kingchenc
d362ae26a3
Add the data-layer CSV candle reader to every binding so loading OHLCV candles from a CSV no longer needs a per-language CSV/dataframe dependency. - C ABI: wickra_candle_reader_new(bytes, len) / _count / _read / _free over an opaque CandleReader handle (parse the whole buffer up front, then drain). - Native: Node/WASM CandleReader.read() -> Candle[], Python read() -> list[tuple]. - C-ABI languages: Go Read() []Candle, C# Candle[] Read(), Java Candle[] read(), R read() S3 generic (n x 6 matrix); C / C++ call the C ABI directly. - Cross-language golden testdata/golden/data_csv*.csv pins the parsed candles bit-for-bit across every binding. Verified locally across Rust (test+clippy+fmt), Node, WASM, Python, C#, Go, Java, R, and the C/C++ cmake parity suite.
83 lines
2.8 KiB
JavaScript
83 lines
2.8 KiB
JavaScript
// Cross-language data-layer parity for the Node binding: replay the shared
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// golden tick stream through the TickAggregator and check the candles bit-for-bit
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// (within fp tolerance) against the Rust-generated fixtures, with and without
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// gap filling. Fixtures are produced by `cargo run -p wickra-examples --bin
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// gen_golden`.
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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 { TickAggregator, Resampler, CandleReader } = require('..');
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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, `${name}.csv`), 'utf8').split(/\r?\n/);
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lines.shift();
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return lines.filter((l) => l.length > 0).map((l) => l.split(',').map(Number));
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}
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const TICKS = readCsv('data_ticks');
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function run(gapFill) {
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const agg = new TickAggregator(1000, gapFill);
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const out = [];
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for (const [price, size, ts] of TICKS) {
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for (const c of agg.push(price, size, ts)) {
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out.push([c.open, c.high, c.low, c.close, c.volume, c.timestamp]);
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}
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}
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return out;
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}
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function assertCandles(got, want, label) {
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assert.equal(got.length, want.length, `${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('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('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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test('candle reader matches the golden candles', () => {
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const csv = fs.readFileSync(path.join(GOLDEN, 'data_csv.csv'), 'utf8');
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const reader = new CandleReader(csv);
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const got = reader.read().map((c) => [c.open, c.high, c.low, c.close, c.volume, c.timestamp]);
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assertCandles(got, readCsv('data_csv_candles'), 'candle-reader');
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});
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const INPUT = readCsv('input'); // open,high,low,close,volume (timestamp = row index)
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function runResample() {
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const r = new Resampler(5);
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const out = [];
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INPUT.forEach(([o, h, l, c, v], i) => {
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const candle = r.update(o, h, l, c, v, i);
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if (candle) {
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out.push([candle.open, candle.high, candle.low, candle.close, candle.volume, candle.timestamp]);
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}
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});
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const f = r.flush();
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if (f) {
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out.push([f.open, f.high, f.low, f.close, f.volume, f.timestamp]);
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}
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return out;
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}
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test('resampler matches the golden candles', () => {
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assertCandles(runResample(), readCsv('data_resampled'), 'resample');
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});
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