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docs: add license rationale, Python/PineScript guides, API updates

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- Add docs/license.md with Apache 2.0 rationale and patent protection analysis
- Add docs/python.md and docs/pinescript.md platform guides
- Expand README license section with disclosure and link to rationale
- Update docs/api.md and docs/architecture.md
- Update Python bindings: helpers, all indicator modules, pyproject.toml
- Add Python tests for Arrow and Polars integration
- Update TValue core type and documentation
- Add fix_length_to_period tooling script
This commit is contained in:
Miha Kralj
2026-03-03 22:11:35 -08:00
parent 6f4e083811
commit f10baa6dfb
28 changed files with 2050 additions and 542 deletions
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python/quantalib/volatility.py
+32 -32
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@@ -252,57 +252,57 @@ def tr(high: object, low: object, close: object, offset: int = 0, **kwargs) -> o
return _wrap(dst, idx, "TR", "volatility", int(offset))
def bbw(close: object, length: int = 20, mult: float = 2.0,
def bbw(close: object, period: int = 20, mult: float = 2.0,
offset: int = 0, **kwargs) -> object:
"""Bollinger Band Width."""
length = int(length); mult = float(mult); offset = int(offset)
period = int(kwargs.get("length", period)); mult = float(mult); offset = int(offset)
src, idx = _arr(close); n = len(src); dst = _out(n)
_check(_lib.qtl_bbw(_ptr(src), n, _ptr(dst), length, mult))
return _wrap(dst, idx, f"BBW_{length}", "volatility", offset)
_check(_lib.qtl_bbw(_ptr(src), n, _ptr(dst), period, mult))
return _wrap(dst, idx, f"BBW_{period}", "volatility", offset)
def bbwn(close: object, length: int = 20, mult: float = 2.0,
def bbwn(close: object, period: int = 20, mult: float = 2.0,
lookback: int = 252, offset: int = 0, **kwargs) -> object:
"""Bollinger Band Width Normalized."""
length = int(length); mult = float(mult); lookback = int(lookback); offset = int(offset)
period = int(kwargs.get("length", period)); mult = float(mult); lookback = int(lookback); offset = int(offset)
src, idx = _arr(close); n = len(src); dst = _out(n)
_check(_lib.qtl_bbwn(_ptr(src), n, _ptr(dst), length, mult, lookback))
return _wrap(dst, idx, f"BBWN_{length}", "volatility", offset)
_check(_lib.qtl_bbwn(_ptr(src), n, _ptr(dst), period, mult, lookback))
return _wrap(dst, idx, f"BBWN_{period}", "volatility", offset)
def bbwp(close: object, length: int = 20, mult: float = 2.0,
def bbwp(close: object, period: int = 20, mult: float = 2.0,
lookback: int = 252, offset: int = 0, **kwargs) -> object:
"""Bollinger Band Width Percentile."""
length = int(length); mult = float(mult); lookback = int(lookback); offset = int(offset)
period = int(kwargs.get("length", period)); mult = float(mult); lookback = int(lookback); offset = int(offset)
src, idx = _arr(close); n = len(src); dst = _out(n)
_check(_lib.qtl_bbwp(_ptr(src), n, _ptr(dst), length, mult, lookback))
return _wrap(dst, idx, f"BBWP_{length}", "volatility", offset)
_check(_lib.qtl_bbwp(_ptr(src), n, _ptr(dst), period, mult, lookback))
return _wrap(dst, idx, f"BBWP_{period}", "volatility", offset)
def stddev(close: object, length: int = 20, offset: int = 0, **kwargs) -> object:
def stddev(close: object, period: int = 20, offset: int = 0, **kwargs) -> object:
"""Standard Deviation."""
length = int(length); offset = int(offset)
period = int(kwargs.get("length", period)); offset = int(offset)
src, idx = _arr(close); n = len(src); dst = _out(n)
_check(_lib.qtl_stddev(_ptr(src), n, _ptr(dst), length))
return _wrap(dst, idx, f"STDDEV_{length}", "volatility", offset)
_check(_lib.qtl_stddev(_ptr(src), n, _ptr(dst), period))
return _wrap(dst, idx, f"STDDEV_{period}", "volatility", offset)
def variance(close: object, length: int = 20, offset: int = 0, **kwargs) -> object:
def variance(close: object, period: int = 20, offset: int = 0, **kwargs) -> object:
"""Variance."""
length = int(length); offset = int(offset)
period = int(kwargs.get("length", period)); offset = int(offset)
src, idx = _arr(close); n = len(src); dst = _out(n)
_check(_lib.qtl_variance(_ptr(src), n, _ptr(dst), length))
return _wrap(dst, idx, f"VAR_{length}", "volatility", offset)
_check(_lib.qtl_variance(_ptr(src), n, _ptr(dst), period))
return _wrap(dst, idx, f"VAR_{period}", "volatility", offset)
def etherm(high: object, low: object, length: int = 14,
def etherm(high: object, low: object, period: int = 14,
offset: int = 0, **kwargs) -> object:
"""Elder Thermometer."""
length = int(length)
period = int(kwargs.get("length", period))
h, idx = _arr(high); l, _ = _arr(low)
n = len(h); dst = _out(n)
_check(_lib.qtl_etherm(_ptr(h), _ptr(l), n, _ptr(dst), length))
return _wrap(dst, idx, f"ETHERM_{length}", "volatility", int(offset))
_check(_lib.qtl_etherm(_ptr(h), _ptr(l), n, _ptr(dst), period))
return _wrap(dst, idx, f"ETHERM_{period}", "volatility", int(offset))
def ccv(close: object, short_period: int = 20, long_period: int = 1,
@@ -314,13 +314,13 @@ def ccv(close: object, short_period: int = 20, long_period: int = 1,
return _wrap(dst, idx, f"CCV_{short_period}", "volatility", offset)
def cv(close: object, length: int = 20, min_vol: float = 0.2,
def cv(close: object, period: int = 20, min_vol: float = 0.2,
max_vol: float = 0.7, offset: int = 0, **kwargs) -> object:
"""Coefficient of Variation."""
length = int(length); offset = int(offset)
period = int(kwargs.get("length", period)); offset = int(offset)
src, idx = _arr(close); n = len(src); dst = _out(n)
_check(_lib.qtl_cv(_ptr(src), n, _ptr(dst), length, float(min_vol), float(max_vol)))
return _wrap(dst, idx, f"CV_{length}", "volatility", offset)
_check(_lib.qtl_cv(_ptr(src), n, _ptr(dst), period, float(min_vol), float(max_vol)))
return _wrap(dst, idx, f"CV_{period}", "volatility", offset)
def cvi(close: object, ema_period: int = 10, roc_period: int = 10,
@@ -332,10 +332,10 @@ def cvi(close: object, ema_period: int = 10, roc_period: int = 10,
return _wrap(dst, idx, f"CVI_{ema_period}", "volatility", offset)
def ewma(close: object, length: int = 20, is_pop: int = 1,
def ewma(close: object, period: int = 20, is_pop: int = 1,
ann_factor: int = 252, offset: int = 0, **kwargs) -> object:
"""Exponentially Weighted Moving Average (volatility)."""
length = int(length); offset = int(offset)
period = int(kwargs.get("length", period)); offset = int(offset)
src, idx = _arr(close); n = len(src); dst = _out(n)
_check(_lib.qtl_ewma(_ptr(src), n, _ptr(dst), length, int(is_pop), int(ann_factor)))
return _wrap(dst, idx, f"EWMA_{length}", "volatility", offset)
_check(_lib.qtl_ewma(_ptr(src), n, _ptr(dst), period, int(is_pop), int(ann_factor)))
return _wrap(dst, idx, f"EWMA_{period}", "volatility", offset)