feat: expand rust parity, wasm exports, and api conformance
Move several hot Python analysis paths to Rust-backed helpers. This adds Rust implementations for backtest strategy signal generation and the core portfolio loop, options and futures payoff aggregation, Greeks aggregation, ratio calculation, trade extraction, chunked close-only indicator runs, and forward-fill helpers. Wire the Python analysis and data modules to prefer these paths, and add coverage for the new batch fast path. Expand the WASM package to export WMA, ADX, and MFI from ferro_ta_core, refresh the Node examples, benchmarks, and README, and add a Node-vs-Python conformance test so the browser and node surface stays aligned with the main Python package. Introduce a generated cross-surface API manifest in docs/, along with scripts to rebuild and verify it from source exports. Enforce manifest freshness in the Python and WASM CI workflows so release candidates catch surface drift before push.
This commit is contained in:
Pratik Bhadane
@@ -0,0 +1,180 @@
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from __future__ import annotations
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import json
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import shutil
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import subprocess
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from pathlib import Path
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import numpy as np
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import pytest
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import ferro_ta
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ROOT = Path(__file__).resolve().parents[2]
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WASM_DIR = ROOT / "wasm"
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PKG_JS = WASM_DIR / "pkg" / "ferro_ta_wasm.js"
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SCRIPT = WASM_DIR / "conformance_node.js"
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def _write_node_conformance_script(path: Path) -> None:
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path.write_text(
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"""
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const wasm = require("./pkg/ferro_ta_wasm.js");
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function toArray(x) {
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return Array.from(x, (v) => (Number.isNaN(v) ? null : Number(v)));
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}
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const close = new Float64Array([44.34, 44.09, 44.15, 43.61, 44.33, 44.83, 45.1, 45.42, 45.84, 46.08, 45.89, 46.03, 46.21, 46.02, 45.78]);
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const high = new Float64Array([44.71, 44.5, 44.6, 44.09, 44.79, 45.2, 45.44, 45.73, 46.01, 46.44, 46.21, 46.39, 46.53, 46.3, 46.12]);
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const low = new Float64Array([43.9, 43.8, 43.9, 43.2, 43.9, 44.2, 44.6, 44.8, 45.2, 45.5, 45.4, 45.5, 45.7, 45.6, 45.4]);
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const volume = new Float64Array([1200, 1320, 1250, 1460, 1500, 1670, 1720, 1810, 1900, 2020, 1980, 2100, 2170, 2140, 2080]);
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const payload = {
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sma: toArray(wasm.sma(close, 5)),
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ema: toArray(wasm.ema(close, 5)),
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wma: toArray(wasm.wma(close, 5)),
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rsi: toArray(wasm.rsi(close, 5)),
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adx: toArray(wasm.adx(high, low, close, 5)),
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mfi: toArray(wasm.mfi(high, low, close, volume, 5)),
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};
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process.stdout.write(JSON.stringify(payload));
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""".strip()
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+ "\n",
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encoding="utf-8",
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)
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def _run_node_conformance() -> dict[str, list[float | None]]:
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if shutil.which("node") is None:
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pytest.skip("node is required for wasm/node conformance test")
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if not PKG_JS.exists():
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pytest.skip("wasm/pkg not found; run `wasm-pack build --target nodejs --out-dir pkg`")
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_write_node_conformance_script(SCRIPT)
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try:
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out = subprocess.check_output(
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["node", str(SCRIPT)],
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cwd=WASM_DIR,
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text=True,
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)
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finally:
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if SCRIPT.exists():
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SCRIPT.unlink()
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return json.loads(out)
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def _to_jsonable(arr: np.ndarray) -> list[float | None]:
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vals = np.asarray(arr, dtype=np.float64)
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return [None if np.isnan(x) else float(x) for x in vals]
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def _assert_close_with_null_nan(
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actual: list[float | None],
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expected: list[float | None],
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*,
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atol: float,
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) -> None:
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assert len(actual) == len(expected)
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a = np.array([np.nan if v is None else float(v) for v in actual], dtype=np.float64)
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e = np.array([np.nan if v is None else float(v) for v in expected], dtype=np.float64)
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np.testing.assert_allclose(a, e, atol=atol, rtol=0.0, equal_nan=True)
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def test_wasm_node_matches_python_core_indicators() -> None:
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close = np.array(
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[
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44.34,
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44.09,
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44.15,
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43.61,
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44.33,
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44.83,
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45.10,
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45.42,
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45.84,
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46.08,
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45.89,
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46.03,
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46.21,
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46.02,
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45.78,
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],
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dtype=np.float64,
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)
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high = np.array(
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[
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44.71,
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44.50,
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44.60,
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44.09,
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44.79,
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45.20,
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45.44,
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45.73,
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46.01,
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46.44,
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46.21,
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46.39,
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46.53,
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46.30,
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46.12,
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],
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dtype=np.float64,
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)
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low = np.array(
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[
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43.90,
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43.80,
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43.90,
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43.20,
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43.90,
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44.20,
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44.60,
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44.80,
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45.20,
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45.50,
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45.40,
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45.50,
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45.70,
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45.60,
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45.40,
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],
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dtype=np.float64,
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)
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volume = np.array(
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[
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1200.0,
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1320.0,
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1250.0,
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1460.0,
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1500.0,
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1670.0,
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1720.0,
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1810.0,
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1900.0,
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2020.0,
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1980.0,
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2100.0,
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2170.0,
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2140.0,
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2080.0,
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],
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dtype=np.float64,
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)
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node_payload = _run_node_conformance()
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py_expected = {
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"sma": _to_jsonable(ferro_ta.SMA(close, 5)),
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"ema": _to_jsonable(ferro_ta.EMA(close, 5)),
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"wma": _to_jsonable(ferro_ta.WMA(close, 5)),
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"rsi": _to_jsonable(ferro_ta.RSI(close, 5)),
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"adx": _to_jsonable(ferro_ta.ADX(high, low, close, 5)),
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"mfi": _to_jsonable(ferro_ta.MFI(high, low, close, volume, 5)),
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}
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for name, expected in py_expected.items():
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assert name in node_payload
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_assert_close_with_null_nan(node_payload[name], expected, atol=1e-9)
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