QuanTAlib/python/SPEC.md

quantalib Python NativeAOT Wrapper — Specification v2

1) Objective

Deliver a Python package named quantalib that exposes the entire QuanTAlib indicator library through a stable, versioned C ABI compiled via .NET NativeAOT. Python ergonomics follow pandas-ta conventions where practical.

Primary goals

• Near-zero-copy interop via ctypes + contiguous NumPy buffers (zero-copy when inputs are already C-contiguous float64; otherwise one normalization copy is allowed)
• Stable C ABI surface (qtl_*) with explicit major-version evolution policy for future non-Python consumers
• Full library coverage target: all supported Batch methods exported using a generated manifest and validated rollout gates
• pandas-ta-compatible function signatures for common indicators

Non-goals (initial release)

• Rewriting indicator math in Python
• pybind11 / Cython extension modules
• GPU acceleration
• Streaming / stateful Python classes per indicator
• Alternate numeric dtypes (float32, decimal)
• Full pandas-ta edge-case parity on day one

---

2) Scope

In scope

• python/ directory at repository root
• NativeAOT shared library (quantalib.dll / quantalib.so / quantalib.dylib)
• Single Exports.cs mapping all Batch methods to [UnmanagedCallersOnly] exports
• Python package quantalib with loader, bridge, and indicator wrappers
• Compatibility matrix documenting pandas-ta parity levels
• CI matrix for win-x64, linux-x64, osx-arm64, osx-x64

Out of scope

• Windows ARM64 packaging
• Async / streaming Python APIs
• TBarSeries / BatchInputs overloads (use flat span-based overloads only)

---

3) Design requirements

1. ABI correctness — pointer, length, and parameter contracts are explicit and validated on both sides of the boundary.
2. Performance — call QuanTAlib Batch methods directly; no managed allocations in the export shim beyond span construction.
3. ABI stability — export names are prefixed (qtl_*) and versioned; existing symbols never change within a major version.
4. Deterministic behavior — warmup slots filled with NaN; invalid inputs produce defined status codes, never exceptions.
5. pandas-ta compatibility — Python names and signatures mirror pandas-ta where feasible, with documented deltas.
6. Thread safety — exports are designed to be stateless and reentrant; concurrent calls are supported when each call uses distinct buffers. This must be validated by stress tests in CI.

---

4) Repository layout

python/
  SPEC.md                          # this file
  python.csproj                    # NativeAOT shared lib project
  Directory.Build.props            # local build overrides
  publish.ps1                      # multi-RID publish + stage script
  pyproject.toml                   # Python package metadata
  README.md                        # usage docs + indicator list

  src/
    StatusCodes.cs                 # QTL_OK / QTL_ERR_* constants
    ArrayBridge.cs                 # unsafe ptr→span helpers + validation
    Exports.cs                     # ALL [UnmanagedCallersOnly] entry points

  quantalib/
    __init__.py                    # re-export indicators; __version__
    _loader.py                     # platform+arch dispatch; ctypes.CDLL
    _bridge.py                     # ctypes argtypes/restype declarations
    indicators.py                  # pandas-ta-compatible wrappers
    _compat.py                     # pandas-ta name aliases + helpers
    py.typed                       # PEP 561 marker

    native/
      win_amd64/.gitkeep
      linux_x86_64/.gitkeep
      macosx_arm64/.gitkeep
      macosx_x86_64/.gitkeep

  tests/
    test_smoke.py                  # import + load + call one indicator
    test_shapes.py                 # output length == input length
    test_status_codes.py           # null ptr, bad length, bad params
    test_golden.py                 # golden-value vs managed QuanTAlib
    test_compat.py                 # pandas-ta parity subset

Design note: Exports.cs and indicators.py stay as single flat files. Internal splitting is allowed later without changing any public API or ABI.

---

5) Native ABI contract

5.1 Calling convention

• All exports use [UnmanagedCallersOnly(EntryPoint = "qtl_<name>")].
• All exports return int status code.
• All pointer parameters use C ABI-compatible primitive types only.
• No managed exceptions ever cross the ABI boundary. Every export wraps its body in a try/catch that returns QTL_ERR_INTERNAL on unhandled exceptions.

5.2 Status codes

Code	Name	Meaning
0	QTL_OK	Success
1	QTL_ERR_NULL_PTR	Required pointer is null
2	QTL_ERR_INVALID_LENGTH	n <= 0 or output length mismatch
3	QTL_ERR_INVALID_PARAM	Parameter out of valid range
4	QTL_ERR_INTERNAL	Unhandled exception in managed code

Failure guarantees:

• For validation failures (QTL_ERR_NULL_PTR, QTL_ERR_INVALID_LENGTH, QTL_ERR_INVALID_PARAM), outputs are untouched by contract.
• For QTL_ERR_INTERNAL, output buffers are unspecified and must be treated as invalid by the caller.

5.3 ABI signature patterns

The ~290 Batch methods in QuanTAlib follow 9 distinct signature patterns. Each pattern maps to a specific C ABI template:

Pattern A: Single-input, single-output + scalar params

C# source: Sma.Batch(ReadOnlySpan<double> source, Span<double> output, int period)

C ABI:

int qtl_sma(double* src, int n, double* out, int period);

Indicators (~130): SMA, EMA, DEMA, TEMA, HMA, WMA, RSI, ROC, MOM, CMO, TSI, APO, PPO, DPO, TRIX, Fisher, Inertia, Zscore, StdDev, Variance, etc.

Pattern B: Multi-input HLCV, single-output

C# source: Mfi.Batch(ReadOnlySpan<double> high, ..low, ..close, ..volume, Span<double> output, int period)

C ABI:

int qtl_mfi(double* high, double* low, double* close, double* volume,
               int n, double* out, int period);

Indicators (~25): MFI, ADL, CMF, VWAP, VWAD, ADOsc, KVO, III, WAD, VA, EOM.

Pattern C: Multi-input OHLC (no volume), single-output

C# source: Bop.Batch(ReadOnlySpan<double> open, ..high, ..low, ..close, Span<double> destination)

C ABI:

int qtl_bop(double* open, double* high, double* low, double* close,
               int n, double* out);

Indicators (~20): BOP, ASI, BRAR, Avgprice, Typprice, Wclprice, Midbody, HA, ReverseEMA variants requiring OHLC, RVGI, DEM, etc.

Pattern D: Multi-input HL, single-output

C# source: Ao.Batch(ReadOnlySpan<double> high, ReadOnlySpan<double> low, Span<double> destination, int fast, int slow)

C ABI:

int qtl_ao(double* high, double* low, int n, double* out,
              int fast_period, int slow_period);

Indicators (~10): AO, AC, Medprice, Frama (HL overload), WillR, etc.

Pattern E: Multi-input HLC (no volume), single-output

C# source: Tr.Batch(ReadOnlySpan<double> high, ..low, ..close, Span<double> output)

C ABI:

int qtl_tr(double* high, double* low, double* close, int n, double* out);

Indicators (~15): TR, ATR, Etherm, GHLA, PGO, RWMA, etc.

Pattern F: Dual-input (actual + predicted), single-output

C# source: Mse.Batch(ReadOnlySpan<double> actual, ..predicted, Span<double> output, int period)

C ABI:

int qtl_mse(double* actual, double* predicted, int n, double* out, int period);

Indicators (~25): MSE, RMSE, MAE, MAPE, SMAPE, RMSLE, Rsquared, Huber, PseudoHuber, TheilU, WMAPE, LogCosh, QuantileLoss, TukeyBiweight, etc.

Pattern G: Dual-input (source + volume), single-output

C# source: Obv.Batch(ReadOnlySpan<double> close, ReadOnlySpan<double> volume, Span<double> output)

C ABI:

int qtl_obv(double* close, double* volume, int n, double* out);

Indicators (~12): OBV, PVT, PVR, VF, EFI, NVI, PVI, VWMA, EVWMA, TVI, PVD.

Pattern H: Dual-input statistics (seriesX + seriesY)

C# source: Correlation.Batch(ReadOnlySpan<double> seriesX, ..seriesY, Span<double> output, int period)

C ABI:

int qtl_correlation(double* x, double* y, int n, double* out, int period);

Indicators (~6): Correlation, Covariance, Spearman, Kendall, Granger, Cointegration.

Pattern I: Multi-output indicators

C# source (example): Pvo.Batch(ReadOnlySpan<double> volume, Span<double> output, Span<double> signal, Span<double> histogram, ...)

C ABI: Each output gets its own pointer parameter:

int qtl_pvo(double* volume, int n,
               double* out_pvo, double* out_signal, double* out_hist,
               int fast, int slow, int signal_period);

Multi-output indicators:

Indicator	Outputs	Names
PVO	3	pvo, signal, histogram
PMA	2	pma, trigger
MAMA	2	mama, fama
HtPhasor	2	inPhase, quadrature
HtSine	2	sine, leadSine
AOBV	2	fast, slow
AMAT	2	trend, strength
Stoch	2	K, D
Stochf	2	K, D
KDJ	3	K, D, J
SMI	2+	smi, signal
BBands	3	upper, middle, lower
KChannel	3	upper, middle, lower
DCChannel	3	upper, middle, lower
AccBands	3	upper, middle, lower
AtrBands	3	upper, middle, lower
All channel indicators	3	upper, middle, lower
Vortex	2	viPlus, viMinus
Aroon	1*	combined

5.4 Special parameter mappings

Several Batch methods use types that cannot cross the C ABI directly. Each requires a specific mapping:

C# type	C ABI type	Strategy
enum StcSmoothing	int	0 = SMA, 1 = EMA
enum WindowType (Afirma)	int	Map enum ordinals
bool (isPopulation, annualize, etc.)	int	0 = false, 1 = true
int[]? lengths (Cfb)	int* lengths, int lengths_count	Null-safe; null → use defaults
double[] kernel (Conv)	double* kernel, int kernel_len	Caller allocates
ReadOnlySpan<long> (Solar, Lunar)	long* timestamps	Direct pointer cast
TBarSeries overloads	Skip	Use flat span-based overload instead
BatchInputs/BatchOutput struct overloads	Skip	Use flat span-based overload instead

5.5 Dual overloads (period vs alpha)

Many IIR filters expose both Batch(src, out, int period) and Batch(src, out, double alpha). Export strategy:

• Primary export: qtl_ema — takes int period
• Alpha export: qtl_ema_alpha — takes double alpha

Both are exported; Python wrapper defaults to the period variant.

5.6 Validation in each export

Every export function validates before calling the inner Batch:

1. Null checks for all required pointer parameters → QTL_ERR_NULL_PTR
2. n > 0 → QTL_ERR_INVALID_LENGTH
3. Range checks on scalar parameters (e.g., period > 0) → QTL_ERR_INVALID_PARAM
4. Semantic checks (e.g., fastPeriod < slowPeriod where required) → QTL_ERR_INVALID_PARAM
5. try/catch around Batch call → QTL_ERR_INTERNAL on any managed exception

5.7 Memory ownership rules

• Input pointers are read-only by contract (cast to ReadOnlySpan<double>).
• Caller allocates all output buffers with length n.
• Native layer writes exactly n values per output buffer on success.
• No ownership transfer across boundary. No heap allocation in the shim.

5.8 ABI versioning policy

• All exports use the flat qtl_ prefix for v1.
• Existing published symbols are immutable within ABI major v1.
• New optional parameters require new symbol names (e.g. qtl_ema_alpha).
• Deprecation policy: old symbols remain exported for at least one minor release after replacement and are marked deprecated in Python wrappers.
• First breaking ABI revision introduces qtl2_ prefix and parallel support window.

5.9 Export manifest (authoritative source)

To reduce drift across Exports.cs, _bridge.py, and indicators.py, maintain one machine-readable manifest (e.g., JSON/YAML) containing:

• indicator name and export symbol
• input pattern (A–I or special)
• parameter schema (name, type, defaults, constraints)
• output schema (count, names, order)

Generated artifacts from this manifest are preferred over hand-maintained parallel lists.

5.10 Concrete export example

// StatusCodes.cs
file static class StatusCodes
{
    public const int QTL_OK = 0;
    public const int QTL_ERR_NULL_PTR = 1;
    public const int QTL_ERR_INVALID_LENGTH = 2;
    public const int QTL_ERR_INVALID_PARAM = 3;
    public const int QTL_ERR_INTERNAL = 4;
}

// Exports.cs (excerpt)
[UnmanagedCallersOnly(EntryPoint = "qtl_sma")]
public static unsafe int Sma(double* src, int n, double* output, int period)
{
    if (src == null || output == null) return StatusCodes.QTL_ERR_NULL_PTR;
    if (n <= 0) return StatusCodes.QTL_ERR_INVALID_LENGTH;
    if (period <= 0) return StatusCodes.QTL_ERR_INVALID_PARAM;
    try
    {
        var srcSpan = new ReadOnlySpan<double>(src, n);
        var outSpan = new Span<double>(output, n);
        QuanTAlib.Sma.Batch(srcSpan, outSpan, period);
        return StatusCodes.QTL_OK;
    }
    catch { return StatusCodes.QTL_ERR_INTERNAL; }
}

[UnmanagedCallersOnly(EntryPoint = "qtl_bbands")]
public static unsafe int Bbands(
    double* src, int n,
    double* outUpper, double* outMiddle, double* outLower,
    int period, double multiplier)
{
    if (src == null || outUpper == null || outMiddle == null || outLower == null)
        return StatusCodes.QTL_ERR_NULL_PTR;
    if (n <= 0) return StatusCodes.QTL_ERR_INVALID_LENGTH;
    if (period <= 0) return StatusCodes.QTL_ERR_INVALID_PARAM;
    try
    {
        var srcSpan = new ReadOnlySpan<double>(src, n);
        var upper = new Span<double>(outUpper, n);
        var middle = new Span<double>(outMiddle, n);
        var lower = new Span<double>(outLower, n);
        QuanTAlib.Bbands.Batch(srcSpan, upper, middle, lower, period, multiplier);
        return StatusCodes.QTL_OK;
    }
    catch { return StatusCodes.QTL_ERR_INTERNAL; }
}

---

6) Python contract

6.1 Package identity

Property	Value
PyPI name	quantalib
Import name	quantalib
AssemblyName	quantalib

6.2 Loader (_loader.py)

• Detect OS + architecture at import time.
• Load bundled shared library from quantalib/native/<platform>/.
• Platform directory mapping:

Platform	Directory
Windows x64	native/win_amd64/quantalib.dll
Linux x64	native/linux_x86_64/quantalib.so
macOS ARM64	native/macosx_arm64/quantalib.dylib
macOS x64	native/macosx_x86_64/quantalib.dylib

• On failure: raise OSError with actionable message listing expected path and detected platform.
• Use explicit package-path loading; never rely on system library search order.

6.3 Bridge (_bridge.py)

• Declare argtypes and restype for every native function at module level.
• Validate function presence at import time (graceful AttributeError → skip).
• Input normalization: np.ascontiguousarray(arr, dtype=np.float64).
• Status code checking: helper raises Python exception mapped from return code:

class QtlError(Exception):
    """Base exception for quantalib native errors."""

class QtlNullPointerError(QtlError): ...    # status 1
class QtlInvalidLengthError(QtlError): ...  # status 2
class QtlInvalidParamError(QtlError): ...   # status 3
class QtlInternalError(QtlError): ...       # status 4

6.4 Indicator wrappers (indicators.py)

• Expose pandas-ta-compatible function signatures where practical.
• Return types:

Input type	Output (single)	Output (multi)
pd.Series	pd.Series	pd.DataFrame
pd.DataFrame	pd.Series	pd.DataFrame
np.ndarray	np.ndarray	tuple of np.ndarray

• Series names follow pandas-ta conventions: SMA_14, BBU_20_2.0, etc.
• DataFrame columns for multi-output: BBU_20_2.0, BBM_20_2.0, BBL_20_2.0.

6.5 Concrete Python wrapper example

# indicators.py (excerpt)
import numpy as np
import pandas as pd
from quantalib._bridge import _lib, _check

def sma(close, length=None, offset=None, **kwargs):
    """Simple Moving Average."""
    length = int(length) if length else 10
    offset = int(offset) if offset else 0

    # Extract numpy array
    index = None
    if isinstance(close, pd.Series):
        index = close.index
        close = close.to_numpy(dtype=np.float64, copy=False)
    close = np.ascontiguousarray(close, dtype=np.float64)

    n = len(close)
    out = np.empty(n, dtype=np.float64)
    _check(_lib.qtl_sma(
        close.ctypes.data_as(c_double_p), n,
        out.ctypes.data_as(c_double_p), length
    ))

    if offset:
        out = np.roll(out, offset)
        out[:offset] = np.nan

    if index is not None:
        result = pd.Series(out, index=index, name=f"SMA_{length}")
        result.category = "trend"
        return result
    return out

6.6 NaN / warmup behavior

• Warmup slots are filled with NaN by the C# Batch methods.
• This matches pandas-ta's convention for most indicators.
• Known deltas from pandas-ta warmup lengths are documented in the compatibility table in README.md.

6.7 pandas fallback policy

When pandas is not installed:

• Functions accept and return np.ndarray only.
• pd.Series / pd.DataFrame input raises ImportError with message "pandas required for Series/DataFrame input".
• numpy is a hard dependency; pandas is an optional extra.

---

7) Build and packaging

7.1 .NET project (python.csproj)

<Project Sdk="Microsoft.NET.Sdk">
  <PropertyGroup>
    <TargetFramework>net10.0</TargetFramework>
    <OutputType>Library</OutputType>
    <PublishAot>true</PublishAot>
    <AssemblyName>quantalib</AssemblyName>
    <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
    <InvariantGlobalization>true</InvariantGlobalization>
    <EnableDefaultCompileItems>false</EnableDefaultCompileItems>
  </PropertyGroup>
  <ItemGroup>
    <Compile Include="src\**\*.cs" />
  </ItemGroup>
  <ItemGroup>
    <ProjectReference Include="..\lib\quantalib.csproj" />
  </ItemGroup>
</Project>

7.2 Local build props (Directory.Build.props)

<Project>
  <PropertyGroup>
    <IlcOptimizationPreference>Speed</IlcOptimizationPreference>
    <RunAnalyzers>false</RunAnalyzers>
    <ErrorReport>none</ErrorReport>
  </PropertyGroup>
</Project>

7.3 Publish script (publish.ps1)

Requirements:

• Publish for RIDs: win-x64, linux-x64, osx-arm64, osx-x64
• Clean target directory before each publish
• Verify expected artifact exists per RID (.dll, .so, .dylib)
• Copy artifact into quantalib/native/<platform>/
• Exit non-zero on any missing artifact

7.4 Python packaging (pyproject.toml)

[build-system]
requires = ["hatchling"]
build-backend = "hatchling.build"

[project]
name = "quantalib"
version = "0.1.0"
description = "High-performance technical analysis via QuanTAlib NativeAOT"
requires-python = ">=3.10"
dependencies = ["numpy>=1.24"]

[project.optional-dependencies]
pandas = ["pandas>=1.5"]
dev = ["pytest", "pandas>=1.5"]

[tool.hatch.build.targets.wheel]
packages = ["quantalib"]

7.5 NativeAOT considerations

• Trimming: NativeAOT trims unreachable code. All Batch methods are reachable via explicit calls in Exports.cs, so no rd.xml needed.
• Reflection: QuanTAlib indicators do not use reflection in Batch paths.
• SIMD: NativeAOT preserves hardware intrinsics. Avx2.IsSupported works at runtime in the compiled native binary.
• Startup: NativeAOT has near-zero startup overhead. No JIT warmup.

---

8) Full indicator catalog by category

8.1 Core (7 indicators)

Indicator	C# Class	Pattern	Params
avgprice	Avgprice	C (OHLC)	—
ha	Ha	C (OHLC)	—
medprice	Medprice	D (HL)	—
midbody	Midbody	C (OC)	—
midpoint	Midpoint	A	period
midprice	Midprice	D (HL)	period
typprice	Typprice	C (OHLC)	—
wclprice	Wclprice	E (HLC)	—

8.2 Momentum (18 indicators)

Indicator	C# Class	Pattern	Params
asi	Asi	C (OHLC)	period, limitMove
bias	Bias	A	period
bop	Bop	C (OHLC)	—
cfb	Cfb	A + int[]*	lengths
cmo	Cmo	A	period
macd	Macd	A	fastPeriod, slowPeriod
mom	Mom	A	period
pmo	Pmo	A	timePeriods, smoothPeriods, signalPeriods
ppo	Ppo	A	fastPeriod, slowPeriod
prs	Prs	H (dual)	period
roc	Roc	A	period
rocp	Rocp	A	period
rocr	Rocr	A	period
rsi	Rsi	A	period
rsx	Rsx	A	period
sam	Sam	A	alpha, cutoff
tsi	Tsi	A	longPeriod, shortPeriod
vel	Vel	A	period

8.3 Oscillators (~35 indicators)

Indicator	C# Class	Pattern	Key params
ac	Ac	D (HL)	fastPeriod, slowPeriod, acPeriod
ao	Ao	D (HL)	fastPeriod, slowPeriod
apo	Apo	A	fastPeriod, slowPeriod
bbb	Bbb	A	period, multiplier
bbi	Bbi	A	periods...
bbs	Bbs	E (HLC)	multi-output
brar	Brar	C (OHLC)	period
cfo	Cfo	A	period
coppock	Coppock	A	roc1, roc2, wma
crsi	Crsi	A	rsiPeriod, streakPeriod, rankPeriod
cti	Cti	A	period
deco	Deco	A	shortPeriod, longPeriod
dem	Dem	E (HLC)	period
dpo	Dpo	A	period
dosc	Dosc	A	rsiPeriod, ema1Period, ema2Period, sigPeriod
dymoi	Dymoi	A	basePeriod, shortPeriod, longPeriod...
er	Er	A	period
fisher	Fisher	A	period, alpha
fisher04	Fisher04	A	period
gator	Gator	A	jawPeriod...
imi	Imi	C (OHLC)	period
inertia	Inertia	A	period
kdj	Kdj	I (HLC→3)	period, kSmooth, dSmooth
kri	Kri	A	period
kst	Kst	A	multiple roc/ma periods
marketfi	Marketfi	D (HL) + vol	—
mstoch	Mstoch	A	period
pgo	Pgo	E (HLC)	period
psl	Psl	A	period
qqe	Qqe	A	rsiPeriod, smoothFactor, qqeFactor
reflex	Reflex	A	period
reverseema	ReverseEma	A	period
rvgi	Rvgi	C (OHLC)	period
smi	Smi	I (HLC→2+)	period, smoothK, smoothD
squeeze	Squeeze	I (HLC→multi)	bbPeriod, kcPeriod...
stc	Stc	A + enum	kPeriod, dPeriod, fastLen, slowLen, smoothing(int)
stoch	Stoch	I (HLC→2)	kPeriod, kSmooth, dSmooth
stochf	Stochf	I (HLC→2)	kPeriod, dPeriod
stochrsi	Stochrsi	A	rsiLen, stochLen, kSmooth, dSmooth
td_seq	Td_seq	C (OHLC)	—
trendflex	Trendflex	A	period
trix	Trix	A	period
ttm_wave	TtmWave	I (HLC→multi)	—
ultosc	Ultosc	E (HLC)	period1, period2, period3
willr	Willr	E (HLC)	period

8.4 Trends — FIR (~30 indicators)

Indicator	C# Class	Pattern	Key params
alma	Alma	A	period, offset, sigma
blma	Blma	A	period
bwma	Bwma	A	period, order
conv	Conv	A + double[]*	kernel
crma	Crma	A	period
dwma	Dwma	A	period
fwma	Fwma	A	period
gwma	Gwma	A	period, sigma
hamma	Hamma	A	period
hanma	Hanma	A	period
hend	Hend	A	period
hma	Hma	A	period
ilrs	Ilrs	A	period
kaiser	Kaiser	A	period, beta
lanczos	Lanczos	A	period
lsma	Lsma	A	period, offset
nlma	Nlma	A	period
nyqma	Nyqma	A	period, nyquistPeriod
parzen	Parzen	A	period
pma	Pma	A / I (2)	period
pwma	Pwma	A	period
qrma	Qrma	A	period
rain	Rain	A	period
rwma	Rwma	D (CHL)	period
sgma	Sgma	A	period, degree
sinema	Sinema	A	period
sma	Sma	A	period
sp15	Sp15	A	—
swma	Swma	A	period
trima	Trima	A	period
tsf	Tsf	A	period
tukey_w	Tukey_w	A	period, alpha
wma	Wma	A	period

8.5 Trends — IIR (~30 indicators)

Indicator	C# Class	Pattern	Key params
ahrens	Ahrens	A	period
coral	Coral	A	period, cd
decycler	Decycler	A	period
dema	Dema	A (+ alpha)	period
dsma	Dsma	A	period
ema	Ema	A (+ alpha)	period
frama	Frama	A / D (HL)	period
gdema	Gdema	A	period, vfactor
hema	Hema	A	period
holt	Holt	A	period, gamma
htit	Htit	A	—
hwma	Hwma	A	period
jma	Jma	A	period, phase, power
kama	Kama	A	period, fastPeriod, slowPeriod
lema	Lema	A (+ alpha)	period
ltma	Ltma	A	period
mama	Mama	I (2)	fastLimit, slowLimit
mavp	Mavp	H (src+periods)	minPeriod, maxPeriod
mcnma	Mcnma	A (+ alpha)	period
mgdi	Mgdi	A	period, k
mma	Mma	A	period
nma	Nma	A	period
qema	Qema	A	period
rema	Rema	A	period, lambda
rgma	Rgma	A	period, passes
rma	Rma	A	period
t3	T3	A	period, vfactor
tema	Tema	A (+ alpha)	period
trama	Trama	A	period
vama	Vama	A	period
vidya	Vidya	A	period
yzvama	Yzvama	A	period
zldema	Zldema	A (+ alpha)	period
zlema	Zlema	A (+ alpha)	period
zltema	Zltema	A (+ alpha)	period

8.6 Channels (~20 indicators)

All channel indicators output 3 spans: upper, middle, lower (Pattern I).

Indicator	C# Class	Input pattern	Key params
abber	Abber	A	period
accbands	AccBands	B (HLC)	period
apchannel	Apchannel	D (HL)	period
apz	Apz	B (HLC)	period
atrbands	AtrBands	B (HLC)	period, multiplier
bbands	Bbands	A	period, multiplier
dchannel	Dchannel	D (HL)	period
decaychannel	Decaychannel	B (HLC)	period
fcb	Fcb	D (HL)	period
jbands	Jbands	A	period, phase, power
kchannel	Kchannel	B (HLC)	period, multiplier
maenv	Maenv	A	period, pct
mmchannel	Mmchannel	D (HL)	period
pchannel	Pchannel	D (HL)	period
regchannel	Regchannel	A	period
sdchannel	Sdchannel	A	period
starchannel	Starchannel	B (HLC)	period
stbands	Stbands	B (HLC)	period
ttm_lrc	TtmLrc	A	period
ubands	Ubands	A	period
uchannel	Uchannel	D (HL)	period
vwapbands	Vwapbands	A + vol	period
vwapsd	Vwapsd	A + vol	period

8.7 Volatility (~20 indicators)

Indicator	C# Class	Pattern	Key params
bbw	Bbw	A	period, multiplier
bbwn	Bbwn	A	period, multiplier, lookback
bbwp	Bbwp	A	period, multiplier, lookback
ccv	Ccv	A	period, method
cv	Cv	A	period, alpha, beta
cvi	Cvi	A	rocLength, smoothLength
etherm	Etherm	E (HLC)	period
ewma	Ewma	A	period, annualize, annualPeriods
gkv	Gkv	C (OHLC)	period, annualPeriods
hlv	Hlv	D (HL)	period, annualPeriods
hv	Hv	A	period, annualPeriods
jvolty	Jvolty	A	period, phase, power
jvoltyn	Jvoltyn	A	period, phase, power
massi	Massi	A	emaLength, sumLength
rsv	Rsv	C (OHLC)	period, annualPeriods
rv	Rv	A	period, annualPeriods
rvi	Rvi	A	period
tr	Tr	E (HLC)	—
ui	Ui	A	period
vov	Vov	A	period, vovPeriod
vr	Vr	E (HLC)	period
yzv	Yzv	C (OHLC)	period, annualPeriods

8.8 Volume (~30 indicators)

Indicator	C# Class	Pattern	Key params
adl	Adl	B (HLCV)	—
adosc	Adosc	B (HLCV)	fastPeriod, slowPeriod
aobv	Aobv	I (CV→2)	—
cmf	Cmf	B (HLCV)	period
efi	Efi	G (CV)	period
eom	Eom	B (HLV)	period, volumeScale
evwma	Evwma	G (SV)	period
iii	Iii	B (HLCV)	period
kvo	Kvo	B (HLCV)	fastPeriod, slowPeriod
mfi	Mfi	B (HLCV)	period
nvi	Nvi	G (CV)	startValue
obv	Obv	G (CV)	—
pvd	Pvd	G (CV)	pricePeriod, volumePeriod, smoothingPeriod
pvi	Pvi	G (CV)	startValue
pvo	Pvo	I (V→3)	fastPeriod, slowPeriod, signalPeriod
pvr	Pvr	G (PV)	—
pvt	Pvt	G (CV)	—
tvi	Tvi	G (PV)	minTick
twap	Twap	A	period
va	Va	B (HLCV)	—
vf	Vf	G (CV)	period
vo	Vo	A (volume)	shortPeriod, longPeriod
vroc	Vroc	A (volume)	period, usePercent
vwad	Vwad	B (HLCV)	period
vwap	Vwap	B (HLCV)	period
vwma	Vwma	G (SV)	period
wad	Wad	B (HLCV)	—

8.9 Statistics (~30 indicators)

Indicator	C# Class	Pattern	Key params
acf	Acf	A	period, lag
cma	Cma	A	—
correlation	Correlation	H	period
covariance	Covariance	H	period, isPopulation
entropy	Entropy	A	period
geomean	Geomean	A	period
granger	Granger	H	period, maxlag
harmean	Harmean	A	period
hurst	Hurst	A	period
iqr	Iqr	A	period
jb	Jb	A	period
kendall	Kendall	H	period
kurtosis	Kurtosis	A	period, isPopulation
linreg	LinReg	A	period, offset
meandev	MeanDev	A	period
median	Median	A	period
mode	Mode	A	period
pacf	Pacf	A	period, lag
percentile	Percentile	A	period, percent
polyfit	Polyfit	A	period, degree
quantile	Quantile	A	period, quantileLevel
skew	Skew	A	period, isPopulation
spearman	Spearman	H	period
stddev	StdDev	A	period, isPopulation
stderr	Stderr	A	period
sum	Sum	A	period
theil	Theil	A	period
trim	Trim	A	period, trimPct
variance	Variance	A	period, isPopulation
wavg	Wavg	A	period
wins	Wins	A	period, winPct
zscore	Zscore	A	period
ztest	Ztest	A	period, mu0
cointegration	Cointegration	H	—

8.10 Errors (~25 indicators)

Indicator	C# Class	Pattern	Key params
huber	Huber	F	period, delta
logcosh	LogCosh	F	period
mae	Mae	F	period
maape	Maape	F	period
mape	Mape	F	period
mapd	Mapd	F	period
mase	Mase	F	period
mdae	Mdae	F	period
mdape	Mdape	F	period
me	Me	F	period
mpe	Mpe	F	period
mrae	Mrae	F	period
mse	Mse	F	period
msle	Msle	F	period
pseudohuber	PseudoHuber	F	period, delta
quantileloss	QuantileLoss	F	period, quantile
rae	Rae	F	period
rmse	Rmse	F	period
rmsle	Rmsle	F	period
rse	Rse	F	period
rsquared	Rsquared	F	period
smape	Smape	F	period
theilu	TheilU	F	period
tukeybiweight	TukeyBiweight	F	period, c
wmape	Wmape	F	period
wrmse	Wrmse	F	period (+ weighted variant)

8.11 Filters (~30 indicators)

Indicator	C# Class	Pattern	Key params
agc	Agc	A	decay
alaguerre	ALaguerre	A	length, medianLength
baxterking	BaxterKing	A	pLow, pHigh, k
bessel	Bessel	A	length
bilateral	Bilateral	A	period, sigmaSRatio, sigmaRMult
bpf	Bpf	A	lowerPeriod, upperPeriod
butter2	Butter2	A	period
butter3	Butter3	A	period
cfitz	Cfitz	A	pLow, pHigh
cheby1	Cheby1	A	period, ripple
cheby2	Cheby2	A	period, attenuation
edcf	Edcf	A	length
elliptic	Elliptic	A	period
gauss	Gauss	A	sigma
hann	Hann	A	length
hp	Hp	A	lambda
hpf	Hpf	A	length
kalman	Kalman	A	q, r (or period, gain)
laguerre	Laguerre	A	gamma
lms	Lms	A	order, mu
loess	Loess	A	period
modf	Modf	A	period, beta, feedback, fbWeight
notch	Notch	A	period, q
nw	Nw	A	period, bandwidth
oneeuro	OneEuro	A	minCutoff, beta, dCutoff
rls	Rls	A	order, lambda
rmed	Rmed	A	period
roofing	Roofing	A	hpLength, ssLength
sgf	Sgf	A	period, polyOrder
spbf	Spbf	A	shortPeriod, longPeriod, rmsPeriod
ssf2	Ssf2	A	period
ssf3	Ssf3	A	period
usf	Usf	A	period
voss	Voss	A	period, predict, bandwidth
wavelet	Wavelet	A	levels, threshMult
wiener	Wiener	A	period, smoothPeriod

8.12 Cycles (~14 indicators)

Indicator	C# Class	Pattern	Key params
ccor	Ccor	A	period, threshold
ccyc	Ccyc	A	alpha
cg	Cg	A	period
dsp	Dsp	A	period
eacp	Eacp	A	minPeriod, maxPeriod, avgLength, enhance
ebsw	Ebsw	A	hpLength, ssfLength
homod	Homod	A	minPeriod, maxPeriod
ht_dcperiod	HtDcperiod	A	—
ht_dcphase	HtDcphase	A	—
ht_phasor	HtPhasor	I (→2)	—
ht_sine	HtSine	I (→2)	—
lunar	Lunar	Special (long*)	—
solar	Solar	Special (long*)	—
ssfdsp	Ssfdsp	A	period

8.13 Dynamics (~10 indicators)

Indicator	C# Class	Pattern	Key params
amat	Amat	I (→2)	fastPeriod, slowPeriod
aroon	Aroon	D (HL)	period
ghla	Ghla	E (HLC)	period
ht_trendmode	HtTrendmode	A	—
pfe	Pfe	A	period, smoothPeriod
ravi	Ravi	A	shortPeriod, longPeriod
vhf	Vhf	A	period
vortex	Vortex	I (HLC→2)	period
qstick	Qstick	C (OC)	period

8.14 Reversals (~10 indicators)

Indicator	C# Class	Pattern	Key params
chandelier	Chandelier	C (OHLC→2)	period, multiplier
ckstop	Ckstop	C (OHLC→2)	period, multiplier
fractals	Fractals	D (HL→2)	period
pivot	Pivot	D (HL→multi)	—
pivotcam	Pivotcam	E (HLC→multi)	—
pivotdem	Pivotdem	C (OHLC→multi)	—
pivotext	Pivotext	E (HLC→multi)	—
pivotfib	Pivotfib	E (HLC→multi)	—
pivotwood	Pivotwood	E (HLC→multi)	—
psar	Psar	C (OHLC)	accelStart, accelMax
swings	Swings	D (HL→multi)	period
ttm_scalper	TtmScalper	D (HL→multi)	period

8.15 Numerics (~15 indicators)

Indicator	C# Class	Pattern	Key params
accel	Accel	A	—
betadist	Betadist	A	alpha, beta params
binomdist	Binomdist	A	n, p
change	Change	A	period
dwt	Dwt	A	levels
expdist	Expdist	A	lambda
exptrans	Exptrans	A	—
fdist	Fdist	A	df1, df2
fft	Fft	A	—
gammadist	Gammadist	A	alpha, beta
highest	Highest	A	period
ifft	Ifft	A	—
jerk	Jerk	A	—
lineartrans	Lineartrans	A	slope, intercept
lognormdist	Lognormdist	A	mu, sigma
logtrans	Logtrans	A	—
lowest	Lowest	A	period
normdist	Normdist	A	mu, sigma
normalize	Normalize	A	period
poissondist	Poissondist	A	lambda
relu	Relu	A	—
sigmoid	Sigmoid	A	k, x0
slope	Slope	A	—
sqrttrans	Sqrttrans	A	—
tdist	Tdist	A	df
weibulldist	Weibulldist	A	k, lambda

8.16 Forecasts (1 indicator)

Indicator	C# Class	Pattern	Key params
afirma	Afirma	A + enum	period, window(int), leastSquares(bool→int)

---

9) Compatibility strategy with pandas-ta

9.1 Compatibility levels

Level	Description
L1	Signature-compatible: same parameter names and defaults
L2	Return-compatible: same return container shape and type
L3	Behavior-compatible: matching warmup NaN count, naming, core semantics

9.2 pandas-ta overlap indicators

These indicators exist in both pandas-ta and QuanTAlib. All target L2 minimum, L3 where QuanTAlib's algorithm matches:

Trend: SMA, EMA, DEMA, TEMA, HMA, WMA, KAMA, FWMA, T3, TRIMA, ALMA, LSMA, SINEMA, VIDYA, ZLEMA, FRAMA, HWMA

Momentum: RSI, ROC, MOM, CMO, MACD, PPO, TSI, RSX

Oscillators: STOCH, STOCHF, STOCHRSI, WILLR, AO, APO, TRIX, FISHER, DPO, ULTOSC, KDJ, QQE, SQUEEZE, STC, RVGI

Volatility: ATR, TR, BBANDS, BBW, MASSI, UI, EWMA (realized vol)

Volume: OBV, ADL, ADOSC, CMF, MFI, NVI, PVI, PVT, VWAP, VWMA, EFI, KVO

Statistics: ZSCORE, VARIANCE, STDDEV, SKEW, KURTOSIS, MEDIAN, ENTROPY, LINREG

9.3 Known deltas

• pandas-ta uses talib=True to delegate to TA-Lib C library; quantalib uses its own C# implementations.
• Warmup NaN counts may differ for recursive indicators (EMA, RSI) due to different convergence thresholds.
• offset parameter: quantalib supports it via np.roll in the Python layer.
• fillna/fill_method kwargs: supported in Python layer, not in native.

---

10) Testing protocol

10.1 Native ABI tests (C# xUnit in lib project)

• Status-code contract tests for all exports
• Null pointer, zero length, negative period → correct error codes
• Known golden values vs managed Batch calls

10.2 Python tests (pytest)

Suite	Description
test_smoke.py	Import, load native lib, call SMA, check output is ndarray
test_shapes.py	len(output) == len(input) for all single-output indicators
test_status_codes.py	Null ptr, bad length, bad params raise correct exceptions
test_golden.py	Compare outputs vs known golden values from managed QuanTAlib
test_compat.py	pandas-ta parity for overlap indicators (Series/DataFrame)

10.3 Performance tests

Track per-indicator:

• Python wrapper overhead (µs per call for 10k bars)
• Throughput (rows/sec)
• Compare vs pandas-ta for overlap indicators

Acceptance (initial baseline):

• Median wrapper overhead does not exceed pandas-ta by more than 20% on overlap indicators where algorithms are directly comparable.
• No unbounded memory growth across repeated runs.
• Performance report is produced per release candidate and checked into CI artifacts.

---

11) CI and release

11.1 Build matrix

RID	Runner	Artifact
win-x64	windows-latest	quantalib.dll
linux-x64	ubuntu-latest	quantalib.so
osx-arm64	macos-14	quantalib.dylib
osx-x64	macos-13	quantalib.dylib

11.2 Pipeline stages

1. dotnet publish -r <rid> -c Release per RID
2. Stage artifacts into quantalib/native/<platform>/
3. python -m pytest tests/ per platform
4. Build wheel with python -m build
5. Upload to PyPI (manual trigger for releases)

11.3 Release checklist

• All RID artifacts present and loadable
• All pytest suites pass on all platforms
• Performance benchmark logged (no regressions)
• CHANGELOG.md updated
• Version bumped in pyproject.toml

---

12) Risk register

#	Risk	Impact	Mitigation
1	ABI breakage on update	High	Versioned symbols (qtl_*) + ABI contract tests
2	NativeAOT trims used code	High	Explicit calls in Exports.cs guarantee reachability
3	Platform loader failures	Medium	Explicit package-path loading + startup diagnostics
4	Behavior drift vs pandas-ta	Medium	Compatibility suite + documented deltas
5	Enum/array params over ABI	Medium	int/ptr mapping with documented contracts
6	Large export surface (~290)	Medium	Code generation considered for Exports.cs if manual is too error-prone
7	Cross-compilation failures	Medium	CI matrix catches per-platform issues early
8	Thread safety	Low	Batch methods are stateless; no shared mutable state

---

13) Review checklist

• Naming accepted: PyPI/import/binary all quantalib
• Versioned ABI prefix accepted (qtl_*)
• Flat structure accepted (Exports.cs, indicators.py)
• Status-code model accepted (0–4)
• 9 ABI signature patterns accepted
• Special parameter mappings accepted (enum→int, bool→int, array→ptr+len)
• Full indicator catalog reviewed
• Compatibility levels accepted (L1/L2/L3)
• RID matrix accepted (4 platforms)
• NaN/warmup policy accepted
• Thread safety model accepted
• CI pipeline accepted

---

14) Implementation order

1. Skeleton: python.csproj, Directory.Build.props, package layout, _loader.py, _bridge.py scaffolding, pyproject.toml
2. ABI layer: StatusCodes.cs, ArrayBridge.cs, Exports.cs (all ~290)
3. Python layer: indicators.py (all wrappers), _compat.py (aliases)
4. Tests: test_smoke.py, test_shapes.py, test_status_codes.py, test_golden.py, test_compat.py
5. Publish: publish.ps1, CI workflow, wheel packaging
6. Docs: README.md with full indicator list and compatibility table

---

15) Open decisions

1. Error mapping granularity: ValueError for bad params vs separate exception classes per status code (current spec uses separate classes).
2. Alpha overloads: Export as qtl_ema_alpha or defer to v2?
3. Code generation: Generate Exports.cs + _bridge.py + indicators.py from a manifest file, or write manually?
4. Linux wheel tag: manylinux2014_x86_64 vs manylinux_2_17_x86_64?
5. Version sync: Should quantalib Python version track QuanTAlib NuGet version, or version independently?

16) Review findings and prioritized refinements

High priority

1. Finalize ABI evolution policy
   • Keep qtl_ immutable for v1 and reserve qtl2_ for first break.
2. Adopt manifest-driven generation
   • Eliminate manual drift risk across native exports, ctypes bridge, and wrappers.
3. Clarify output validity on internal failures
   • Treat outputs as invalid on QTL_ERR_INTERNAL.

Medium priority

4. Lock pandas fallback behavior
   • NumPy-only mode should be deterministic and explicitly tested.
5. Define parity subset for L3
   • Freeze exact Wave 1 L3 indicator list before coding starts.
6. Set measurable perf gates
   • Keep CI benchmarks with comparable overlap indicators and stable datasets.

Low priority

7. Catalog automation
   • Generate indicator catalog tables from manifest to avoid stale docs.
8. Release metadata policy
   • Define whether Python package version mirrors or decouples from NuGet version.