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kingchenc 8a103ef920 feat(data-layer): TickAggregator (tick-to-candle) in all 10 languages (#309)
* feat(data-layer): TickAggregator in Node, WASM, Python + C ABI hub

First data-layer feature (F2): roll trade ticks up into fixed-timeframe OHLCV
candles, exposed natively and over the C ABI.

- wickra-data wired as a binding dependency (workspace dep; its wickra-core dep
  is default-features=false so it never forces rayon into the rayon-free WASM
  build — native bindings re-enable parallel through their own dependency).
- Node `TickAggregator(bucket, gapFill?)` -> `push(price, size, ts): Candle[]`;
  WASM the same (array of objects); Python `push(...) -> list[tuple]`.
- C ABI: `WickraCandle` struct + `wickra_tick_aggregator_new/push/free` (push
  writes candles into a caller buffer and returns the count), generated via the
  capi generator's new DATA_LAYER section; cbindgen now parses wickra-data so
  `TickAggregator` is a forward-declared opaque; header vendored to bindings/go.

Verified bit-identical across Node/WASM/Python/C/C++ (o=100 h=101 l=100 c=101
v=3 ts=0 for the shared 3-tick probe). WIP: Go/C#/Java/R generated bindings and
the cross-language golden are still pending.

* feat(data-layer): TickAggregator in Go, C#, Java, R (lossless push/drain)

Complete F2 across all 10 languages: the C-ABI tick aggregator now uses a
two-step push/drain so gap-fill candles are never lost, and the four generated
bindings expose it idiomatically.

- C ABI redesigned: opaque TickAggregator handle (inner aggregator + pending
  buffer); push consumes a tick and returns the closed-candle count, drain copies
  them into a count-sized caller buffer.
- Go: NewTickAggregator + Push(price,size,ts) []Candle; C#: TickAggregator +
  Candle[] Push(...); Java: TickAggregator + Candle[] push(...); R: TickAggregator
  constructor + push() S3 generic returning an (n x 6) numeric matrix.
- Candle output record generated per language from WickraCandle.

Verified bit-identical to the native bindings (o=100 h=101 l=100 c=101 v=3 ts=0)
in Go, C#, Java, and R at runtime; R passes R CMD check (pre-existing doc
warnings only). WIP: cross-language data-layer golden + CHANGELOG still pending.

* test(data-layer): cross-language golden for the tick aggregator + CHANGELOG

gen_golden emits a deterministic tick stream (testdata/golden/data_ticks.csv) and
the reference candle streams with and without gap filling (data_candles.csv,
data_candles_gap.csv). Every binding replays the shared ticks through its
TickAggregator and checks the candles bit-for-bit (fp tolerance) against the Rust
reference:

- Node / WASM / Python / Go / C# / Java / R: a dedicated parity test each.
- C / C++: data_layer_test.c (compiled as both, run as ctest).

The gap-fill fixture closes several candles from a single push, exercising the
lossless push/drain path. Records the feature under CHANGELOG [Unreleased].

* fix(examples): rename the CSV-loader candle to WickraBar

The example CSV helper (wickra_csv.h) defined its own struct WickraCandle, which
now collides with the public C ABI WickraCandle (the tick aggregator output) in
any example that includes both headers (backtest, multi_timeframe, the strategy
examples). The public type owns the name; rename the example loader's bar to
WickraBar. The generated golden_test.c is untouched (its only match was the
unrelated WickraCandleVolumeOutput).
2026-06-15 21:24:33 +02:00

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5.2 KiB
CMake

cmake_minimum_required(VERSION 3.15)
project(wickra_c_examples C CXX)
# 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}/../../bindings/c/include")
# Absolute path to the bundled OHLCV datasets, baked into the data-driven
# examples as a compile definition so they run from any working directory (the
# C counterpart of the Rust examples' CARGO_MANIFEST_DIR).
get_filename_component(WICKRA_DATA_DIR "${CMAKE_CURRENT_SOURCE_DIR}/../data" ABSOLUTE)
# OpenMP is optional: parallel_assets links it when present and falls back to a
# single-threaded run otherwise.
find_package(OpenMP QUIET)
# Pick the right link target per platform/toolchain.
# - MSVC links the generated import library (wickra.dll.lib).
# - MinGW/gcc on Windows links the DLL directly.
# - Unix links the shared object / dylib.
if(WIN32)
set(WICKRA_RUNTIME "${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()
enable_testing()
# Build one example and link it to the Wickra library. On Windows the DLL is
# copied next to the executable so the loader finds it at run time. With
# register_test=TRUE the example is also run as a ctest; network examples pass
# FALSE (they are built only, never run in CI).
function(add_wickra_example name source register_test)
add_executable(${name} ${source})
target_include_directories(${name} PRIVATE "${WICKRA_INCLUDE_DIR}")
target_link_libraries(${name} PRIVATE "${WICKRA_LINK_LIB}")
target_compile_definitions(${name} PRIVATE "WICKRA_DATA_DIR=\"${WICKRA_DATA_DIR}\"")
if(UNIX AND NOT APPLE)
target_link_libraries(${name} PRIVATE m)
endif()
if(WIN32)
add_custom_command(TARGET ${name} POST_BUILD
COMMAND ${CMAKE_COMMAND} -E copy_if_different
"${WICKRA_RUNTIME}" "$<TARGET_FILE_DIR:${name}>")
endif()
if(register_test)
add_test(NAME ${name} COMMAND ${name})
if(NOT WIN32)
set_tests_properties(${name} PROPERTIES
ENVIRONMENT "LD_LIBRARY_PATH=${WICKRA_LIB_DIR};DYLD_LIBRARY_PATH=${WICKRA_LIB_DIR}")
endif()
endif()
endfunction()
# Offline examples — built and run as ctests.
add_wickra_example(smoke smoke.c TRUE) # links the boundary, asserts values
add_wickra_example(archetypes archetypes.c TRUE) # one indicator per FFI archetype
add_wickra_example(streaming streaming.c TRUE) # multi-indicator tick stream
add_wickra_example(cpp_smoke smoke.cpp TRUE) # C++ RAII wrapper (wickra.hpp)
add_wickra_example(backtest backtest.c TRUE) # indicator basket over a CSV
add_wickra_example(multi_timeframe multi_timeframe.c TRUE) # resample + per-TF indicators
add_wickra_example(parallel_assets parallel_assets.c TRUE) # serial vs OpenMP fan-out
add_wickra_example(strategy_rsi_mean_reversion strategy_rsi_mean_reversion.c TRUE)
add_wickra_example(strategy_macd_adx strategy_macd_adx.c TRUE)
add_wickra_example(strategy_bollinger_squeeze strategy_bollinger_squeeze.c TRUE)
if(OpenMP_C_FOUND)
target_link_libraries(parallel_assets PRIVATE OpenMP::OpenMP_C)
endif()
# Golden-fixture parity over the whole 514-indicator catalogue, built and run as
# BOTH C (golden_test.c) and C++ (golden_test.cpp #includes the same source) to
# prove the C ABI header is consumable from each language. The fixtures live at
# the repo root; pass the absolute path as the test argument.
get_filename_component(WICKRA_GOLDEN_DIR "${CMAKE_CURRENT_SOURCE_DIR}/../../testdata/golden" ABSOLUTE)
foreach(gt_pair "golden_test:golden_test.c" "golden_test_cpp:golden_test.cpp"
"data_layer_test:data_layer_test.c" "data_layer_test_cpp:data_layer_test.cpp")
string(REPLACE ":" ";" gt_list "${gt_pair}")
list(GET gt_list 0 gt_name)
list(GET gt_list 1 gt_src)
add_executable(${gt_name} ${gt_src})
target_include_directories(${gt_name} PRIVATE "${WICKRA_INCLUDE_DIR}")
target_link_libraries(${gt_name} PRIVATE "${WICKRA_LINK_LIB}")
if(UNIX AND NOT APPLE)
target_link_libraries(${gt_name} PRIVATE m)
endif()
if(WIN32)
add_custom_command(TARGET ${gt_name} POST_BUILD
COMMAND ${CMAKE_COMMAND} -E copy_if_different
"${WICKRA_RUNTIME}" "$<TARGET_FILE_DIR:${gt_name}>")
endif()
add_test(NAME ${gt_name} COMMAND ${gt_name} "${WICKRA_GOLDEN_DIR}")
if(NOT WIN32)
set_tests_properties(${gt_name} PROPERTIES
ENVIRONMENT "LD_LIBRARY_PATH=${WICKRA_LIB_DIR};DYLD_LIBRARY_PATH=${WICKRA_LIB_DIR}")
endif()
endforeach()
# Network examples — built (so they stay compilable) but not run in CI.
add_wickra_example(fetch_btcusdt fetch_btcusdt.c FALSE) # downloads CSVs via curl
add_wickra_example(live_binance live_binance.c FALSE) # polls Binance REST via curl