kingchenc
cb6da4d737
* feat(data-layer): Resampler (candle resampling) in all 10 languages Second data-layer feature (F3): resample candles into a higher timeframe. - Native (Node.js/WASM): new Resampler(timeframe) -> update(o,h,l,c,v,ts): Candle|null + flush(): Candle|null. Python the same -> tuple|None. - C ABI: wickra_resampler_new/update/flush/free (update has the multi-output shape so the generators auto-emit it; flush is bespoke). Go Update -> (Candle, bool) + Flush; C# Candle? Update/Flush; Java Candle update/flush; R update() generic + a flush() S3 method (extends base::flush); C/C++ direct. - Cross-language golden (testdata/golden/data_resampled.csv): the shared input candles resampled into 5-unit buckets, the final partial bucket via flush, pinned bit-for-bit across every binding. Verified locally in all 10 (3 candles for the 5-unit smoke; 16 for the golden). The WickraCandle output record is shared with the tick aggregator (deduped). * test(node): exclude data-layer types from the indicator completeness contract The Resampler exposes update(), so the completeness test flagged it as an indicator and required batch/reset/isReady/warmupPeriod, which a data-layer type does not have. Exclude TickAggregator and Resampler like the bar builders.
91 lines
3.2 KiB
C#
91 lines
3.2 KiB
C#
using System;
|
|
using System.Collections.Generic;
|
|
using System.Globalization;
|
|
using System.IO;
|
|
using Wickra;
|
|
using Xunit;
|
|
|
|
// Cross-language data-layer parity: replay the shared golden tick stream through
|
|
// the TickAggregator and check the candles against the Rust reference, with and
|
|
// without gap filling.
|
|
public class DataLayerTests
|
|
{
|
|
private static string GoldenDir([System.Runtime.CompilerServices.CallerFilePath] string file = "") =>
|
|
Path.GetFullPath(Path.Combine(Path.GetDirectoryName(file)!, "..", "..", "..", "testdata", "golden"));
|
|
|
|
private static double[][] Read(string name)
|
|
{
|
|
var lines = File.ReadAllLines(Path.Combine(GoldenDir(), name + ".csv"));
|
|
var rows = new List<double[]>();
|
|
for (var i = 1; i < lines.Length; i++)
|
|
{
|
|
if (lines[i].Length == 0)
|
|
{
|
|
continue;
|
|
}
|
|
rows.Add(Array.ConvertAll(lines[i].Split(','), s => double.Parse(s, CultureInfo.InvariantCulture)));
|
|
}
|
|
return rows.ToArray();
|
|
}
|
|
|
|
[Fact]
|
|
public void ResamplerMatchesGolden()
|
|
{
|
|
var input = Read("input"); // open,high,low,close,volume (timestamp = row index)
|
|
using var r = new Resampler(5);
|
|
var got = new List<double[]>();
|
|
for (var i = 0; i < input.Length; i++)
|
|
{
|
|
var c = r.Update(input[i][0], input[i][1], input[i][2], input[i][3], input[i][4], i);
|
|
if (c.HasValue)
|
|
{
|
|
got.Add(new[] { c.Value.Open, c.Value.High, c.Value.Low, c.Value.Close, c.Value.Volume, (double)c.Value.Timestamp });
|
|
}
|
|
}
|
|
var f = r.Flush();
|
|
if (f.HasValue)
|
|
{
|
|
got.Add(new[] { f.Value.Open, f.Value.High, f.Value.Low, f.Value.Close, f.Value.Volume, (double)f.Value.Timestamp });
|
|
}
|
|
var want = Read("data_resampled");
|
|
Assert.Equal(want.Length, got.Count);
|
|
for (var i = 0; i < got.Count; i++)
|
|
{
|
|
for (var j = 0; j < 6; j++)
|
|
{
|
|
var tol = 1e-9 * Math.Max(1, Math.Abs(want[i][j]));
|
|
Assert.True(Math.Abs(got[i][j] - want[i][j]) <= tol, $"resample row {i} col {j}: {got[i][j]} vs {want[i][j]}");
|
|
}
|
|
}
|
|
}
|
|
|
|
[Theory]
|
|
[InlineData(false, "data_candles")]
|
|
[InlineData(true, "data_candles_gap")]
|
|
public void TickAggregatorMatchesGolden(bool gapFill, string fixture)
|
|
{
|
|
var ticks = Read("data_ticks");
|
|
using var agg = new TickAggregator(1000, gapFill);
|
|
var got = new List<double[]>();
|
|
foreach (var t in ticks)
|
|
{
|
|
foreach (var c in agg.Push(t[0], t[1], (long)t[2]))
|
|
{
|
|
got.Add(new[] { c.Open, c.High, c.Low, c.Close, c.Volume, (double)c.Timestamp });
|
|
}
|
|
}
|
|
var want = Read(fixture);
|
|
Assert.Equal(want.Length, got.Count);
|
|
for (var i = 0; i < got.Count; i++)
|
|
{
|
|
for (var j = 0; j < 6; j++)
|
|
{
|
|
var tol = 1e-9 * Math.Max(1, Math.Abs(want[i][j]));
|
|
Assert.True(
|
|
Math.Abs(got[i][j] - want[i][j]) <= tol,
|
|
$"{fixture} row {i} col {j}: {got[i][j]} vs {want[i][j]}");
|
|
}
|
|
}
|
|
}
|
|
}
|