kingchenc
8a103ef920
* 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).
1.5 KiB
1.5 KiB
| 1 | price | size | timestamp |
|---|---|---|---|
| 2 | 100 | 1 | 0 |
| 3 | 103.4552020666134 | 2 | 350 |
| 4 | 106.64642473395035 | 3 | 700 |
| 5 | 109.33326909627483 | 4 | 1050 |
| 6 | 111.32039085967226 | 5 | 1400 |
| 7 | 112.47494986604055 | 1 | 1750 |
| 8 | 112.73847630878196 | 2 | 2100 |
| 9 | 112.13209366648874 | 3 | 2450 |
| 10 | 110.75463180551151 | 4 | 2800 |
| 11 | 108.7737988023383 | 5 | 3150 |
| 12 | 106.41120008059868 | 1 | 3500 |
| 13 | 103.92254305856751 | 2 | 3850 |
| 14 | 101.57479556705148 | 3 | 4200 |
| 15 | 99.62233840816026 | 4 | 4550 |
| 16 | 98.28424227586412 | 5 | 4900 |
| 17 | 97.72469882334903 | 1 | 5250 |
| 18 | 98.0383539116416 | 2 | 5600 |
| 19 | 99.24185317672267 | 3 | 5950 |
| 20 | 101.27235512444012 | 4 | 6300 |
| 21 | 103.99314457402363 | 5 | 6650 |
| 22 | 107.20584501801073 | 1 | 7000 |
| 23 | 110.6681390048435 | 2 | 7350 |
| 24 | 114.11541363513378 | 3 | 7700 |
| 25 | 117.28439764388199 | 4 | 8050 |
| 26 | 119.93667863849153 | 5 | 8400 |
| 27 | 121.87999976774739 | 1 | 8750 |
| 28 | 122.98543345374605 | 2 | 9100 |
| 29 | 123.19889810845086 | 3 | 9450 |
| 30 | 122.5459890808828 | 4 | 9800 |
| 31 | 121.12969230082183 | 5 | 10150 |
| 32 | 119.12118485241757 | 1 | 10500 |
| 33 | 116.74454423507063 | 2 | 10850 |
| 34 | 114.2567321877702 | 3 | 11200 |
| 35 | 111.92464106224679 | 4 | 11550 |
| 36 | 110.00125312406458 | 5 | 11900 |
| 37 | 108.7030424002833 | 1 | 12250 |
| 38 | 108.19063769933508 | 2 | 17600 |
| 39 | 108.55447411796011 | 3 | 17950 |
| 40 | 109.80671474335324 | 4 | 18300 |
| 41 | 111.88016416080967 | 5 | 18650 |
| 42 | 114.63427081999565 | 1 | 19000 |
| 43 | 117.86768208634197 | 2 | 19350 |
| 44 | 121.33623047221137 | 3 | 19700 |
| 45 | 124.77474439137693 | 4 | 20050 |
| 46 | 127.92073514707224 | 5 | 20400 |
| 47 | 130.5378442655162 | 1 | 20750 |
| 48 | 132.43695669444105 | 2 | 21100 |
| 49 | 133.49309388747918 | 3 | 21450 |
| 50 | 133.65657776549278 | 4 | 21800 |
| 51 | 132.95746831142935 | 5 | 22150 |
| 52 | 131.50287840157117 | 1 | 22500 |
| 53 | 129.46740573130614 | 2 | 22850 |
| 54 | 127.07753652299444 | 3 | 23200 |
| 55 | 124.59141418625812 | 4 | 23550 |
| 56 | 122.27578013601534 | 5 | 23900 |
| 57 | 120.38214657630877 | 1 | 24250 |
| 58 | 119.12432966418496 | 2 | 24600 |
| 59 | 118.65934994918358 | 3 | 24950 |
| 60 | 119.07340619529367 | 4 | 25300 |
| 61 | 120.37417550208815 | 5 | 25650 |