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).
50 lines
1.9 KiB
TOML
50 lines
1.9 KiB
TOML
[package]
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name = "wickra-data"
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description = "Data sources for Wickra: CSV readers, tick-to-candle aggregator, and live exchange feeds."
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version.workspace = true
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authors.workspace = true
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edition.workspace = true
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rust-version.workspace = true
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license.workspace = true
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repository.workspace = true
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homepage.workspace = true
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readme.workspace = true
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keywords.workspace = true
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categories.workspace = true
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documentation = "https://docs.rs/wickra-data"
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# Render the docs on docs.rs with every feature enabled so the optional
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# live-binance feed is documented (otherwise it is hidden behind its feature).
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[package.metadata.docs.rs]
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all-features = true
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[lints]
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workspace = true
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[dependencies]
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# Direct path+version (not the workspace inheritance) so `default-features = false`
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# is honoured: depending on wickra-data must NOT force wickra-core's `parallel`
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# (rayon) feature on — the WASM binding needs a rayon-free build and the data
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# layer never uses the parallel batch path. Native bindings re-enable `parallel`
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# through their own wickra-core dependency (cargo unifies the features).
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wickra-core = { path = "../wickra-core", version = "0.9.2", default-features = false }
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thiserror = { workspace = true }
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csv = "1.3"
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serde = { version = "1", features = ["derive"] }
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serde_json = "1"
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# Async / live feeds are opt-in: only pulled when a `live-*` feature is requested.
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tokio = { version = "1", features = ["rt", "rt-multi-thread", "macros", "net", "time", "io-util"], optional = true }
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tokio-tungstenite = { version = "0.29", optional = true, features = ["native-tls"] }
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futures-util = { version = "0.3", optional = true }
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url = { version = "2", optional = true }
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[features]
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default = []
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# Each exchange is gated so users only pay for the WS stack they actually want.
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live-binance = ["dep:tokio", "dep:tokio-tungstenite", "dep:futures-util", "dep:url"]
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[dev-dependencies]
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approx = { workspace = true }
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tempfile = "3"
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