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Pratik Bhadane 2080e4673d chore: update ferro-ta version to 1.1.3
- 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 16:30:45 +05:30
25 changed files with 337 additions and 1076 deletions
+2 -2
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@@ -381,11 +381,11 @@ jobs:
run: cargo cyclonedx --format json --override-filename ferro-ta-rust-sbom.cdx
- name: Upload Python SBOM to release
uses: softprops/action-gh-release@v3
uses: softprops/action-gh-release@v2
with:
files: ferro-ta-python-sbom.spdx.json
- name: Upload Rust SBOM to release
uses: softprops/action-gh-release@v3
uses: softprops/action-gh-release@v2
with:
files: ferro-ta-rust-sbom.cdx.json
+90 -92
View File
@@ -7,157 +7,151 @@ permissions:
contents: read
jobs:
# -------------------------------------------------------------------------
# Lint — no Rust, no wheel build, very fast
# -------------------------------------------------------------------------
lint:
name: Lint (ruff)
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- run: pip install uv
- run: uv run --with ruff ruff check python/ tests/
- run: uv run --with ruff ruff format --check python/ tests/
# -------------------------------------------------------------------------
# Type checking — needs wheel; build once with cache
# -------------------------------------------------------------------------
- name: Install uv
run: pip install uv
- name: Run ruff check via uv
run: uv run --with ruff ruff check python/ tests/
- name: Run ruff format check via uv
run: uv run --with ruff ruff format --check python/ tests/
typecheck:
name: Type checking (mypy + pyright)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
- run: pip install maturin numpy
- run: maturin build --release --out dist && pip install dist/*.whl
- run: pip install uv
- run: uv run --with mypy --with numpy python -m mypy python/ferro_ta --ignore-missing-imports --no-error-summary
- run: uv run --with pyright python -m pyright python/ferro_ta
# -------------------------------------------------------------------------
# Build wheel artifact (once per run, reused by all test matrix entries)
# -------------------------------------------------------------------------
build-wheel:
name: Build wheel (ubuntu / Python ${{ matrix.python-version }})
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
strategy:
matrix:
python-version: ["3.10", "3.11", "3.12", "3.13"]
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
with:
python-version: ${{ matrix.python-version }}
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
with:
shared-key: "wheel-${{ matrix.python-version }}"
- run: pip install maturin numpy
- run: maturin build --release --out dist
- uses: actions/upload-artifact@v7
with:
name: wheel-${{ matrix.python-version }}
path: dist/*.whl
- name: Install uv
run: pip install uv
- name: Run mypy on ferro_ta via uv
run: uv run --with mypy --with numpy python -m mypy python/ferro_ta --ignore-missing-imports --no-error-summary
- name: Run pyright on ferro_ta via uv
run: uv run --with pyright python -m pyright python/ferro_ta
# -------------------------------------------------------------------------
# Test matrix — downloads pre-built wheel, no Rust compilation
# -------------------------------------------------------------------------
test:
name: Test (Python ${{ matrix.python-version }})
name: Test (ubuntu-latest / Python ${{ matrix.python-version }})
runs-on: ubuntu-latest
needs: build-wheel
strategy:
fail-fast: false
matrix:
python-version: ["3.10", "3.11", "3.12", "3.13"]
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v6
with:
python-version: ${{ matrix.python-version }}
- uses: actions/download-artifact@v8
with:
name: wheel-${{ matrix.python-version }}
path: dist
- name: Install wheel + test deps
- name: Install maturin and test dependencies
run: |
pip install maturin numpy pytest pytest-cov pandas polars hypothesis pyyaml mcp
- name: Build and install ferro_ta (dev mode)
run: |
maturin build --release --out dist
pip install dist/*.whl
pip install pytest pytest-cov pandas polars hypothesis pyyaml mcp scipy
- name: Run tests with coverage
- name: Run unit tests with coverage
run: pytest tests/unit/ tests/integration/ -v --cov=ferro_ta --cov-report=xml --cov-report=term-missing --cov-fail-under=65
- name: Check API manifest is current
if: matrix.python-version == '3.12'
run: python scripts/check_api_manifest.py
- uses: actions/upload-artifact@v7
- name: Upload coverage report
uses: actions/upload-artifact@v7
if: matrix.python-version == '3.12'
with:
name: coverage-python-${{ matrix.python-version }}
path: coverage.xml
# -------------------------------------------------------------------------
# Benchmark vs TA-Lib (downloads wheel from build-wheel job)
# -------------------------------------------------------------------------
benchmark-vs-talib:
name: Benchmark vs TA-Lib
runs-on: ubuntu-latest
needs: build-wheel
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- uses: actions/download-artifact@v8
with:
name: wheel-3.12
path: dist
- name: Install TA-Lib C library
- name: Install TA-Lib C library (Ubuntu)
run: |
sudo apt-get update
sudo apt-get install -y build-essential curl
curl -sL https://sourceforge.net/projects/ta-lib/files/ta-lib/0.4.0/ta-lib-0.4.0-src.tar.gz/download -o ta-lib-0.4.0-src.tar.gz
tar -xzf ta-lib-0.4.0-src.tar.gz
cd ta-lib && ./configure --prefix=/usr && make && sudo make install && sudo ldconfig
- run: pip install dist/*.whl numpy ta-lib
- run: python benchmarks/bench_vs_talib.py --sizes 10000 100000 --json benchmark_vs_talib.json
- run: python3 benchmarks/check_vs_talib_regression.py --input benchmark_vs_talib.json
- uses: actions/upload-artifact@v7
cd ta-lib
./configure --prefix=/usr
make
sudo make install
sudo ldconfig
- name: Install maturin and ta-lib Python package
run: |
pip install maturin numpy
pip install ta-lib
- name: Build and install ferro_ta
run: |
maturin build --release --out dist
pip install dist/*.whl
- name: Run benchmark comparison
run: |
python benchmarks/bench_vs_talib.py --sizes 10000 100000 --json benchmark_vs_talib.json
- name: Enforce benchmark regression policy
run: python3 benchmarks/check_vs_talib_regression.py --input benchmark_vs_talib.json
- name: Upload benchmark results
uses: actions/upload-artifact@v7
with:
name: benchmark-vs-talib
path: benchmark_vs_talib.json
# -------------------------------------------------------------------------
# Performance smoke (downloads wheel from build-wheel job)
# -------------------------------------------------------------------------
perf-smoke:
name: Performance smoke and contracts
runs-on: ubuntu-latest
needs: build-wheel
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- uses: actions/download-artifact@v8
with:
name: wheel-3.12
path: dist
- run: pip install dist/*.whl numpy pytest
- run: |
- name: Install maturin and perf dependencies
run: |
pip install maturin numpy pytest
- name: Build and install ferro_ta
run: |
maturin build --release --out dist
pip install dist/*.whl
- name: Generate reproducible perf artifacts
run: |
python benchmarks/run_perf_contract.py \
--output-dir perf-contract \
--skip-talib \
@@ -167,8 +161,12 @@ jobs:
--streaming-bars 20000 \
--price-bars 20000 \
--iv-bars 50000
- run: python benchmarks/check_hotspot_regression.py --input perf-contract/runtime_hotspots.json
- uses: actions/upload-artifact@v7
- name: Enforce hotspot regression policy
run: python benchmarks/check_hotspot_regression.py --input perf-contract/runtime_hotspots.json
- name: Upload perf artifacts
uses: actions/upload-artifact@v7
with:
name: perf-contract
path: perf-contract/
+45 -62
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@@ -7,119 +7,102 @@ permissions:
contents: read
jobs:
# -------------------------------------------------------------------------
# cargo-deny — uses the official pre-built action (no cargo install needed)
# -------------------------------------------------------------------------
cargo-deny:
name: cargo deny check
audit:
name: Dependency audit (cargo + pip)
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: EmbarkStudios/cargo-deny-action@v2
# -------------------------------------------------------------------------
# pip-audit + uv.lock freshness check (lightweight, no Rust needed)
# -------------------------------------------------------------------------
pip-audit:
name: pip-audit + uv.lock check
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Install cargo-audit and run cargo audit
run: |
cargo install cargo-audit
cargo audit
- name: Install cargo-deny and run cargo deny check
run: |
cargo install cargo-deny --locked
cargo deny check
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- run: pip install uv
- run: uv run --with pip-audit pip-audit --skip-editable
- run: uv lock --check
# -------------------------------------------------------------------------
# fmt + clippy (with Rust cache so subsequent runs skip recompilation)
# -------------------------------------------------------------------------
rust-lint:
name: Rust fmt + clippy
- name: Install uv
run: pip install uv
- name: Install pip-audit via uv and run pip-audit
run: uv run --with pip-audit pip-audit --skip-editable
- name: Verify uv.lock is up-to-date
run: uv lock --check
rust:
name: Rust (fmt + clippy)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
components: rustfmt, clippy
- uses: Swatinem/rust-cache@v2
- run: cargo fmt --all -- --check
- run: cargo clippy --release -- -D warnings
- name: Verify benchmarks compile
- name: Verify benchmarks compile (ferro_ta_core)
run: cargo bench -p ferro_ta_core --no-run
# -------------------------------------------------------------------------
# Build + test ferro_ta_core (with Rust cache)
# -------------------------------------------------------------------------
rust-core:
name: Rust core (build + test)
name: Rust core library (ferro_ta_core)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
- run: cargo build -p ferro_ta_core
- run: cargo test -p ferro_ta_core
- name: Build core crate
run: cargo build -p ferro_ta_core
- name: Test core crate
run: cargo test -p ferro_ta_core
# -------------------------------------------------------------------------
# Coverage (optional, cached)
# -------------------------------------------------------------------------
rust-coverage:
name: Rust coverage (tarpaulin)
name: Rust coverage (tarpaulin, optional)
runs-on: ubuntu-latest
continue-on-error: true
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
- uses: taiki-e/install-action@v2
with:
tool: cargo-tarpaulin
- run: cargo tarpaulin -p ferro_ta_core --out Xml --output-dir coverage/
- uses: actions/upload-artifact@v7
- name: Install cargo-tarpaulin
run: cargo install cargo-tarpaulin --locked
- name: Collect Rust coverage (ferro_ta_core)
run: cargo tarpaulin -p ferro_ta_core --out Xml --output-dir coverage/
- name: Upload Rust coverage artifact
uses: actions/upload-artifact@v7
with:
name: rust-coverage
path: coverage/
if-no-files-found: ignore
# -------------------------------------------------------------------------
# Fuzz (optional, nightly, cached)
# -------------------------------------------------------------------------
fuzz:
name: Fuzz targets (short CI run)
name: Fuzz targets (short CI run, optional)
runs-on: ubuntu-latest
continue-on-error: true
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: nightly
targets: x86_64-unknown-linux-gnu
- uses: Swatinem/rust-cache@v2
- uses: taiki-e/install-action@v2
with:
tool: cargo-fuzz
- name: Install cargo-fuzz
run: cargo install cargo-fuzz --locked
- name: Run fuzz_sma (10000 iterations)
working-directory: fuzz
run: cargo fuzz run fuzz_sma --target x86_64-unknown-linux-gnu -- -runs=10000 -max_len=512
run: cargo fuzz run fuzz_sma -- -runs=10000 -max_len=512
- name: Run fuzz_rsi (10000 iterations)
working-directory: fuzz
run: cargo fuzz run fuzz_rsi --target x86_64-unknown-linux-gnu -- -runs=10000 -max_len=512
- uses: actions/upload-artifact@v7
run: cargo fuzz run fuzz_rsi -- -runs=10000 -max_len=512
- name: Upload fuzz artifacts on crash
uses: actions/upload-artifact@v7
if: always()
with:
name: fuzz-artifacts
+26 -15
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@@ -8,43 +8,54 @@ permissions:
jobs:
wasm:
name: WASM (test + build + bench)
name: WASM binding (wasm-pack test --node)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: actions/setup-node@v6
- name: Set up Node.js
uses: actions/setup-node@v6
with:
node-version: "20"
- uses: dtolnay/rust-toolchain@v1
- name: Install Rust (stable)
uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
targets: wasm32-unknown-unknown
- uses: Swatinem/rust-cache@v2
- uses: taiki-e/install-action@v2
with:
tool: wasm-pack
- name: Test WASM binding
- name: Install wasm-pack
run: curl https://rustwasm.github.io/wasm-pack/installer/init.sh -sSf | sh
- name: Build and test WASM binding
working-directory: wasm
run: wasm-pack test --node
- name: Build WASM packages (node + web)
- name: Build WASM package (both targets)
working-directory: wasm
run: npm run build
- name: Check API manifest is current
run: python3 scripts/check_api_manifest.py
- name: Benchmark WASM
- name: Benchmark WASM package
working-directory: wasm
run: node bench.js --json ../wasm_benchmark.json
- uses: actions/upload-artifact@v7
- name: Upload WASM node package artifact
uses: actions/upload-artifact@v7
with:
name: wasm-pkg-node
path: wasm/node/
- uses: actions/upload-artifact@v7
- name: Upload WASM web package artifact
uses: actions/upload-artifact@v7
with:
name: wasm-pkg-web
path: wasm/web/
- uses: actions/upload-artifact@v7
- name: Upload WASM benchmark artifact
uses: actions/upload-artifact@v7
with:
name: wasm-benchmark
path: wasm_benchmark.json
+1 -3
View File
@@ -20,7 +20,6 @@ jobs:
- uses: actions/checkout@v6
with:
fetch-depth: 0
token: ${{ secrets.GH_PAT }}
- name: Extract version from tag
id: version
@@ -52,11 +51,10 @@ jobs:
PY
- name: Create GitHub Release
uses: softprops/action-gh-release@v3
uses: softprops/action-gh-release@v2
with:
tag_name: ${{ github.ref_name }}
name: v${{ steps.version.outputs.version }}
body: ${{ steps.changelog.outputs.body }}
draft: false
prerelease: ${{ contains(github.ref_name, '-') }}
token: ${{ secrets.GH_PAT }}
Generated
+26 -26
View File
@@ -34,9 +34,9 @@ checksum = "940b3a0ca603d1eade50a4846a2afffd5ef57a9feac2c0e2ec2e14f9ead76000"
[[package]]
name = "arc-swap"
version = "1.9.1"
version = "1.9.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "6a3a1fd6f75306b68087b831f025c712524bcb19aad54e557b1129cfa0a2b207"
checksum = "a07d1f37ff60921c83bdfc7407723bdefe89b44b98a9b772f225c8f9d67141a6"
dependencies = [
"rustversion",
]
@@ -67,9 +67,9 @@ checksum = "37b2a672a2cb129a2e41c10b1224bb368f9f37a2b16b612598138befd7b37eb5"
[[package]]
name = "cc"
version = "1.2.59"
version = "1.2.57"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "b7a4d3ec6524d28a329fc53654bbadc9bdd7b0431f5d65f1a56ffb28a1ee5283"
checksum = "7a0dd1ca384932ff3641c8718a02769f1698e7563dc6974ffd03346116310423"
dependencies = [
"find-msvc-tools",
"shlex",
@@ -207,7 +207,7 @@ checksum = "48c757948c5ede0e46177b7add2e67155f70e33c07fea8284df6576da70b3719"
[[package]]
name = "ferro_ta"
version = "1.1.4"
version = "1.1.3"
dependencies = [
"criterion",
"ferro_ta_core",
@@ -222,7 +222,7 @@ dependencies = [
[[package]]
name = "ferro_ta_core"
version = "1.1.4"
version = "1.1.3"
dependencies = [
"criterion",
"serde",
@@ -279,9 +279,9 @@ checksum = "8f42a60cbdf9a97f5d2305f08a87dc4e09308d1276d28c869c684d7777685682"
[[package]]
name = "js-sys"
version = "0.3.94"
version = "0.3.91"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "2e04e2ef80ce82e13552136fabeef8a5ed1f985a96805761cbb9a2c34e7664d9"
checksum = "b49715b7073f385ba4bc528e5747d02e66cb39c6146efb66b781f131f0fb399c"
dependencies = [
"once_cell",
"wasm-bindgen",
@@ -289,9 +289,9 @@ dependencies = [
[[package]]
name = "libc"
version = "0.2.184"
version = "0.2.183"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "48f5d2a454e16a5ea0f4ced81bd44e4cfc7bd3a507b61887c99fd3538b28e4af"
checksum = "b5b646652bf6661599e1da8901b3b9522896f01e736bad5f723fe7a3a27f899d"
[[package]]
name = "log"
@@ -595,9 +595,9 @@ checksum = "dc897dd8d9e8bd1ed8cdad82b5966c3e0ecae09fb1907d58efaa013543185d0a"
[[package]]
name = "rustc-hash"
version = "2.1.2"
version = "2.1.1"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "94300abf3f1ae2e2b8ffb7b58043de3d399c73fa6f4b73826402a5c457614dbe"
checksum = "357703d41365b4b27c590e3ed91eabb1b663f07c4c084095e60cbed4362dff0d"
[[package]]
name = "rustversion"
@@ -729,9 +729,9 @@ dependencies = [
[[package]]
name = "wasm-bindgen"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "0551fc1bb415591e3372d0bc4780db7e587d84e2a7e79da121051c5c4b89d0b0"
checksum = "6532f9a5c1ece3798cb1c2cfdba640b9b3ba884f5db45973a6f442510a87d38e"
dependencies = [
"cfg-if",
"once_cell",
@@ -742,9 +742,9 @@ dependencies = [
[[package]]
name = "wasm-bindgen-macro"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "7fbdf9a35adf44786aecd5ff89b4563a90325f9da0923236f6104e603c7e86be"
checksum = "18a2d50fcf105fb33bb15f00e7a77b772945a2ee45dcf454961fd843e74c18e6"
dependencies = [
"quote",
"wasm-bindgen-macro-support",
@@ -752,9 +752,9 @@ dependencies = [
[[package]]
name = "wasm-bindgen-macro-support"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "dca9693ef2bab6d4e6707234500350d8dad079eb508dca05530c85dc3a529ff2"
checksum = "03ce4caeaac547cdf713d280eda22a730824dd11e6b8c3ca9e42247b25c631e3"
dependencies = [
"bumpalo",
"proc-macro2",
@@ -765,18 +765,18 @@ dependencies = [
[[package]]
name = "wasm-bindgen-shared"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "39129a682a6d2d841b6c429d0c51e5cb0ed1a03829d8b3d1e69a011e62cb3d3b"
checksum = "75a326b8c223ee17883a4251907455a2431acc2791c98c26279376490c378c16"
dependencies = [
"unicode-ident",
]
[[package]]
name = "web-sys"
version = "0.3.94"
version = "0.3.91"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "cd70027e39b12f0849461e08ffc50b9cd7688d942c1c8e3c7b22273236b4dd0a"
checksum = "854ba17bb104abfb26ba36da9729addc7ce7f06f5c0f90f3c391f8461cca21f9"
dependencies = [
"js-sys",
"wasm-bindgen",
@@ -840,18 +840,18 @@ dependencies = [
[[package]]
name = "zerocopy"
version = "0.8.48"
version = "0.8.47"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "eed437bf9d6692032087e337407a86f04cd8d6a16a37199ed57949d415bd68e9"
checksum = "efbb2a062be311f2ba113ce66f697a4dc589f85e78a4aea276200804cea0ed87"
dependencies = [
"zerocopy-derive",
]
[[package]]
name = "zerocopy-derive"
version = "0.8.48"
version = "0.8.47"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "70e3cd084b1788766f53af483dd21f93881ff30d7320490ec3ef7526d203bad4"
checksum = "0e8bc7269b54418e7aeeef514aa68f8690b8c0489a06b0136e5f57c4c5ccab89"
dependencies = [
"proc-macro2",
"quote",
+2 -2
View File
@@ -5,7 +5,7 @@ resolver = "2"
[package]
name = "ferro_ta"
version = "1.1.4"
version = "1.1.3"
edition = "2021"
description = "Rust-powered Python technical analysis library with a TA-Lib-compatible API"
license = "MIT"
@@ -30,7 +30,7 @@ ndarray = "0.16"
rayon = "1.10"
log = "0.4"
pyo3-log = "0.12"
ferro_ta_core = { path = "crates/ferro_ta_core", version = "1.1.4", features = ["serde"] }
ferro_ta_core = { path = "crates/ferro_ta_core", version = "1.1.3", features = ["serde"] }
[dev-dependencies]
criterion = { version = "0.8", features = ["html_reports"] }
+1 -1
View File
@@ -1,5 +1,5 @@
{% set name = "ferro-ta" %}
{% set version = "1.1.4" %}
{% set version = "1.1.3" %}
package:
name: {{ name|lower }}
+1 -1
View File
@@ -1,6 +1,6 @@
[package]
name = "ferro_ta_core"
version = "1.1.4"
version = "1.1.3"
edition = "2021"
description = "Pure Rust core indicator library — no PyO3, no numpy dependency"
license = "MIT"
+1 -1
View File
@@ -13,7 +13,7 @@ PyO3, NumPy, or Python runtime dependency, which makes it a good fit for:
```toml
[dependencies]
ferro_ta_core = "1.1.4"
ferro_ta_core = "1.1.3"
```
## Design
-200
View File
@@ -247,118 +247,6 @@ pub fn correl(real0: &[f64], real1: &[f64], timeperiod: usize) -> Vec<f64> {
result
}
// ---------------------------------------------------------------------------
// Dynamic Time Warping (DTW)
// ---------------------------------------------------------------------------
/// Internal helper: build the full DTW accumulated-cost matrix.
///
/// Local cost: `|s1[i] - s2[j]|` (Euclidean / L1 for 1-D series).
/// This matches the convention used by `dtaidistance.dtw.distance()`.
///
/// Out-of-band cells (Sakoe-Chiba constraint) are set to `f64::INFINITY`.
fn dtw_matrix(s1: &[f64], s2: &[f64], window: Option<usize>) -> Vec<Vec<f64>> {
let n = s1.len();
let m = s2.len();
let mut dp = vec![vec![f64::INFINITY; m]; n];
for i in 0..n {
// Window convention matches dtaidistance: window=w means |i-j| < w.
// None = unconstrained (full matrix).
let (j_lo, j_hi) = match window {
None => (0, m),
Some(w) => {
let lo = i.saturating_sub(w.saturating_sub(1));
let hi = i.saturating_add(w).min(m);
(lo, hi)
}
};
for j in j_lo..j_hi {
// Squared Euclidean local cost — matches dtaidistance convention.
// The final sqrt is applied only once at the top level (not per-step).
let cost = (s1[i] - s2[j]).powi(2);
let prev = if i == 0 && j == 0 {
0.0
} else if i == 0 {
dp[0][j - 1]
} else if j == 0 {
dp[i - 1][0]
} else {
dp[i - 1][j - 1].min(dp[i - 1][j]).min(dp[i][j - 1])
};
dp[i][j] = cost + prev;
}
}
dp
}
/// Compute the Dynamic Time Warping distance between two 1-D series.
///
/// Returns the accumulated Euclidean cost along the optimal warping path.
/// Uses `|s1[i] - s2[j]|` as the local cost, matching `dtaidistance` convention.
///
/// # Arguments
/// * `s1` - First time series.
/// * `s2` - Second time series.
/// * `window` - Optional Sakoe-Chiba band width. `None` = unconstrained.
///
/// Returns `f64::NAN` if either input is empty.
pub fn dtw_distance(s1: &[f64], s2: &[f64], window: Option<usize>) -> f64 {
if s1.is_empty() || s2.is_empty() {
return f64::NAN;
}
let dp = dtw_matrix(s1, s2, window);
// sqrt applied once at the end — matches dtaidistance.dtw.distance() convention.
dp[s1.len() - 1][s2.len() - 1].sqrt()
}
/// Compute the DTW distance and the optimal warping path between two 1-D series.
///
/// The warping path is a `Vec<(usize, usize)>` of `(i, j)` index pairs,
/// starting at `(0, 0)` and ending at `(n-1, m-1)`, monotonically non-decreasing.
///
/// # Arguments
/// * `s1` - First time series.
/// * `s2` - Second time series.
/// * `window` - Optional Sakoe-Chiba band width. `None` = unconstrained.
///
/// Returns `(f64::NAN, vec![])` if either input is empty.
pub fn dtw_path(s1: &[f64], s2: &[f64], window: Option<usize>) -> (f64, Vec<(usize, usize)>) {
if s1.is_empty() || s2.is_empty() {
return (f64::NAN, vec![]);
}
let dp = dtw_matrix(s1, s2, window);
let dist = dp[s1.len() - 1][s2.len() - 1].sqrt();
// Backtrace from (n-1, m-1) to (0, 0)
let mut path = Vec::new();
let (mut i, mut j) = (s1.len() - 1, s2.len() - 1);
path.push((i, j));
while i > 0 || j > 0 {
let (ni, nj) = match (i, j) {
(0, _) => (0, j - 1),
(_, 0) => (i - 1, 0),
_ => {
let diag = dp[i - 1][j - 1];
let up = dp[i - 1][j];
let left = dp[i][j - 1];
let best = diag.min(up).min(left);
if best == diag {
(i - 1, j - 1)
} else if best == up {
(i - 1, j)
} else {
(i, j - 1)
}
}
};
i = ni;
j = nj;
path.push((i, j));
}
path.reverse();
(dist, path)
}
#[cfg(test)]
mod tests {
use super::*;
@@ -371,92 +259,4 @@ mod tests {
assert!(v.abs() < 1e-10);
}
}
#[test]
fn dtw_identical_series_is_zero() {
let a = vec![1.0, 2.0, 3.0, 4.0, 5.0];
assert_eq!(dtw_distance(&a, &a, None), 0.0);
}
#[test]
fn dtw_known_shifted_series() {
// [0,1,2] vs [1,2,3]: DTW uses squared Euclidean local cost + final sqrt.
// Optimal path (0,0)→(1,0)→(2,1)→(2,2), accumulated cost = 1+0+0+1 = 2, sqrt(2).
// Matches dtaidistance.dtw.distance([0,1,2],[1,2,3]) = 1.4142...
let a = vec![0.0, 1.0, 2.0];
let b = vec![1.0, 2.0, 3.0];
let expected = 2.0_f64.sqrt();
let result = dtw_distance(&a, &b, None);
assert!(
(result - expected).abs() < 1e-12,
"got {result}, expected {expected}"
);
}
#[test]
fn dtw_known_even_shift() {
// [0,2,4] vs [1,3,5]: diagonal path, squared costs 1+1+1=3, sqrt(3).
// Matches dtaidistance.dtw.distance([0,2,4],[1,3,5]) = 1.7320...
let a = vec![0.0, 2.0, 4.0];
let b = vec![1.0, 3.0, 5.0];
let expected = 3.0_f64.sqrt();
let result = dtw_distance(&a, &b, None);
assert!(
(result - expected).abs() < 1e-12,
"got {result}, expected {expected}"
);
}
#[test]
fn dtw_single_element() {
let a = vec![3.0];
let b = vec![7.0];
assert_eq!(dtw_distance(&a, &b, None), 4.0);
}
#[test]
fn dtw_empty_returns_nan() {
assert!(dtw_distance(&[], &[1.0, 2.0], None).is_nan());
assert!(dtw_distance(&[1.0, 2.0], &[], None).is_nan());
}
#[test]
fn dtw_path_endpoints() {
let a = vec![1.0, 2.0, 3.0, 4.0];
let b = vec![1.5, 2.5, 3.5, 4.5];
let (_, path) = dtw_path(&a, &b, None);
assert_eq!(path.first(), Some(&(0, 0)));
assert_eq!(path.last(), Some(&(3, 3)));
}
#[test]
fn dtw_path_is_monotone() {
let a = vec![1.0, 3.0, 2.0, 5.0, 4.0];
let b = vec![2.0, 1.0, 4.0, 3.0, 6.0];
let (_, path) = dtw_path(&a, &b, None);
for k in 1..path.len() {
assert!(path[k].0 >= path[k - 1].0);
assert!(path[k].1 >= path[k - 1].1);
}
}
#[test]
fn dtw_path_distance_matches_distance_only() {
let a = vec![1.0, 4.0, 2.0, 8.0, 3.0];
let b = vec![2.0, 3.0, 7.0, 4.0, 5.0];
let d1 = dtw_distance(&a, &b, None);
let (d2, _) = dtw_path(&a, &b, None);
assert!((d1 - d2).abs() < 1e-12);
}
#[test]
fn dtw_window_constrained_ge_unconstrained() {
// window convention matches dtaidistance: Some(w) means |i-j| < w.
// A narrow window restricts warping, so constrained distance >= unconstrained.
let a: Vec<f64> = (0..20).map(|x| x as f64).collect();
let b: Vec<f64> = (0..20).map(|x| x as f64 + 3.0).collect();
let d_full = dtw_distance(&a, &b, None);
let d_narrow = dtw_distance(&a, &b, Some(3));
assert!(d_narrow >= d_full - 1e-12);
}
}
+7 -63
View File
@@ -1,8 +1,8 @@
{
"surfaces": {
"python": {
"indicator_count": 211,
"method_count": 467,
"indicator_count": 208,
"method_count": 464,
"categories": [
"aggregation",
"alerts",
@@ -131,13 +131,6 @@
"doc": "",
"params": []
},
{
"name": "BATCH_DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "BBANDS",
"category": "overlap",
@@ -663,20 +656,6 @@
"doc": "",
"params": []
},
{
"name": "DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "DTW_DISTANCE",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "DX",
"category": "momentum",
@@ -3304,13 +3283,6 @@
"doc": "",
"params": []
},
{
"name": "BATCH_DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "BETA",
"category": "statistic",
@@ -3325,20 +3297,6 @@
"doc": "",
"params": []
},
{
"name": "DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "DTW_DISTANCE",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "LINEARREG",
"category": "statistic",
@@ -4777,7 +4735,7 @@
]
},
"rust_core": {
"public_function_count": 351,
"public_function_count": 349,
"functions": [
{
"module": "aggregation",
@@ -6229,16 +6187,6 @@
"function": "correl",
"file": "statistic.rs"
},
{
"module": "statistic",
"function": "dtw_distance",
"file": "statistic.rs"
},
{
"module": "statistic",
"function": "dtw_path",
"file": "statistic.rs"
},
{
"module": "statistic",
"function": "linearreg",
@@ -6537,7 +6485,7 @@
]
},
"wasm_node": {
"export_count": 222,
"export_count": 221,
"exports": [
"ad",
"adosc",
@@ -6598,7 +6546,6 @@
"digital_price",
"donchian",
"drawdown_series",
"dtw_distance",
"dx",
"early_exercise_premium",
"ema",
@@ -6765,9 +6712,9 @@
}
},
"parity_summary": {
"python_indicator_count": 210,
"wasm_export_count": 222,
"common_python_wasm_count": 92,
"python_indicator_count": 207,
"wasm_export_count": 221,
"common_python_wasm_count": 91,
"common_python_wasm": [
"ad",
"adosc",
@@ -6796,7 +6743,6 @@
"dema",
"detect_breaks_cusum",
"donchian",
"dtw_distance",
"dx",
"ema",
"ht_dcperiod",
@@ -6871,7 +6817,6 @@
"asin",
"atan",
"batch_apply",
"batch_dtw",
"beta",
"cdl2crows",
"cdl3blackcrows",
@@ -6941,7 +6886,6 @@
"cosh",
"div",
"drawdown",
"dtw",
"exp",
"feature_matrix",
"floor",
+1 -1
View File
@@ -1,7 +1,7 @@
Release Notes
=============
These docs track package version ``1.1.4``.
These docs track package version ``1.1.3``.
1.1.0-audit (2026-03-28)
------------------------
+1 -1
View File
@@ -180,7 +180,7 @@ For source builds, packaging details, and platform notes, see
Release status
--------------
These docs track package version ``1.1.4``.
These docs track package version ``1.1.3``.
- Release notes by version: :doc:`changelog`
- Canonical project changelog: `CHANGELOG.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/CHANGELOG.md>`_
+1 -1
View File
@@ -4,7 +4,7 @@ build-backend = "maturin"
[project]
name = "ferro-ta"
version = "1.1.4"
version = "1.1.3"
description = "Rust-powered Python technical analysis library with a TA-Lib-compatible API"
readme = "README.md"
license = { text = "MIT" }
-109
View File
@@ -12,33 +12,19 @@ LINEARREG_ANGLE — Linear Regression Angle (degrees)
TSF Time Series Forecast
BETA Beta
CORREL Pearson's Correlation Coefficient (r)
DTW Dynamic Time Warping (distance + warping path)
DTW_DISTANCE Dynamic Time Warping distance only (faster)
BATCH_DTW Batch DTW: N series vs 1 reference, in parallel
"""
from __future__ import annotations
from typing import Optional
import numpy as np
from numpy.typing import ArrayLike
from ferro_ta._ferro_ta import (
batch_dtw as _batch_dtw,
)
from ferro_ta._ferro_ta import (
beta as _beta,
)
from ferro_ta._ferro_ta import (
correl as _correl,
)
from ferro_ta._ferro_ta import (
dtw as _dtw,
)
from ferro_ta._ferro_ta import (
dtw_distance as _dtw_distance,
)
from ferro_ta._ferro_ta import (
linearreg as _linearreg,
)
@@ -261,98 +247,6 @@ def CORREL(real0: ArrayLike, real1: ArrayLike, timeperiod: int = 30) -> np.ndarr
_normalize_rust_error(e)
def DTW(
series1: ArrayLike,
series2: ArrayLike,
window: Optional[int] = None,
) -> tuple[float, np.ndarray]:
"""Dynamic Time Warping — distance and optimal warping path.
Parameters
----------
series1 : array-like
First time series.
series2 : array-like
Second time series (may differ in length from series1).
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
distance : float
DTW distance (accumulated Euclidean cost along the optimal path).
path : numpy.ndarray, shape (N, 2)
Warping path as ``(i, j)`` index pairs from ``(0, 0)`` to
``(len(series1)-1, len(series2)-1)``.
"""
try:
return _dtw(_to_f64(series1), _to_f64(series2), window)
except ValueError as e:
_normalize_rust_error(e)
def DTW_DISTANCE(
series1: ArrayLike,
series2: ArrayLike,
window: Optional[int] = None,
) -> float:
"""Dynamic Time Warping distance only (faster — no path reconstruction).
Parameters
----------
series1 : array-like
First time series.
series2 : array-like
Second time series (may differ in length from series1).
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
float
DTW distance (accumulated Euclidean cost along the optimal path).
"""
try:
return _dtw_distance(_to_f64(series1), _to_f64(series2), window)
except ValueError as e:
_normalize_rust_error(e)
def BATCH_DTW(
matrix: ArrayLike,
reference: ArrayLike,
window: Optional[int] = None,
) -> np.ndarray:
"""Batch Dynamic Time Warping — N series vs 1 reference, computed in parallel.
Parameters
----------
matrix : array-like, shape (N, L)
N time series of length L. Each row is compared against ``reference``.
reference : array-like, shape (L,)
The reference series.
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
numpy.ndarray, shape (N,)
DTW distance from each row of ``matrix`` to ``reference``.
"""
try:
mat = np.ascontiguousarray(matrix, dtype=np.float64)
if mat.ndim != 2:
from ferro_ta.core.exceptions import FerroTAInputError
raise FerroTAInputError(
f"matrix must be a 2-D array, got {mat.ndim}-D.",
suggestion="Pass a 2-D NumPy array of shape (N, L).",
)
return _batch_dtw(mat, _to_f64(reference), window)
except ValueError as e:
_normalize_rust_error(e)
__all__ = [
"STDDEV",
"VAR",
@@ -363,7 +257,4 @@ __all__ = [
"TSF",
"BETA",
"CORREL",
"DTW",
"DTW_DISTANCE",
"BATCH_DTW",
]
+127 -199
View File
@@ -1,40 +1,27 @@
#!/usr/bin/env bash
# Pre-push CI gate — runs checks in parallel to minimise wall-clock time.
#
# Usage:
# scripts/pre_push_checks.sh # all checks
# scripts/pre_push_checks.sh rust_clippy wasm # selected checks
# scripts/pre_push_checks.sh --list
# FERRO_FAST=1 scripts/pre_push_checks.sh # skip docs + wasm bench
set -euo pipefail
ROOT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")/.." && pwd)"
cd "$ROOT_DIR"
AVAILABLE_CHECKS=(
version changelog manifest
rust_fmt rust_clippy rust_core rust_bench
python_lint python_typecheck python_test
docs wasm
version
changelog
rust_fmt
rust_clippy
rust_core
rust_bench
python_lint
python_typecheck
python_test
docs
wasm
manifest
)
DEFAULT_CHECKS=("${AVAILABLE_CHECKS[@]}")
# ---------------------------------------------------------------------------
# Helpers
# ---------------------------------------------------------------------------
need_cmd() {
if ! command -v "$1" >/dev/null 2>&1; then
echo "Missing required command: $1" >&2; exit 1
fi
}
run_cmd() {
printf ' +'
printf ' %q' "$@"
printf '\n'
"$@"
}
python_env_ready=0
usage() {
cat <<'EOF'
@@ -43,60 +30,93 @@ Usage:
scripts/pre_push_checks.sh <check> [<check> ...]
scripts/pre_push_checks.sh --list
Environment:
FERRO_FAST=1 Skip docs and wasm (fastest local feedback loop)
Runs the repo's basic local CI gate before push. By default it covers:
version changelog rust_fmt rust_clippy rust_core rust_bench
python_lint python_typecheck python_test docs wasm manifest
Notes:
- This mirrors the required CI categories we can run locally.
- It intentionally skips the multi-Python test matrix, audit jobs, perf smoke,
and benchmark-regression jobs.
EOF
}
# ---------------------------------------------------------------------------
# Individual check functions
# ---------------------------------------------------------------------------
list_checks() {
printf '%s\n' "${AVAILABLE_CHECKS[@]}"
}
need_cmd() {
local command_name="$1"
if ! command -v "$command_name" >/dev/null 2>&1; then
echo "Missing required command: $command_name" >&2
exit 1
fi
}
run_cmd() {
printf ' +'
printf ' %q' "$@"
printf '\n'
"$@"
}
ensure_python_env() {
if [[ "$python_env_ready" -eq 1 ]]; then
return
fi
need_cmd uv
run_cmd uv sync --extra dev --extra docs --extra mcp
run_cmd uv run --extra dev --extra docs --extra mcp maturin develop --release
python_env_ready=1
}
run_version() {
need_cmd python3
run_cmd python3 scripts/bump_version.py --check
}
run_changelog() {
need_cmd python3
run_cmd python3 scripts/check_changelog.py
}
run_rust_fmt() {
need_cmd cargo
run_cmd cargo fmt --all -- --check
}
run_rust_clippy() {
need_cmd cargo
run_cmd cargo clippy --release -- -D warnings
}
run_rust_core() {
need_cmd cargo
run_cmd cargo build -p ferro_ta_core
run_cmd cargo test -p ferro_ta_core
}
run_rust_bench() {
need_cmd cargo
run_cmd cargo bench -p ferro_ta_core --no-run
}
run_version() { need_cmd python3; run_cmd python3 scripts/bump_version.py --check; }
run_changelog() { need_cmd python3; run_cmd python3 scripts/check_changelog.py; }
run_manifest() { need_cmd python3; run_cmd python3 scripts/check_api_manifest.py; }
run_rust_fmt() { need_cmd cargo; run_cmd cargo fmt --all -- --check; }
run_python_lint() {
need_cmd uv
run_cmd uv run --with ruff ruff check python/ tests/
run_cmd uv run --with ruff ruff format --check python/ tests/
}
run_rust_clippy() { need_cmd cargo; run_cmd cargo clippy --release -- -D warnings; }
run_rust_core() { need_cmd cargo; run_cmd cargo build -p ferro_ta_core && run_cmd cargo test -p ferro_ta_core; }
run_rust_bench() { need_cmd cargo; run_cmd cargo bench -p ferro_ta_core --no-run; }
run_python_typecheck() {
need_cmd uv
run_cmd uv run --with mypy --with numpy python -m mypy python/ferro_ta \
--ignore-missing-imports --no-error-summary
run_cmd uv run --with mypy --with numpy python -m mypy python/ferro_ta --ignore-missing-imports --no-error-summary
run_cmd uv run --with pyright python -m pyright python/ferro_ta
}
# python_test and docs both need a compiled extension.
# Use a flag file so only the first concurrent caller runs maturin develop;
# subsequent callers (in parallel background jobs) wait and reuse it.
_MATURIN_LOCK="${TMPDIR:-/tmp}/ferro_ta_maturin_$$.lock"
_MATURIN_FLAG="${TMPDIR:-/tmp}/ferro_ta_maturin_$$.done"
ensure_python_env() {
[[ -f "$_MATURIN_FLAG" ]] && return
(
flock 9
if [[ ! -f "$_MATURIN_FLAG" ]]; then
need_cmd uv
run_cmd uv sync --extra dev --extra docs --extra mcp
run_cmd uv run --extra dev --extra docs --extra mcp maturin develop --release
touch "$_MATURIN_FLAG"
fi
) 9>"$_MATURIN_LOCK"
}
run_python_test() {
ensure_python_env
run_cmd uv run --extra dev --extra mcp --with pytest-cov \
pytest tests/unit/ tests/integration/ \
-v --cov=ferro_ta --cov-report=term-missing --cov-fail-under=65
run_cmd uv run --extra dev --extra mcp --with pytest-cov pytest tests/unit/ tests/integration/ -v --cov=ferro_ta --cov-report=term-missing --cov-fail-under=65
}
run_docs() {
@@ -105,161 +125,69 @@ run_docs() {
}
run_wasm() {
need_cmd node; need_cmd wasm-pack
need_cmd node
need_cmd wasm-pack
local benchmark_json="../.wasm_benchmark.prepush.json"
(
cd wasm
trap 'rm -f "$benchmark_json"' EXIT
run_cmd wasm-pack test --node
run_cmd npm run build
if [[ "${FERRO_FAST:-0}" != "1" ]]; then
local bj="../.wasm_benchmark.prepush.json"
run_cmd node bench.js --json "$bj"
rm -f "$bj"
fi
run_cmd node bench.js --json "$benchmark_json"
)
}
run_manifest() {
need_cmd python3
run_cmd python3 scripts/check_api_manifest.py
}
run_check() {
case "$1" in
version) run_version ;;
changelog) run_changelog ;;
manifest) run_manifest ;;
rust_fmt) run_rust_fmt ;;
rust_clippy) run_rust_clippy ;;
rust_core) run_rust_core ;;
rust_bench) run_rust_bench ;;
python_lint) run_python_lint ;;
local check_name="$1"
case "$check_name" in
version) run_version ;;
changelog) run_changelog ;;
rust_fmt) run_rust_fmt ;;
rust_clippy) run_rust_clippy ;;
rust_core) run_rust_core ;;
rust_bench) run_rust_bench ;;
python_lint) run_python_lint ;;
python_typecheck) run_python_typecheck ;;
python_test) run_python_test ;;
docs) run_docs ;;
wasm) run_wasm ;;
*) echo "Unknown check: $1 — use --list" >&2; exit 1 ;;
python_test) run_python_test ;;
docs) run_docs ;;
wasm) run_wasm ;;
manifest) run_manifest ;;
*)
echo "Unknown check: $check_name" >&2
echo "Use --list to see supported checks." >&2
exit 1
;;
esac
}
# ---------------------------------------------------------------------------
# Parallel runner — starts all checks concurrently, collects results
# ---------------------------------------------------------------------------
if [[ "${1:-}" == "--help" || "${1:-}" == "-h" ]]; then
usage
exit 0
fi
run_parallel() {
local -a checks=("$@")
[[ "${#checks[@]}" -eq 0 ]] && return 0
local -a pids logs names
local start
start=$(date +%s)
printf '\nStarting %d checks in parallel: %s\n' "${#checks[@]}" "${checks[*]}"
for check in "${checks[@]}"; do
local log
log=$(mktemp /tmp/ferro_prepush_XXXXXX)
logs+=("$log")
names+=("$check")
run_check "$check" >"$log" 2>&1 &
pids+=($!)
done
local failed=0
local -a failed_names
printf '\n'
for i in "${!pids[@]}"; do
if wait "${pids[$i]}" 2>/dev/null; then
printf ' ✓ %s\n' "${names[$i]}"
else
printf ' ✗ %s\n' "${names[$i]}"
failed_names+=("${names[$i]}")
failed=1
fi
done
# Print logs for failed checks only
if [[ "$failed" -eq 1 ]]; then
for i in "${!names[@]}"; do
local name="${names[$i]}"
if [[ " ${failed_names[*]:-} " == *" $name "* ]]; then
printf '\n'; printf '━%.0s' {1..60}; printf '\nFAILED: %s\n' "$name"; printf '━%.0s' {1..60}; printf '\n'
cat "${logs[$i]}"
fi
done
fi
for log in "${logs[@]}"; do rm -f "$log"; done
rm -f "$_MATURIN_LOCK" "$_MATURIN_FLAG"
printf '\nElapsed: %ds\n' "$(( $(date +%s) - start ))"
return "$failed"
}
# ---------------------------------------------------------------------------
# Argument parsing
# ---------------------------------------------------------------------------
[[ "${1:-}" == "--help" || "${1:-}" == "-h" ]] && { usage; exit 0; }
[[ "${1:-}" == "--list" ]] && { printf '%s\n' "${AVAILABLE_CHECKS[@]}"; exit 0; }
if [[ "${1:-}" == "--list" ]]; then
list_checks
exit 0
fi
selected_checks=()
if [[ "$#" -gt 0 ]]; then
selected_checks=("$@")
else
selected_checks=("${DEFAULT_CHECKS[@]}")
if [[ "${FERRO_FAST:-0}" == "1" ]]; then
selected_checks=()
for c in "${DEFAULT_CHECKS[@]}"; do
[[ "$c" == "docs" || "$c" == "wasm" ]] && continue
selected_checks+=("$c")
done
printf 'FERRO_FAST=1: skipping docs + wasm\n'
fi
fi
# ---------------------------------------------------------------------------
# Execution strategy:
# Phase 1 — instant gate (sequential, fail-fast):
# version, changelog, manifest, python_lint, rust_fmt
# These are trivial to run and catch the most common mistakes early.
# If any fail here we abort immediately without waiting for slow checks.
#
# Phase 2 — everything else in parallel:
# rust_clippy, rust_core, rust_bench, python_typecheck,
# python_test, docs, wasm
# ---------------------------------------------------------------------------
FAST_CHECKS=(version changelog manifest python_lint rust_fmt)
phase1=()
phase2=()
for c in "${selected_checks[@]}"; do
is_fast=0
for f in "${FAST_CHECKS[@]}"; do [[ "$c" == "$f" ]] && is_fast=1 && break; done
if [[ "$is_fast" -eq 1 ]]; then phase1+=("$c"); else phase2+=("$c"); fi
total_checks="${#selected_checks[@]}"
index=0
for check_name in "${selected_checks[@]}"; do
index=$((index + 1))
printf '\n[%d/%d] %s\n' "$index" "$total_checks" "$check_name"
run_check "$check_name"
done
# Phase 1: fast gate
if [[ "${#phase1[@]}" -gt 0 ]]; then
printf 'Phase 1 — fast gate (%d checks)\n' "${#phase1[@]}"
start1=$(date +%s)
for c in "${phase1[@]}"; do
printf ' [%s] ... ' "$c"
log=$(mktemp /tmp/ferro_prepush_XXXXXX)
if run_check "$c" >"$log" 2>&1; then
printf 'ok\n'
else
printf 'FAILED\n'
cat "$log"
rm -f "$log"
echo "" >&2
echo "Fast gate failed on '$c' — aborting before slow checks." >&2
exit 1
fi
rm -f "$log"
done
printf 'Phase 1 passed (%ds)\n' "$(( $(date +%s) - start1 ))"
fi
# Phase 2: parallel slow checks
if [[ "${#phase2[@]}" -gt 0 ]]; then
printf '\nPhase 2 — parallel slow checks\n'
run_parallel "${phase2[@]}" || exit 1
fi
printf '\nAll pre-push checks passed.\n'
printf '\nAll selected pre-push checks passed.\n'
-98
View File
@@ -1,98 +0,0 @@
use ndarray::Array2;
use numpy::{IntoPyArray, PyArray1, PyArray2, PyReadonlyArray1, PyReadonlyArray2};
use pyo3::exceptions::PyValueError;
use pyo3::prelude::*;
use rayon::prelude::*;
/// Dynamic Time Warping — distance and optimal warping path between two 1-D series.
///
/// Returns a tuple `(distance, path)` where `path` is a NumPy array of shape
/// `(N, 2)` containing `(i, j)` index pairs from `(0, 0)` to `(n-1, m-1)`.
///
/// Local cost: `|series1[i] - series2[j]|` (Euclidean, matches `dtaidistance`).
#[pyfunction]
#[pyo3(signature = (series1, series2, window = None))]
pub fn dtw<'py>(
py: Python<'py>,
series1: PyReadonlyArray1<'py, f64>,
series2: PyReadonlyArray1<'py, f64>,
window: Option<usize>,
) -> PyResult<(f64, Bound<'py, PyArray2<usize>>)> {
let s1 = series1.as_slice()?;
let s2 = series2.as_slice()?;
if s1.is_empty() || s2.is_empty() {
return Err(PyValueError::new_err(
"series1 and series2 must not be empty",
));
}
let (dist, path) = ferro_ta_core::statistic::dtw_path(s1, s2, window);
let n = path.len();
let flat: Vec<usize> = path.iter().flat_map(|&(i, j)| [i, j]).collect();
let arr =
Array2::from_shape_vec((n, 2), flat).map_err(|e| PyValueError::new_err(e.to_string()))?;
Ok((dist, arr.into_pyarray(py)))
}
/// Dynamic Time Warping — distance only (faster, no path reconstruction).
///
/// Returns the accumulated Euclidean cost along the optimal warping path.
/// Use this when you only need the distance, not the alignment path.
#[pyfunction]
#[pyo3(signature = (series1, series2, window = None))]
pub fn dtw_distance<'py>(
_py: Python<'py>,
series1: PyReadonlyArray1<'py, f64>,
series2: PyReadonlyArray1<'py, f64>,
window: Option<usize>,
) -> PyResult<f64> {
let s1 = series1.as_slice()?;
let s2 = series2.as_slice()?;
if s1.is_empty() || s2.is_empty() {
return Err(PyValueError::new_err(
"series1 and series2 must not be empty",
));
}
Ok(ferro_ta_core::statistic::dtw_distance(s1, s2, window))
}
/// Batch Dynamic Time Warping — compute DTW distance from each row of a 2-D matrix
/// to a single reference series, in parallel.
///
/// Parameters
/// ----------
/// matrix : np.ndarray, shape (N, L)
/// N time series of length L. Each row is compared against `reference`.
/// reference : np.ndarray, shape (L,)
/// The reference series.
/// window : int, optional
/// Sakoe-Chiba band width. `None` = unconstrained.
///
/// Returns
/// -------
/// np.ndarray, shape (N,)
/// DTW distances, one per row.
#[pyfunction]
#[pyo3(signature = (matrix, reference, window = None))]
pub fn batch_dtw<'py>(
py: Python<'py>,
matrix: PyReadonlyArray2<'py, f64>,
reference: PyReadonlyArray1<'py, f64>,
window: Option<usize>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let mat = matrix.as_array();
let ref_slice = reference.as_slice()?;
if ref_slice.is_empty() {
return Err(PyValueError::new_err("reference must not be empty"));
}
let (n_rows, _) = mat.dim();
let rows: Vec<Vec<f64>> = (0..n_rows).map(|i| mat.row(i).to_vec()).collect();
let result: Vec<f64> = rows
.par_iter()
.map(|series| ferro_ta_core::statistic::dtw_distance(series, ref_slice, window))
.collect();
Ok(result.into_pyarray(py))
}
-4
View File
@@ -4,7 +4,6 @@
mod beta;
pub(crate) mod common;
mod correl;
mod dtw;
mod linearreg;
mod stddev;
mod var;
@@ -24,8 +23,5 @@ pub fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_function(pyo3::wrap_pyfunction!(self::linearreg::tsf, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::beta::beta, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::correl::correl, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::dtw::dtw, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::dtw::dtw_distance, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::dtw::batch_dtw, m)?)?;
Ok(())
}
-178
View File
@@ -1,14 +1,10 @@
"""Unit tests for ferro_ta.indicators.statistic"""
import numpy as np
import pytest
from ferro_ta.indicators.statistic import (
BATCH_DTW,
BETA,
CORREL,
DTW,
DTW_DISTANCE,
LINEARREG,
LINEARREG_ANGLE,
LINEARREG_INTERCEPT,
@@ -312,177 +308,3 @@ class TestTSF:
expected = _naive_linearreg(_A, timeperiod=14, x_value=14.0)
result = TSF(_A, timeperiod=14)
np.testing.assert_allclose(result, expected, equal_nan=True)
# ---------------------------------------------------------------------------
# DTW — Dynamic Time Warping
# ---------------------------------------------------------------------------
dtai = pytest.importorskip("dtaidistance", reason="dtaidistance not installed")
_DTW_RNG = np.random.default_rng(42)
class TestDTW:
# --- Validation against dtaidistance (SOTA reference) ---
def test_distance_matches_dtaidistance_random(self):
"""Core correctness: our distance == dtaidistance on 20 random pairs."""
for _ in range(20):
n = int(_DTW_RNG.integers(5, 50))
a = _DTW_RNG.random(n)
b = _DTW_RNG.random(n)
expected = dtai.dtw.distance(a, b)
actual = DTW_DISTANCE(a, b)
np.testing.assert_allclose(
actual, expected, rtol=1e-9, err_msg=f"Mismatch on series length {n}"
)
def test_distance_matches_dtaidistance_unequal_length(self):
"""Handles unequal-length series correctly."""
for _ in range(10):
a = _DTW_RNG.random(int(_DTW_RNG.integers(5, 30)))
b = _DTW_RNG.random(int(_DTW_RNG.integers(5, 30)))
expected = dtai.dtw.distance(a, b)
actual = DTW_DISTANCE(a, b)
np.testing.assert_allclose(actual, expected, rtol=1e-9)
def test_path_distance_matches_dtaidistance(self):
"""DTW() path variant: returned distance matches dtaidistance."""
a = _DTW_RNG.random(20)
b = _DTW_RNG.random(25)
expected = dtai.dtw.distance(a, b)
dist, _ = DTW(a, b)
np.testing.assert_allclose(dist, expected, rtol=1e-9)
def test_path_matches_dtaidistance_warping_path(self):
"""Warping path matches dtaidistance.dtw.warping_path() on same-length series."""
for _ in range(10):
n = int(_DTW_RNG.integers(5, 20))
a = _DTW_RNG.random(n)
b = _DTW_RNG.random(n)
expected_path = dtai.dtw.warping_path(a, b)
_, actual_path = DTW(a, b)
actual_pairs = [tuple(int(x) for x in row) for row in actual_path]
assert actual_pairs == expected_path, (
f"Path mismatch for n={n}:\n ours={actual_pairs}\n dtai={expected_path}"
)
def test_window_constrained_matches_dtaidistance(self):
"""Sakoe-Chiba window matches dtaidistance window parameter."""
a = _DTW_RNG.random(30)
b = _DTW_RNG.random(30)
for w in [3, 8, 15]:
expected = dtai.dtw.distance(a, b, window=w)
actual = DTW_DISTANCE(a, b, window=w)
np.testing.assert_allclose(
actual, expected, rtol=1e-9, err_msg=f"Mismatch at window={w}"
)
def test_batch_matches_dtaidistance(self):
"""BATCH_DTW matches calling dtaidistance per-row."""
ref = _DTW_RNG.random(20)
matrix = _DTW_RNG.random((8, 20))
batch_result = BATCH_DTW(matrix, ref)
for i in range(8):
expected = dtai.dtw.distance(matrix[i], ref)
np.testing.assert_allclose(
batch_result[i],
expected,
rtol=1e-9,
err_msg=f"Batch mismatch at row {i}",
)
# --- Mathematical properties ---
def test_identical_distance_is_zero(self):
a = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
dist, _ = DTW(a, a)
assert dist == pytest.approx(0.0, abs=1e-10)
def test_symmetry(self):
a, b = _DTW_RNG.random(20), _DTW_RNG.random(20)
assert DTW_DISTANCE(a, b) == pytest.approx(DTW_DISTANCE(b, a), rel=1e-10)
def test_triangle_inequality(self):
a, b, c = _DTW_RNG.random(15), _DTW_RNG.random(15), _DTW_RNG.random(15)
assert DTW_DISTANCE(a, c) <= DTW_DISTANCE(a, b) + DTW_DISTANCE(b, c) + 1e-9
# --- Known hardcoded values ---
def test_known_shifted_series(self):
# [0,1,2] vs [1,2,3]: optimal path (0,0)→(1,0)→(2,1)→(2,2)
# Squared costs: 1+0+0+1=2, sqrt(2). Verified against dtaidistance.
a = np.array([0.0, 1.0, 2.0])
b = np.array([1.0, 2.0, 3.0])
np.testing.assert_allclose(DTW_DISTANCE(a, b), np.sqrt(2.0), rtol=1e-9)
def test_known_single_element(self):
# sqrt((3-7)^2) = sqrt(16) = 4.0
np.testing.assert_allclose(
DTW_DISTANCE(np.array([3.0]), np.array([7.0])), 4.0, rtol=1e-9
)
def test_known_constant_series(self):
assert DTW_DISTANCE(np.full(10, 5.0), np.full(10, 5.0)) == pytest.approx(
0.0, abs=1e-12
)
# --- Path structural guarantees ---
def test_path_starts_at_origin(self):
_, path = DTW(_DTW_RNG.random(10), _DTW_RNG.random(10))
assert tuple(int(x) for x in path[0]) == (0, 0)
def test_path_ends_at_corner(self):
_, path = DTW(_DTW_RNG.random(7), _DTW_RNG.random(9))
assert tuple(int(x) for x in path[-1]) == (6, 8)
def test_path_is_monotone(self):
_, path = DTW(_DTW_RNG.random(20), _DTW_RNG.random(20))
for k in range(1, len(path)):
assert path[k][0] >= path[k - 1][0]
assert path[k][1] >= path[k - 1][1]
def test_path_steps_unit_size(self):
_, path = DTW(_DTW_RNG.random(15), _DTW_RNG.random(12))
for k in range(1, len(path)):
di = int(path[k][0]) - int(path[k - 1][0])
dj = int(path[k][1]) - int(path[k - 1][1])
assert di in (0, 1) and dj in (0, 1)
assert not (di == 0 and dj == 0)
# --- DTW_DISTANCE == DTW distance ---
def test_distance_only_matches_full(self):
a, b = _DTW_RNG.random(25), _DTW_RNG.random(25)
d_full, _ = DTW(a, b)
np.testing.assert_allclose(DTW_DISTANCE(a, b), d_full, rtol=1e-10)
# --- Batch ---
def test_batch_single_row(self):
ref = np.array([1.0, 2.0, 3.0])
result = BATCH_DTW(np.array([[1.0, 2.0, 3.0]]), ref)
assert result[0] == pytest.approx(0.0, abs=1e-10)
def test_batch_matches_single_calls(self):
ref = _DTW_RNG.random(20)
matrix = _DTW_RNG.random((8, 20))
batch = BATCH_DTW(matrix, ref)
for i in range(8):
np.testing.assert_allclose(
batch[i], DTW_DISTANCE(matrix[i], ref), rtol=1e-10
)
# --- Edge cases ---
def test_empty_series_raises(self):
with pytest.raises((ValueError, Exception)):
DTW(np.array([]), np.array([1.0, 2.0]))
def test_window_constrained_ge_unconstrained(self):
a, b = _DTW_RNG.random(20), _DTW_RNG.random(20)
d_full = DTW_DISTANCE(a, b)
d_narrow = DTW_DISTANCE(a, b, window=2)
assert d_narrow >= d_full - 1e-9
Generated
+1 -1
View File
@@ -950,7 +950,7 @@ wheels = [
[[package]]
name = "ferro-ta"
version = "1.1.4"
version = "1.1.3"
source = { editable = "." }
dependencies = [
{ name = "numpy" },
+2 -2
View File
@@ -49,11 +49,11 @@ checksum = "9330f8b2ff13f34540b44e946ef35111825727b38d33286ef986142615121801"
[[package]]
name = "ferro_ta_core"
version = "1.1.4"
version = "1.1.3"
[[package]]
name = "ferro_ta_wasm"
version = "1.1.4"
version = "1.1.3"
dependencies = [
"ferro_ta_core",
"js-sys",
+1 -1
View File
@@ -1,6 +1,6 @@
[package]
name = "ferro_ta_wasm"
version = "1.1.4"
version = "1.1.3"
edition = "2021"
description = "WebAssembly bindings for ferro-ta technical analysis indicators"
license = "MIT"
+1 -1
View File
@@ -1,6 +1,6 @@
{
"name": "ferro-ta-wasm",
"version": "1.1.4",
"version": "1.1.3",
"description": "WebAssembly bindings for ferro-ta technical analysis indicators",
"main": "node/ferro_ta_wasm.js",
"module": "web/ferro_ta_wasm.js",
-12
View File
@@ -1653,18 +1653,6 @@ pub fn correl(real0: &Float64Array, real1: &Float64Array, timeperiod: usize) ->
from_vec(ferro_ta_core::statistic::correl(&to_vec(real0), &to_vec(real1), timeperiod))
}
/// Dynamic Time Warping distance between two series.
///
/// Returns the accumulated Euclidean cost along the optimal warping path.
/// Pass `window` as `0` for unconstrained (no Sakoe-Chiba band).
#[wasm_bindgen]
pub fn dtw_distance(series1: &Float64Array, series2: &Float64Array, window: usize) -> f64 {
let s1 = to_vec(series1);
let s2 = to_vec(series2);
let w = if window == 0 { None } else { Some(window) };
ferro_ta_core::statistic::dtw_distance(&s1, &s2, w)
}
// ===========================================================================
// Streaming / Stateful API
// ===========================================================================