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).
59 lines
1.5 KiB
Go
59 lines
1.5 KiB
Go
package wickra
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import (
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"math"
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"strconv"
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"testing"
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)
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// Cross-language data-layer parity: replay the shared golden tick stream through
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// the TickAggregator and assert the candles match the Rust reference, with and
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// without gap filling. Fixtures are generated by
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// `cargo run -p wickra-examples --bin gen_golden`.
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func dataParseF(t *testing.T, s string) float64 {
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t.Helper()
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v, err := strconv.ParseFloat(s, 64)
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if err != nil {
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t.Fatalf("parse %q: %v", s, err)
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}
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return v
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}
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func TestTickAggregatorGolden(t *testing.T) {
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ticks := readGolden(t, "data_ticks")
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cases := []struct {
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gap bool
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fixture string
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}{
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{false, "data_candles"},
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{true, "data_candles_gap"},
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}
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for _, c := range cases {
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agg, err := NewTickAggregator(1000, c.gap)
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if err != nil {
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t.Fatalf("new: %v", err)
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}
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var got [][6]float64
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for _, r := range ticks {
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price, size, ts := dataParseF(t, r[0]), dataParseF(t, r[1]), int64(dataParseF(t, r[2]))
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for _, k := range agg.Push(price, size, ts) {
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got = append(got, [6]float64{k.Open, k.High, k.Low, k.Close, k.Volume, float64(k.Timestamp)})
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}
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}
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agg.Close()
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want := readGolden(t, c.fixture)
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if len(got) != len(want) {
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t.Fatalf("%s: %d candles vs %d", c.fixture, len(got), len(want))
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}
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for i := range got {
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for j := 0; j < 6; j++ {
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w := dataParseF(t, want[i][j])
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if math.Abs(got[i][j]-w) > 1e-9*math.Max(1, math.Abs(w)) {
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t.Errorf("%s row %d col %d: %v vs %v", c.fixture, i, j, got[i][j], w)
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}
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}
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}
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}
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}
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