examples --bin gen_golden</c>.
/// </summary>
public class GoldenTests
{
private const double Tol = 1e-6;
private static string GoldenDir([CallerFilePath] string file = "") =>
Path.GetFullPath(Path.Combine(Path.GetDirectoryName(file)!, "..", "..", "..", "testdata", "golden"));
private static List<string[]> ReadCsv(string name)
{
var path = Path.Combine(GoldenDir(), name + ".csv");
return File.ReadAllLines(path)
.Skip(1) // header
.Where(l => l.Length > 0)
.Select(l => l.Split(','))
.ToList();
}
private static double[][] Input()
{
return ReadCsv("input")
.Select(r => r.Select(c => double.Parse(c, CultureInfo.InvariantCulture)).ToArray())
.ToArray();
}
private static double Cell(string s) =>
s == "nan" ? double.NaN : double.Parse(s, CultureInfo.InvariantCulture);
private static void AssertClose(double got, double want, int row, string field)
{
if (double.IsNaN(want))
{
Assert.True(double.IsNaN(got), $"row {row} {field}: expected warmup/NaN, got {got}");
return;
}
var tol = Tol * Math.Max(1.0, Math.Abs(want));
Assert.True(Math.Abs(got - want) <= tol, $"row {row} {field}: got {got}, want {want}");
}
// --- scalar (close-driven) ------------------------------------------------
[Theory]
[InlineData("sma")]
[InlineData("ema")]
[InlineData("rsi")]
public void Scalar_MatchesGolden(string name)
{
var input = Input();
var expected = ReadCsv(name);
using var ind = (IDisposable)(name switch
{
"sma" => new Sma(14),
"ema" => new Ema(14),
"rsi" => new Rsi(14),
_ => throw new ArgumentOutOfRangeException(nameof(name)),
});
for (var i = 0; i < input.Length; i++)
{
var close = input[i][3];
double got = ind switch
{
Sma s => s.Update(close),
Ema e => e.Update(close),
Rsi r => r.Update(close),
_ => double.NaN,
};
AssertClose(got, Cell(expected[i][0]), i, name);
}
}
// --- candle, single output ------------------------------------------------
[Fact]
public void Candle_Atr_MatchesGolden()
{
var input = Input();
var expected = ReadCsv("atr");
using var atr = new Atr(14);
for (var i = 0; i < input.Length; i++)
{
var (o, h, l, c, v) = (input[i][0], input[i][1], input[i][2], input[i][3], input[i][4]);
AssertClose(atr.Update(o, h, l, c, v, i), Cell(expected[i][0]), i, "atr");
}
}
// --- pairwise -------------------------------------------------------------
[Fact]
public void Pairwise_Beta_MatchesGolden()
{
var input = Input();
var expected = ReadCsv("beta");
using var beta = new Beta(20);
for (var i = 0; i < input.Length; i++)
{
// generator fed (close, open)
AssertClose(beta.Update(input[i][3], input[i][0]), Cell(expected[i][0]), i, "beta");
}
}
// --- scalar multi-output: MACD -------------------------------------------
[Fact]
public void MultiOutput_Macd_MatchesGolden()
{
var input = Input();
var expected = ReadCsv("macd");
using var macd = new MacdIndicator(12, 26, 9);
for (var i = 0; i < input.Length; i++)
{
MacdOutput? got = macd.Update(input[i][3]);
var e = expected[i];
if (e[0] == "nan")
{
Assert.Null(got);
continue;
}
Assert.NotNull(got);
AssertClose(got!.Value.Macd, Cell(e[0]), i, "macd.macd");
AssertClose(got.Value.Signal, Cell(e[1]), i, "macd.signal");
AssertClose(got.Value.Histogram, Cell(e[2]), i, "macd.histogram");
}
}
// --- candle multi-output: ADX --------------------------------------------
[Fact]
public void MultiOutput_Adx_MatchesGolden()
{
var input = Input();
var expected = ReadCsv("adx");
using var adx = new Adx(14);
for (var i = 0; i < input.Length; i++)
{
var (o, h, l, c, v) = (input[i][0], input[i][1], input[i][2], input[i][3], input[i][4]);
AdxOutput? got = adx.Update(o, h, l, c, v, i);
var e = expected[i];
if (e[0] == "nan")
{
Assert.Null(got);
continue;
}
Assert.NotNull(got);
AssertClose(got!.Value.PlusDi, Cell(e[0]), i, "adx.plus_di");
AssertClose(got.Value.MinusDi, Cell(e[1]), i, "adx.minus_di");
AssertClose(got.Value.Adx, Cell(e[2]), i, "adx.adx");
}
}
}
+1 -1
View File
@@ -11,7 +11,7 @@
<!-- NuGet package metadata -->
<PackageId>Wickra</PackageId>
<Version>0.7.9</Version>
<Version>0.8.5</Version>
<Authors>kingchenc</Authors>
<Description>High-performance streaming technical-analysis indicators (514 indicators) for .NET, backed by the native Rust core via the Wickra C ABI.</Description>
<PackageLicenseExpression>MIT OR Apache-2.0</PackageLicenseExpression>
@@ -0,0 +1,21 @@
<Project Sdk="Microsoft.NET.Sdk">
<!-- Standalone throughput benchmark for the Wickra C# binding.
See Program.cs for run instructions. Requires the C ABI library; the
binding's dev DllImportResolver falls back to target/release. -->
<PropertyGroup>
<OutputType>Exe</OutputType>
<TargetFramework>net8.0</TargetFramework>
<LangVersion>latest</LangVersion>
<Nullable>enable</Nullable>
<ImplicitUsings>enable</ImplicitUsings>
<IsPackable>false</IsPackable>
<AssemblyName>Wickra.Benchmarks</AssemblyName>
<RootNamespace>Wickra.Benchmarks</RootNamespace>
</PropertyGroup>
<ItemGroup>
<ProjectReference Include="..\Wickra\Wickra.csproj" />
</ItemGroup>
</Project>
+101
View File
@@ -0,0 +1,101 @@
// Throughput benchmark for the Wickra C# binding.
//
// Measures how many indicator updates per second the binding sustains, both
// per-tick (streaming Update) and bulk (Batch), over a synthetic OHLCV series.
// It is the C# counterpart of the Node throughput.js and the Rust criterion
// benches: it benchmarks Wickra's own O(1) streaming engine across the
// managed<->C-ABI boundary (there is no comparable streaming TA library on
// NuGet to compare against), so the headline number is raw per-binding
// throughput / FFI overhead, not a cross-library ratio.
//
// Three indicators are timed, chosen by FFI call-signature archetype rather
// than algorithm: SMA (1-in -> 1-out), ATR (multi-in -> 1-out), and MACD
// (1-in -> multi-out). Streaming is timed for all three; batch only for the
// single-output SMA and ATR (multi-output batch is not exposed uniformly).
//
// cargo build -p wickra-c --release
// dotnet run -c Release --project bindings/csharp/benchmarks # 200k bars
// dotnet run -c Release --project bindings/csharp/benchmarks -- --bars 1000000
using System.Diagnostics;
using System.Globalization;
using Wickra;
// Deterministic, locale-independent number formatting for the report.
CultureInfo.CurrentCulture = CultureInfo.InvariantCulture;
int bars = 200_000;
for (int i = 0; i < args.Length - 1; i++)
{
if (args[i] == "--bars" && int.TryParse(args[i + 1], out var n) && n >= 1000)
{
bars = n;
}
}
// Deterministic synthetic OHLCV (no RNG, so runs are comparable).
var open = new double[bars];
var high = new double[bars];
var low = new double[bars];
var close = new double[bars];
var volume = new double[bars];
var timestamp = new long[bars];
for (int i = 0; i < bars; i++)
{
double mid = 100 + Math.Sin(i * 0.001) * 20 + i * 1e-4;
double c = mid + Math.Sin(i * 0.05) * 2;
close[i] = c;
open[i] = mid;
high[i] = Math.Max(c, mid) + 1.5;
low[i] = Math.Min(c, mid) - 1.5;
volume[i] = 1000 + (i % 97) * 13;
timestamp[i] = i;
}
double Mups(double ns) => bars / (ns / 1e9) / 1e6;
// Median elapsed-ns over a few repetitions, after one warmup pass.
double TimeNs(Action fn, int reps = 3)
{
fn(); // warmup (JIT + cache)
var samples = new double[reps];
for (int r = 0; r < reps; r++)
{
long t0 = Stopwatch.GetTimestamp();
fn();
samples[r] = (Stopwatch.GetTimestamp() - t0) * (1e9 / Stopwatch.Frequency);
}
Array.Sort(samples);
return samples[reps / 2];
}
// SMA (scalar 1-in/1-out), ATR (multi-in/1-out), MACD (1-in/multi-out).
var indicators = new (string Name, Action Stream, Action? Batch)[]
{
("SMA(20)",
() => { using var ind = new Sma(20); for (int i = 0; i < bars; i++) ind.Update(close[i]); },
() => { using var ind = new Sma(20); ind.Batch(close); }),
("ATR(14)",
() => { using var ind = new Atr(14); for (int i = 0; i < bars; i++) ind.Update(open[i], high[i], low[i], close[i], volume[i], timestamp[i]); },
() => { using var ind = new Atr(14); ind.Batch(open, high, low, close, volume, timestamp); }),
("MACD(12,26,9)",
() => { using var ind = new MacdIndicator(12, 26, 9); for (int i = 0; i < bars; i++) ind.Update(close[i]); },
null), // multi-output: streaming only
};
Console.WriteLine($"Wickra C# throughput - {bars:N0} bars (median of 3 runs)\n");
Console.WriteLine($"{"Indicator",-22}{"streaming (Mupd/s)",20}{"batch (Mupd/s)",18}");
Console.WriteLine(new string('-', 60));
foreach (var (name, stream, batch) in indicators)
{
string streamMups = Mups(TimeNs(stream)).ToString("F1");
string batchMups = batch is null ? "-" : Mups(TimeNs(batch)).ToString("F1");
Console.WriteLine($"{name,-22}{streamMups,20}{batchMups,18}");
}
Console.WriteLine(
"\nMupd/s = million indicator updates per second. Streaming is the per-tick\n" +
"Update path crossing the managed<->C-ABI boundary once per value; batch is\n" +
"the bulk array path (one boundary crossing). Higher is better. Numbers are\n" +
"machine-dependent - use them for relative comparison, not as a speed claim.");
+36 -11
View File
@@ -2,7 +2,7 @@
[![CI](https://github.com/wickra-lib/wickra/actions/workflows/ci.yml/badge.svg)](https://github.com/wickra-lib/wickra/actions/workflows/ci.yml)
[![codecov](https://codecov.io/gh/wickra-lib/wickra/branch/main/graph/badge.svg)](https://codecov.io/gh/wickra-lib/wickra)
[![Go Reference](https://pkg.go.dev/badge/github.com/wickra-lib/wickra/bindings/go.svg)](https://pkg.go.dev/github.com/wickra-lib/wickra/bindings/go)
[![Go module](https://raw.githubusercontent.com/wickra-lib/.github/main/profile/badges/go.svg)](https://pkg.go.dev/github.com/wickra-lib/wickra/bindings/go)
[![License: MIT OR Apache-2.0](https://img.shields.io/badge/license-MIT_OR_Apache--2.0-blue)](https://github.com/wickra-lib/wickra#license)
**Streaming-first technical indicators for Go, over the Wickra C ABI hub via cgo.**
@@ -16,24 +16,38 @@ cgo and exposes all 514 streaming-first indicators as idiomatic types.
## Install
Use the published **`wickra-go`** module, which bundles the prebuilt C ABI
library for every platform, so `go get` + `go build` works with no extra steps
(a C compiler is still required, as the binding uses cgo):
```bash
go get github.com/wickra-lib/wickra/bindings/go
go get github.com/wickra-lib/wickra-go
```
The binding uses cgo, so a C compiler is required, and it links against the
prebuilt Wickra C ABI library. Build that library from the workspace and stage
it under this package's `lib/` directory:
```go
import wickra "github.com/wickra-lib/wickra-go"
```
`wickra-go` is generated from this directory by the release pipeline: it mirrors
the Go sources, the vendored C ABI header (`include/wickra.h`) and the prebuilt
libraries under `lib/<goos>_<goarch>/`. On Linux/macOS the library path is baked
in via rpath; on Windows the DLL must be discoverable at run time (next to the
executable or on `PATH`).
### Building from this repository (contributors)
This `bindings/go` directory is the development source. To build it directly,
compile the C ABI and stage the library into the per-platform directory cgo
links against:
```bash
cargo build -p wickra-c --release
cp target/release/libwickra.so bindings/go/lib/ # Linux
cp target/release/libwickra.dylib bindings/go/lib/ # macOS
cp target/release/wickra.dll bindings/go/lib/ # Windows (also on PATH at run time)
mkdir -p bindings/go/lib/linux_amd64 # match your GOOS_GOARCH
cp target/release/libwickra.so bindings/go/lib/linux_amd64/ # Linux
cp target/release/libwickra.dylib bindings/go/lib/darwin_arm64/ # macOS (arm64)
cp target/release/wickra.dll bindings/go/lib/windows_amd64/ # Windows
```
On Linux and macOS the library path is baked in via rpath; on Windows the DLL
must be discoverable at run time (next to the executable or on `PATH`).
## Quick start
```go
@@ -74,6 +88,17 @@ values — the equivalence is enforced by the test suite. Multi-output indicator
Every indicator owns a native handle freed by `Close()`; a finalizer is wired as
a backstop, but call `Close()` (e.g. with `defer`) to release memory promptly.
## Benchmark
`benchmarks/throughput.go` reports streaming and batch updates-per-second for
`SMA`, `ATR` and `MACD`. It measures this binding's FFI overhead, not a
cross-library ratio (the same Rust core runs under every binding) — see the
repository [BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md) §3.
```bash
cd benchmarks && go run .
```
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in the
+145
View File
@@ -0,0 +1,145 @@
// Throughput benchmark for the Wickra Go bindings.
//
// Measures how many indicator updates per second the cgo binding sustains,
// both per-tick (streaming Update) and bulk (Batch), over a synthetic OHLCV
// series. It is the Go counterpart of the Node throughput.js and the Rust
// criterion benches: it benchmarks Wickra's own O(1) streaming engine across
// the Go<->C-ABI boundary (there is no comparable streaming TA library to
// compare against), so the headline number is raw per-binding throughput /
// FFI overhead, not a cross-library ratio.
//
// Three indicators are timed, chosen by FFI call-signature archetype rather
// than algorithm: SMA (1-in -> 1-out), ATR (multi-in -> 1-out), and MACD
// (1-in -> multi-out). Streaming is timed for all three; batch only for the
// single-output SMA and ATR (multi-output batch is not exposed uniformly).
//
// Provision the C ABI library first (see bindings/go/README.md), then run:
//
// cd bindings/go/benchmarks
// go run . # 200k bars (default)
// go run . -bars 1000000
package main
import (
"flag"
"fmt"
"math"
"sort"
"time"
wickra "github.com/wickra-lib/wickra/bindings/go"
)
func main() {
bars := flag.Int("bars", 200_000, "number of synthetic bars to feed")
flag.Parse()
n := *bars
if n < 1000 {
fmt.Println("-bars must be >= 1000")
return
}
// Deterministic synthetic OHLCV (no RNG, so runs are comparable).
open := make([]float64, n)
high := make([]float64, n)
low := make([]float64, n)
closeP := make([]float64, n)
volume := make([]float64, n)
timestamp := make([]int64, n)
for i := 0; i < n; i++ {
mid := 100 + math.Sin(float64(i)*0.001)*20 + float64(i)*1e-4
c := mid + math.Sin(float64(i)*0.05)*2
closeP[i] = c
open[i] = mid
high[i] = math.Max(c, mid) + 1.5
low[i] = math.Min(c, mid) - 1.5
volume[i] = 1000 + float64(i%97)*13
timestamp[i] = int64(i)
}
mups := func(d time.Duration) float64 {
return float64(n) / d.Seconds() / 1e6
}
// Median elapsed over a few repetitions, after one warmup pass.
timeFn := func(fn func()) time.Duration {
fn() // warmup
const reps = 3
samples := make([]time.Duration, reps)
for r := 0; r < reps; r++ {
t0 := time.Now()
fn()
samples[r] = time.Since(t0)
}
sort.Slice(samples, func(a, b int) bool { return samples[a] < samples[b] })
return samples[reps/2]
}
type indicator struct {
name string
stream func()
batch func() // nil -> streaming only
}
indicators := []indicator{
{
name: "SMA(20)",
stream: func() {
ind, _ := wickra.NewSma(20)
for i := 0; i < n; i++ {
ind.Update(closeP[i])
}
ind.Close()
},
batch: func() {
ind, _ := wickra.NewSma(20)
ind.Batch(closeP)
ind.Close()
},
},
{
name: "ATR(14)",
stream: func() {
ind, _ := wickra.NewAtr(14)
for i := 0; i < n; i++ {
ind.Update(open[i], high[i], low[i], closeP[i], volume[i], timestamp[i])
}
ind.Close()
},
batch: func() {
ind, _ := wickra.NewAtr(14)
ind.Batch(open, high, low, closeP, volume, timestamp)
ind.Close()
},
},
{
name: "MACD(12,26,9)",
stream: func() {
ind, _ := wickra.NewMacdIndicator(12, 26, 9)
for i := 0; i < n; i++ {
ind.Update(closeP[i])
}
ind.Close()
},
batch: nil, // multi-output: streaming only
},
}
fmt.Printf("Wickra Go throughput - %d bars (median of 3 runs)\n\n", n)
fmt.Printf("%-22s%20s%18s\n", "Indicator", "streaming (Mupd/s)", "batch (Mupd/s)")
fmt.Println("------------------------------------------------------------")
for _, ind := range indicators {
streamMups := fmt.Sprintf("%.1f", mups(timeFn(ind.stream)))
batchMups := "-"
if ind.batch != nil {
batchMups = fmt.Sprintf("%.1f", mups(timeFn(ind.batch)))
}
fmt.Printf("%-22s%20s%18s\n", ind.name, streamMups, batchMups)
}
fmt.Print("\nMupd/s = million indicator updates per second. Streaming is the per-tick\n",
"Update path crossing the Go<->C-ABI boundary once per value; batch is the\n",
"bulk slice path (one boundary crossing). Higher is better. Numbers are\n",
"machine-dependent - use them for relative comparison, not as a speed claim.\n")
}
+191
View File
@@ -0,0 +1,191 @@
package wickra
import (
"bufio"
"math"
"os"
"strconv"
"strings"
"testing"
)
// Golden-fixture parity: replay the shared testdata/golden input series through
// the Go FFI and assert every value matches the Rust reference output. Where the
// archetype test only checks finiteness, this pins exact values, catching wiring
// bugs (swapped params, wrong multi-output field). Fixtures are generated by
// `cargo run -p wickra-examples --bin gen_golden`.
const goldenTol = 1e-6
func readGolden(t *testing.T, name string) [][]string {
t.Helper()
f, err := os.Open("../../testdata/golden/" + name + ".csv")
if err != nil {
t.Fatalf("open %s: %v", name, err)
}
defer f.Close()
var rows [][]string
sc := bufio.NewScanner(f)
first := true
for sc.Scan() {
line := sc.Text()
if first {
first = false
continue
}
if line == "" {
continue
}
rows = append(rows, strings.Split(line, ","))
}
return rows
}
func goldenCell(s string) float64 {
if s == "nan" {
return math.NaN()
}
v, _ := strconv.ParseFloat(s, 64)
return v
}
func goldenInput(t *testing.T) [][]float64 {
rows := readGolden(t, "input")
out := make([][]float64, len(rows))
for i, r := range rows {
vals := make([]float64, len(r))
for j, c := range r {
vals[j] = goldenCell(c)
}
out[i] = vals
}
return out
}
func assertGoldenClose(t *testing.T, got, want float64, row int, field string) {
t.Helper()
if math.IsNaN(want) {
if !math.IsNaN(got) {
t.Errorf("row %d %s: expected warmup/NaN, got %v", row, field, got)
}
return
}
tol := goldenTol * math.Max(1.0, math.Abs(want))
if math.Abs(got-want) > tol {
t.Errorf("row %d %s: got %v want %v", row, field, got, want)
}
}
func TestGoldenScalar(t *testing.T) {
input := goldenInput(t)
sma, err := NewSma(14)
if err != nil {
t.Fatal(err)
}
defer sma.Close()
ema, err := NewEma(14)
if err != nil {
t.Fatal(err)
}
defer ema.Close()
rsi, err := NewRsi(14)
if err != nil {
t.Fatal(err)
}
defer rsi.Close()
cases := []struct {
name string
upd func(close float64) float64
}{
{"sma", sma.Update},
{"ema", ema.Update},
{"rsi", rsi.Update},
}
for _, tc := range cases {
exp := readGolden(t, tc.name)
for i := range input {
assertGoldenClose(t, tc.upd(input[i][3]), goldenCell(exp[i][0]), i, tc.name)
}
}
}
func TestGoldenAtr(t *testing.T) {
input := goldenInput(t)
exp := readGolden(t, "atr")
atr, err := NewAtr(14)
if err != nil {
t.Fatal(err)
}
defer atr.Close()
for i := range input {
got := atr.Update(input[i][0], input[i][1], input[i][2], input[i][3], input[i][4], int64(i))
assertGoldenClose(t, got, goldenCell(exp[i][0]), i, "atr")
}
}
func TestGoldenBeta(t *testing.T) {
input := goldenInput(t)
exp := readGolden(t, "beta")
beta, err := NewBeta(20)
if err != nil {
t.Fatal(err)
}
defer beta.Close()
for i := range input {
// generator fed (close, open)
assertGoldenClose(t, beta.Update(input[i][3], input[i][0]), goldenCell(exp[i][0]), i, "beta")
}
}
func TestGoldenMacd(t *testing.T) {
input := goldenInput(t)
exp := readGolden(t, "macd")
macd, err := NewMacdIndicator(12, 26, 9)
if err != nil {
t.Fatal(err)
}
defer macd.Close()
for i := range input {
out, ok := macd.Update(input[i][3])
if exp[i][0] == "nan" {
if ok {
t.Errorf("row %d macd: expected warmup, got %+v", i, out)
}
continue
}
if !ok {
t.Errorf("row %d macd: expected value, got warmup", i)
continue
}
assertGoldenClose(t, out.Macd, goldenCell(exp[i][0]), i, "macd.macd")
assertGoldenClose(t, out.Signal, goldenCell(exp[i][1]), i, "macd.signal")
assertGoldenClose(t, out.Histogram, goldenCell(exp[i][2]), i, "macd.histogram")
}
}
func TestGoldenAdx(t *testing.T) {
input := goldenInput(t)
exp := readGolden(t, "adx")
adx, err := NewAdx(14)
if err != nil {
t.Fatal(err)
}
defer adx.Close()
for i := range input {
out, ok := adx.Update(input[i][0], input[i][1], input[i][2], input[i][3], input[i][4], int64(i))
if exp[i][0] == "nan" {
if ok {
t.Errorf("row %d adx: expected warmup, got %+v", i, out)
}
continue
}
if !ok {
t.Errorf("row %d adx: expected value, got warmup", i)
continue
}
assertGoldenClose(t, out.PlusDi, goldenCell(exp[i][0]), i, "adx.plus_di")
assertGoldenClose(t, out.MinusDi, goldenCell(exp[i][1]), i, "adx.minus_di")
assertGoldenClose(t, out.Adx, goldenCell(exp[i][2]), i, "adx.adx")
}
}
File diff suppressed because it is too large Load Diff
+12 -7
View File
@@ -4,16 +4,21 @@
// Each indicator is an opaque-handle type with a New<Indicator> constructor and
// Update/Batch/Reset/Close methods. Handles are freed by Close and, as a
// backstop, by a finalizer; call Close explicitly to release native memory
// promptly. The binding links against the prebuilt Wickra C ABI library
// (libwickra.so/.dylib or wickra.dll) staged under ./lib — see the package
// README for how to provision it.
// promptly. The binding links against the prebuilt Wickra C ABI library, staged
// per platform under ./lib/<goos>_<goarch>/, with the C ABI header vendored
// under ./include. For distribution the libraries are committed alongside the
// source in the wickra-go module, so `go get` + `go build` works with no extra
// steps — see the package README.
package wickra
/*
#cgo CFLAGS: -I${SRCDIR}/../c/include
#cgo linux LDFLAGS: -L${SRCDIR}/lib -lwickra -Wl,-rpath,${SRCDIR}/lib
#cgo darwin LDFLAGS: -L${SRCDIR}/lib -lwickra -Wl,-rpath,${SRCDIR}/lib
#cgo windows LDFLAGS: -L${SRCDIR}/lib -l:wickra.dll
#cgo CFLAGS: -I${SRCDIR}/include
#cgo linux,amd64 LDFLAGS: -L${SRCDIR}/lib/linux_amd64 -lwickra -Wl,-rpath,${SRCDIR}/lib/linux_amd64
#cgo linux,arm64 LDFLAGS: -L${SRCDIR}/lib/linux_arm64 -lwickra -Wl,-rpath,${SRCDIR}/lib/linux_arm64
#cgo darwin,amd64 LDFLAGS: -L${SRCDIR}/lib/darwin_amd64 -lwickra -Wl,-rpath,${SRCDIR}/lib/darwin_amd64
#cgo darwin,arm64 LDFLAGS: -L${SRCDIR}/lib/darwin_arm64 -lwickra -Wl,-rpath,${SRCDIR}/lib/darwin_arm64
#cgo windows,amd64 LDFLAGS: -L${SRCDIR}/lib/windows_amd64 -l:wickra.dll
#cgo windows,arm64 LDFLAGS: -L${SRCDIR}/lib/windows_arm64 -l:wickra.dll
#include "wickra.h"
*/
import "C"
+15 -2
View File
@@ -30,14 +30,14 @@ Maven:
<dependency>
<groupId>org.wickra</groupId>
<artifactId>wickra</artifactId>
<version>0.7.9</version>
<version>0.8.5</version>
</dependency>
```
Gradle:
```kotlin
implementation("org.wickra:wickra:0.7.9")
implementation("org.wickra:wickra:0.8.5")
```
The native library ships prebuilt per platform (Linux, macOS, Windows — x64 and
@@ -76,6 +76,19 @@ values — the equivalence is enforced by the test suite. Multi-output indicator
indicator owns a native handle freed by a `Cleaner`; `close()` releases it
eagerly (use try-with-resources).
## Benchmark
`benchmarks/` reports streaming and batch updates-per-second for `SMA`, `ATR`
and `MACD`. It measures this binding's FFI overhead, not a cross-library ratio
(the same Rust core runs under every binding) — see the repository
[BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md) §3.
```bash
cargo build -p wickra-c --release
mvn -q install -DskipTests
mvn -q -f benchmarks exec:exec -Dexec.mainClass=org.wickra.benchmarks.Throughput
```
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in
+57
View File
@@ -0,0 +1,57 @@
<?xml version="1.0" encoding="UTF-8"?>
<project xmlns="http://maven.apache.org/POM/4.0.0"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 http://maven.apache.org/xsd/maven-4.0.0.xsd">
<modelVersion>4.0.0</modelVersion>
<groupId>org.wickra.benchmarks</groupId>
<artifactId>wickra-benchmarks</artifactId>
<version>0.8.2</version>
<packaging>jar</packaging>
<name>Wickra Java benchmarks</name>
<description>Throughput benchmark for the Wickra Java binding.</description>
<properties>
<project.build.sourceEncoding>UTF-8</project.build.sourceEncoding>
<maven.compiler.release>22</maven.compiler.release>
</properties>
<dependencies>
<dependency>
<groupId>org.wickra</groupId>
<artifactId>wickra</artifactId>
<version>0.8.2</version>
</dependency>
</dependencies>
<build>
<plugins>
<plugin>
<groupId>org.apache.maven.plugins</groupId>
<artifactId>maven-compiler-plugin</artifactId>
<version>3.13.0</version>
</plugin>
<!--
Run the benchmark in a forked JVM with native access granted:
mvn exec:exec -Dexec.mainClass=org.wickra.benchmarks.Throughput
Requires the C ABI library and the installed binding; see Throughput.java.
-->
<plugin>
<groupId>org.codehaus.mojo</groupId>
<artifactId>exec-maven-plugin</artifactId>
<version>3.2.0</version>
<configuration>
<executable>${java.home}/bin/java</executable>
<arguments>
<argument>--enable-native-access=ALL-UNNAMED</argument>
<argument>-classpath</argument>
<classpath/>
<argument>${exec.mainClass}</argument>
</arguments>
</configuration>
</plugin>
</plugins>
</build>
</project>
@@ -0,0 +1,149 @@
package org.wickra.benchmarks;
import java.util.Arrays;
import java.util.Locale;
import org.wickra.Atr;
import org.wickra.MacdIndicator;
import org.wickra.Sma;
/**
* Throughput benchmark for the Wickra Java binding.
*
* <p>Measures how many indicator updates per second the binding sustains, both
* per-tick (streaming {@code update}) and bulk ({@code batch}), over a synthetic
* OHLCV series. It is the Java counterpart of the Node {@code throughput.js} and
* the Rust criterion benches: it benchmarks Wickra's own O(1) streaming engine
* across the Java FFM &lt;-&gt; C-ABI boundary (there is no comparable streaming
* TA library on Maven Central to compare against), so the headline number is raw
* per-binding throughput / FFI overhead, not a cross-library ratio.
*
* <p>Three indicators are timed, chosen by FFI call-signature archetype rather
* than algorithm: SMA (1-in -&gt; 1-out), ATR (multi-in -&gt; 1-out), and MACD
* (1-in -&gt; multi-out). Streaming is timed for all three; batch only for the
* single-output SMA and ATR (multi-output batch is not exposed uniformly).
*
* <p>Install the binding and build the C ABI library first, then run from the
* repo root:
*
* <pre>
* cargo build -p wickra-c --release
* mvn -q -f bindings/java install -DskipTests
* mvn -q -f bindings/java/benchmarks exec:exec -Dexec.mainClass=org.wickra.benchmarks.Throughput
* </pre>
*/
public final class Throughput {
private Throughput() {}
public static void main(String[] args) {
int bars = 200_000;
for (int i = 0; i < args.length - 1; i++) {
if (args[i].equals("--bars")) {
try {
int n = Integer.parseInt(args[i + 1]);
if (n >= 1000) {
bars = n;
}
} catch (NumberFormatException ignored) {
// keep default
}
}
}
// Deterministic synthetic OHLCV (no RNG, so runs are comparable).
double[] open = new double[bars];
double[] high = new double[bars];
double[] low = new double[bars];
double[] close = new double[bars];
double[] volume = new double[bars];
double[] timestamp = new double[bars];
for (int i = 0; i < bars; i++) {
double mid = 100 + Math.sin(i * 0.001) * 20 + i * 1e-4;
double c = mid + Math.sin(i * 0.05) * 2;
close[i] = c;
open[i] = mid;
high[i] = Math.max(c, mid) + 1.5;
low[i] = Math.min(c, mid) - 1.5;
volume[i] = 1000 + (i % 97) * 13;
timestamp[i] = i;
}
final int n = bars;
// SMA (scalar 1-in/1-out), ATR (multi-in/1-out), MACD (1-in/multi-out).
Indicator[] indicators = {
new Indicator("SMA(20)",
() -> {
try (Sma ind = new Sma(20)) {
for (int i = 0; i < n; i++) {
ind.update(close[i]);
}
}
},
() -> {
try (Sma ind = new Sma(20)) {
ind.batch(close);
}
}),
new Indicator("ATR(14)",
() -> {
try (Atr ind = new Atr(14)) {
for (int i = 0; i < n; i++) {
ind.update(open[i], high[i], low[i], close[i], volume[i], (long) timestamp[i]);
}
}
},
() -> {
try (Atr ind = new Atr(14)) {
ind.batch(open, high, low, close, volume, timestamp);
}
}),
new Indicator("MACD(12,26,9)",
() -> {
try (MacdIndicator ind = new MacdIndicator(12, 26, 9)) {
for (int i = 0; i < n; i++) {
ind.update(close[i]);
}
}
},
null), // multi-output: streaming only
};
System.out.printf(Locale.ROOT, "Wickra Java throughput - %,d bars (median of 3 runs)%n%n", bars);
System.out.printf(Locale.ROOT, "%-22s%20s%18s%n", "Indicator", "streaming (Mupd/s)", "batch (Mupd/s)");
System.out.println("------------------------------------------------------------");
for (Indicator ind : indicators) {
String streamMups = String.format(Locale.ROOT, "%.1f", mups(bars, timeNs(ind.stream)));
String batchMups = ind.batch == null
? "-"
: String.format(Locale.ROOT, "%.1f", mups(bars, timeNs(ind.batch)));
System.out.printf(Locale.ROOT, "%-22s%20s%18s%n", ind.name, streamMups, batchMups);
}
System.out.println(
"\nMupd/s = million indicator updates per second. Streaming is the per-tick\n"
+ "update path crossing the Java FFM<->C-ABI boundary once per value; batch is\n"
+ "the bulk array path (one boundary crossing). Higher is better. Numbers are\n"
+ "machine-dependent - use them for relative comparison, not as a speed claim.");
}
private static double mups(int bars, double ns) {
return bars / (ns / 1e9) / 1e6;
}
// Median elapsed-ns over a few repetitions, after one warmup pass.
private static double timeNs(Runnable fn) {
fn.run(); // warmup (JIT + cache)
final int reps = 3;
double[] samples = new double[reps];
for (int r = 0; r < reps; r++) {
long t0 = System.nanoTime();
fn.run();
samples[r] = System.nanoTime() - t0;
}
Arrays.sort(samples);
return samples[reps / 2];
}
private record Indicator(String name, Runnable stream, Runnable batch) {}
}
+1 -1
View File
@@ -6,7 +6,7 @@
<groupId>org.wickra</groupId>
<artifactId>wickra</artifactId>
<version>0.7.9</version>
<version>0.8.5</version>
<packaging>jar</packaging>
<name>Wickra</name>
@@ -0,0 +1,160 @@
package org.wickra;
import org.junit.jupiter.api.Test;
import static org.junit.jupiter.api.Assertions.assertNotNull;
import static org.junit.jupiter.api.Assertions.assertNull;
import static org.junit.jupiter.api.Assertions.assertTrue;
import java.io.File;
import java.nio.file.Files;
import java.nio.file.Path;
import java.util.ArrayList;
import java.util.List;
/**
* Golden-fixture parity: replay the shared {@code testdata/golden} input series
* through the Java FFI and assert every value matches the Rust reference output.
* Where the archetype tests only check finiteness, this pins exact values, so a
* wiring bug (swapped parameter, wrong multi-output field) is caught. Fixtures
* are generated by {@code cargo run -p wickra-examples --bin gen_golden}.
*/
class GoldenTests {
private static final double TOL = 1e-6;
private static Path goldenDir() {
File d = new File("").getAbsoluteFile();
while (d != null) {
File g = new File(d, "testdata/golden");
if (g.isDirectory()) {
return g.toPath();
}
d = d.getParentFile();
}
throw new IllegalStateException("testdata/golden not found from " + new File("").getAbsolutePath());
}
private static List<String[]> readCsv(String name) throws Exception {
List<String> lines = Files.readAllLines(goldenDir().resolve(name + ".csv"));
List<String[]> rows = new ArrayList<>();
for (int i = 1; i < lines.size(); i++) { // skip header
if (!lines.get(i).isEmpty()) {
rows.add(lines.get(i).split(","));
}
}
return rows;
}
private static double cell(String s) {
return s.equals("nan") ? Double.NaN : Double.parseDouble(s);
}
private static double[][] input() throws Exception {
List<String[]> rows = readCsv("input");
double[][] out = new double[rows.size()][];
for (int i = 0; i < rows.size(); i++) {
String[] r = rows.get(i);
double[] v = new double[r.length];
for (int j = 0; j < r.length; j++) {
v[j] = Double.parseDouble(r[j]);
}
out[i] = v;
}
return out;
}
private static void close(double got, double want, int row, String field) {
if (Double.isNaN(want)) {
assertTrue(Double.isNaN(got), "row " + row + " " + field + ": expected warmup/NaN, got " + got);
return;
}
double tol = TOL * Math.max(1.0, Math.abs(want));
assertTrue(Math.abs(got - want) <= tol, "row " + row + " " + field + ": got " + got + " want " + want);
}
@Test
void scalarMatchesGolden() throws Exception {
double[][] in = input();
try (Sma sma = new Sma(14)) {
List<String[]> e = readCsv("sma");
for (int i = 0; i < in.length; i++) {
close(sma.update(in[i][3]), cell(e.get(i)[0]), i, "sma");
}
}
try (Ema ema = new Ema(14)) {
List<String[]> e = readCsv("ema");
for (int i = 0; i < in.length; i++) {
close(ema.update(in[i][3]), cell(e.get(i)[0]), i, "ema");
}
}
try (Rsi rsi = new Rsi(14)) {
List<String[]> e = readCsv("rsi");
for (int i = 0; i < in.length; i++) {
close(rsi.update(in[i][3]), cell(e.get(i)[0]), i, "rsi");
}
}
}
@Test
void candleAtrMatchesGolden() throws Exception {
double[][] in = input();
List<String[]> e = readCsv("atr");
try (Atr atr = new Atr(14)) {
for (int i = 0; i < in.length; i++) {
close(atr.update(in[i][0], in[i][1], in[i][2], in[i][3], in[i][4], i), cell(e.get(i)[0]), i, "atr");
}
}
}
@Test
void pairwiseBetaMatchesGolden() throws Exception {
double[][] in = input();
List<String[]> e = readCsv("beta");
try (Beta beta = new Beta(20)) {
for (int i = 0; i < in.length; i++) {
// generator fed (close, open)
close(beta.update(in[i][3], in[i][0]), cell(e.get(i)[0]), i, "beta");
}
}
}
@Test
void macdMatchesGolden() throws Exception {
double[][] in = input();
List<String[]> e = readCsv("macd");
try (MacdIndicator macd = new MacdIndicator(12, 26, 9)) {
for (int i = 0; i < in.length; i++) {
MacdOutput o = macd.update(in[i][3]);
String[] row = e.get(i);
if (row[0].equals("nan")) {
assertNull(o, "row " + i + " macd: expected warmup");
continue;
}
assertNotNull(o, "row " + i + " macd: expected value");
close(o.macd(), cell(row[0]), i, "macd.macd");
close(o.signal(), cell(row[1]), i, "macd.signal");
close(o.histogram(), cell(row[2]), i, "macd.histogram");
}
}
}
@Test
void adxMatchesGolden() throws Exception {
double[][] in = input();
List<String[]> e = readCsv("adx");
try (Adx adx = new Adx(14)) {
for (int i = 0; i < in.length; i++) {
AdxOutput o = adx.update(in[i][0], in[i][1], in[i][2], in[i][3], in[i][4], i);
String[] row = e.get(i);
if (row[0].equals("nan")) {
assertNull(o, "row " + i + " adx: expected warmup");
continue;
}
assertNotNull(o, "row " + i + " adx: expected value");
close(o.plusDi(), cell(row[0]), i, "adx.plus_di");
close(o.minusDi(), cell(row[1]), i, "adx.minus_di");
close(o.adx(), cell(row[2]), i, "adx.adx");
}
}
}
}
+12
View File
@@ -47,6 +47,18 @@ for (const price of liveFeed) {
`batch(prices)` and feeding the same prices through `update()` produce
identical values — the equivalence is enforced by the test suite.
## Benchmark
`benchmarks/throughput.js` reports streaming and batch updates-per-second for
`SMA`, `ATR` and `MACD`. It measures this binding's FFI overhead, not a
cross-library ratio (the same Rust core runs under every binding) — see the
repository [BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md) §3.
```bash
npx napi build --platform --release
node benchmarks/throughput.js
```
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in
+1 -1
View File
@@ -1,6 +1,6 @@
{
"name": "wickra-darwin-arm64",
"version": "0.7.9",
"version": "0.8.5",
"description": "Native binding for wickra (macOS Apple Silicon). Installed automatically as an optional dependency of wickra on matching platforms.",
"main": "wickra.darwin-arm64.node",
"files": [
+1 -1
View File
@@ -1,6 +1,6 @@
{
"name": "wickra-darwin-x64",
"version": "0.7.9",
"version": "0.8.5",
"description": "Native binding for wickra (macOS Intel). Installed automatically as an optional dependency of wickra on matching platforms.",
"main": "wickra.darwin-x64.node",
"files": [
@@ -1,6 +1,6 @@
{
"name": "wickra-linux-arm64-gnu",
"version": "0.7.9",
"version": "0.8.5",
"description": "Native binding for wickra (linux arm64 GNU). Installed automatically as an optional dependency of wickra on matching platforms.",
"main": "wickra.linux-arm64-gnu.node",
"files": [
+1 -1
View File
@@ -1,6 +1,6 @@
{
"name": "wickra-linux-x64-gnu",
"version": "0.7.9",
"version": "0.8.5",
"description": "Native binding for wickra (linux x64 GNU). Installed automatically as an optional dependency of wickra on matching platforms.",
"main": "wickra.linux-x64-gnu.node",
"files": [
@@ -1,6 +1,6 @@
{
"name": "wickra-win32-arm64-msvc",
"version": "0.7.9",
"version": "0.8.5",
"description": "Native binding for wickra (Windows arm64 MSVC). Installed automatically as an optional dependency of wickra on matching platforms.",
"main": "wickra.win32-arm64-msvc.node",
"files": [
@@ -1,6 +1,6 @@
{
"name": "wickra-win32-x64-msvc",
"version": "0.7.9",
"version": "0.8.5",
"description": "Native binding for wickra (Windows x64 MSVC). Installed automatically as an optional dependency of wickra on matching platforms.",
"main": "wickra.win32-x64-msvc.node",
"files": [
+20 -20
View File
@@ -1,12 +1,12 @@
{
"name": "wickra",
"version": "0.7.9",
"version": "0.8.5",
"lockfileVersion": 3,
"requires": true,
"packages": {
"": {
"name": "wickra",
"version": "0.7.9",
"version": "0.8.5",
"license": "MIT OR Apache-2.0",
"devDependencies": {
"@napi-rs/cli": "^2.18.0"
@@ -15,12 +15,12 @@
"node": ">= 18"
},
"optionalDependencies": {
"wickra-darwin-arm64": "0.7.9",
"wickra-darwin-x64": "0.7.9",
"wickra-linux-arm64-gnu": "0.7.9",
"wickra-linux-x64-gnu": "0.7.9",
"wickra-win32-arm64-msvc": "0.7.9",
"wickra-win32-x64-msvc": "0.7.9"
"wickra-darwin-arm64": "0.8.5",
"wickra-darwin-x64": "0.8.5",
"wickra-linux-arm64-gnu": "0.8.5",
"wickra-linux-x64-gnu": "0.8.5",
"wickra-win32-arm64-msvc": "0.8.5",
"wickra-win32-x64-msvc": "0.8.5"
}
},
"node_modules/@napi-rs/cli": {
@@ -41,8 +41,8 @@
}
},
"node_modules/wickra-darwin-arm64": {
"version": "0.7.9",
"resolved": "https://registry.npmjs.org/wickra-darwin-arm64/-/wickra-darwin-arm64-0.7.9.tgz",
"version": "0.8.5",
"resolved": "https://registry.npmjs.org/wickra-darwin-arm64/-/wickra-darwin-arm64-0.8.5.tgz",
"integrity": "sha512-4eZiBR/yGUdr4nzhEUFy2i69XgNx64iI2ax/LPamsThgylC0KpHOZKK19QzJ2d9KbK4C8nMjME5FLuR+4GNEwQ==",
"cpu": [
"arm64"
@@ -57,8 +57,8 @@
}
},
"node_modules/wickra-darwin-x64": {
"version": "0.7.9",
"resolved": "https://registry.npmjs.org/wickra-darwin-x64/-/wickra-darwin-x64-0.7.9.tgz",
"version": "0.8.5",
"resolved": "https://registry.npmjs.org/wickra-darwin-x64/-/wickra-darwin-x64-0.8.5.tgz",
"integrity": "sha512-6hf8zI3QPjTFp4zCpmgUwDvNtu6jHqNUHKD5e55POo0CgA52HkpyxSPtVm8TGTIZDI7kPjlbOdBM8CJ76mmXwA==",
"cpu": [
"x64"
@@ -73,8 +73,8 @@
}
},
"node_modules/wickra-linux-arm64-gnu": {
"version": "0.7.9",
"resolved": "https://registry.npmjs.org/wickra-linux-arm64-gnu/-/wickra-linux-arm64-gnu-0.7.9.tgz",
"version": "0.8.5",
"resolved": "https://registry.npmjs.org/wickra-linux-arm64-gnu/-/wickra-linux-arm64-gnu-0.8.5.tgz",
"integrity": "sha512-kSe6y0xBMSiqdPLXNjwop5WZdHtvdBNKSEBCwZ4hFq33p4apW25/wrlzv9/oDuyD4kuPabJEhCCnFOplh58CUg==",
"cpu": [
"arm64"
@@ -89,8 +89,8 @@
}
},
"node_modules/wickra-linux-x64-gnu": {
"version": "0.7.9",
"resolved": "https://registry.npmjs.org/wickra-linux-x64-gnu/-/wickra-linux-x64-gnu-0.7.9.tgz",
"version": "0.8.5",
"resolved": "https://registry.npmjs.org/wickra-linux-x64-gnu/-/wickra-linux-x64-gnu-0.8.5.tgz",
"integrity": "sha512-tWBWS4qz7hxM4xnpFb59bhf6TaLwXq0Z3jEa/2l7r8PiHA94g8r8S53NRMiT+4yiL5hSWe/nUiC/YXdRrhEZ4g==",
"cpu": [
"x64"
@@ -105,8 +105,8 @@
}
},
"node_modules/wickra-win32-arm64-msvc": {
"version": "0.7.9",
"resolved": "https://registry.npmjs.org/wickra-win32-arm64-msvc/-/wickra-win32-arm64-msvc-0.7.9.tgz",
"version": "0.8.5",
"resolved": "https://registry.npmjs.org/wickra-win32-arm64-msvc/-/wickra-win32-arm64-msvc-0.8.5.tgz",
"integrity": "sha512-EXIckHxAtF75PUGDKRzXyqMe9ldP0JjSdu68WFN6iJfp+McYrGu6h40TEJlQ/oUEIoPqiZB/xhVyo/el5Lg7zw==",
"cpu": [
"arm64"
@@ -121,8 +121,8 @@
}
},
"node_modules/wickra-win32-x64-msvc": {
"version": "0.7.9",
"resolved": "https://registry.npmjs.org/wickra-win32-x64-msvc/-/wickra-win32-x64-msvc-0.7.9.tgz",
"version": "0.8.5",
"resolved": "https://registry.npmjs.org/wickra-win32-x64-msvc/-/wickra-win32-x64-msvc-0.8.5.tgz",
"integrity": "sha512-Yfsqq1Xwp6hdxMyLze411vNdo7BDwI6+lPSe7A9XdqyPecNDbtKwYLpsal2r8EHbNzqM+R8XnuRtUaEQS5VlUQ==",
"cpu": [
"x64"
+7 -7
View File
@@ -1,6 +1,6 @@
{
"name": "wickra",
"version": "0.7.9",
"version": "0.8.5",
"description": "Streaming-first technical indicators: incremental, fast, install-free. Node bindings powered by Rust.",
"author": "kingchenc <support@wickra.org>",
"main": "index.js",
@@ -47,12 +47,12 @@
"node": ">= 18"
},
"optionalDependencies": {
"wickra-linux-x64-gnu": "0.7.9",
"wickra-linux-arm64-gnu": "0.7.9",
"wickra-darwin-x64": "0.7.9",
"wickra-darwin-arm64": "0.7.9",
"wickra-win32-x64-msvc": "0.7.9",
"wickra-win32-arm64-msvc": "0.7.9"
"wickra-linux-x64-gnu": "0.8.5",
"wickra-linux-arm64-gnu": "0.8.5",
"wickra-darwin-x64": "0.8.5",
"wickra-darwin-arm64": "0.8.5",
"wickra-win32-x64-msvc": "0.8.5",
"wickra-win32-arm64-msvc": "0.8.5"
},
"scripts": {
"build": "napi build --platform --release",
+18
View File
@@ -46,6 +46,24 @@ for price in live_feed:
`batch(prices)` and feeding the same prices through `update()` produce
identical values — the equivalence is enforced by the test suite.
## Benchmark
Two benchmarks ship with the binding:
- `benchmarks/throughput.py` — streaming and batch updates-per-second for `SMA`,
`ATR` and `MACD`. This is per-binding FFI overhead (the same Rust core runs
under every binding), not a cross-library ratio.
- `benchmarks/compare_libraries.py` — the cross-library comparison against
TA-Lib, pandas-ta, tulipy and finta that backs the headline speedups.
```bash
maturin develop --release
python -m benchmarks.throughput
python -m benchmarks.compare_libraries # cross-library; auto-detects installed peers
```
See the repository [BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md).
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in
+116
View File
@@ -0,0 +1,116 @@
"""Throughput benchmark for the Wickra Python binding.
Measures how many indicator updates per second the binding sustains, both
per-tick (streaming ``update``) and bulk (``batch``), over a synthetic OHLCV
series. It is the Python counterpart of the Node ``throughput.js`` and the Rust
criterion benches: it benchmarks Wickra's own O(1) streaming engine across the
Python<->Rust boundary, so the headline number is raw per-binding throughput /
FFI overhead, not a cross-library ratio.
For the cross-library comparison against TA-Lib, pandas-ta, tulipy and finta,
see ``benchmarks/compare_libraries.py`` instead.
Three indicators are timed, chosen by call-signature archetype rather than
algorithm: SMA (1-in -> 1-out), ATR (multi-in -> 1-out) and MACD (1-in ->
multi-out). Streaming is timed for all three; batch only for the single-output
SMA and ATR (multi-output batch returns a 2-D array and is not compared here).
Install the binding first (``maturin develop --release`` in bindings/python),
then run from bindings/python::
python -m benchmarks.throughput # 200k bars (default)
python -m benchmarks.throughput --bars 1000000
"""
from __future__ import annotations
import argparse
import time
import numpy as np
import wickra as ta
def _time_ns(fn, reps: int = 3) -> float:
"""Median elapsed-ns over a few repetitions, after one warmup pass."""
fn() # warmup
samples = []
for _ in range(reps):
t0 = time.perf_counter_ns()
fn()
samples.append(time.perf_counter_ns() - t0)
samples.sort()
return samples[len(samples) // 2]
def main() -> None:
parser = argparse.ArgumentParser(description="Wickra Python throughput benchmark")
parser.add_argument("--bars", type=int, default=200_000, help="number of synthetic bars")
args = parser.parse_args()
bars = args.bars if args.bars >= 1000 else 200_000
# Deterministic synthetic OHLCV (no RNG, so runs are comparable).
idx = np.arange(bars, dtype=np.float64)
mid = 100 + np.sin(idx * 0.001) * 20 + idx * 1e-4
close = mid + np.sin(idx * 0.05) * 2
high = np.maximum(close, mid) + 1.5
low = np.minimum(close, mid) - 1.5
open_ = mid
volume = 1000 + (idx % 97) * 13
close_list = close.tolist()
# ATR streams a 6-tuple (open, high, low, close, volume, timestamp) per tick.
candles = list(
zip(open_.tolist(), high.tolist(), low.tolist(), close_list, volume.tolist(), range(bars))
)
def mups(ns: float) -> float:
return bars / (ns / 1e9) / 1e6
def sma_stream() -> None:
ind = ta.SMA(20)
for value in close_list:
ind.update(value)
def sma_batch() -> None:
ta.SMA(20).batch(close)
def atr_stream() -> None:
ind = ta.ATR(14)
for candle in candles:
ind.update(candle)
def atr_batch() -> None:
ta.ATR(14).batch(high, low, close)
def macd_stream() -> None:
ind = ta.MACD(12, 26, 9)
for value in close_list:
ind.update(value)
# SMA (scalar 1-in/1-out), ATR (multi-in/1-out), MACD (1-in/multi-out).
indicators = [
("SMA(20)", sma_stream, sma_batch),
("ATR(14)", atr_stream, atr_batch),
("MACD(12,26,9)", macd_stream, None), # multi-output: streaming only
]
print(f"Wickra Python throughput - {bars:,} bars (median of 3 runs)\n")
print(f"{'Indicator':<22}{'streaming (Mupd/s)':>20}{'batch (Mupd/s)':>18}")
print("-" * 60)
for name, stream, batch in indicators:
stream_mups = f"{mups(_time_ns(stream)):.1f}"
batch_mups = "-" if batch is None else f"{mups(_time_ns(batch)):.1f}"
print(f"{name:<22}{stream_mups:>20}{batch_mups:>18}")
print(
"\nMupd/s = million indicator updates per second. Streaming is the per-tick\n"
"`update` path crossing the Python<->Rust boundary once per value; batch is\n"
"the bulk numpy path (one boundary crossing). Higher is better. Numbers are\n"
"machine-dependent - use them for relative comparison, not as a speed claim."
)
if __name__ == "__main__":
main()
+1 -1
View File
@@ -4,7 +4,7 @@ build-backend = "maturin"
[project]
name = "wickra"
version = "0.7.9"
version = "0.8.5"
description = "Streaming-first technical indicators: incremental, fast, install-free."
readme = "README.md"
license = "MIT OR Apache-2.0"
+5
View File
@@ -5,4 +5,9 @@
^src/wickra\.dll$
^src/wickra\.so$
^src/symbols\.rds$
^src/wickra\.h$
^src/libwickra\.(so|dylib)$
^src/wickra-c\.tar\.gz$
^src/wickra-c$
^src/Makevars$
^\.gitignore$
+5 -3
View File
@@ -1,7 +1,7 @@
Package: wickra
Type: Package
Title: Streaming-First Technical Indicators
Version: 0.7.9
Version: 0.8.5
Authors@R: person("Wickra contributors", role = c("aut", "cre"), email = "support@wickra.org")
Description: R bindings for the Wickra technical-analysis library over its C ABI
hub. Exposes 514 indicators, each an O(1) streaming state machine shared with
@@ -12,8 +12,10 @@ URL: https://github.com/wickra-lib/wickra, https://docs.wickra.org
BugReports: https://github.com/wickra-lib/wickra/issues
Encoding: UTF-8
NeedsCompilation: yes
SystemRequirements: the Wickra C ABI library (libwickra); set WICKRA_INCLUDE_DIR
and WICKRA_LIB_DIR when installing from source.
SystemRequirements: the Wickra C ABI shared library, downloaded automatically at
install time from the matching GitHub release and bundled into the package.
Set WICKRA_INCLUDE_DIR and WICKRA_LIB_DIR to build against a locally built C
ABI instead (e.g. after `cargo build -p wickra-c --release`).
Roxygen: list(markdown = TRUE)
Suggests: testthat (>= 3.0.0)
Config/testthat/edition: 3
+11
View File
@@ -59,6 +59,17 @@ indicators take the OHLCV fields plus a timestamp, e.g.
`update(atr, open, high, low, close, volume, timestamp)`. The native handle is
freed automatically when the object is garbage-collected.
## Benchmark
`benchmarks/throughput.R` reports streaming and batch updates-per-second for
`SMA`, `ATR` and `MACD`. It measures this binding's FFI overhead, not a
cross-library ratio (the same Rust core runs under every binding) — see the
repository [BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md) §3.
```bash
Rscript benchmarks/throughput.R
```
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in the
+119
View File
@@ -0,0 +1,119 @@
#!/usr/bin/env Rscript
#
# Throughput benchmark for the Wickra R bindings.
#
# Measures how many indicator updates per second the R binding sustains, both
# per-tick (streaming `update`) and bulk (`batch`), over a synthetic OHLCV
# series. It is the R counterpart of the Node `throughput.js` and the Rust
# criterion benches: it benchmarks Wickra's own O(1) streaming engine across
# the R<->C-ABI boundary (there is no comparable streaming TA library on CRAN
# to compare against), so the headline number is raw per-binding throughput /
# FFI overhead, not a cross-library ratio.
#
# Three indicators are timed, chosen by FFI call-signature archetype rather
# than algorithm: SMA (1-in -> 1-out), ATR (multi-in -> 1-out), and MACD
# (1-in -> multi-out). Streaming is timed for all three; batch only for the
# single-output SMA and ATR (multi-output batch is not exposed uniformly).
#
# Install the package first (it links the C ABI; see bindings/r/README.md),
# then run:
#
# Rscript bindings/r/benchmarks/throughput.R # 200k bars (default)
# Rscript bindings/r/benchmarks/throughput.R --bars 1000000
suppressMessages(library(wickra))
parse_bars <- function() {
args <- commandArgs(trailingOnly = TRUE)
i <- match("--bars", args)
if (!is.na(i) && length(args) >= i + 1L) {
n <- suppressWarnings(as.integer(args[i + 1L]))
if (!is.na(n) && n >= 1000L) {
return(n)
}
stop("--bars must be an integer >= 1000")
}
200000L
}
bars <- parse_bars()
# Deterministic synthetic OHLCV (no RNG, so runs are comparable).
idx <- seq.int(0L, bars - 1L)
mid <- 100 + sin(idx * 0.001) * 20 + idx * 1e-4
close <- mid + sin(idx * 0.05) * 2
high <- pmax(close, mid) + 1.5
low <- pmin(close, mid) - 1.5
open <- mid
volume <- 1000 + (idx %% 97L) * 13
# `numeric` (double), not integer: the candle batch path coerces the timestamp
# column with REAL(), which rejects an integer vector.
timestamp <- as.numeric(idx)
# Median elapsed-ns over a few repetitions, after one warmup pass.
time_ns <- function(fn, reps = 3L) {
fn() # warmup
samples <- numeric(reps)
for (r in seq_len(reps)) {
t0 <- Sys.time()
fn()
samples[r] <- as.numeric(Sys.time() - t0, units = "secs") * 1e9
}
median(samples)
}
mups_from_ns <- function(ns) bars / (ns / 1e9) / 1e6
# SMA (scalar 1-in/1-out), ATR (multi-in/1-out), MACD (1-in/multi-out).
indicators <- list(
list(
name = "SMA(20)",
stream = function() {
ind <- Sma(20)
for (i in seq_len(bars)) update(ind, close[i])
},
batch = function() {
batch(Sma(20), close)
}
),
list(
name = "ATR(14)",
stream = function() {
ind <- Atr(14)
for (i in seq_len(bars)) {
update(ind, open[i], high[i], low[i], close[i], volume[i], timestamp[i])
}
},
batch = function() {
batch(Atr(14), open, high, low, close, volume, timestamp)
}
),
list(
name = "MACD(12,26,9)",
stream = function() {
ind <- MacdIndicator(12, 26, 9)
for (i in seq_len(bars)) update(ind, close[i])
},
batch = NULL # multi-output: streaming only
)
)
cat(sprintf(
"Wickra R throughput - %s bars (median of 3 runs)\n\n",
format(bars, big.mark = ",")
))
cat(sprintf("%-22s%20s%18s\n", "Indicator", "streaming (Mupd/s)", "batch (Mupd/s)"))
cat(strrep("-", 60), "\n", sep = "")
for (ind in indicators) {
stream_mups <- sprintf("%.1f", mups_from_ns(time_ns(ind$stream)))
batch_mups <- if (is.null(ind$batch)) "-" else sprintf("%.1f", mups_from_ns(time_ns(ind$batch)))
cat(sprintf("%-22s%20s%18s\n", ind$name, stream_mups, batch_mups))
}
cat(paste0(
"\nMupd/s = million indicator updates per second. Streaming is the per-tick\n",
"`update` path crossing the R<->C-ABI boundary once per value; batch is the\n",
"bulk vector path (one boundary crossing). Higher is better. Numbers are\n",
"machine-dependent - use them for relative comparison, not as a speed claim.\n"
))
Vendored Executable
+112
View File
@@ -0,0 +1,112 @@
#!/bin/sh
# Resolve the Wickra C ABI (header + shared library) for the Unix build.
#
# Self-contained by default: download the prebuilt wickra-c-<triple>.tar.gz
# release asset that matches this package's version and stage the shared library
# into src/ so the compiled wickra.so links against it and bundles it (via
# install.libs.R), found post-install through an rpath ($ORIGIN on Linux,
# @loader_path on macOS). Set WICKRA_INCLUDE_DIR + WICKRA_LIB_DIR to build
# against a locally built C ABI instead (dev override; e.g.
# `cargo build -p wickra-c --release`). Download/extract uses base R (always
# present at build time), so there is no curl/wget system dependency.
set -e
inc=""
lib=""
# WebAssembly (r-universe / webR): there is no prebuilt wasm C ABI to download,
# but the build image ships cargo (/usr/local/cargo/bin) and emscripten
# (EMSDK on PATH), so build the C ABI staticlib from source for
# wasm32-unknown-emscripten right here. Building it in the same image with the
# same emscripten avoids any ABI/version mismatch a prebuilt lib would risk.
# rayon (threads) is dropped via --no-default-features; the indicators are pure
# computation, so the serial path is functionally identical.
if [ "$(uname -s)" = "Emscripten" ]; then
version=$(sed -n 's/^Version:[[:space:]]*//p' DESCRIPTION)
echo "wickra: building C ABI from source for wasm32-unknown-emscripten (v${version})"
build=$(mktemp -d)
url="https://github.com/wickra-lib/wickra/archive/refs/tags/v${version}.tar.gz"
"${R_HOME}/bin/Rscript" -e "download.file('${url}', '${build}/src.tar.gz', mode = 'wb', quiet = TRUE)" \
|| { echo "wickra: failed to download source ${url}"; exit 1; }
"${R_HOME}/bin/Rscript" -e "untar('${build}/src.tar.gz', exdir = '${build}')"
root="${build}/wickra-${version}"
rustup target add wasm32-unknown-emscripten 2>/dev/null || true
( cd "${root}" && cargo build -p wickra-c --release \
--target wasm32-unknown-emscripten --no-default-features ) \
|| { echo "wickra: cargo wasm build failed"; exit 1; }
cp "${root}/bindings/c/include/wickra.h" src/wickra.h
cp "${root}/target/wasm32-unknown-emscripten/release/libwickra.a" src/libwickra.a
rm -rf "${build}"
# The static archive is linked into the package object; no shared lib to
# bundle and no rpath needed.
sed "s|@WICKRA_RPATH@||" src/Makevars.in > src/Makevars
exit 0
fi
if [ -n "${WICKRA_INCLUDE_DIR}" ] && [ -n "${WICKRA_LIB_DIR}" ]; then
echo "wickra: using C ABI from WICKRA_INCLUDE_DIR / WICKRA_LIB_DIR (dev override)"
inc="${WICKRA_INCLUDE_DIR}"
lib="${WICKRA_LIB_DIR}"
else
version=$(sed -n 's/^Version:[[:space:]]*//p' DESCRIPTION)
os=$(uname -s)
arch=$(uname -m)
case "${os}" in
Linux)
case "${arch}" in
x86_64) triple="x86_64-unknown-linux-gnu" ;;
aarch64 | arm64) triple="aarch64-unknown-linux-gnu" ;;
*) echo "wickra: unsupported Linux arch '${arch}' — set WICKRA_INCLUDE_DIR/WICKRA_LIB_DIR"; exit 1 ;;
esac
;;
Darwin)
case "${arch}" in
x86_64) triple="x86_64-apple-darwin" ;;
arm64 | aarch64) triple="aarch64-apple-darwin" ;;
*) echo "wickra: unsupported macOS arch '${arch}' — set WICKRA_INCLUDE_DIR/WICKRA_LIB_DIR"; exit 1 ;;
esac
;;
*)
echo "wickra: unsupported OS '${os}' — set WICKRA_INCLUDE_DIR/WICKRA_LIB_DIR"
exit 1
;;
esac
url="https://github.com/wickra-lib/wickra/releases/download/v${version}/wickra-c-${triple}.tar.gz"
echo "wickra: downloading C ABI ${triple} for v${version}"
"${R_HOME}/bin/Rscript" -e "download.file('${url}', 'src/wickra-c.tar.gz', mode = 'wb', quiet = TRUE)" \
|| { echo "wickra: failed to download ${url}"; exit 1; }
"${R_HOME}/bin/Rscript" -e "untar('src/wickra-c.tar.gz', exdir = 'src/wickra-c')"
inc="src/wickra-c/wickra-c-${triple}/include"
lib="src/wickra-c/wickra-c-${triple}/lib"
fi
# Stage the header and the platform shared library into src/ so the package
# object links with -L. -lwickra and install.libs.R bundles the lib.
cp "${inc}/wickra.h" src/wickra.h
staged=""
for f in libwickra.so libwickra.dylib; do
if [ -f "${lib}/${f}" ]; then
cp "${lib}/${f}" "src/${f}"
staged="${f}"
fi
done
if [ -z "${staged}" ]; then
echo "wickra: no libwickra.so/.dylib found under ${lib}"
exit 1
fi
# rpath so the bundled lib is found next to wickra.so after install.
case "$(uname -s)" in
Darwin)
rpath="-Wl,-rpath,@loader_path"
# Normalise the dylib id to @rpath so @loader_path resolution applies.
install_name_tool -id "@rpath/${staged}" "src/${staged}" 2>/dev/null || true
;;
*)
rpath="-Wl,-rpath,'\$\$ORIGIN'"
;;
esac
sed "s|@WICKRA_RPATH@|${rpath}|" src/Makevars.in > src/Makevars
echo "wickra: configured (bundled ${staged})"
exit 0
+28 -2
View File
@@ -4,9 +4,35 @@
# itself). Stage a renamed copy, wickra_abi.dll, into src/ and build a mingw
# import library that references it by that name (objdump + dlltool, both shipped
# with Rtools — no gendef/pexports needed). install.libs.R then bundles the DLL.
#
# Self-contained by default: download the prebuilt wickra-c-<triple>.tar.gz
# release asset matching this package's version. Set WICKRA_INCLUDE_DIR +
# WICKRA_LIB_DIR to build against a locally built C ABI instead (dev override).
set -e
: "${WICKRA_LIB_DIR:?set WICKRA_LIB_DIR to the directory containing wickra.dll}"
cp "${WICKRA_LIB_DIR}/wickra.dll" src/wickra_abi.dll
if [ -n "${WICKRA_INCLUDE_DIR}" ] && [ -n "${WICKRA_LIB_DIR}" ]; then
echo "wickra: using C ABI from WICKRA_INCLUDE_DIR / WICKRA_LIB_DIR (dev override)"
inc="${WICKRA_INCLUDE_DIR}"
lib="${WICKRA_LIB_DIR}"
else
version=$(sed -n 's/^Version:[[:space:]]*//p' DESCRIPTION)
arch=$(uname -m)
case "${arch}" in
x86_64) triple="x86_64-pc-windows-msvc" ;;
aarch64 | arm64) triple="aarch64-pc-windows-msvc" ;;
*) echo "wickra: unsupported Windows arch '${arch}' — set WICKRA_INCLUDE_DIR/WICKRA_LIB_DIR"; exit 1 ;;
esac
url="https://github.com/wickra-lib/wickra/releases/download/v${version}/wickra-c-${triple}.tar.gz"
echo "wickra: downloading C ABI ${triple} for v${version}"
"${R_HOME}/bin/Rscript" -e "download.file('${url}', 'src/wickra-c.tar.gz', mode = 'wb', quiet = TRUE)" \
|| { echo "wickra: failed to download ${url}"; exit 1; }
"${R_HOME}/bin/Rscript" -e "untar('src/wickra-c.tar.gz', exdir = 'src/wickra-c')"
inc="src/wickra-c/wickra-c-${triple}/include"
lib="src/wickra-c/wickra-c-${triple}/lib"
fi
cp "${inc}/wickra.h" src/wickra.h
cp "${lib}/wickra.dll" src/wickra_abi.dll
{
echo 'LIBRARY wickra_abi.dll'
echo 'EXPORTS'
+7 -1
View File
@@ -1,7 +1,13 @@
# Build artifacts and the configure.win-generated C ABI import shims.
# Build artifacts and the configure-staged C ABI header / library / downloads.
*.o
*.so
*.dll
*.dll.a
*.dylib
wickra.h
wickra_abi.def
symbols.rds
wickra-c.tar.gz
wickra-c/
# configure generates Makevars from Makevars.in (Makevars.in + Makevars.win stay tracked).
/Makevars
-5
View File
@@ -1,5 +0,0 @@
# The Wickra C ABI header and library are not vendored; point the build at them
# via WICKRA_INCLUDE_DIR (containing wickra.h) and WICKRA_LIB_DIR (containing
# libwickra). Build the library first with: cargo build -p wickra-c --release.
PKG_CPPFLAGS = -I$(WICKRA_INCLUDE_DIR)
PKG_LIBS = -L$(WICKRA_LIB_DIR) -lwickra -Wl,-rpath,$(WICKRA_LIB_DIR)
+6
View File
@@ -0,0 +1,6 @@
# Generated into src/Makevars by ../configure (the @WICKRA_RPATH@ token is
# substituted per-OS: $ORIGIN on Linux, @loader_path on macOS). The C ABI header
# (wickra.h) and shared library (libwickra.so/.dylib) are staged into src/ by
# configure, so the package object links against the bundled lib.
PKG_CPPFLAGS = -I.
PKG_LIBS = -L. -lwickra @WICKRA_RPATH@
+3 -3
View File
@@ -1,5 +1,5 @@
# Link the import library built by configure.win (references wickra_abi.dll, not
# the package's own wickra.dll). The C ABI header dir is passed via
# WICKRA_INCLUDE_DIR at build time.
PKG_CPPFLAGS = -I$(WICKRA_INCLUDE_DIR)
# the package's own wickra.dll). The C ABI header (wickra.h) is staged into src/
# by configure.win, so the include path is the source dir itself.
PKG_CPPFLAGS = -I.
PKG_LIBS = libwickra_abi.dll.a
+7 -4
View File
@@ -1,7 +1,10 @@
# Install the compiled package shared object plus, on Windows, the bundled
# wickra_abi.dll (matched by the *.dll glob) so the loader can resolve the import
# from the package's own libs directory (see .onLoad, which puts it on PATH).
files <- Sys.glob(paste0("*", SHLIB_EXT))
# Install the compiled package shared object plus the bundled C ABI library so
# the package is self-contained: on Windows the wickra_abi.dll (matched by the
# *.dll glob, loaded via PATH in .onLoad); on Linux the libwickra.so (matched by
# the *.so SHLIB_EXT glob); on macOS the libwickra.dylib (added explicitly, since
# R package objects use the .so extension there too). The Unix rpath baked by
# configure ($ORIGIN / @loader_path) resolves it from this libs directory.
files <- unique(c(Sys.glob(paste0("*", SHLIB_EXT)), Sys.glob("libwickra.dylib")))
dest <- file.path(R_PACKAGE_DIR, paste0("libs", R_ARCH))
dir.create(dest, recursive = TRUE, showWarnings = FALSE)
file.copy(files, dest, overwrite = TRUE)
+119
View File
@@ -0,0 +1,119 @@
# Golden-fixture parity: replay the shared testdata/golden input series through
# the R FFI and assert every value matches the Rust reference output. Where the
# archetype test only checks finiteness, this pins exact values, catching wiring
# bugs (swapped params, wrong multi-output field). Fixtures are generated by
# `cargo run -p wickra-examples --bin gen_golden`.
#
# The fixtures live at the repository root (testdata/golden) and are present
# during the monorepo test run, but they are NOT bundled into the standalone R
# package. A packaged check (r-universe / CRAN) therefore cannot find them, so
# these tests skip there; the parity is already enforced by the repository CI.
find_golden_dir <- function() {
d <- normalizePath(getwd(), winslash = "/", mustWork = FALSE)
repeat {
g <- file.path(d, "testdata", "golden")
if (dir.exists(g)) return(g)
parent <- dirname(d)
if (identical(parent, d)) return(NULL)
d <- parent
}
}
golden_dir <- find_golden_dir()
skip_if_no_golden <- function() {
skip_if(is.null(golden_dir), "golden fixtures not bundled with the package")
}
read_golden <- function(name) {
read.csv(file.path(golden_dir, paste0(name, ".csv")),
colClasses = "character", check.names = FALSE)
}
read_golden_input <- function() read.csv(file.path(golden_dir, "input.csv"))
gcell <- function(s) if (identical(s, "nan")) NA_real_ else as.numeric(s)
expect_close <- function(got, want, row, field) {
if (is.na(want)) {
expect_true(is.na(got), info = paste("row", row, field, "expected warmup/NA"))
} else {
tol <- 1e-6 * max(1, abs(want))
expect_lte(abs(got - want), tol, label = paste("row", row, field, "got", got, "want", want))
}
}
test_that("scalar indicators match golden", {
skip_if_no_golden()
golden_input <- read_golden_input()
specs <- list(c("sma", 14), c("ema", 14), c("rsi", 14))
for (spec in specs) {
name <- spec[[1]]
ind <- switch(name, sma = Sma(14), ema = Ema(14), rsi = Rsi(14))
exp <- read_golden(name)
for (i in seq_len(nrow(golden_input))) {
got <- update(ind, golden_input$close[i])
expect_close(got, gcell(exp[i, 1]), i, name)
}
}
})
test_that("candle Atr matches golden", {
skip_if_no_golden()
golden_input <- read_golden_input()
atr <- Atr(14)
exp <- read_golden("atr")
for (i in seq_len(nrow(golden_input))) {
got <- update(atr, golden_input$open[i], golden_input$high[i], golden_input$low[i],
golden_input$close[i], golden_input$volume[i], i - 1)
expect_close(got, gcell(exp[i, 1]), i, "atr")
}
})
test_that("pairwise Beta matches golden", {
skip_if_no_golden()
golden_input <- read_golden_input()
beta <- Beta(20)
exp <- read_golden("beta")
for (i in seq_len(nrow(golden_input))) {
# generator fed (close, open)
got <- update(beta, golden_input$close[i], golden_input$open[i])
expect_close(got, gcell(exp[i, 1]), i, "beta")
}
})
test_that("multi-output MACD matches golden", {
skip_if_no_golden()
golden_input <- read_golden_input()
macd <- MacdIndicator(12, 26, 9)
exp <- read_golden("macd")
for (i in seq_len(nrow(golden_input))) {
out <- update(macd, golden_input$close[i])
if (identical(exp[i, "macd"], "nan")) {
expect_true(all(is.na(out)), info = paste("row", i, "macd warmup"))
} else {
expect_close(out[["macd"]], gcell(exp[i, "macd"]), i, "macd.macd")
expect_close(out[["signal"]], gcell(exp[i, "signal"]), i, "macd.signal")
expect_close(out[["histogram"]], gcell(exp[i, "histogram"]), i, "macd.histogram")
}
}
})
test_that("multi-output ADX matches golden", {
skip_if_no_golden()
golden_input <- read_golden_input()
adx <- Adx(14)
exp <- read_golden("adx")
for (i in seq_len(nrow(golden_input))) {
out <- update(adx, golden_input$open[i], golden_input$high[i], golden_input$low[i],
golden_input$close[i], golden_input$volume[i], i - 1)
if (identical(exp[i, "plus_di"], "nan")) {
expect_true(all(is.na(out)), info = paste("row", i, "adx warmup"))
} else {
expect_close(out[["plus_di"]], gcell(exp[i, "plus_di"]), i, "adx.plus_di")
expect_close(out[["minus_di"]], gcell(exp[i, "minus_di"]), i, "adx.minus_di")
expect_close(out[["adx"]], gcell(exp[i, "adx"]), i, "adx.adx")
}
}
})
+12
View File
@@ -46,6 +46,18 @@ Constructors mirror the other bindings (`new SMA(20)`, `new MACD(12, 26, 9)`,
`new BollingerBands(20, 2.0)`, …); `update()` returns the latest value or
`null` while the indicator is still warming up.
## Benchmark
`benchmarks/throughput.mjs` reports streaming and batch updates-per-second for
`SMA`, `ATR` and `MACD`. It measures this binding's FFI overhead, not a
cross-library ratio (the same Rust core runs under every binding) — see the
repository [BENCHMARKS.md](https://github.com/wickra-lib/wickra/blob/main/BENCHMARKS.md) §3.
```bash
wasm-pack build --target nodejs --out-dir pkg-node --release
node benchmarks/throughput.mjs
```
## Documentation
The full indicator catalogue, guides, quickstarts, and API reference live in
+127
View File
@@ -0,0 +1,127 @@
// Throughput benchmark for the Wickra WebAssembly bindings.
//
// Measures how many indicator updates per second the wasm binding sustains,
// both per-tick (streaming `update`) and bulk (`batch`), over a synthetic
// OHLCV series. It is the wasm counterpart of the Node `throughput.js` and the
// Rust criterion benches: it benchmarks Wickra's own O(1) streaming engine
// across the JS<->wasm boundary (there is no install-free TA library with a
// comparable surface to compare against), so the headline number is raw
// per-binding throughput / FFI overhead, not a cross-library ratio.
//
// Three indicators are timed, chosen by FFI call-signature archetype rather
// than algorithm (the algorithm is identical to the Rust core; only the
// boundary cost differs): SMA (1-in -> 1-out), ATR (multi-in -> 1-out), and
// MACD (1-in -> multi-out). Streaming is timed for all three; batch only for
// the single-output SMA and ATR (multi-output batch is not exposed uniformly).
//
// Build the nodejs-target package first (needs the wasm32-unknown-unknown
// target, i.e. a rustup toolchain), then run:
//
// cd bindings/wasm && wasm-pack build --target nodejs --out-dir pkg-node --release
// node benchmarks/throughput.mjs # 200k bars (default)
// node benchmarks/throughput.mjs --bars 1000000
import { createRequire } from 'node:module';
import { hrtime } from 'node:process';
const require = createRequire(import.meta.url);
// wasm-pack --target nodejs emits a CommonJS module named after the crate.
const wasm = require('../pkg-node/wickra_wasm.js');
const { SMA, ATR, MACD } = wasm;
function parseBars() {
const idx = process.argv.indexOf('--bars');
if (idx !== -1 && process.argv[idx + 1]) {
const n = Number(process.argv[idx + 1]);
if (Number.isFinite(n) && n >= 1000) return Math.floor(n);
console.error('--bars must be a number >= 1000');
process.exit(1);
}
return 200_000;
}
const BARS = parseBars();
// Deterministic synthetic OHLCV (no RNG, so runs are comparable).
const close = new Float64Array(BARS);
const high = new Float64Array(BARS);
const low = new Float64Array(BARS);
for (let i = 0; i < BARS; i++) {
const mid = 100 + Math.sin(i * 0.001) * 20 + i * 1e-4;
close[i] = mid + Math.sin(i * 0.05) * 2;
high[i] = Math.max(close[i], mid) + 1.5;
low[i] = Math.min(close[i], mid) - 1.5;
}
// Median elapsed-ns over a few repetitions, after one warmup pass.
function timeNs(fn, reps = 3) {
fn(); // warmup (JIT + cache)
const samples = [];
for (let r = 0; r < reps; r++) {
const t0 = hrtime.bigint();
fn();
samples.push(Number(hrtime.bigint() - t0));
}
samples.sort((a, b) => a - b);
return samples[Math.floor(samples.length / 2)];
}
function mupsFromNs(ns) {
return BARS / (ns / 1e9) / 1e6; // million updates per second
}
// SMA (scalar 1-in/1-out), ATR (multi-in/1-out), MACD (1-in/multi-out).
const indicators = [
{
name: 'SMA(20)',
stream: () => {
const ind = new SMA(20);
for (let i = 0; i < BARS; i++) ind.update(close[i]);
ind.free();
},
batch: () => {
const ind = new SMA(20);
ind.batch(close);
ind.free();
},
},
{
name: 'ATR(14)',
stream: () => {
const ind = new ATR(14);
for (let i = 0; i < BARS; i++) ind.update(high[i], low[i], close[i]);
ind.free();
},
batch: () => {
const ind = new ATR(14);
ind.batch(high, low, close);
ind.free();
},
},
{
name: 'MACD(12,26,9)',
stream: () => {
const ind = new MACD(12, 26, 9);
for (let i = 0; i < BARS; i++) ind.update(close[i]);
ind.free();
},
batch: null, // multi-output: streaming only
},
];
console.log(`Wickra WASM throughput — ${BARS.toLocaleString('en-US')} bars (median of 3 runs)\n`);
console.log(`${'Indicator'.padEnd(22)}${'streaming (Mupd/s)'.padStart(20)}${'batch (Mupd/s)'.padStart(18)}`);
console.log('-'.repeat(60));
for (const ind of indicators) {
const streamMups = mupsFromNs(timeNs(ind.stream)).toFixed(1);
const batchMups = ind.batch ? mupsFromNs(timeNs(ind.batch)).toFixed(1) : '—';
console.log(`${ind.name.padEnd(22)}${streamMups.padStart(20)}${batchMups.padStart(18)}`);
}
console.log(
'\nMupd/s = million indicator updates per second. Streaming is the per-tick\n' +
'`update` path crossing the JS<->wasm boundary once per value; batch is the\n' +
'bulk array path (one boundary crossing). Higher is better. Numbers are\n' +
'machine-dependent — use them for relative comparison, not as a speed claim.',
);
@@ -84,6 +84,9 @@ impl Indicator for Autocorrelation {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
+14
View File
@@ -92,6 +92,9 @@ impl Indicator for Beta {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.window.len() == self.period {
let (oa, ob) = self.window.pop_front().expect("non-empty");
self.sum_a -= oa;
@@ -225,4 +228,15 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| b.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut b = Beta::new(3).unwrap();
assert_eq!(b.update((f64::NAN, 1.0)), None);
assert_eq!(b.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(b.update((1.0, 2.0)), None);
assert_eq!(b.update((2.0, 5.0)), None);
assert!(b.update((3.0, 7.0)).is_some());
}
}
@@ -88,6 +88,9 @@ impl Indicator for BetaNeutralSpread {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.window.len() == self.period {
let (oa, ob) = self.window.pop_front().expect("non-empty");
self.sum_a -= oa;
@@ -244,4 +247,15 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| s.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut s = BetaNeutralSpread::new(3).unwrap();
assert_eq!(s.update((f64::NAN, 1.0)), None);
assert_eq!(s.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(s.update((1.0, 2.0)), None);
assert_eq!(s.update((2.0, 5.0)), None);
assert!(s.update((3.0, 7.0)).is_some());
}
}
@@ -106,6 +106,9 @@ impl Indicator for BomarBands {
type Output = BomarBandsOutput;
fn update(&mut self, value: f64) -> Option<BomarBandsOutput> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
+3
View File
@@ -60,6 +60,9 @@ impl Indicator for Cfo {
type Output = f64;
fn update(&mut self, input: f64) -> Option<f64> {
if !input.is_finite() {
return None;
}
let forecast = self.linreg.update(input)?;
// Hold the previous value if the close is zero — the percentage form
// is undefined and a return of inf would propagate badly.
@@ -71,6 +71,9 @@ impl Indicator for CoefficientOfVariation {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
let old = self.window.pop_front().expect("non-empty");
self.sum -= old;
@@ -116,6 +116,9 @@ impl Indicator for Cointegration {
fn update(&mut self, input: (f64, f64)) -> Option<CointegrationOutput> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.window.len() == self.period {
let (oa, ob) = self.window.pop_front().expect("non-empty");
self.sum_a -= oa;
@@ -443,4 +446,16 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| c.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut c = Cointegration::new(4, 0).unwrap();
assert_eq!(c.update((f64::NAN, 1.0)), None);
assert_eq!(c.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(c.update((1.0, 2.0)), None);
assert_eq!(c.update((2.0, 5.0)), None);
assert_eq!(c.update((3.0, 7.0)), None);
assert!(c.update((4.0, 11.0)).is_some());
}
}
@@ -96,6 +96,9 @@ impl Indicator for DetrendedStdDev {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
let y0 = self.window.pop_front().expect("non-empty");
self.sum_xy = self.sum_xy - self.sum_y + y0;
@@ -76,6 +76,9 @@ impl Indicator for DistanceSsd {
type Output = f64;
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
if !input.0.is_finite() || !input.1.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -232,4 +235,15 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| d.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut d = DistanceSsd::new(3).unwrap();
assert_eq!(d.update((f64::NAN, 1.0)), None);
assert_eq!(d.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(d.update((1.0, 1.0)), None);
assert_eq!(d.update((2.0, 4.0)), None);
assert!(d.update((3.0, 9.0)).is_some());
}
}
@@ -77,6 +77,9 @@ impl Indicator for Expectancy {
type Output = f64;
fn update(&mut self, ret: f64) -> Option<f64> {
if !ret.is_finite() {
return None;
}
if self.window.len() == self.period {
let old = self.window.pop_front().expect("window is non-empty");
self.sum -= old;
@@ -96,6 +96,9 @@ impl Indicator for GrangerCausality {
type Output = f64;
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
if !input.0.is_finite() || !input.1.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -332,4 +335,16 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| g.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut g = GrangerCausality::new(5, 1).unwrap();
assert_eq!(g.update((f64::NAN, 1.0)), None);
assert_eq!(g.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
for t in 0..4 {
assert_eq!(g.update((f64::from(t), f64::from(t) * 0.5)), None);
}
assert!(g.update((4.0, 2.0)).is_some());
}
}
@@ -87,6 +87,9 @@ impl Indicator for HasbrouckInformationShare {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (x, y) = input;
if !x.is_finite() || !y.is_finite() {
return None;
}
let Some((px, py)) = self.prev else {
self.prev = Some((x, y));
return None;
@@ -248,4 +251,15 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| h.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut h = HasbrouckInformationShare::new(2).unwrap();
assert_eq!(h.update((f64::NAN, 1.0)), None);
assert_eq!(h.update((1.0, f64::INFINITY)), None);
// First finite tick seeds prev; two more returns fill the window.
assert_eq!(h.update((1.0, 1.0)), None);
assert_eq!(h.update((2.0, 3.0)), None);
assert!(h.update((3.0, 4.0)).is_some());
}
}
@@ -138,6 +138,9 @@ impl Indicator for HurstExponent {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -116,6 +116,9 @@ impl Indicator for KalmanHedgeRatio {
fn update(&mut self, input: (f64, f64)) -> Option<KalmanHedgeRatioOutput> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
// Predicted state covariance: add the transition noise to the diagonal
// (the very first observation starts from a zero prior).
let mut cov_pred = self.cov;
@@ -130,6 +130,9 @@ impl Indicator for KendallTau {
type Output = f64;
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
if !input.0.is_finite() || !input.1.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -293,4 +296,14 @@ mod tests {
let v = k.update((3.0, 3.0)).unwrap();
assert!((-1.0..=1.0).contains(&v), "got {v}");
}
#[test]
fn non_finite_input_returns_none() {
let mut k = KendallTau::new(2).unwrap();
assert_eq!(k.update((f64::NAN, 1.0)), None);
assert_eq!(k.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(k.update((1.0, 2.0)), None);
assert!(k.update((2.0, 5.0)).is_some());
}
}
@@ -80,6 +80,9 @@ impl Indicator for Kurtosis {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
let old = self.window.pop_front().expect("non-empty");
let sq = old * old;
@@ -152,6 +152,9 @@ impl Indicator for LeadLagCrossCorrelation {
fn update(&mut self, input: (f64, f64)) -> Option<LeadLagCrossCorrelationOutput> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.a_buf.len() == self.len {
self.a_buf.pop_front();
self.b_buf.pop_front();
@@ -321,4 +324,17 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| ll.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
// len = window + 2*max_lag = 2 + 2 = 4 finite ticks fill the buffers.
let mut ll = LeadLagCrossCorrelation::new(2, 1).unwrap();
assert_eq!(ll.update((f64::NAN, 1.0)), None);
assert_eq!(ll.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(ll.update((1.0, 2.0)), None);
assert_eq!(ll.update((2.0, 1.0)), None);
assert_eq!(ll.update((3.0, 4.0)), None);
assert!(ll.update((4.0, 2.0)).is_some());
}
}
@@ -99,6 +99,9 @@ impl Indicator for LinearRegression {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
// Sliding phase: pop the oldest, then shift every remaining index
// down by 1 in the running `sum_xy`. The identity
@@ -57,6 +57,9 @@ impl Indicator for LinRegAngle {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
self.slope.update(value).map(|s| s.atan().to_degrees())
}
@@ -98,6 +98,9 @@ impl Indicator for LinRegChannel {
type Output = LinRegChannelOutput;
fn update(&mut self, value: f64) -> Option<LinRegChannelOutput> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -77,6 +77,9 @@ impl Indicator for LinRegIntercept {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
let y0 = self.window.pop_front().expect("non-empty");
self.sum_xy = self.sum_xy - self.sum_y + y0;
@@ -87,6 +87,9 @@ impl Indicator for LinRegSlope {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
// Sliding-window identity: when the window slides one step forward
// the indices `x` for every kept entry shift down by 1, so
@@ -89,6 +89,9 @@ impl Indicator for MedianAbsoluteDeviation {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -96,6 +96,9 @@ impl Indicator for MedianChannel {
type Output = MedianChannelOutput;
fn update(&mut self, value: f64) -> Option<MedianChannelOutput> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -59,6 +59,9 @@ impl Indicator for MidPoint {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -80,6 +80,9 @@ impl Indicator for OuHalfLife {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -242,4 +245,16 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| hl.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut hl = OuHalfLife::new(4).unwrap();
assert_eq!(hl.update((f64::NAN, 1.0)), None);
assert_eq!(hl.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(hl.update((1.0, 0.0)), None);
assert_eq!(hl.update((2.0, 0.0)), None);
assert_eq!(hl.update((3.0, 0.0)), None);
assert!(hl.update((4.0, 0.0)).is_some());
}
}
@@ -89,6 +89,9 @@ impl Indicator for PearsonCorrelation {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (x, y) = input;
if !x.is_finite() || !y.is_finite() {
return None;
}
if self.window.len() == self.period {
let (ox, oy) = self.window.pop_front().expect("non-empty");
self.sum_x -= ox;
@@ -243,4 +246,15 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| b.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut p = PearsonCorrelation::new(3).unwrap();
assert_eq!(p.update((f64::NAN, 1.0)), None);
assert_eq!(p.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(p.update((1.0, 2.0)), None);
assert_eq!(p.update((2.0, 5.0)), None);
assert!(p.update((3.0, 7.0)).is_some());
}
}
@@ -74,6 +74,9 @@ impl Indicator for PercentageTrailingStop {
type Output = f64;
fn update(&mut self, close: f64) -> Option<f64> {
if !close.is_finite() {
return None;
}
let step = close.abs() * self.percent / 100.0;
let stop = match self.prev_stop {
Some(prev) => {
@@ -82,6 +82,9 @@ impl Indicator for PolarizedFractalEfficiency {
type Output = f64;
fn update(&mut self, close: f64) -> Option<f64> {
if !close.is_finite() {
return None;
}
if let Some(prev) = self.prev_close {
let diff = close - prev;
let segment = diff.mul_add(diff, 1.0).sqrt();
@@ -80,6 +80,9 @@ impl Indicator for QuartileBands {
type Output = QuartileBandsOutput;
fn update(&mut self, value: f64) -> Option<QuartileBandsOutput> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -95,6 +95,9 @@ impl Indicator for RSquared {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
let y0 = self.window.pop_front().expect("non-empty");
self.sum_xy = self.sum_xy - self.sum_y + y0;
@@ -74,6 +74,9 @@ impl Indicator for RenkoTrailingStop {
type Output = f64;
fn update(&mut self, close: f64) -> Option<f64> {
if !close.is_finite() {
return None;
}
let anchor = match self.anchor {
Some(prev) => {
if self.long {
@@ -90,6 +90,9 @@ impl Indicator for RollingCorrelation {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (x, y) = input;
if !x.is_finite() || !y.is_finite() {
return None;
}
let Some((px, py)) = self.prev else {
// First level in each channel: store it, no return yet.
self.prev = Some((x, y));
@@ -272,4 +275,15 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| rc.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut rc = RollingCorrelation::new(2).unwrap();
assert_eq!(rc.update((f64::NAN, 1.0)), None);
assert_eq!(rc.update((1.0, f64::INFINITY)), None);
// First finite tick seeds prev; two more returns fill the window.
assert_eq!(rc.update((1.0, 1.0)), None);
assert_eq!(rc.update((2.0, 3.0)), None);
assert!(rc.update((3.0, 5.0)).is_some());
}
}
@@ -86,6 +86,9 @@ impl Indicator for RollingCovariance {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (x, y) = input;
if !x.is_finite() || !y.is_finite() {
return None;
}
let Some((px, py)) = self.prev else {
self.prev = Some((x, y));
return None;
@@ -240,4 +243,15 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| rc.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut rc = RollingCovariance::new(2).unwrap();
assert_eq!(rc.update((f64::NAN, 1.0)), None);
assert_eq!(rc.update((1.0, f64::INFINITY)), None);
// First finite tick seeds prev; two more returns fill the window.
assert_eq!(rc.update((1.0, 1.0)), None);
assert_eq!(rc.update((2.0, 3.0)), None);
assert!(rc.update((3.0, 5.0)).is_some());
}
}
@@ -71,6 +71,9 @@ impl Indicator for RollingIqr {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -70,6 +70,9 @@ impl Indicator for RollingPercentileRank {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -104,6 +104,9 @@ impl Indicator for RollingQuantile {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -79,6 +79,9 @@ impl Indicator for Skewness {
type Output = f64;
fn update(&mut self, value: f64) -> Option<f64> {
if !value.is_finite() {
return None;
}
if self.window.len() == self.period {
let old = self.window.pop_front().expect("non-empty");
self.sum -= old;
@@ -123,6 +123,9 @@ impl Indicator for SpearmanCorrelation {
type Output = f64;
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
if !input.0.is_finite() || !input.1.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -311,4 +314,14 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| b.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut s = SpearmanCorrelation::new(2).unwrap();
assert_eq!(s.update((f64::NAN, 1.0)), None);
assert_eq!(s.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(s.update((1.0, 2.0)), None);
assert!(s.update((2.0, 5.0)).is_some());
}
}
@@ -89,6 +89,9 @@ impl Indicator for SpreadAr1Coefficient {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -248,4 +251,16 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| ar1.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut ar1 = SpreadAr1Coefficient::new(4).unwrap();
assert_eq!(ar1.update((f64::NAN, 1.0)), None);
assert_eq!(ar1.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(ar1.update((1.0, 0.0)), None);
assert_eq!(ar1.update((2.0, 0.0)), None);
assert_eq!(ar1.update((3.0, 0.0)), None);
assert!(ar1.update((4.0, 0.0)).is_some());
}
}
@@ -116,6 +116,9 @@ impl Indicator for SpreadBollingerBands {
fn update(&mut self, input: (f64, f64)) -> Option<SpreadBollingerBandsOutput> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
let spread = a - b;
if self.window.len() == self.period {
let old = self.window.pop_front().expect("non-empty");
@@ -84,6 +84,9 @@ impl Indicator for SpreadHurst {
fn update(&mut self, input: (f64, f64)) -> Option<f64> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.window.len() == self.period {
self.window.pop_front();
}
@@ -268,4 +271,16 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| h.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut h = SpreadHurst::new(8).unwrap();
assert_eq!(h.update((f64::NAN, 1.0)), None);
assert_eq!(h.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
for t in 0..7 {
assert_eq!(h.update((f64::from(t), 0.0)), None);
}
assert!(h.update((7.0, 0.0)).is_some());
}
}

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