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.
90 lines
2.5 KiB
Go
90 lines
2.5 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 TestResamplerGolden(t *testing.T) {
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input := readGolden(t, "input") // open,high,low,close,volume (timestamp = row index)
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r, err := NewResampler(5)
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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 i, row := range input {
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o, h, l, c, v := dataParseF(t, row[0]), dataParseF(t, row[1]), dataParseF(t, row[2]), dataParseF(t, row[3]), dataParseF(t, row[4])
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if k, ok := r.Update(o, h, l, c, v, int64(i)); ok {
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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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if k, ok := r.Flush(); ok {
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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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r.Close()
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want := readGolden(t, "data_resampled")
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if len(got) != len(want) {
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t.Fatalf("resample: %d candles vs %d", 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("resample row %d col %d: %v vs %v", 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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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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