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
+158
@@ -10,6 +10,7 @@ and `MACD`).
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## Overlap Studies
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- [`sma`] — Simple Moving Average
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- [`ema`] — Exponential Moving Average
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- [`wma`] — Weighted Moving Average
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- [`bbands`] — Bollinger Bands (returns `[upper, middle, lower]`)
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## Momentum Indicators
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@@ -17,12 +18,14 @@ and `MACD`).
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- [`macd`] — Moving Average Convergence/Divergence (returns `[macd, signal, hist]`)
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- [`mom`] — Momentum (close[i] - close[i-period])
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- [`stochf`] — Fast Stochastic (returns `[fastk, fastd]`)
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- [`adx`] — Average Directional Movement Index
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## Volatility Indicators
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- [`atr`] — Average True Range (Wilder smoothing)
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## Volume Indicators
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- [`obv`] — On-Balance Volume
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- [`mfi`] — Money Flow Index
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*/
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use js_sys::{Array, Float64Array};
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@@ -325,6 +328,24 @@ pub fn obv(close: &Float64Array, volume: &Float64Array) -> Float64Array {
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from_vec(result)
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}
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// ---------------------------------------------------------------------------
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// WMA — Weighted Moving Average
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// ---------------------------------------------------------------------------
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/// Weighted Moving Average.
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///
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/// # Arguments
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/// - `close` – `Float64Array` of close prices.
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/// - `timeperiod` – look-back window (default 30, minimum 1).
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///
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/// # Returns
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/// `Float64Array` with the first `timeperiod - 1` values set to `NaN`.
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#[wasm_bindgen]
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pub fn wma(close: &Float64Array, timeperiod: usize) -> Float64Array {
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let prices = to_vec(close);
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from_vec(ferro_ta_core::overlap::wma(&prices, timeperiod))
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}
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// ---------------------------------------------------------------------------
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// MOM — Momentum
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// ---------------------------------------------------------------------------
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@@ -433,6 +454,70 @@ pub fn stochf(
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out
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}
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// ---------------------------------------------------------------------------
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// ADX — Average Directional Movement Index
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// ---------------------------------------------------------------------------
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/// Average Directional Movement Index (Wilder smoothing).
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///
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/// # Arguments
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/// - `high` – `Float64Array` of high prices.
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/// - `low` – `Float64Array` of low prices.
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/// - `close` – `Float64Array` of close prices.
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/// - `timeperiod` – look-back period (default 14, minimum 1).
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///
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/// # Returns
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/// `Float64Array`; warm-up values are `NaN`.
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#[wasm_bindgen]
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pub fn adx(
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high: &Float64Array,
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low: &Float64Array,
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close: &Float64Array,
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timeperiod: usize,
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) -> Float64Array {
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let h = to_vec(high);
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let l = to_vec(low);
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let c = to_vec(close);
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if h.len() != l.len() || h.len() != c.len() {
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return from_vec(vec![f64::NAN; c.len()]);
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}
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from_vec(ferro_ta_core::momentum::adx(&h, &l, &c, timeperiod))
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}
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// ---------------------------------------------------------------------------
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// MFI — Money Flow Index
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// ---------------------------------------------------------------------------
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/// Money Flow Index.
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///
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/// # Arguments
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/// - `high` – `Float64Array` of high prices.
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/// - `low` – `Float64Array` of low prices.
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/// - `close` – `Float64Array` of close prices.
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/// - `volume` – `Float64Array` of volume values.
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/// - `timeperiod` – look-back period (default 14, minimum 1).
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///
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/// # Returns
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/// `Float64Array`; warm-up values are `NaN`.
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#[wasm_bindgen]
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pub fn mfi(
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high: &Float64Array,
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low: &Float64Array,
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close: &Float64Array,
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volume: &Float64Array,
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timeperiod: usize,
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) -> Float64Array {
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let h = to_vec(high);
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let l = to_vec(low);
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let c = to_vec(close);
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let v = to_vec(volume);
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let n = c.len();
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if h.len() != n || l.len() != n || v.len() != n {
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return from_vec(vec![f64::NAN; n]);
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}
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from_vec(ferro_ta_core::volume::mfi(&h, &l, &c, &v, timeperiod))
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}
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// ---------------------------------------------------------------------------
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// MACD — Moving Average Convergence/Divergence
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// ---------------------------------------------------------------------------
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@@ -861,4 +946,77 @@ mod tests {
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assert!(v >= 0.0 && v <= 100.0, "fastk value {v} out of [0, 100]");
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}
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}
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// -----------------------------------------------------------------------
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// WMA tests
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// -----------------------------------------------------------------------
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#[wasm_bindgen_test]
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fn test_wma_output_length() {
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let close = make_arr(&[1.0, 2.0, 3.0, 4.0, 5.0]);
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let out = wma(&close, 3);
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assert_eq!(out.length(), 5);
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}
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#[wasm_bindgen_test]
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fn test_wma_known_value() {
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// WMA(3) at index 2 = (1*1 + 2*2 + 3*3) / 6 = 14/6
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let close = make_arr(&[1.0, 2.0, 3.0, 4.0, 5.0]);
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let out = wma(&close, 3);
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let mut vals = vec![0.0f64; 5];
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out.copy_to(&mut vals);
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assert!(vals[0].is_nan());
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assert!(vals[1].is_nan());
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assert!((vals[2] - (14.0 / 6.0)).abs() < 1e-10);
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}
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// -----------------------------------------------------------------------
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// ADX tests
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// -----------------------------------------------------------------------
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#[wasm_bindgen_test]
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fn test_adx_output_length() {
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let h = make_arr(&[10.0, 11.0, 12.0, 13.0, 13.5, 14.0, 14.5, 15.0]);
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let l = make_arr(&[9.0, 9.5, 10.5, 11.5, 12.0, 12.5, 13.0, 13.5]);
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let c = make_arr(&[9.5, 10.5, 11.5, 12.0, 13.0, 13.5, 14.0, 14.5]);
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let out = adx(&h, &l, &c, 3);
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assert_eq!(out.length(), 8);
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}
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#[wasm_bindgen_test]
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fn test_adx_values_in_range() {
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let h = make_arr(&[10.0, 11.0, 12.0, 13.0, 13.5, 14.0, 14.5, 15.0]);
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let l = make_arr(&[9.0, 9.5, 10.5, 11.5, 12.0, 12.5, 13.0, 13.5]);
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let c = make_arr(&[9.5, 10.5, 11.5, 12.0, 13.0, 13.5, 14.0, 14.5]);
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let out = adx(&h, &l, &c, 3);
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for v in get_finite(&out) {
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assert!((0.0..=100.0).contains(&v), "ADX out of range: {v}");
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}
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}
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// -----------------------------------------------------------------------
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// MFI tests
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// -----------------------------------------------------------------------
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#[wasm_bindgen_test]
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fn test_mfi_output_length() {
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let h = make_arr(&[10.0, 11.0, 12.0, 11.5, 12.5, 13.0, 13.5]);
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let l = make_arr(&[9.0, 9.5, 10.5, 10.0, 11.0, 11.5, 12.0]);
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let c = make_arr(&[9.5, 10.5, 11.5, 11.0, 12.0, 12.5, 13.0]);
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let v = make_arr(&[100.0, 110.0, 120.0, 130.0, 125.0, 140.0, 150.0]);
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let out = mfi(&h, &l, &c, &v, 3);
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assert_eq!(out.length(), 7);
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}
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#[wasm_bindgen_test]
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fn test_mfi_values_in_range() {
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let h = make_arr(&[10.0, 11.0, 12.0, 11.5, 12.5, 13.0, 13.5]);
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let l = make_arr(&[9.0, 9.5, 10.5, 10.0, 11.0, 11.5, 12.0]);
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let c = make_arr(&[9.5, 10.5, 11.5, 11.0, 12.0, 12.5, 13.0]);
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let v = make_arr(&[100.0, 110.0, 120.0, 130.0, 125.0, 140.0, 150.0]);
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let out = mfi(&h, &l, &c, &v, 3);
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for val in get_finite(&out) {
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assert!((0.0..=100.0).contains(&val), "MFI out of range: {val}");
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}
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}
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}
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