# Cross-language data-layer parity: replay the shared golden tick stream through # the TickAggregator and check the candles against the Rust reference, with and # without gap filling. Fixtures are generated by # `cargo run -p wickra-examples --bin gen_golden`. find_data_golden_dir <- function() { d <- normalizePath(".", 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 } } test_that("tick aggregator matches the golden candles", { gdir <- find_data_golden_dir() skip_if(is.null(gdir), "golden fixtures not bundled with the package") read_mat <- function(name) { lines <- readLines(file.path(gdir, paste0(name, ".csv")))[-1] lines <- lines[nzchar(lines)] if (length(lines) == 0) { return(matrix(numeric(0), 0, 6)) } do.call(rbind, lapply(lines, function(l) as.numeric(strsplit(l, ",")[[1]]))) } ticks <- read_mat("data_ticks") specs <- list( list(gap = FALSE, fixture = "data_candles"), list(gap = TRUE, fixture = "data_candles_gap") ) for (spec in specs) { agg <- TickAggregator(1000, spec$gap) got <- matrix(numeric(0), 0, 6) for (i in seq_len(nrow(ticks))) { out <- push(agg, ticks[i, 1], ticks[i, 2], ticks[i, 3]) if (nrow(out) > 0) { got <- rbind(got, unname(out)) } } want <- unname(read_mat(spec$fixture)) expect_equal(nrow(got), nrow(want), info = spec$fixture) expect_equal(got, want, tolerance = 1e-9, info = spec$fixture) } }) test_that("candle reader matches the golden candles", { gdir <- find_data_golden_dir() skip_if(is.null(gdir), "golden fixtures not bundled with the package") read_mat <- function(name) { lines <- readLines(file.path(gdir, paste0(name, ".csv")))[-1] lines <- lines[nzchar(lines)] do.call(rbind, lapply(lines, function(l) as.numeric(strsplit(l, ",")[[1]]))) } csv <- paste(readLines(file.path(gdir, "data_csv.csv")), collapse = "\n") reader <- CandleReader(csv) got <- unname(read(reader)) want <- unname(read_mat("data_csv_candles")) expect_equal(nrow(got), nrow(want)) expect_equal(got, want, tolerance = 1e-9) }) test_that("resampler matches the golden candles", { gdir <- find_data_golden_dir() skip_if(is.null(gdir), "golden fixtures not bundled with the package") read_mat <- function(name) { lines <- readLines(file.path(gdir, paste0(name, ".csv")))[-1] lines <- lines[nzchar(lines)] do.call(rbind, lapply(lines, function(l) as.numeric(strsplit(l, ",")[[1]]))) } input <- read_mat("input") # open,high,low,close,volume (timestamp = row index) r <- Resampler(5) got <- matrix(numeric(0), 0, 6) for (i in seq_len(nrow(input))) { c <- update(r, input[i, 1], input[i, 2], input[i, 3], input[i, 4], input[i, 5], i - 1) if (!is.na(c[1])) { got <- rbind(got, unname(c)) } } f <- flush(r) if (!is.null(f)) { got <- rbind(got, unname(f)) } want <- unname(read_mat("data_resampled")) expect_equal(nrow(got), nrow(want)) expect_equal(got, want, tolerance = 1e-9) })