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).
52 lines
1.7 KiB
JavaScript
52 lines
1.7 KiB
JavaScript
// Cross-language data-layer parity for the WASM binding: replay the shared
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// golden tick stream through TickAggregator and check the candles against the
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// Rust-generated fixtures, with and without gap filling.
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const test = require('node:test');
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const assert = require('node:assert/strict');
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const fs = require('node:fs');
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const path = require('node:path');
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const W = require('../pkg/wickra_wasm.js');
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const GOLDEN = path.resolve(__dirname, '..', '..', '..', 'testdata', 'golden');
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function readCsv(name) {
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const lines = fs.readFileSync(path.join(GOLDEN, `${name}.csv`), 'utf8').split(/\r?\n/);
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lines.shift();
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return lines.filter((l) => l.length > 0).map((l) => l.split(',').map(Number));
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}
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const TICKS = readCsv('data_ticks');
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function run(gapFill) {
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const agg = new W.TickAggregator(1000, gapFill);
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const out = [];
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for (const [price, size, ts] of TICKS) {
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for (const c of agg.push(price, size, ts)) {
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out.push([c.open, c.high, c.low, c.close, c.volume, c.timestamp]);
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}
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}
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return out;
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}
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function assertCandles(got, want, label) {
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assert.equal(got.length, want.length, `${label}: candle count ${got.length} vs ${want.length}`);
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for (let i = 0; i < got.length; i++) {
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for (let j = 0; j < 6; j++) {
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const tol = 1e-9 * Math.max(1, Math.abs(want[i][j]));
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assert.ok(
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Math.abs(got[i][j] - want[i][j]) <= tol,
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`${label} row ${i} col ${j}: ${got[i][j]} vs ${want[i][j]}`,
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);
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}
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}
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}
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test('wasm tick aggregator matches the golden candles', () => {
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assertCandles(run(false), readCsv('data_candles'), 'no-gap');
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});
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test('wasm tick aggregator gap-fill matches the golden candles', () => {
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assertCandles(run(true), readCsv('data_candles_gap'), 'gap');
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});
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