Commit Graph

8 Commits

Author SHA1 Message Date
Pratik Bhadane 3e0f289d51 chore: update ferro-ta version to 1.1.3 (#8)
- Bumped version numbers across Cargo.toml, Cargo.lock, pyproject.toml, and conda/meta.yaml to 1.1.3.
- Added new features including American option pricing, digital options, extended Greeks, and historical volatility estimators.
- Enhanced documentation and tests for new functionalities.
- Updated CHANGELOG.md to reflect changes for version 1.1.3.
2026-04-02 16:38:32 +05:30
Pratik Bhadane 262f0a2916 fix: resolve pyright type errors in Python analysis modules
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-04-01 20:19:47 +05:30
Pratik Bhadane 436954138f chore: prepare v1.1.0 release
Update version numbers across Rust, Python, and documentation files to 1.1.0. Enhance the .gitignore to include macOS dSYM files and plans directory. Introduce new dependencies in the Rust core library and update the README to reflect recent performance benchmarks and backtesting engine capabilities. Add new artifacts to the benchmarks manifest and improve documentation for the backtesting engine API.
2026-03-30 12:45:52 +05:30
Pratik Bhadane 71b6343e92 feat: refresh benchmark coverage and harden CI tooling
Refresh the benchmark and performance surface across the repo. This updates the benchmark wrappers and helper scripts, regenerates the checked-in benchmark and perf-contract artifacts, and folds in the related roadmap, compatibility, and example notebook changes that belong with this performance-focused pass.

Harden the Python CI and local pre-push flow so the same checks pass reliably in both places. The workflow and pre-push script now use module-safe uv typecheck invocations, the Python test environment installs the optional MCP dependency needed by the MCP server tests, and one-off root benchmark outputs are ignored to keep the repo clean.

Align local tooling with the current project configuration by updating the Ruff pre-commit hook, tightening the API typing and MCP server helpers, and refreshing the lockfile to pick up the audited PyJWT fix while preserving the rest of the staged source changes.
2026-03-24 14:52:20 +05:30
Pratik Bhadane 53566b9d82 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.
2026-03-24 14:28:51 +05:30
Pratik Bhadane 602d675749 feat: add full derivatives analytics layer (options + futures)
Implements all phases of the derivatives expansion plan:

Rust core (crates/ferro_ta_core/src/options/, src/futures/):
- BSM and Black-76 pricing (scalar + vectorized batch)
- Greeks: delta, gamma, vega, theta, rho
- Implied volatility solver (Newton + bisection fallback)
- Smile/skew metrics: ATM IV, 25-delta RR/BF, skew slope, convexity
- Chain helpers: moneyness labels, strike selection by offset or delta
- Synthetic forwards, basis, annualized basis, implied carry, carry spread
- Continuous contract stitching: weighted, back-adjusted, ratio-adjusted
- Curve analytics: calendar spreads, slope, contango/backwardation summary

PyO3 bindings (src/options/, src/futures/):
- All Rust functions registered and exposed via _ferro_ta extension

Python API (python/ferro_ta/analysis/):
- options.py: pricing, greeks, IV, smile, chain, legacy iv_rank/percentile/zscore
- futures.py: basis, carry, curve, roll, synthetic, continuous contracts
- options_strategy.py: typed strategy schemas (expiry/strike selectors, leg presets, risk controls, simulation limits)
- derivatives_payoff.py: multi-leg payoff aggregation and Greeks aggregation

Bug fix: wrap _to_f64 calls in iv_rank/iv_percentile/iv_zscore to raise
FerroTAInputError (not plain ValueError) for 2D array input.

Docs: derivatives.rst, derivatives-analytics.md, options-volatility.md,
quickstart.rst, index.rst, api/analysis.rst all updated.

Tests: 2053 pass, 12 skipped. All CI checks pass locally.

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
2026-03-24 02:41:50 +05:30
Pratik Bhadane 2d5000262f chore: release v1.0.2 2026-03-24 02:02:10 +05:30
Pratik Bhadane 7a5a220dfe feat: init the repo 2026-03-23 23:34:28 +05:30