Compare commits
8 Commits
| Author | SHA1 | Date | |
|---|---|---|---|
| 29c6f5cf84 | |||
| 58a1dc2308 | |||
| b66b05682e | |||
| e4ac7dd4d3 | |||
| 1f053c1001 | |||
| 13cb0dc95a | |||
| 0382c4e302 | |||
| 7736effc27 |
@@ -0,0 +1,60 @@
|
||||
name: Release
|
||||
|
||||
# Triggered when a version tag is pushed (e.g. v1.0.3).
|
||||
# Creates a GitHub Release marked as "published", which in turn
|
||||
# triggers the build-wheels and publish jobs in CI.yml.
|
||||
|
||||
on:
|
||||
push:
|
||||
tags:
|
||||
- "v*.*.*"
|
||||
|
||||
permissions:
|
||||
contents: write
|
||||
|
||||
jobs:
|
||||
create-release:
|
||||
name: Create GitHub Release
|
||||
runs-on: ubuntu-latest
|
||||
steps:
|
||||
- uses: actions/checkout@v6
|
||||
with:
|
||||
fetch-depth: 0
|
||||
|
||||
- name: Extract version from tag
|
||||
id: version
|
||||
run: |
|
||||
VERSION="${GITHUB_REF_NAME#v}"
|
||||
if ! [[ "$VERSION" =~ ^[0-9]+\.[0-9]+\.[0-9]+([-.][0-9A-Za-z.]+)?$ ]]; then
|
||||
echo "Expected a semantic-version tag like v1.0.3 or v1.0.3-rc1, got: $GITHUB_REF_NAME"
|
||||
exit 1
|
||||
fi
|
||||
echo "version=$VERSION" >> "$GITHUB_OUTPUT"
|
||||
|
||||
- name: Extract changelog entry for this version
|
||||
id: changelog
|
||||
env:
|
||||
TAG_NAME: ${{ github.ref_name }}
|
||||
run: |
|
||||
python3 - <<'PY'
|
||||
import re, os, pathlib
|
||||
|
||||
version = os.environ["TAG_NAME"].lstrip("v")
|
||||
text = pathlib.Path("CHANGELOG.md").read_text(encoding="utf-8")
|
||||
|
||||
pattern = rf"## \[{re.escape(version)}\].*?\n(.*?)(?=\n## |\Z)"
|
||||
match = re.search(pattern, text, re.DOTALL)
|
||||
body = match.group(1).strip() if match else f"Release {version}"
|
||||
|
||||
with open(os.environ["GITHUB_OUTPUT"], "a") as f:
|
||||
f.write(f"body<<EOF\n{body}\nEOF\n")
|
||||
PY
|
||||
|
||||
- name: Create GitHub Release
|
||||
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, '-') }}
|
||||
+3
-1
@@ -31,6 +31,8 @@ env/
|
||||
# WASM build output
|
||||
wasm/pkg/
|
||||
wasm/pkg-web/
|
||||
.coverage
|
||||
.coverage.*
|
||||
coverage.xml
|
||||
.hypothesis/
|
||||
|
||||
@@ -39,4 +41,4 @@ coverage.xml
|
||||
|
||||
# DS Store in all directories
|
||||
.DS_Store
|
||||
*.DS_Store
|
||||
*.DS_Store
|
||||
|
||||
+65
-1
@@ -9,6 +9,68 @@ and the project uses [Semantic Versioning](https://semver.org/).
|
||||
|
||||
## [Unreleased]
|
||||
|
||||
## [1.0.4] — 2026-03-24
|
||||
|
||||
### Added
|
||||
|
||||
- The optional MCP server now exposes the broad public ferro-ta callable
|
||||
surface, including exact top-level exports, non-top-level public analysis and
|
||||
tooling functions, and generic stored-instance tools for stateful classes and
|
||||
returned callables.
|
||||
- Added a dedicated `TA_LIB_COMPATIBILITY.md` document so the full TA-Lib
|
||||
coverage matrix remains available without bloating the project homepage.
|
||||
|
||||
### Changed
|
||||
|
||||
- Reworked the root README into a shorter product-first landing page with a
|
||||
compatibility summary and docs map, and refreshed MCP documentation to match
|
||||
the expanded server behavior.
|
||||
- Updated the MCP implementation to use generated tool registration over the
|
||||
public API while keeping the legacy lowercase aliases (`sma`, `ema`, `rsi`,
|
||||
`macd`, `backtest`) available for existing clients.
|
||||
- Refreshed locked Python dependency resolutions for the latest low-risk direct
|
||||
updates in this release cycle.
|
||||
|
||||
### Fixed
|
||||
|
||||
- The repository no longer tracks the stray `.coverage` artifact, and coverage
|
||||
outputs are now ignored consistently.
|
||||
- MCP tests now cover generated tool discovery, stored-instance workflows, and
|
||||
callable-reference execution paths so the broader server surface does not
|
||||
regress silently.
|
||||
|
||||
## [1.0.3] — 2026-03-24
|
||||
|
||||
### Added
|
||||
|
||||
- Public package metadata helpers: `ferro_ta.__version__`, `ferro_ta.about()`,
|
||||
and `ferro_ta.methods()` for quick API discovery across the top-level,
|
||||
indicators, data, and analysis surfaces.
|
||||
- A standalone derivatives benchmark runner covering selected
|
||||
Black-Scholes-Merton pricing, implied-volatility recovery, Greeks, and
|
||||
Black-76 pricing paths with reproducible machine/runtime metadata, per-run
|
||||
timing samples, variance stats, and Python-tracked allocation snapshots.
|
||||
- A one-command version bump helper, `scripts/bump_version.py`, plus `make version
|
||||
VERSION=X.Y.Z` for aligned Cargo, Python, WASM, Conda, and docs release
|
||||
surfaces.
|
||||
|
||||
### Changed
|
||||
|
||||
- Tightened the homepage and docs product narrative so the core Rust-backed
|
||||
Python TA library leads, while adjacent tooling is called out separately.
|
||||
- Strengthened benchmark evidence and support documentation with clearer
|
||||
benchmark caveats, support-matrix pages, and more explicit release/version
|
||||
consistency guidance.
|
||||
|
||||
### Fixed
|
||||
|
||||
- Python CI now recognizes the top-level metadata API in type stubs, and the
|
||||
derivatives benchmark smoke test no longer depends on importing the
|
||||
`benchmarks` package from an installed wheel layout.
|
||||
- The tag-driven GitHub Release workflow now uses a valid glob trigger and an
|
||||
explicit semantic-version validation step, so pushing `v1.0.3`-style tags
|
||||
correctly creates the release that fans out into the publish jobs.
|
||||
|
||||
## [1.0.2] — 2026-03-24
|
||||
|
||||
### Performance
|
||||
@@ -293,7 +355,9 @@ and the project uses [Semantic Versioning](https://semver.org/).
|
||||
|
||||
---
|
||||
|
||||
[Unreleased]: https://github.com/pratikbhadane24/ferro-ta/compare/v1.0.2...HEAD
|
||||
[Unreleased]: https://github.com/pratikbhadane24/ferro-ta/compare/v1.0.4...HEAD
|
||||
[1.0.4]: https://github.com/pratikbhadane24/ferro-ta/compare/v1.0.3...v1.0.4
|
||||
[1.0.3]: https://github.com/pratikbhadane24/ferro-ta/compare/v1.0.2...v1.0.3
|
||||
[1.0.2]: https://github.com/pratikbhadane24/ferro-ta/compare/v1.0.1...v1.0.2
|
||||
[1.0.1]: https://github.com/pratikbhadane24/ferro-ta/compare/v1.0.0...v1.0.1
|
||||
[1.0.0]: https://github.com/pratikbhadane24/ferro-ta/releases/tag/v1.0.0
|
||||
|
||||
Generated
+2
-2
@@ -207,7 +207,7 @@ checksum = "48c757948c5ede0e46177b7add2e67155f70e33c07fea8284df6576da70b3719"
|
||||
|
||||
[[package]]
|
||||
name = "ferro_ta"
|
||||
version = "1.0.2"
|
||||
version = "1.0.4"
|
||||
dependencies = [
|
||||
"criterion",
|
||||
"ferro_ta_core",
|
||||
@@ -222,7 +222,7 @@ dependencies = [
|
||||
|
||||
[[package]]
|
||||
name = "ferro_ta_core"
|
||||
version = "1.0.2"
|
||||
version = "1.0.4"
|
||||
dependencies = [
|
||||
"criterion",
|
||||
"wide",
|
||||
|
||||
+9
-2
@@ -5,9 +5,16 @@ resolver = "2"
|
||||
|
||||
[package]
|
||||
name = "ferro_ta"
|
||||
version = "1.0.2"
|
||||
version = "1.0.4"
|
||||
edition = "2021"
|
||||
description = "Rust-powered Python technical analysis library with a TA-Lib-compatible API"
|
||||
license = "MIT"
|
||||
readme = "README.md"
|
||||
repository = "https://github.com/pratikbhadane24/ferro-ta"
|
||||
homepage = "https://github.com/pratikbhadane24/ferro-ta#readme"
|
||||
documentation = "https://pratikbhadane24.github.io/ferro-ta/"
|
||||
keywords = ["technical-analysis", "trading", "indicators", "finance", "ta-lib"]
|
||||
categories = ["finance", "mathematics"]
|
||||
publish = false
|
||||
|
||||
[lib]
|
||||
@@ -23,7 +30,7 @@ ndarray = "0.16"
|
||||
rayon = "1.10"
|
||||
log = "0.4"
|
||||
pyo3-log = "0.12"
|
||||
ferro_ta_core = { path = "crates/ferro_ta_core", version = "1.0.2" }
|
||||
ferro_ta_core = { path = "crates/ferro_ta_core", version = "1.0.4" }
|
||||
|
||||
[dev-dependencies]
|
||||
criterion = { version = "0.8", features = ["html_reports"] }
|
||||
|
||||
@@ -1,7 +1,7 @@
|
||||
# ferro-ta development Makefile
|
||||
# Usage: make <target>
|
||||
|
||||
.PHONY: help dev build test lint typecheck fmt docs clean bench
|
||||
.PHONY: help dev build test lint typecheck fmt docs clean bench version
|
||||
|
||||
# Default target
|
||||
help:
|
||||
@@ -15,6 +15,7 @@ help:
|
||||
@echo " make typecheck Run mypy + pyright type checkers"
|
||||
@echo " make docs Build the Sphinx documentation"
|
||||
@echo " make bench Run Rust criterion benchmarks (ferro_ta_core)"
|
||||
@echo " make version Bump tracked version strings (set VERSION=X.Y.Z)"
|
||||
@echo " make audit Run cargo-audit + pip-audit"
|
||||
@echo " make clean Remove build artefacts"
|
||||
|
||||
@@ -48,6 +49,10 @@ docs:
|
||||
bench:
|
||||
cargo bench -p ferro_ta_core
|
||||
|
||||
version:
|
||||
@test -n "$(VERSION)" || (echo "Usage: make version VERSION=X.Y.Z" && exit 1)
|
||||
python3 scripts/bump_version.py "$(VERSION)"
|
||||
|
||||
audit:
|
||||
cargo audit
|
||||
uv run --with pip-audit pip-audit
|
||||
|
||||
+28
-7
@@ -42,6 +42,8 @@ Before starting a release:
|
||||
- [ ] `CHANGELOG.md` has a `## [X.Y.Z]` section (not `[Unreleased]`) with all
|
||||
changes since the last release documented under `### Added`, `### Changed`,
|
||||
`### Fixed`, `### Removed` headings.
|
||||
- [ ] Public docs match the release: `docs/conf.py`, `docs/changelog.rst`, and
|
||||
`docs/support_matrix.rst` reflect the version and current support status.
|
||||
|
||||
---
|
||||
|
||||
@@ -62,26 +64,39 @@ Example: current version is `0.1.0` and you are adding new indicators → new ve
|
||||
|
||||
## Step 2 — Sync version everywhere
|
||||
|
||||
These files must carry **the same version string** (e.g. `0.2.0`). Update all before tagging:
|
||||
These files must carry **the same version string** (e.g. `0.2.0`). The easiest
|
||||
way to do that is:
|
||||
|
||||
```bash
|
||||
python3 scripts/bump_version.py 0.2.0
|
||||
python3 scripts/bump_version.py --check
|
||||
```
|
||||
|
||||
That script updates the tracked release-version carriers for you.
|
||||
|
||||
Files covered by the bump script:
|
||||
|
||||
| File | Location |
|
||||
|------|----------|
|
||||
| `Cargo.toml` | Root (source of truth) |
|
||||
| `crates/ferro_ta_core/Cargo.toml` | Same version for crates.io publish |
|
||||
| `crates/ferro_ta_core/README.md` | Installation snippet should show the current crate version |
|
||||
| `pyproject.toml` | Root |
|
||||
| `wasm/package.json` | `"version": "0.2.0"` |
|
||||
| `wasm/package.json` | Package version |
|
||||
| `conda/meta.yaml` | Conda recipe version |
|
||||
| `docs/conf.py` | Default Sphinx release must resolve to the same version |
|
||||
|
||||
**`Cargo.toml`** (root):
|
||||
```toml
|
||||
[package]
|
||||
name = "ferro_ta"
|
||||
version = "0.2.0" # ← update here
|
||||
version = "X.Y.Z" # ← or use scripts/bump_version.py X.Y.Z
|
||||
```
|
||||
|
||||
**`pyproject.toml`**:
|
||||
```toml
|
||||
[project]
|
||||
version = "0.2.0" # ← must match Cargo.toml exactly
|
||||
version = "X.Y.Z" # ← must match Cargo.toml exactly
|
||||
```
|
||||
|
||||
> **Rule:** `Cargo.toml` is the source of truth. Sync the others to match before tagging.
|
||||
@@ -91,18 +106,24 @@ version = "0.2.0" # ← must match Cargo.toml exactly
|
||||
## Step 3 — Update CHANGELOG.md
|
||||
|
||||
1. Open `CHANGELOG.md`.
|
||||
2. Rename the `[Unreleased]` section to `[0.2.0] — YYYY-MM-DD` (today's date).
|
||||
2. Rename the `[Unreleased]` section to `[X.Y.Z] — YYYY-MM-DD` (today's date).
|
||||
3. Add a fresh empty `[Unreleased]` section at the top.
|
||||
4. Update the comparison links at the bottom:
|
||||
|
||||
```markdown
|
||||
[Unreleased]: https://github.com/pratikbhadane24/ferro-ta/compare/v0.2.0...HEAD
|
||||
[0.2.0]: https://github.com/pratikbhadane24/ferro-ta/compare/v0.1.0...v0.2.0
|
||||
[Unreleased]: https://github.com/pratikbhadane24/ferro-ta/compare/vX.Y.Z...HEAD
|
||||
[X.Y.Z]: https://github.com/pratikbhadane24/ferro-ta/compare/vPREVIOUS...vX.Y.Z
|
||||
```
|
||||
|
||||
Follow the [Keep a Changelog](https://keepachangelog.com/en/1.0.0/) format:
|
||||
`Added`, `Changed`, `Deprecated`, `Removed`, `Fixed`, `Security`.
|
||||
|
||||
Also update the docs-facing release surfaces for the same version:
|
||||
|
||||
- `docs/changelog.rst` with a concise release-notes entry
|
||||
- `docs/support_matrix.rst` if supported versions, tested wheels, or module
|
||||
stability changed
|
||||
|
||||
---
|
||||
|
||||
## Step 4 — Commit the version bump
|
||||
|
||||
@@ -0,0 +1,262 @@
|
||||
# TA-Lib Compatibility
|
||||
|
||||
`ferro-ta` covers **100% of TA-Lib's function set** (`162+` indicators). This
|
||||
file keeps the full GitHub-facing parity matrix in one place so the root
|
||||
`README.md` can stay product-focused.
|
||||
|
||||
See also:
|
||||
|
||||
- [docs/migration_talib.rst](docs/migration_talib.rst)
|
||||
- [docs/compatibility/talib.md](docs/compatibility/talib.md)
|
||||
- [docs/support_matrix.rst](docs/support_matrix.rst)
|
||||
|
||||
## Legend
|
||||
|
||||
|
||||
| Symbol | Meaning |
|
||||
| -------- | ------------------------------------------------------------------------------------------------------ |
|
||||
| ✅ Exact | Values match TA-Lib to floating-point precision |
|
||||
| ✅ Close | Values match after a short convergence window (EMA-seed difference) |
|
||||
| ⚠️ Corr | Strong correlation (> 0.95) but not numerically identical (Wilder smoothing seed or algorithm variant) |
|
||||
| ⚠️ Shape | Same output shape / NaN structure; values differ due to algorithm variant |
|
||||
| ❌ | Not yet implemented |
|
||||
|
||||
|
||||
## Overlap Studies
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Accuracy | Notes |
|
||||
| --------------- | -------- | -------- | ----------------------------------------------------- |
|
||||
| `BBANDS` | ✅ | ✅ Exact | Bollinger Bands |
|
||||
| `DEMA` | ✅ | ✅ Close | Double EMA; converges after ~20 bars |
|
||||
| `EMA` | ✅ | ✅ Close | Exponential Moving Average; converges after ~20 bars |
|
||||
| `KAMA` | ✅ | ✅ Exact | Kaufman Adaptive MA (values match after seed bar) |
|
||||
| `MA` | ✅ | ✅ Exact | Moving average (generic, type-selectable) |
|
||||
| `MAMA` | ✅ | ⚠️ Corr | MESA Adaptive MA |
|
||||
| `MAVP` | ✅ | ✅ Exact | MA with variable period |
|
||||
| `MIDPOINT` | ✅ | ✅ Exact | Midpoint over period |
|
||||
| `MIDPRICE` | ✅ | ✅ Exact | Midpoint price over period |
|
||||
| `SAR` | ✅ | ⚠️ Shape | Parabolic SAR (same shape; reversal history diverges) |
|
||||
| `SAREXT` | ✅ | ⚠️ Shape | Parabolic SAR Extended |
|
||||
| `SMA` | ✅ | ✅ Exact | Simple Moving Average |
|
||||
| `T3` | ✅ | ✅ Close | Triple Exponential MA (T3); converges after ~50 bars |
|
||||
| `TEMA` | ✅ | ✅ Close | Triple EMA; converges after ~20 bars |
|
||||
| `TRIMA` | ✅ | ✅ Exact | Triangular Moving Average |
|
||||
| `WMA` | ✅ | ✅ Exact | Weighted Moving Average |
|
||||
|
||||
|
||||
## Momentum Indicators
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Accuracy | Notes |
|
||||
| --------------- | -------- | -------- | ---------------------------------------------------------------------------- |
|
||||
| `ADX` | ✅ | ✅ Close | Avg Directional Movement Index (TA-Lib Wilder sum-seeding) |
|
||||
| `ADXR` | ✅ | ✅ Close | ADX Rating (inherits ADX; TA-Lib seeding) |
|
||||
| `APO` | ✅ | ✅ Close | Absolute Price Oscillator (EMA-based) |
|
||||
| `AROON` | ✅ | ✅ Exact | Aroon Up/Down |
|
||||
| `AROONOSC` | ✅ | ✅ Exact | Aroon Oscillator |
|
||||
| `BOP` | ✅ | ✅ Exact | Balance Of Power |
|
||||
| `CCI` | ✅ | ✅ Exact | Commodity Channel Index (TA-Lib-compatible MAD formula) |
|
||||
| `CMO` | ✅ | ✅ Close | Chande Momentum Oscillator (rolling window, TA-Lib-compatible) |
|
||||
| `DX` | ✅ | ✅ Close | Directional Movement Index (TA-Lib Wilder sum-seeding) |
|
||||
| `MACD` | ✅ | ✅ Close | MACD (EMA-based; converges after ~30 bars) |
|
||||
| `MACDEXT` | ✅ | ✅ Close | MACD with controllable MA type (EMA-based; converges) |
|
||||
| `MACDFIX` | ✅ | ✅ Close | MACD Fixed 12/26 (EMA-based; converges) |
|
||||
| `MFI` | ✅ | ✅ Exact | Money Flow Index |
|
||||
| `MINUS_DI` | ✅ | ✅ Close | Minus Directional Indicator (TA-Lib Wilder sum-seeding) |
|
||||
| `MINUS_DM` | ✅ | ✅ Close | Minus Directional Movement (TA-Lib Wilder sum-seeding) |
|
||||
| `MOM` | ✅ | ✅ Exact | Momentum |
|
||||
| `PLUS_DI` | ✅ | ✅ Close | Plus Directional Indicator (TA-Lib Wilder sum-seeding) |
|
||||
| `PLUS_DM` | ✅ | ✅ Close | Plus Directional Movement (TA-Lib Wilder sum-seeding) |
|
||||
| `PPO` | ✅ | ✅ Close | Percentage Price Oscillator (EMA-based) |
|
||||
| `ROC` | ✅ | ✅ Exact | Rate of Change |
|
||||
| `ROCP` | ✅ | ✅ Exact | Rate of Change Percentage |
|
||||
| `ROCR` | ✅ | ✅ Exact | Rate of Change Ratio |
|
||||
| `ROCR100` | ✅ | ✅ Exact | Rate of Change Ratio × 100 |
|
||||
| `RSI` | ✅ | ✅ Close | Relative Strength Index (TA-Lib Wilder seeding; converges after ~1 seed bar) |
|
||||
| `STOCH` | ✅ | ✅ Close | Stochastic (TA-Lib-compatible SMA smoothing for slowk and slowd) |
|
||||
| `STOCHF` | ✅ | ✅ Exact | Stochastic Fast (%K exact; %D NaN offset ±2) |
|
||||
| `STOCHRSI` | ✅ | ✅ Close | Stochastic RSI (TA-Lib-compatible; SMA fastd, Wilder-seeded RSI) |
|
||||
| `TRIX` | ✅ | ✅ Close | 1-day ROC of Triple EMA (EMA-based; converges) |
|
||||
| `ULTOSC` | ✅ | ✅ Exact | Ultimate Oscillator |
|
||||
| `WILLR` | ✅ | ✅ Exact | Williams' %R |
|
||||
|
||||
|
||||
## Volume Indicators
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Accuracy | Notes |
|
||||
| --------------- | -------- | -------- | ------------------------------------------------------------------ |
|
||||
| `AD` | ✅ | ✅ Exact | Chaikin A/D Line |
|
||||
| `ADOSC` | ✅ | ✅ Exact | Chaikin A/D Oscillator |
|
||||
| `OBV` | ✅ | ✅ Exact | On Balance Volume (increments identical; constant offset at bar 0) |
|
||||
|
||||
|
||||
## Volatility Indicators
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Accuracy | Notes |
|
||||
| --------------- | -------- | -------- | ----------------------------------------------------------------------- |
|
||||
| `ATR` | ✅ | ✅ Close | Average True Range (TA-Lib Wilder seeding; matches from bar timeperiod) |
|
||||
| `NATR` | ✅ | ✅ Close | Normalized ATR (TA-Lib Wilder seeding) |
|
||||
| `TRANGE` | ✅ | ✅ Exact | True Range (bar 0 differs; all others identical) |
|
||||
|
||||
|
||||
## Cycle Indicators
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Accuracy | Notes |
|
||||
| --------------- | -------- | -------- | ---------------------------------------------------------- |
|
||||
| `HT_DCPERIOD` | ✅ | ⚠️ Shape | Hilbert Transform Dominant Cycle Period (Ehlers algorithm) |
|
||||
| `HT_DCPHASE` | ✅ | ⚠️ Shape | Hilbert Transform Dominant Cycle Phase |
|
||||
| `HT_PHASOR` | ✅ | ⚠️ Shape | Hilbert Transform Phasor Components (inphase, quadrature) |
|
||||
| `HT_SINE` | ✅ | ⚠️ Shape | Hilbert Transform SineWave (sine, leadsine) |
|
||||
| `HT_TRENDLINE` | ✅ | ⚠️ Shape | Hilbert Transform Instantaneous Trendline |
|
||||
| `HT_TRENDMODE` | ✅ | ⚠️ Shape | Hilbert Transform Trend vs Cycle Mode (1=trend, 0=cycle) |
|
||||
|
||||
|
||||
## Price Transformations
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Accuracy | Notes |
|
||||
| --------------- | -------- | -------- | -------------------- |
|
||||
| `AVGPRICE` | ✅ | ✅ Exact | Average Price |
|
||||
| `MEDPRICE` | ✅ | ✅ Exact | Median Price |
|
||||
| `TYPPRICE` | ✅ | ✅ Exact | Typical Price |
|
||||
| `WCLPRICE` | ✅ | ✅ Exact | Weighted Close Price |
|
||||
|
||||
|
||||
## Statistic Functions
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Accuracy | Notes |
|
||||
| --------------------- | -------- | -------- | ----------------------------------------------------------- |
|
||||
| `BETA` | ✅ | ✅ Close | Beta coefficient (returns-based regression matching TA-Lib) |
|
||||
| `CORREL` | ✅ | ✅ Exact | Pearson Correlation Coefficient |
|
||||
| `LINEARREG` | ✅ | ✅ Exact | Linear Regression |
|
||||
| `LINEARREG_ANGLE` | ✅ | ✅ Exact | Linear Regression Angle |
|
||||
| `LINEARREG_INTERCEPT` | ✅ | ✅ Exact | Linear Regression Intercept |
|
||||
| `LINEARREG_SLOPE` | ✅ | ✅ Exact | Linear Regression Slope |
|
||||
| `STDDEV` | ✅ | ✅ Exact | Standard Deviation |
|
||||
| `TSF` | ✅ | ✅ Exact | Time Series Forecast |
|
||||
| `VAR` | ✅ | ✅ Exact | Variance |
|
||||
|
||||
|
||||
## Pattern Recognition
|
||||
|
||||
`ferro-ta` implements all 61 candlestick patterns. All return the same
|
||||
`{-100, 0, 100}` convention as TA-Lib. Pattern thresholds may differ slightly
|
||||
from the full TA-Lib implementation.
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Notes |
|
||||
| --------------------- | -------- | --------------------------------------------------- |
|
||||
| `CDL2CROWS` | ✅ | Two Crows |
|
||||
| `CDL3BLACKCROWS` | ✅ | Three Black Crows |
|
||||
| `CDL3INSIDE` | ✅ | Three Inside Up/Down |
|
||||
| `CDL3LINESTRIKE` | ✅ | Three-Line Strike |
|
||||
| `CDL3OUTSIDE` | ✅ | Three Outside Up/Down |
|
||||
| `CDL3STARSINSOUTH` | ✅ | Three Stars In The South |
|
||||
| `CDL3WHITESOLDIERS` | ✅ | Three Advancing White Soldiers |
|
||||
| `CDLABANDONEDBABY` | ✅ | Abandoned Baby |
|
||||
| `CDLADVANCEBLOCK` | ✅ | Advance Block |
|
||||
| `CDLBELTHOLD` | ✅ | Belt-hold |
|
||||
| `CDLBREAKAWAY` | ✅ | Breakaway |
|
||||
| `CDLCLOSINGMARUBOZU` | ✅ | Closing Marubozu |
|
||||
| `CDLCONCEALBABYSWALL` | ✅ | Concealing Baby Swallow |
|
||||
| `CDLCOUNTERATTACK` | ✅ | Counterattack |
|
||||
| `CDLDARKCLOUDCOVER` | ✅ | Dark Cloud Cover |
|
||||
| `CDLDOJI` | ✅ | Doji |
|
||||
| `CDLDOJISTAR` | ✅ | Doji Star |
|
||||
| `CDLDRAGONFLYDOJI` | ✅ | Dragonfly Doji |
|
||||
| `CDLENGULFING` | ✅ | Engulfing Pattern |
|
||||
| `CDLEVENINGDOJISTAR` | ✅ | Evening Doji Star |
|
||||
| `CDLEVENINGSTAR` | ✅ | Evening Star |
|
||||
| `CDLGAPSIDESIDEWHITE` | ✅ | Up/Down-gap side-by-side white lines |
|
||||
| `CDLGRAVESTONEDOJI` | ✅ | Gravestone Doji |
|
||||
| `CDLHAMMER` | ✅ | Hammer |
|
||||
| `CDLHANGINGMAN` | ✅ | Hanging Man |
|
||||
| `CDLHARAMI` | ✅ | Harami Pattern |
|
||||
| `CDLHARAMICROSS` | ✅ | Harami Cross Pattern |
|
||||
| `CDLHIGHWAVE` | ✅ | High-Wave Candle |
|
||||
| `CDLHIKKAKE` | ✅ | Hikkake Pattern |
|
||||
| `CDLHIKKAKEMOD` | ✅ | Modified Hikkake Pattern |
|
||||
| `CDLHOMINGPIGEON` | ✅ | Homing Pigeon |
|
||||
| `CDLIDENTICAL3CROWS` | ✅ | Identical Three Crows |
|
||||
| `CDLINNECK` | ✅ | In-Neck Pattern |
|
||||
| `CDLINVERTEDHAMMER` | ✅ | Inverted Hammer |
|
||||
| `CDLKICKING` | ✅ | Kicking |
|
||||
| `CDLKICKINGBYLENGTH` | ✅ | Kicking by the longer Marubozu |
|
||||
| `CDLLADDERBOTTOM` | ✅ | Ladder Bottom |
|
||||
| `CDLLONGLEGGEDDOJI` | ✅ | Long Legged Doji |
|
||||
| `CDLLONGLINE` | ✅ | Long Line Candle |
|
||||
| `CDLMARUBOZU` | ✅ | Marubozu |
|
||||
| `CDLMATCHINGLOW` | ✅ | Matching Low |
|
||||
| `CDLMATHOLD` | ✅ | Mat Hold |
|
||||
| `CDLMORNINGDOJISTAR` | ✅ | Morning Doji Star |
|
||||
| `CDLMORNINGSTAR` | ✅ | Morning Star |
|
||||
| `CDLONNECK` | ✅ | On-Neck Pattern |
|
||||
| `CDLPIERCING` | ✅ | Piercing Pattern |
|
||||
| `CDLRICKSHAWMAN` | ✅ | Rickshaw Man |
|
||||
| `CDLRISEFALL3METHODS` | ✅ | Rising/Falling Three Methods |
|
||||
| `CDLSEPARATINGLINES` | ✅ | Separating Lines |
|
||||
| `CDLSHOOTINGSTAR` | ✅ | Shooting Star |
|
||||
| `CDLSHORTLINE` | ✅ | Short Line Candle |
|
||||
| `CDLSPINNINGTOP` | ✅ | Spinning Top |
|
||||
| `CDLSTALLEDPATTERN` | ✅ | Stalled Pattern |
|
||||
| `CDLSTICKSANDWICH` | ✅ | Stick Sandwich |
|
||||
| `CDLTAKURI` | ✅ | Takuri (Dragonfly Doji with very long lower shadow) |
|
||||
| `CDLTASUKIGAP` | ✅ | Tasuki Gap |
|
||||
| `CDLTHRUSTING` | ✅ | Thrusting Pattern |
|
||||
| `CDLTRISTAR` | ✅ | Tristar Pattern |
|
||||
| `CDLUNIQUE3RIVER` | ✅ | Unique 3 River |
|
||||
| `CDLUPSIDEGAP2CROWS` | ✅ | Upside Gap Two Crows |
|
||||
| `CDLXSIDEGAP3METHODS` | ✅ | Upside/Downside Gap Three Methods |
|
||||
|
||||
|
||||
## Math Operators / Math Transforms
|
||||
|
||||
`ferro-ta` provides TA-Lib-compatible wrappers for all arithmetic and
|
||||
math-transform functions. Rolling functions (`SUM`, `MAX`, `MIN`) produce `NaN`
|
||||
for the first `timeperiod - 1` bars.
|
||||
|
||||
|
||||
| TA-Lib Function | ferro-ta | Notes |
|
||||
| ------------------------ | -------- | ----------------------------- |
|
||||
| `ADD` | ✅ | Element-wise addition |
|
||||
| `SUB` | ✅ | Element-wise subtraction |
|
||||
| `MULT` | ✅ | Element-wise multiplication |
|
||||
| `DIV` | ✅ | Element-wise division |
|
||||
| `SUM` | ✅ | Rolling sum over *timeperiod* |
|
||||
| `MAX` / `MAXINDEX` | ✅ | Rolling maximum / index |
|
||||
| `MIN` / `MININDEX` | ✅ | Rolling minimum / index |
|
||||
| `ACOS` / `ASIN` / `ATAN` | ✅ | Arc trig transforms |
|
||||
| `CEIL` / `FLOOR` | ✅ | Round up / down |
|
||||
| `COS` / `SIN` / `TAN` | ✅ | Trig transforms |
|
||||
| `COSH` / `SINH` / `TANH` | ✅ | Hyperbolic transforms |
|
||||
| `EXP` / `LN` / `LOG10` | ✅ | Exponential / log transforms |
|
||||
| `SQRT` | ✅ | Square root |
|
||||
|
||||
|
||||
## Implementation Coverage Summary
|
||||
|
||||
|
||||
| Category | Implemented | Not Implemented |
|
||||
| --------------------------- | ----------- | --------------- |
|
||||
| Overlap Studies | 19 | 0 |
|
||||
| Momentum Indicators | 28 | 0 |
|
||||
| Volume Indicators | 3 | 0 |
|
||||
| Volatility Indicators | 3 | 0 |
|
||||
| Cycle Indicators | 6 | 0 |
|
||||
| Price Transforms | 4 | 0 |
|
||||
| Statistic Functions | 9 | 0 |
|
||||
| Pattern Recognition | 61 | 0 |
|
||||
| Math Operators / Transforms | 24 | 0 |
|
||||
| Extended Indicators | 10 | - |
|
||||
| Streaming Classes | 9 | - |
|
||||
| **Total** | **162+** | **0** |
|
||||
|
||||
|
||||
> `ferro-ta` implements 100% of TA-Lib's function set. NaN values are placed
|
||||
> at the beginning of each output array for the warmup period.
|
||||
|
||||
+23
-6
@@ -21,16 +21,33 @@ Currently supported: **3.10, 3.11, 3.12, 3.13** (see `pyproject.toml`).
|
||||
|
||||
## Release playbook
|
||||
|
||||
1. **Bump the version** in `Cargo.toml` and `pyproject.toml` to the new version
|
||||
(e.g. `1.0.1`).
|
||||
2. **Update `CHANGELOG.md`**: move the `[Unreleased]` block to a new dated section
|
||||
### Fast path
|
||||
|
||||
1. **Bump tracked version files with one command**:
|
||||
```bash
|
||||
python3 scripts/bump_version.py 1.0.3
|
||||
```
|
||||
or:
|
||||
```bash
|
||||
make version VERSION=1.0.3
|
||||
```
|
||||
2. **Verify everything matches**:
|
||||
```bash
|
||||
python3 scripts/bump_version.py --check
|
||||
```
|
||||
3. **Update `CHANGELOG.md`**: move the `[Unreleased]` block to a new dated section
|
||||
`[1.0.1] — YYYY-MM-DD` and open a fresh `[Unreleased]` block.
|
||||
3. **Commit** the version bump and changelog update with message
|
||||
4. **Commit** the version bump and changelog update with message
|
||||
`chore: release v1.0.1`.
|
||||
4. **Create a tag**: `git tag v1.0.1 && git push origin v1.0.1`.
|
||||
5. **Create a GitHub Release** for tag `v1.0.1` — the CI `build-wheels` and
|
||||
5. **Create a tag**: `git tag v1.0.1 && git push origin v1.0.1`.
|
||||
6. **Create a GitHub Release** for tag `v1.0.1` — the CI `build-wheels` and
|
||||
`publish` jobs trigger automatically on `release: published`.
|
||||
|
||||
The bump script updates the tracked release-version carriers that are easy to
|
||||
miss manually: root Cargo, Python packaging, the core crate, the core crate
|
||||
README install snippet, the WASM package, the Conda recipe, and the docs pages
|
||||
that show the current released version.
|
||||
|
||||
## Breaking-change policy
|
||||
|
||||
- Removing an indicator or changing its signature is a **MAJOR** change.
|
||||
|
||||
+1
-1
@@ -106,7 +106,7 @@ MAX_SERIES_LENGTH = int(os.environ.get("MAX_SERIES_LENGTH", "100000"))
|
||||
app = FastAPI(
|
||||
title="ferro-ta API",
|
||||
description="REST API for ferro-ta technical analysis indicators and backtesting.",
|
||||
version="1.0.0",
|
||||
version=ft.__version__,
|
||||
docs_url="/docs",
|
||||
redoc_url="/redoc",
|
||||
)
|
||||
|
||||
+51
-6
@@ -1,14 +1,21 @@
|
||||
# ferro-ta Benchmark Suite
|
||||
|
||||
> **62 indicators × 6 libraries** — accuracy and speed verified on **100,000 bars** (LARGE dataset).
|
||||
> Reproducible speed and accuracy comparisons across 62 indicators and the
|
||||
> libraries available in your environment.
|
||||
|
||||
## Overview
|
||||
|
||||
The benchmark suite compares **ferro-ta** against five popular Python technical-analysis libraries on a common dataset and shared wrappers so timings are directly comparable.
|
||||
The benchmark suite compares **ferro-ta** against other Python
|
||||
technical-analysis libraries on a common dataset and shared wrappers so the
|
||||
results are easier to reproduce and critique.
|
||||
|
||||
It is not designed to prove that ferro-ta wins everywhere. It is designed to
|
||||
show where ferro-ta is faster, where it only ties, and where another library
|
||||
still wins.
|
||||
|
||||
| Library | Notes |
|
||||
|-----------|-------|
|
||||
| **TA-Lib** | C extension; gold standard for accuracy and speed |
|
||||
| **TA-Lib** | C extension; widely used comparison baseline |
|
||||
| **pandas-ta** | Pure Python; broad indicator set |
|
||||
| **ta** | Simple API; some indicators use O(n²) loops and are very slow |
|
||||
| **Tulipy** | C extension; truncated output (no leading NaN padding) |
|
||||
@@ -37,9 +44,23 @@ from benchmarks.data_generator import SMALL, MEDIUM, LARGE
|
||||
|
||||
- **Harness:** [pytest-benchmark](https://pytest-benchmark.readthedocs.io/) with `benchmark.pedantic(..., iterations=5, rounds=20, warmup_rounds=2)`.
|
||||
- **Reported metric:** **Median time per call** in **microseconds (µs)** — lower is better.
|
||||
- **Machine info:** Stored in `benchmarks/results.json` (`machine_info`, `commit_info`) for reproducibility.
|
||||
- **TA-Lib head-to-head JSON:** `benchmarks/bench_vs_talib.py` records per-run samples, variance stats, machine/runtime/build metadata, and Python-tracked peak allocation snapshots.
|
||||
- **Machine info:** Stored in the generated JSON artifacts for reproducibility.
|
||||
- **Libraries:** Only libraries present in the environment are benchmarked; missing ones are skipped.
|
||||
|
||||
## Current checked-in TA-Lib artifact
|
||||
|
||||
The checked-in `benchmarks/artifacts/latest/benchmark_vs_talib.json` artifact
|
||||
uses contiguous `float64` arrays at 10k and 100k bars on an Apple M3 Max,
|
||||
CPython 3.13.5, and Rust 1.91.1 with the default release profile
|
||||
(`lto = true`, `codegen-units = 1`).
|
||||
|
||||
- ferro-ta is ahead outside the tie band on 6 of 12 rows at 10k bars and 6 of 12 rows at 100k bars.
|
||||
- TA-Lib still wins in the current artifact on `STOCH` and `ADX`, and remains close on `EMA`, `RSI`, `ATR`, and `OBV` depending on size.
|
||||
- The public claim should therefore be read as "often faster on selected indicators," not "faster everywhere."
|
||||
- When publishing performance statements, point readers to the raw JSON artifact, not just the summary table.
|
||||
- The artifact now includes per-run samples, variance stats, and Python-tracked allocation snapshots for each compared indicator.
|
||||
|
||||
## Reproducible Perf Artifacts
|
||||
|
||||
Use the perf-contract runner when you want a compact set of machine-readable
|
||||
@@ -140,7 +161,7 @@ The speed table includes **all 62 indicators**. **Number** = median µs; **N/A**
|
||||
**Takeaways:**
|
||||
|
||||
- **`ta`** is 20–350× slower on ATR, CCI, ADX, MFI (O(n²) Python loops).
|
||||
- **ferro-ta** is typically 2–4× faster than **pandas-ta** across indicators.
|
||||
- **ferro-ta** is often materially faster than **pandas-ta** on the checked-in 100k-bar table.
|
||||
- **TA-Lib** and **Tulipy** (C extensions) are strong; ferro-ta is competitive and avoids native dependencies.
|
||||
|
||||
---
|
||||
@@ -160,9 +181,14 @@ uv run pytest benchmarks/test_speed.py --benchmark-only -k "test_large_dataset"
|
||||
# Regenerate the Speed Comparison markdown table from results.json
|
||||
uv run python benchmarks/benchmark_table.py
|
||||
|
||||
# TA-Lib head-to-head with machine-readable summary + git/runtime metadata
|
||||
# TA-Lib head-to-head with machine/runtime/build metadata, per-run samples,
|
||||
# variance stats, and Python-tracked allocation snapshots
|
||||
uv run python benchmarks/bench_vs_talib.py --sizes 10000 100000 --json benchmark_vs_talib.json
|
||||
|
||||
# Selected derivatives analytics comparison (BSM price, IV, Greeks, Black-76)
|
||||
# against built-in analytical references plus optional installed libraries
|
||||
uv run python benchmarks/bench_derivatives_compare.py --sizes 1000 10000 --json benchmark_derivatives_compare.json
|
||||
|
||||
# Optional regression check used in CI
|
||||
uv run python benchmarks/check_vs_talib_regression.py --input benchmark_vs_talib.json
|
||||
|
||||
@@ -184,6 +210,25 @@ uv run python benchmarks/run_perf_contract.py --output-dir benchmarks/artifacts/
|
||||
|
||||
Without `uv`: use `pytest` and `python` from the same environment where `ferro_ta` and optional libs (e.g. `talib`, `pandas_ta`, `ta`, `tulipy`, `finta`) are installed.
|
||||
|
||||
### Derivatives analytics
|
||||
|
||||
`benchmarks/bench_derivatives_compare.py` focuses on selected options-analytics
|
||||
paths rather than the full surface area:
|
||||
|
||||
- `BSM` call pricing
|
||||
- call implied-volatility recovery
|
||||
- call Greeks
|
||||
- `Black-76` call pricing
|
||||
|
||||
The script always includes two analytical baselines:
|
||||
|
||||
- `reference_numpy` — pure NumPy formulas with vectorized IV bisection
|
||||
- `reference_python_loop` — scalar `math`-based reference for sanity checking
|
||||
|
||||
If `py_vollib` is installed, it is added automatically as an extra baseline.
|
||||
The output JSON includes runtime/build metadata, per-run timing samples,
|
||||
variance stats, and Python-tracked peak allocation snapshots.
|
||||
|
||||
### WASM
|
||||
|
||||
From the `wasm/` directory:
|
||||
|
||||
File diff suppressed because it is too large
Load Diff
File diff suppressed because it is too large
Load Diff
File diff suppressed because it is too large
Load Diff
+210
-112
@@ -1,37 +1,34 @@
|
||||
"""
|
||||
ferro_ta vs TA-Lib speed comparison.
|
||||
|
||||
Measures throughput (M bars/s) for both libraries on the same data and parameters,
|
||||
and reports speedup (talib_time / ferro_ta_time; > 1 means ferro_ta is faster).
|
||||
Measures throughput (M bars/s) for both libraries on the same synthetic data
|
||||
and parameters. The output is intentionally evidence-heavy:
|
||||
|
||||
Requirements:
|
||||
pip install ta-lib # or conda install ta-lib
|
||||
- median timings
|
||||
- per-run timing samples
|
||||
- variability stats
|
||||
- Python-tracked peak allocation snapshots
|
||||
- machine, runtime, and build metadata
|
||||
|
||||
Run:
|
||||
python benchmarks/bench_vs_talib.py
|
||||
python benchmarks/bench_vs_talib.py --json results.json
|
||||
python benchmarks/bench_vs_talib.py --sizes 10000 100000 # default: 10k, 100k, 1M
|
||||
|
||||
If ta-lib is not installed, the script still runs and reports ferro_ta timings only (no speedup).
|
||||
Methodology: same synthetic data, same parameters, median of 7 runs after warmup.
|
||||
Environment: document Python version and OS when publishing results.
|
||||
This is meant to support a narrow claim: ferro-ta is often faster on selected
|
||||
indicators, not universally faster.
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import argparse
|
||||
from datetime import datetime, timezone
|
||||
import json
|
||||
import platform
|
||||
import subprocess
|
||||
import math
|
||||
import sys
|
||||
import time
|
||||
import tracemalloc
|
||||
from typing import Any
|
||||
|
||||
import numpy as np
|
||||
|
||||
try:
|
||||
import talib # noqa: F401
|
||||
|
||||
TALIB_AVAILABLE = True
|
||||
except ImportError:
|
||||
TALIB_AVAILABLE = False
|
||||
@@ -39,6 +36,11 @@ except ImportError:
|
||||
|
||||
import ferro_ta
|
||||
|
||||
try:
|
||||
from benchmarks.metadata import benchmark_metadata, package_versions
|
||||
except ModuleNotFoundError: # pragma: no cover - script execution fallback
|
||||
from metadata import benchmark_metadata, package_versions
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# Configuration
|
||||
# ---------------------------------------------------------------------------
|
||||
@@ -46,100 +48,138 @@ import ferro_ta
|
||||
N_WARMUP = 1
|
||||
N_RUNS = 7
|
||||
DEFAULT_SIZES = [10_000, 100_000, 1_000_000]
|
||||
TIE_EPSILON = 0.05
|
||||
|
||||
_rng = np.random.default_rng(42)
|
||||
|
||||
|
||||
def _git_info() -> dict[str, Any]:
|
||||
"""Best-effort git metadata for benchmark reproducibility."""
|
||||
try:
|
||||
commit = subprocess.check_output(
|
||||
["git", "rev-parse", "HEAD"], text=True, stderr=subprocess.DEVNULL
|
||||
).strip()
|
||||
except Exception:
|
||||
commit = None
|
||||
|
||||
try:
|
||||
dirty = bool(
|
||||
subprocess.check_output(
|
||||
["git", "status", "--porcelain"],
|
||||
text=True,
|
||||
stderr=subprocess.DEVNULL,
|
||||
).strip()
|
||||
)
|
||||
except Exception:
|
||||
dirty = None
|
||||
|
||||
return {"commit": commit, "dirty": dirty}
|
||||
def _median(values: list[float]) -> float:
|
||||
ordered = sorted(values)
|
||||
mid = len(ordered) // 2
|
||||
if len(ordered) % 2:
|
||||
return ordered[mid]
|
||||
return (ordered[mid - 1] + ordered[mid]) / 2.0
|
||||
|
||||
|
||||
def _runtime_info() -> dict[str, Any]:
|
||||
def _summary_stats(samples_ms: list[float]) -> dict[str, float]:
|
||||
if not samples_ms:
|
||||
return {
|
||||
"median_ms": 0.0,
|
||||
"mean_ms": 0.0,
|
||||
"min_ms": 0.0,
|
||||
"max_ms": 0.0,
|
||||
"stddev_ms": 0.0,
|
||||
"cv_pct": 0.0,
|
||||
}
|
||||
|
||||
mean_ms = sum(samples_ms) / len(samples_ms)
|
||||
variance = (
|
||||
sum((sample - mean_ms) ** 2 for sample in samples_ms) / (len(samples_ms) - 1)
|
||||
if len(samples_ms) > 1
|
||||
else 0.0
|
||||
)
|
||||
stddev_ms = math.sqrt(variance)
|
||||
cv_pct = (stddev_ms / mean_ms * 100.0) if mean_ms else 0.0
|
||||
return {
|
||||
"generated_at_utc": datetime.now(timezone.utc).isoformat(),
|
||||
"python_version": sys.version.split()[0],
|
||||
"platform": platform.platform(),
|
||||
"machine": platform.machine(),
|
||||
"median_ms": round(_median(samples_ms), 4),
|
||||
"mean_ms": round(mean_ms, 4),
|
||||
"min_ms": round(min(samples_ms), 4),
|
||||
"max_ms": round(max(samples_ms), 4),
|
||||
"stddev_ms": round(stddev_ms, 4),
|
||||
"cv_pct": round(cv_pct, 3),
|
||||
}
|
||||
|
||||
|
||||
def _outcome(speedup: float) -> str:
|
||||
if speedup > 1.0 + TIE_EPSILON:
|
||||
return "ferro_ta_win"
|
||||
if speedup < 1.0 - TIE_EPSILON:
|
||||
return "talib_win"
|
||||
return "tie"
|
||||
|
||||
|
||||
def _summary_for_size(results: list[dict[str, Any]], size: int) -> dict[str, Any]:
|
||||
rows = [r for r in results if r.get("size") == size and "speedup" in r]
|
||||
rows = [row for row in results if row.get("size") == size and "speedup" in row]
|
||||
if not rows:
|
||||
return {"size": size, "rows": 0}
|
||||
|
||||
speedups = [float(r["speedup"]) for r in rows]
|
||||
wins = sum(1 for s in speedups if s > 1.0)
|
||||
speedups_sorted = sorted(speedups)
|
||||
mid = len(speedups_sorted) // 2
|
||||
if len(speedups_sorted) % 2:
|
||||
median = speedups_sorted[mid]
|
||||
else:
|
||||
median = (speedups_sorted[mid - 1] + speedups_sorted[mid]) / 2.0
|
||||
|
||||
speedups = [float(row["speedup"]) for row in rows]
|
||||
wins = sum(1 for row in rows if row.get("outcome") == "ferro_ta_win")
|
||||
ties = sum(1 for row in rows if row.get("outcome") == "tie")
|
||||
losses = sum(1 for row in rows if row.get("outcome") == "talib_win")
|
||||
return {
|
||||
"size": size,
|
||||
"rows": len(rows),
|
||||
"wins": wins,
|
||||
"win_rate": wins / len(rows),
|
||||
"median_speedup": round(median, 4),
|
||||
"ties": ties,
|
||||
"losses": losses,
|
||||
"win_rate": round(wins / len(rows), 4),
|
||||
"non_loss_rate": round((wins + ties) / len(rows), 4),
|
||||
"median_speedup": round(_median(speedups), 4),
|
||||
"min_speedup": round(min(speedups), 4),
|
||||
"max_speedup": round(max(speedups), 4),
|
||||
"talib_wins_or_ties": [
|
||||
row["indicator"]
|
||||
for row in rows
|
||||
if row.get("outcome") in {"talib_win", "tie"}
|
||||
],
|
||||
}
|
||||
|
||||
|
||||
def _synthetic_ohlcv(n: int) -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
|
||||
# Generate OHLCV so that ta crate DataItem constraints hold: low >= 0, volume >= 0,
|
||||
# and low <= open, close <= high, high >= open (see ta DataItemBuilder::build).
|
||||
def _synthetic_ohlcv(
|
||||
n: int,
|
||||
) -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
|
||||
# Generate OHLCV so that ta crate DataItem constraints hold: low >= 0,
|
||||
# volume >= 0, and low <= open, close <= high, high >= open.
|
||||
close = 100.0 + np.cumsum(_rng.standard_normal(n) * 0.5)
|
||||
open_ = close + _rng.standard_normal(n) * 0.2
|
||||
high = np.maximum(open_, close) + np.abs(_rng.standard_normal(n) * 0.3)
|
||||
low = np.minimum(open_, close) - np.abs(_rng.standard_normal(n) * 0.3)
|
||||
# Enforce high >= low and low >= 0 (ta requires non-negative prices)
|
||||
high = np.maximum(high, low)
|
||||
low = np.maximum(low, 0.0)
|
||||
high = np.maximum(high, low) # again after clamping low
|
||||
high = np.maximum(high, low)
|
||||
open_ = np.clip(open_, low, high)
|
||||
close = np.clip(close, low, high)
|
||||
volume = np.abs(_rng.standard_normal(n) * 1_000_000) + 500_000
|
||||
return open_, high, low, close, volume
|
||||
|
||||
|
||||
def _median_time_ms(fn, *args, **kwargs) -> float:
|
||||
def _timed_runs_ms(fn, *args, **kwargs) -> list[float]:
|
||||
for _ in range(N_WARMUP):
|
||||
fn(*args, **kwargs)
|
||||
times = []
|
||||
|
||||
samples_ms: list[float] = []
|
||||
for _ in range(N_RUNS):
|
||||
t0 = time.perf_counter()
|
||||
fn(*args, **kwargs)
|
||||
times.append((time.perf_counter() - t0) * 1000)
|
||||
times.sort()
|
||||
return times[len(times) // 2]
|
||||
samples_ms.append((time.perf_counter() - t0) * 1000.0)
|
||||
return samples_ms
|
||||
|
||||
|
||||
def _python_peak_bytes(fn, *args, **kwargs) -> int | None:
|
||||
try:
|
||||
tracemalloc.start()
|
||||
tracemalloc.reset_peak()
|
||||
fn(*args, **kwargs)
|
||||
_, peak = tracemalloc.get_traced_memory()
|
||||
return int(peak)
|
||||
except Exception:
|
||||
return None
|
||||
finally:
|
||||
tracemalloc.stop()
|
||||
|
||||
|
||||
def _throughput_m_bars_s(size: int, median_ms: float) -> float:
|
||||
if median_ms <= 0:
|
||||
return 0.0
|
||||
return (size / 1e6) / (median_ms / 1000.0)
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# Benchmarked callables
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
|
||||
# Each entry: (label, ferro_ta_callable, talib_callable, needs_ohlcv)
|
||||
# ferro_ta_callable / talib_callable receive (open_, high, low, close, volume) and size;
|
||||
# they return (args, ft_kwargs, ta_kwargs) or we use a simpler convention:
|
||||
# we pass (o, h, l, c, v) and size; each runner knows how to slice and call.
|
||||
def _run_ft_sma(o, h, l, c, v, n):
|
||||
return ferro_ta.SMA(c[:n], timeperiod=14)
|
||||
|
||||
@@ -236,7 +276,6 @@ def _run_ta_wma(o, h, l, c, v, n):
|
||||
return talib.WMA(c[:n], timeperiod=14)
|
||||
|
||||
|
||||
# List of (indicator_name, ft_runner, ta_runner); skip 1M for very slow indicators if needed
|
||||
COMPARISON_CASES = [
|
||||
("SMA", _run_ft_sma, _run_ta_sma),
|
||||
("EMA", _run_ft_ema, _run_ta_ema),
|
||||
@@ -252,14 +291,14 @@ COMPARISON_CASES = [
|
||||
("WMA", _run_ft_wma, _run_ta_wma),
|
||||
]
|
||||
|
||||
# For STOCH/ADX and other heavier indicators, optionally skip 1M to keep runtime reasonable
|
||||
SKIP_1M_FOR = {"STOCH", "ADX"}
|
||||
|
||||
|
||||
def run_comparison(sizes: list[int], json_path: str | None) -> list[dict[str, Any]]:
|
||||
max_size = max(sizes)
|
||||
open_, high, low, close, volume = _synthetic_ohlcv(max_size)
|
||||
results = []
|
||||
results: list[dict[str, Any]] = []
|
||||
|
||||
col_label = 10
|
||||
col_size = 10
|
||||
col_ft_ms = 12
|
||||
@@ -269,12 +308,13 @@ def run_comparison(sizes: list[int], json_path: str | None) -> list[dict[str, An
|
||||
col_ta_m = 12
|
||||
|
||||
if not TALIB_AVAILABLE:
|
||||
print("Note: ta-lib not installed — reporting ferro_ta timings only (no speedup).")
|
||||
print("Note: ta-lib not installed. Reporting ferro_ta timings only.")
|
||||
print("Install with: pip install ta-lib (or conda install ta-lib) for comparison.\n")
|
||||
|
||||
print(f"\nferro_ta vs TA-Lib — median of {N_RUNS} runs (after {N_WARMUP} warmup)")
|
||||
print(f"\nferro_ta vs TA-Lib — median of {N_RUNS} measured runs after {N_WARMUP} warmup")
|
||||
print(f"Sizes: {sizes}")
|
||||
print()
|
||||
|
||||
header = (
|
||||
f"{'Indicator':<{col_label}} {'Size':<{col_size}} "
|
||||
f"{'ferro_ta(ms)':<{col_ft_ms}} {'TA-Lib(ms)':<{col_ta_ms}} "
|
||||
@@ -287,82 +327,140 @@ def run_comparison(sizes: list[int], json_path: str | None) -> list[dict[str, An
|
||||
for size in sizes:
|
||||
if size == 1_000_000 and name in SKIP_1M_FOR:
|
||||
continue
|
||||
ms_ft = _median_time_ms(ft_run, open_, high, low, close, volume, size)
|
||||
|
||||
ft_samples_ms = _timed_runs_ms(ft_run, open_, high, low, close, volume, size)
|
||||
ft_stats = _summary_stats(ft_samples_ms)
|
||||
ft_median_ms = float(ft_stats["median_ms"])
|
||||
ft_m_bars_s = _throughput_m_bars_s(size, ft_median_ms)
|
||||
ft_peak_bytes = _python_peak_bytes(ft_run, open_, high, low, close, volume, size)
|
||||
|
||||
row: dict[str, Any] = {
|
||||
"indicator": name,
|
||||
"size": size,
|
||||
"input_layout": {
|
||||
"dtype": "float64",
|
||||
"contiguous": True,
|
||||
},
|
||||
"ferro_ta_ms": round(ft_median_ms, 4),
|
||||
"ferro_ta_m_bars_s": round(ft_m_bars_s, 2),
|
||||
"ferro_ta_runs_ms": [round(sample, 4) for sample in ft_samples_ms],
|
||||
"ferro_ta_stats": ft_stats,
|
||||
"python_peak_allocation_bytes": {
|
||||
"ferro_ta": ft_peak_bytes,
|
||||
},
|
||||
}
|
||||
|
||||
if TALIB_AVAILABLE:
|
||||
ms_ta = _median_time_ms(ta_run, open_, high, low, close, volume, size)
|
||||
speedup = ms_ta / ms_ft if ms_ft > 0 else float("inf")
|
||||
m_bars_ft = (size / 1e6) / (ms_ft / 1000) if ms_ft > 0 else 0
|
||||
m_bars_ta = (size / 1e6) / (ms_ta / 1000) if ms_ta > 0 else 0
|
||||
ta_samples_ms = _timed_runs_ms(ta_run, open_, high, low, close, volume, size)
|
||||
ta_stats = _summary_stats(ta_samples_ms)
|
||||
ta_median_ms = float(ta_stats["median_ms"])
|
||||
ta_m_bars_s = _throughput_m_bars_s(size, ta_median_ms)
|
||||
speedup = ta_median_ms / ft_median_ms if ft_median_ms > 0 else float("inf")
|
||||
outcome = _outcome(speedup)
|
||||
ta_peak_bytes = _python_peak_bytes(
|
||||
ta_run, open_, high, low, close, volume, size
|
||||
)
|
||||
|
||||
print(
|
||||
f"{name:<{col_label}} {size:<{col_size}} "
|
||||
f"{ms_ft:<{col_ft_ms}.3f} {ms_ta:<{col_ta_ms}.3f} "
|
||||
f"{speedup:<{col_speedup}.2f}x {m_bars_ft:<{col_ft_m}.1f} {m_bars_ta:<{col_ta_m}.1f}"
|
||||
f"{ft_median_ms:<{col_ft_ms}.3f} {ta_median_ms:<{col_ta_ms}.3f} "
|
||||
f"{speedup:<{col_speedup}.2f}x {ft_m_bars_s:<{col_ft_m}.1f} {ta_m_bars_s:<{col_ta_m}.1f}"
|
||||
)
|
||||
row = {
|
||||
"indicator": name,
|
||||
"size": size,
|
||||
"ferro_ta_ms": round(ms_ft, 4),
|
||||
"talib_ms": round(ms_ta, 4),
|
||||
"speedup": round(speedup, 4),
|
||||
"ferro_ta_m_bars_s": round(m_bars_ft, 2),
|
||||
"talib_m_bars_s": round(m_bars_ta, 2),
|
||||
}
|
||||
|
||||
row.update(
|
||||
{
|
||||
"talib_ms": round(ta_median_ms, 4),
|
||||
"talib_m_bars_s": round(ta_m_bars_s, 2),
|
||||
"talib_runs_ms": [round(sample, 4) for sample in ta_samples_ms],
|
||||
"talib_stats": ta_stats,
|
||||
"speedup": round(speedup, 4),
|
||||
"outcome": outcome,
|
||||
}
|
||||
)
|
||||
row["python_peak_allocation_bytes"]["talib"] = ta_peak_bytes
|
||||
else:
|
||||
m_bars_ft = (size / 1e6) / (ms_ft / 1000) if ms_ft > 0 else 0
|
||||
print(
|
||||
f"{name:<{col_label}} {size:<{col_size}} "
|
||||
f"{ms_ft:<{col_ft_ms}.3f} {'N/A':<{col_ta_ms}} "
|
||||
f"{'N/A':<{col_speedup}} {m_bars_ft:<{col_ft_m}.1f} {'N/A':<{col_ta_m}}"
|
||||
f"{ft_median_ms:<{col_ft_ms}.3f} {'N/A':<{col_ta_ms}} "
|
||||
f"{'N/A':<{col_speedup}} {ft_m_bars_s:<{col_ft_m}.1f} {'N/A':<{col_ta_m}}"
|
||||
)
|
||||
row = {
|
||||
"indicator": name,
|
||||
"size": size,
|
||||
"ferro_ta_ms": round(ms_ft, 4),
|
||||
"ferro_ta_m_bars_s": round(m_bars_ft, 2),
|
||||
}
|
||||
|
||||
results.append(row)
|
||||
|
||||
print()
|
||||
if TALIB_AVAILABLE and results:
|
||||
wins = sum(1 for r in results if r.get("speedup", 0) > 1)
|
||||
total = len(results)
|
||||
print(f"Summary: ferro_ta faster on {wins}/{total} rows (speedup > 1).")
|
||||
wins = sum(1 for row in results if row.get("outcome") == "ferro_ta_win")
|
||||
total = len([row for row in results if "speedup" in row])
|
||||
print(f"Summary: ferro_ta ahead outside the tie band on {wins}/{total} rows.")
|
||||
print()
|
||||
|
||||
if json_path:
|
||||
metadata = benchmark_metadata(
|
||||
"benchmark_vs_talib",
|
||||
extra={
|
||||
"dataset": {
|
||||
"generator": "synthetic_ohlcv",
|
||||
"sizes": sizes,
|
||||
"dtype": "float64",
|
||||
"array_layout": "C-contiguous",
|
||||
"seed": 42,
|
||||
},
|
||||
"methodology": {
|
||||
"warmup_runs": N_WARMUP,
|
||||
"measured_runs": N_RUNS,
|
||||
"reported_metric": "median_ms",
|
||||
"speedup_definition": "talib_median_ms / ferro_ta_median_ms",
|
||||
"tie_band": f"{1.0 - TIE_EPSILON:.2f} to {1.0 + TIE_EPSILON:.2f}",
|
||||
"input_layout_notes": (
|
||||
"Benchmarks use contiguous float64 arrays. If your workload "
|
||||
"passes non-contiguous arrays or other dtypes, benchmark that "
|
||||
"separately because wrapper overhead can dominate."
|
||||
),
|
||||
"allocation_notes": (
|
||||
"python_peak_allocation_bytes is a tracemalloc snapshot of "
|
||||
"Python-tracked allocations only; it is not a full native RSS "
|
||||
"or allocator profile."
|
||||
),
|
||||
},
|
||||
"packages": package_versions("numpy", "ferro-ta", "TA-Lib"),
|
||||
},
|
||||
)
|
||||
out = {
|
||||
"schema_version": 1,
|
||||
"command": "python benchmarks/bench_vs_talib.py",
|
||||
"schema_version": 2,
|
||||
"command": " ".join(["python", *sys.argv]),
|
||||
"n_warmup": N_WARMUP,
|
||||
"n_runs": N_RUNS,
|
||||
"sizes": sizes,
|
||||
"talib_available": TALIB_AVAILABLE,
|
||||
"runtime": _runtime_info(),
|
||||
"git": _git_info(),
|
||||
"runtime": metadata["runtime"],
|
||||
"git": metadata["git"],
|
||||
"metadata": metadata,
|
||||
"summary": {
|
||||
"total_rows": len(results),
|
||||
"by_size": [_summary_for_size(results, s) for s in sizes],
|
||||
"by_size": [_summary_for_size(results, size) for size in sizes],
|
||||
},
|
||||
"results": results,
|
||||
}
|
||||
if not TALIB_AVAILABLE:
|
||||
out["note"] = "ferro_ta only — ta-lib not installed"
|
||||
with open(json_path, "w") as f:
|
||||
json.dump(out, f, indent=2)
|
||||
out["note"] = "ferro_ta only; ta-lib not installed"
|
||||
with open(json_path, "w", encoding="utf-8") as handle:
|
||||
json.dump(out, handle, indent=2)
|
||||
print(f"Results written to {json_path}")
|
||||
|
||||
return results
|
||||
|
||||
|
||||
def main() -> int:
|
||||
ap = argparse.ArgumentParser(description="ferro_ta vs TA-Lib speed comparison")
|
||||
ap.add_argument("--json", default=None, help="Write results to JSON file")
|
||||
ap.add_argument(
|
||||
parser = argparse.ArgumentParser(description="ferro_ta vs TA-Lib speed comparison")
|
||||
parser.add_argument("--json", default=None, help="Write results to JSON file")
|
||||
parser.add_argument(
|
||||
"--sizes",
|
||||
type=int,
|
||||
nargs="+",
|
||||
default=DEFAULT_SIZES,
|
||||
help="Bar counts to benchmark (default: 10000 100000 1000000)",
|
||||
)
|
||||
args = ap.parse_args()
|
||||
args = parser.parse_args()
|
||||
run_comparison(args.sizes, args.json)
|
||||
return 0
|
||||
|
||||
|
||||
+135
-22
@@ -1,56 +1,167 @@
|
||||
from __future__ import annotations
|
||||
|
||||
import hashlib
|
||||
import os
|
||||
import platform
|
||||
import re
|
||||
import subprocess
|
||||
import sys
|
||||
from datetime import datetime, timezone
|
||||
from importlib import metadata as importlib_metadata
|
||||
from pathlib import Path
|
||||
from typing import Any
|
||||
|
||||
|
||||
def git_info() -> dict[str, Any]:
|
||||
"""Best-effort git metadata for reproducible benchmark artifacts."""
|
||||
try:
|
||||
import tomllib
|
||||
except ImportError: # pragma: no cover
|
||||
try:
|
||||
commit = subprocess.check_output(
|
||||
["git", "rev-parse", "HEAD"], text=True, stderr=subprocess.DEVNULL
|
||||
).strip()
|
||||
except Exception:
|
||||
commit = None
|
||||
import tomli as tomllib # type: ignore[no-redef]
|
||||
except ImportError: # pragma: no cover
|
||||
tomllib = None # type: ignore[assignment]
|
||||
|
||||
try:
|
||||
dirty = bool(
|
||||
subprocess.check_output(
|
||||
["git", "status", "--porcelain"],
|
||||
text=True,
|
||||
stderr=subprocess.DEVNULL,
|
||||
).strip()
|
||||
)
|
||||
except Exception:
|
||||
dirty = None
|
||||
|
||||
_ROOT = Path(__file__).resolve().parent.parent
|
||||
|
||||
|
||||
def _run_cmd(command: list[str]) -> str | None:
|
||||
try:
|
||||
branch = subprocess.check_output(
|
||||
["git", "rev-parse", "--abbrev-ref", "HEAD"],
|
||||
return subprocess.check_output(
|
||||
command,
|
||||
text=True,
|
||||
stderr=subprocess.DEVNULL,
|
||||
).strip()
|
||||
except Exception:
|
||||
branch = None
|
||||
return None
|
||||
|
||||
return {"commit": commit, "dirty": dirty, "branch": branch}
|
||||
|
||||
def _read_toml(path: Path) -> dict[str, Any] | None:
|
||||
if tomllib is None or not path.exists():
|
||||
return None
|
||||
try:
|
||||
with path.open("rb") as handle:
|
||||
return tomllib.load(handle)
|
||||
except Exception:
|
||||
return None
|
||||
|
||||
|
||||
def _cpu_model() -> str | None:
|
||||
if sys.platform == "darwin":
|
||||
return (
|
||||
_run_cmd(["sysctl", "-n", "machdep.cpu.brand_string"])
|
||||
or _run_cmd(["sysctl", "-n", "hw.model"])
|
||||
or platform.processor()
|
||||
or None
|
||||
)
|
||||
if sys.platform.startswith("linux"):
|
||||
cpuinfo = Path("/proc/cpuinfo")
|
||||
if cpuinfo.exists():
|
||||
text = cpuinfo.read_text(encoding="utf-8", errors="ignore")
|
||||
for pattern in (r"model name\s+:\s+(.+)", r"Hardware\s+:\s+(.+)"):
|
||||
match = re.search(pattern, text)
|
||||
if match:
|
||||
return match.group(1).strip()
|
||||
return platform.processor() or None
|
||||
if sys.platform.startswith("win"):
|
||||
return os.environ.get("PROCESSOR_IDENTIFIER") or platform.processor() or None
|
||||
return platform.processor() or None
|
||||
|
||||
|
||||
def _total_memory_bytes() -> int | None:
|
||||
if sys.platform == "darwin":
|
||||
raw = _run_cmd(["sysctl", "-n", "hw.memsize"])
|
||||
return int(raw) if raw and raw.isdigit() else None
|
||||
|
||||
if sys.platform.startswith("linux"):
|
||||
meminfo = Path("/proc/meminfo")
|
||||
if meminfo.exists():
|
||||
text = meminfo.read_text(encoding="utf-8", errors="ignore")
|
||||
match = re.search(r"MemTotal:\s+(\d+)\s+kB", text)
|
||||
if match:
|
||||
return int(match.group(1)) * 1024
|
||||
return None
|
||||
|
||||
if sys.platform.startswith("win"): # pragma: no cover
|
||||
try:
|
||||
import ctypes
|
||||
|
||||
class MEMORYSTATUSEX(ctypes.Structure):
|
||||
_fields_ = [
|
||||
("dwLength", ctypes.c_ulong),
|
||||
("dwMemoryLoad", ctypes.c_ulong),
|
||||
("ullTotalPhys", ctypes.c_ulonglong),
|
||||
("ullAvailPhys", ctypes.c_ulonglong),
|
||||
("ullTotalPageFile", ctypes.c_ulonglong),
|
||||
("ullAvailPageFile", ctypes.c_ulonglong),
|
||||
("ullTotalVirtual", ctypes.c_ulonglong),
|
||||
("ullAvailVirtual", ctypes.c_ulonglong),
|
||||
("ullAvailExtendedVirtual", ctypes.c_ulonglong),
|
||||
]
|
||||
|
||||
status = MEMORYSTATUSEX()
|
||||
status.dwLength = ctypes.sizeof(MEMORYSTATUSEX)
|
||||
ctypes.windll.kernel32.GlobalMemoryStatusEx(ctypes.byref(status))
|
||||
return int(status.ullTotalPhys)
|
||||
except Exception:
|
||||
return None
|
||||
|
||||
return None
|
||||
|
||||
|
||||
def _cargo_release_profile() -> dict[str, Any] | None:
|
||||
cargo_toml = _read_toml(_ROOT / "Cargo.toml")
|
||||
if not cargo_toml:
|
||||
return None
|
||||
profile = cargo_toml.get("profile", {}).get("release")
|
||||
return profile if isinstance(profile, dict) else None
|
||||
|
||||
|
||||
def git_info() -> dict[str, Any]:
|
||||
"""Best-effort git metadata for reproducible benchmark artifacts."""
|
||||
return {
|
||||
"commit": _run_cmd(["git", "rev-parse", "HEAD"]),
|
||||
"dirty": bool(_run_cmd(["git", "status", "--porcelain"]) or ""),
|
||||
"branch": _run_cmd(["git", "rev-parse", "--abbrev-ref", "HEAD"]),
|
||||
}
|
||||
|
||||
|
||||
def runtime_info() -> dict[str, Any]:
|
||||
return {
|
||||
"generated_at_utc": datetime.now(timezone.utc).isoformat(),
|
||||
"python_version": sys.version.split()[0],
|
||||
"python_implementation": platform.python_implementation(),
|
||||
"python_executable": sys.executable,
|
||||
"platform": platform.platform(),
|
||||
"system": platform.system(),
|
||||
"release": platform.release(),
|
||||
"machine": platform.machine(),
|
||||
"processor": platform.processor() or None,
|
||||
"cpu_model": _cpu_model(),
|
||||
"cpu_count_logical": os.cpu_count(),
|
||||
"total_memory_bytes": _total_memory_bytes(),
|
||||
}
|
||||
|
||||
|
||||
def build_info() -> dict[str, Any]:
|
||||
return {
|
||||
"rustc": _run_cmd(["rustc", "-Vv"]),
|
||||
"cargo": _run_cmd(["cargo", "-VV"]) or _run_cmd(["cargo", "-V"]),
|
||||
"cargo_release_profile": _cargo_release_profile(),
|
||||
"rustflags": os.environ.get("RUSTFLAGS"),
|
||||
"cargo_build_rustflags": os.environ.get("CARGO_BUILD_RUSTFLAGS"),
|
||||
"maturin_flags": os.environ.get("MATURIN_EXTRA_ARGS"),
|
||||
}
|
||||
|
||||
|
||||
def package_versions(*names: str) -> dict[str, str | None]:
|
||||
versions: dict[str, str | None] = {}
|
||||
for name in names:
|
||||
try:
|
||||
versions[name] = importlib_metadata.version(name)
|
||||
except importlib_metadata.PackageNotFoundError:
|
||||
versions[name] = None
|
||||
return versions
|
||||
|
||||
|
||||
def file_info(path: str | Path) -> dict[str, Any]:
|
||||
file_path = Path(path)
|
||||
data = file_path.read_bytes()
|
||||
@@ -71,6 +182,8 @@ def benchmark_metadata(
|
||||
"suite": suite,
|
||||
"runtime": runtime_info(),
|
||||
"git": git_info(),
|
||||
"build": build_info(),
|
||||
"packages": package_versions("numpy", "ferro-ta"),
|
||||
}
|
||||
if fixtures:
|
||||
metadata["fixtures"] = [file_info(path) for path in fixtures]
|
||||
|
||||
@@ -10,11 +10,27 @@ Run with:
|
||||
from __future__ import annotations
|
||||
|
||||
import importlib.util
|
||||
import sys
|
||||
from pathlib import Path
|
||||
|
||||
import numpy as np
|
||||
import pytest
|
||||
|
||||
from ferro_ta.analysis.options import implied_volatility, option_price
|
||||
# Ensure direct benchmark test runs can import local package from `python/`.
|
||||
ROOT = Path(__file__).resolve().parents[1]
|
||||
PYTHON_SRC = ROOT / "python"
|
||||
if str(PYTHON_SRC) not in sys.path:
|
||||
sys.path.insert(0, str(PYTHON_SRC))
|
||||
|
||||
HAS_FERRO_EXTENSION = True
|
||||
try:
|
||||
from ferro_ta.analysis.options import implied_volatility, option_price
|
||||
except ModuleNotFoundError:
|
||||
HAS_FERRO_EXTENSION = False
|
||||
|
||||
pytestmark = pytest.mark.skipif(
|
||||
not HAS_FERRO_EXTENSION, reason="ferro_ta extension is not built"
|
||||
)
|
||||
|
||||
|
||||
def _sample_chain(n: int = 1000) -> tuple[np.ndarray, ...]:
|
||||
|
||||
+6
-5
@@ -1,5 +1,5 @@
|
||||
{% set name = "ferro-ta" %}
|
||||
{% set version = "1.0.0" %}
|
||||
{% set version = "1.0.4" %}
|
||||
|
||||
package:
|
||||
name: {{ name|lower }}
|
||||
@@ -39,11 +39,12 @@ about:
|
||||
home: https://github.com/pratikbhadane24/ferro-ta
|
||||
license: MIT
|
||||
license_family: MIT
|
||||
summary: A fast Technical Analysis library — TA-Lib alternative powered by Rust and PyO3
|
||||
summary: Rust-powered Python technical analysis library with a TA-Lib-compatible API
|
||||
description: |
|
||||
ferro-ta is a drop-in TA-Lib alternative with pre-compiled wheels for all
|
||||
major platforms. It provides 155+ indicators via a Rust core and PyO3
|
||||
bindings, with optional pandas / streaming APIs.
|
||||
ferro-ta is a Rust-powered Python technical analysis library with a
|
||||
TA-Lib-compatible API and pre-compiled wheels for the supported platforms.
|
||||
It provides 155+ indicators via a Rust core and PyO3 bindings, with
|
||||
optional pandas and streaming APIs.
|
||||
doc_url: https://github.com/pratikbhadane24/ferro-ta
|
||||
dev_url: https://github.com/pratikbhadane24/ferro-ta
|
||||
|
||||
|
||||
@@ -1,6 +1,6 @@
|
||||
[package]
|
||||
name = "ferro_ta_core"
|
||||
version = "1.0.2"
|
||||
version = "1.0.4"
|
||||
edition = "2021"
|
||||
description = "Pure Rust core indicator library — no PyO3, no numpy dependency"
|
||||
license = "MIT"
|
||||
|
||||
@@ -13,7 +13,7 @@ PyO3, NumPy, or Python runtime dependency, which makes it a good fit for:
|
||||
|
||||
```toml
|
||||
[dependencies]
|
||||
ferro_ta_core = "1.0.2"
|
||||
ferro_ta_core = "1.0.4"
|
||||
```
|
||||
|
||||
## Design
|
||||
|
||||
@@ -0,0 +1,48 @@
|
||||
Adjacent Tooling
|
||||
================
|
||||
|
||||
These modules are useful, but they are secondary to ferro-ta's core identity as
|
||||
a Python technical analysis library.
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
|
||||
* - Area
|
||||
- Status
|
||||
- What it is
|
||||
* - Derivatives analytics
|
||||
- Adjacent
|
||||
- Options pricing, Greeks, implied volatility helpers, futures basis,
|
||||
curve, and roll utilities. See :doc:`derivatives`.
|
||||
* - Agent workflow wrappers
|
||||
- Adjacent
|
||||
- Tool and workflow helpers for agent-style integrations. See
|
||||
`docs/agentic.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/agentic.md>`_.
|
||||
* - MCP server
|
||||
- Experimental or adjacent
|
||||
- FastMCP-based server exposing selected ferro-ta capabilities to
|
||||
MCP-compatible clients. See
|
||||
`docs/mcp.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/mcp.md>`_.
|
||||
* - WASM package
|
||||
- Experimental
|
||||
- Browser and Node.js package with a smaller indicator subset. See
|
||||
`wasm/README.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/wasm/README.md>`_.
|
||||
* - GPU backend
|
||||
- Experimental
|
||||
- Optional PyTorch-backed acceleration for a limited subset of indicators.
|
||||
See `docs/gpu-backend.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/gpu-backend.md>`_.
|
||||
* - Plugin system
|
||||
- Experimental
|
||||
- Registry and plugin packaging model for custom indicators. See
|
||||
:doc:`plugins`.
|
||||
|
||||
How to read the project
|
||||
-----------------------
|
||||
|
||||
When evaluating ferro-ta:
|
||||
|
||||
- Start with the core library docs, migration guide, support matrix, and benchmarks.
|
||||
- Treat adjacent tooling as opt-in layers, not as proof that the core indicator
|
||||
library is broader or more stable than it is.
|
||||
- Check the release notes and stability policy before depending on experimental
|
||||
surfaces in production.
|
||||
+1
-1
@@ -198,6 +198,6 @@ while True:
|
||||
|
||||
- `ferro_ta.tools` — module source.
|
||||
- `ferro_ta.workflow` — module source.
|
||||
- `docs/mcp.md` — MCP server for Cursor/Claude integration.
|
||||
- `docs/mcp.md` — MCP server for MCP-compatible clients.
|
||||
- `ferro_ta.backtest` — backtest harness.
|
||||
- `ferro_ta.registry` — indicator registry.
|
||||
|
||||
+122
-21
@@ -1,20 +1,130 @@
|
||||
Benchmarks
|
||||
==========
|
||||
|
||||
The authoritative benchmark workflow is in ``benchmarks/``:
|
||||
The benchmark suite is meant to support a narrow claim: ferro-ta is often
|
||||
faster on selected indicators, and the evidence is published in a reproducible
|
||||
form.
|
||||
|
||||
What is published
|
||||
-----------------
|
||||
|
||||
The authoritative benchmark workflow lives in ``benchmarks/``:
|
||||
|
||||
- Cross-library speed suite: ``benchmarks/test_speed.py``
|
||||
- Cross-library accuracy suite: ``benchmarks/test_accuracy.py``
|
||||
- TA-Lib head-to-head speed script: ``benchmarks/bench_vs_talib.py``
|
||||
- TA-Lib head-to-head script: ``benchmarks/bench_vs_talib.py``
|
||||
- Table generation from benchmark JSON: ``benchmarks/benchmark_table.py``
|
||||
- Perf-contract artifact bundle: ``benchmarks/run_perf_contract.py``
|
||||
|
||||
Run the cross-library speed suite on 100,000 bars:
|
||||
Latest checked-in TA-Lib artifact
|
||||
---------------------------------
|
||||
|
||||
The current checked-in TA-Lib comparison artifact benchmarks contiguous
|
||||
``float64`` arrays at 10k and 100k bars on an ``Apple M3 Max`` with 14 logical
|
||||
cores, about 38.7 GB RAM, ``CPython 3.13.5``, and ``Rust 1.91.1`` using the
|
||||
default release profile (``lto = true``, ``codegen-units = 1``).
|
||||
|
||||
Summary from ``benchmarks/artifacts/latest/benchmark_vs_talib.json``:
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
|
||||
* - Size
|
||||
- Rows
|
||||
- ferro-ta wins
|
||||
- Median speedup
|
||||
- TA-Lib wins or ties
|
||||
* - ``10,000``
|
||||
- 12
|
||||
- 6
|
||||
- ``1.0850x``
|
||||
- ``EMA``, ``RSI``, ``ATR``, ``STOCH``, ``ADX``, ``OBV``
|
||||
* - ``100,000``
|
||||
- 12
|
||||
- 6
|
||||
- ``1.0784x``
|
||||
- ``EMA``, ``RSI``, ``ATR``, ``STOCH``, ``ADX``, ``OBV``
|
||||
|
||||
Examples from the 100k-bar run:
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
|
||||
* - Indicator
|
||||
- ferro-ta
|
||||
- TA-Lib
|
||||
- Speedup
|
||||
- Read
|
||||
* - ``SMA``
|
||||
- ``0.0985 ms``
|
||||
- ``0.2241 ms``
|
||||
- ``2.2751x``
|
||||
- clear ferro-ta win
|
||||
* - ``BBANDS``
|
||||
- ``0.2122 ms``
|
||||
- ``0.4966 ms``
|
||||
- ``2.3402x``
|
||||
- clear ferro-ta win
|
||||
* - ``MACD``
|
||||
- ``0.5152 ms``
|
||||
- ``0.7111 ms``
|
||||
- ``1.3801x``
|
||||
- ferro-ta win
|
||||
* - ``STOCH``
|
||||
- ``1.7064 ms``
|
||||
- ``0.7603 ms``
|
||||
- ``0.4455x``
|
||||
- TA-Lib win
|
||||
* - ``ADX``
|
||||
- ``0.7910 ms``
|
||||
- ``0.5769 ms``
|
||||
- ``0.7294x``
|
||||
- TA-Lib win
|
||||
* - ``ATR``
|
||||
- ``0.5087 ms``
|
||||
- ``0.5147 ms``
|
||||
- ``1.0118x``
|
||||
- tie on this machine
|
||||
|
||||
Methodology notes
|
||||
-----------------
|
||||
|
||||
- The head-to-head script uses the same synthetic OHLCV generator, the same
|
||||
parameters, and the same contiguous ``float64`` array layout for both
|
||||
libraries.
|
||||
- Reported speedup is ``TA-Lib median time / ferro-ta median time``.
|
||||
- The script uses 1 warmup run and 7 measured runs per case, and now records
|
||||
the full per-run timing samples, not just one selected number.
|
||||
- Published JSON artifacts include machine/runtime metadata, git metadata, Rust
|
||||
toolchain and build-profile metadata, per-run variance statistics, and
|
||||
Python-tracked peak allocation snapshots.
|
||||
- Allocation snapshots are based on ``tracemalloc`` and capture Python-tracked
|
||||
allocations only; they are not full native RSS profiles.
|
||||
- If your workload uses non-contiguous arrays, different dtypes, or different
|
||||
batch sizes, benchmark that exact workload. Those factors can materially
|
||||
change the result.
|
||||
|
||||
Reproduce the TA-Lib comparison
|
||||
-------------------------------
|
||||
|
||||
.. code-block:: bash
|
||||
|
||||
pip install ta-lib
|
||||
python benchmarks/bench_vs_talib.py --sizes 10000 100000 --json benchmark_vs_talib.json
|
||||
|
||||
The JSON output is the main artifact to review when publishing performance
|
||||
claims.
|
||||
|
||||
Cross-library suite
|
||||
-------------------
|
||||
|
||||
Run the broader speed suite on 100,000 bars:
|
||||
|
||||
.. code-block:: bash
|
||||
|
||||
uv run pytest benchmarks/test_speed.py --benchmark-only --benchmark-json=benchmarks/results.json -v
|
||||
|
||||
Selected results on a modern CPU (100,000 bars):
|
||||
Selected throughput examples from the checked-in table:
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
@@ -38,25 +148,16 @@ Selected results on a modern CPU (100,000 bars):
|
||||
* - ``STOCH``
|
||||
- 33 M bars/s
|
||||
|
||||
Multi-size and JSON output
|
||||
--------------------------
|
||||
Perf-contract artifacts
|
||||
-----------------------
|
||||
|
||||
To build the markdown comparison table from the JSON output:
|
||||
Use the perf-contract runner when you want a compact, machine-readable artifact
|
||||
bundle for single-series latency, batch throughput, streaming throughput, and
|
||||
hotspot attribution:
|
||||
|
||||
.. code-block:: bash
|
||||
|
||||
uv run python benchmarks/benchmark_table.py
|
||||
uv run python benchmarks/run_perf_contract.py --output-dir benchmarks/artifacts/latest
|
||||
|
||||
Comparison with TA-Lib
|
||||
----------------------
|
||||
|
||||
To measure speedup vs TA-Lib on the same data and parameters, run:
|
||||
|
||||
.. code-block:: bash
|
||||
|
||||
pip install ta-lib
|
||||
python benchmarks/bench_vs_talib.py --sizes 10000 100000 --json benchmark_vs_talib.json
|
||||
|
||||
See the README “Performance vs TA-Lib” section for methodology and a
|
||||
representative comparison table. The script prints a table of median times and
|
||||
speedup (TA-Lib time / ferro_ta time); use ``--json out.json`` to save results.
|
||||
See ``benchmarks/README.md`` for the detailed benchmark playbook and the
|
||||
checked-in comparison tables.
|
||||
|
||||
+45
-43
@@ -1,55 +1,57 @@
|
||||
Changelog
|
||||
=========
|
||||
Release Notes
|
||||
=============
|
||||
|
||||
1.0.0 (2026)
|
||||
------------
|
||||
These docs track package version ``1.0.4``.
|
||||
|
||||
**Candlestick Pattern Parity (61/61)**
|
||||
1.0.4 (2026-03-24)
|
||||
------------------
|
||||
|
||||
- All 61 TA-Lib candlestick patterns implemented in Rust
|
||||
- ``{-100, 0, 100}`` convention, consistent with TA-Lib
|
||||
- Expanded the optional MCP server from a small hand-written subset to the
|
||||
broader public ferro-ta callable surface, including stateful class support
|
||||
through stored-instance management tools.
|
||||
- Split the root documentation so the full TA-Lib compatibility matrix lives in
|
||||
``TA_LIB_COMPATIBILITY.md`` while the README stays product-first and shorter.
|
||||
- Refreshed MCP docs/tests and updated locked low-risk Python dependencies as
|
||||
part of the release cleanup pass.
|
||||
- Stopped tracking the stray ``.coverage`` artifact and aligned ignore rules
|
||||
for local coverage outputs.
|
||||
|
||||
**Numerical Parity**
|
||||
1.0.3 (2026-03-24)
|
||||
------------------
|
||||
|
||||
- RSI, ATR/NATR, CCI, BETA, STOCH, STOCHRSI, ADX/DX/DI/DM all rewritten to match TA-Lib seeding
|
||||
- Removed dependency on ``ta`` crate for these indicators
|
||||
- Added top-level package metadata helpers such as ``ferro_ta.__version__``,
|
||||
``ferro_ta.about()``, and ``ferro_ta.methods()``.
|
||||
- Added a standalone derivatives benchmark artifact for selected options
|
||||
pricing, IV, Greeks, and Black-76 comparisons.
|
||||
- Simplified release version bumps with a single script and updated release
|
||||
guidance.
|
||||
- Fixed Python CI/type-stub gaps around the new metadata API and corrected the
|
||||
tag-driven GitHub Release workflow trigger used for publish automation.
|
||||
|
||||
**Streaming / Incremental API**
|
||||
1.0.2 (2026-03-24)
|
||||
------------------
|
||||
|
||||
- New :mod:`ferro_ta.streaming` module with bar-by-bar stateful classes
|
||||
- ``StreamingSMA``, ``StreamingEMA``, ``StreamingRSI``, ``StreamingATR``, ``StreamingBBands``, ``StreamingMACD``, ``StreamingStoch``, ``StreamingVWAP``, ``StreamingSupertrend``
|
||||
- Improved rolling statistical kernels and several Python analysis hotspots.
|
||||
- Added reproducible perf-contract artifacts, TA-Lib regression guards, and
|
||||
updated benchmark tooling.
|
||||
- Tightened the public benchmark documentation so claims, caveats, and evidence
|
||||
live closer together.
|
||||
|
||||
**Pandas Integration**
|
||||
1.0.1 (2026-03-24)
|
||||
------------------
|
||||
|
||||
- All indicators transparently accept ``pandas.Series`` and return ``Series`` with original index preserved
|
||||
- Multi-output functions return tuples of ``Series``
|
||||
- Improved release automation for PyPI, crates.io, and npm.
|
||||
- Fixed CI workflow issues that caused otherwise healthy release jobs to fail.
|
||||
- Ensured the published WASM package includes its built ``pkg/`` artifacts.
|
||||
|
||||
**Math Operators / Transforms**
|
||||
1.0.0 (2026-03-23)
|
||||
------------------
|
||||
|
||||
- 24 functions: arithmetic (ADD/SUB/MULT/DIV), rolling (SUM/MAX/MIN/MAXINDEX/MININDEX), element-wise math transforms
|
||||
- SUM uses vectorized cumsum (220× faster than a naive loop)
|
||||
- First stable release of the Rust-backed Python technical analysis library.
|
||||
- Shipped broad TA-Lib coverage, streaming APIs, extended indicators, and the
|
||||
initial Sphinx documentation set.
|
||||
- Added the benchmark suite, release playbook, and compatibility/testing
|
||||
scaffolding for stable releases.
|
||||
|
||||
**Documentation**
|
||||
|
||||
- Sphinx documentation setup with API reference, quickstart guide, and benchmarks page
|
||||
|
||||
**Benchmarking Suite**
|
||||
|
||||
- ``benchmarks/test_speed.py`` for authoritative ``pytest-benchmark`` speed runs
|
||||
- ``benchmarks/bench_vs_talib.py`` for TA-Lib head-to-head comparisons
|
||||
|
||||
**Extended Indicators**
|
||||
|
||||
- ``VWAP`` — cumulative or rolling window
|
||||
- ``SUPERTREND`` — ATR-based trend signal
|
||||
|
||||
**Additional Extended Indicators**
|
||||
|
||||
- ``ICHIMOKU`` — Ichimoku Cloud (Tenkan, Kijun, Senkou A/B, Chikou)
|
||||
- ``DONCHIAN`` — Donchian Channels (upper, middle, lower)
|
||||
- ``PIVOT_POINTS`` — Classic, Fibonacci, and Camarilla pivot points
|
||||
|
||||
**Type Stubs & Packaging**
|
||||
|
||||
- ``python/ferro_ta/__init__.pyi`` type stub for IDE auto-completion
|
||||
- ``pyproject.toml``: added optional extras (benchmark, pandas, docs, all), project URLs, Python 3.10–3.13 classifiers
|
||||
For the canonical project changelog, including the full per-version details,
|
||||
see `CHANGELOG.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/CHANGELOG.md>`_.
|
||||
|
||||
+32
-2
@@ -4,7 +4,17 @@
|
||||
# https://www.sphinx-doc.org/en/master/usage/configuration.html
|
||||
|
||||
import os
|
||||
import re
|
||||
import sys
|
||||
from pathlib import Path
|
||||
|
||||
try:
|
||||
import tomllib
|
||||
except ImportError: # pragma: no cover
|
||||
try:
|
||||
import tomli as tomllib # type: ignore[no-redef]
|
||||
except ImportError: # pragma: no cover
|
||||
tomllib = None # type: ignore[assignment]
|
||||
|
||||
# Add the python source directory so autodoc can import ferro_ta
|
||||
# Only add if ferro_ta is not already installed (e.g. from a wheel in CI)
|
||||
@@ -17,8 +27,28 @@ except ImportError:
|
||||
project = "ferro-ta"
|
||||
copyright = "2024, pratikbhadane24"
|
||||
author = "pratikbhadane24"
|
||||
# Version from env (e.g. set in CI from git tag) or default
|
||||
release = os.environ.get("FERRO_TA_VERSION", "1.0.0")
|
||||
|
||||
|
||||
def _default_release() -> str:
|
||||
if tomllib is None:
|
||||
return "0+unknown"
|
||||
pyproject_toml = Path(__file__).resolve().parents[1] / "pyproject.toml"
|
||||
try:
|
||||
if tomllib is not None:
|
||||
with pyproject_toml.open("rb") as handle:
|
||||
data = tomllib.load(handle)
|
||||
return data.get("project", {}).get("version", "0+unknown")
|
||||
text = pyproject_toml.read_text(encoding="utf-8")
|
||||
match = re.search(r'^version\s*=\s*"([^"]+)"', text, re.MULTILINE)
|
||||
if match:
|
||||
return match.group(1)
|
||||
return "0+unknown"
|
||||
except Exception:
|
||||
return "0+unknown"
|
||||
|
||||
|
||||
# Version from env (e.g. set in CI from git tag) or default to pyproject.toml
|
||||
release = os.environ.get("FERRO_TA_VERSION", _default_release())
|
||||
version = release
|
||||
|
||||
# -- General configuration ----------------------------------------------------
|
||||
|
||||
+39
-16
@@ -3,43 +3,66 @@ ferro-ta Documentation
|
||||
|
||||
.. toctree::
|
||||
:maxdepth: 2
|
||||
:caption: Contents
|
||||
:caption: Core Library
|
||||
|
||||
quickstart
|
||||
migration_talib
|
||||
support_matrix
|
||||
pandas_api
|
||||
error_handling
|
||||
api/index
|
||||
streaming
|
||||
extended
|
||||
batch
|
||||
derivatives
|
||||
extended
|
||||
|
||||
.. toctree::
|
||||
:maxdepth: 2
|
||||
:caption: Evidence and Releases
|
||||
|
||||
benchmarks
|
||||
plugins
|
||||
changelog
|
||||
|
||||
.. toctree::
|
||||
:maxdepth: 2
|
||||
:caption: Adjacent and Experimental
|
||||
|
||||
derivatives
|
||||
adjacent_tooling
|
||||
plugins
|
||||
contributing
|
||||
|
||||
Overview
|
||||
--------
|
||||
|
||||
**ferro-ta** is a fast Technical Analysis library — a drop-in alternative to TA-Lib
|
||||
powered by Rust and PyO3.
|
||||
**ferro-ta** is a Rust-powered Python technical analysis library focused on a
|
||||
TA-Lib-compatible API for NumPy-centered workloads.
|
||||
|
||||
Features:
|
||||
.. important::
|
||||
|
||||
Performance varies by indicator, array layout, warmup, build flags, and
|
||||
machine. ferro-ta is often faster on selected indicators, not universally
|
||||
faster. See :doc:`benchmarks` for the reproducible workflow, methodology
|
||||
notes, and the indicators where TA-Lib still wins or ties in the current
|
||||
checked-in artifact.
|
||||
|
||||
Core library:
|
||||
|
||||
- 160+ indicators covering all TA-Lib categories
|
||||
- 10 extended indicators not in TA-Lib (VWAP, Supertrend, Ichimoku Cloud, …)
|
||||
- Batch execution API — run indicators on 2-D arrays of multiple series
|
||||
- TA-Lib-style imports such as ``ferro_ta.SMA(close, timeperiod=20)``
|
||||
- Pre-built wheels for the supported Python/OS matrix
|
||||
- Pure Rust core library (``crates/ferro_ta_core``) — no PyO3 / numpy dependency
|
||||
- Batch execution API — run indicators on 2-D arrays of multiple series
|
||||
- Streaming / bar-by-bar API for live trading
|
||||
- Transparent pandas.Series support
|
||||
- Math operators and transforms
|
||||
- Type stubs (.pyi) for IDE auto-completion
|
||||
- WASM binding for browser/Node.js use
|
||||
- Options/IV helpers and derivatives analytics — see :doc:`derivatives`
|
||||
- 10 extended indicators not in TA-Lib (VWAP, Supertrend, Ichimoku Cloud, ...)
|
||||
|
||||
Adjacent and experimental tooling:
|
||||
|
||||
- Derivatives analytics — see :doc:`derivatives`
|
||||
- Agentic workflow and LangChain tool wrappers — see `Agentic guide <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/agentic.md>`_
|
||||
- MCP server for Cursor/Claude integration — see `MCP guide <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/mcp.md>`_
|
||||
- Sphinx documentation
|
||||
- MCP server for MCP-compatible clients — see `MCP guide <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/mcp.md>`_
|
||||
- WASM, plugins, and other optional surfaces — see :doc:`adjacent_tooling`
|
||||
|
||||
Installation
|
||||
~~~~~~~~~~~~
|
||||
@@ -70,11 +93,11 @@ Further Reading
|
||||
- `Architecture <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/architecture.md>`_ — Rust/Python layout, two-crate design, binding flow.
|
||||
- `Performance Guide <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/performance.md>`_ — when to use raw numpy vs pandas/polars, batch notes, tips.
|
||||
- `API Stability <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/stability.md>`_ — stability tiers, versioning, and deprecation policy.
|
||||
- :doc:`support_matrix` — parity status, tested wheel targets, supported Python versions, and experimental modules.
|
||||
- `Rust-First Policy <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/rust_first.md>`_ — all compute logic belongs in Rust; how to add new indicators.
|
||||
- `Out-of-Core Execution <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/out-of-core.md>`_ — chunked processing and Dask integration.
|
||||
- :doc:`derivatives` — IV helpers, options pricing/Greeks/IV, futures analytics, strategy schemas, and payoff helpers.
|
||||
- `Agentic Workflow <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/agentic.md>`_ — tools.py, workflow.py, LangChain integration.
|
||||
- `MCP Server <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/mcp.md>`_ — run ferro-ta as an MCP server in Cursor/Claude.
|
||||
- :doc:`adjacent_tooling` — optional surfaces such as derivatives, MCP, WASM, GPU, plugins, and agent-oriented integrations.
|
||||
|
||||
Indices and tables
|
||||
==================
|
||||
|
||||
+120
-54
@@ -1,42 +1,56 @@
|
||||
# MCP Server — Connect ferro-ta in Cursor
|
||||
# MCP Server
|
||||
|
||||
ferro-ta ships an MCP (Model Context Protocol) server that exposes
|
||||
indicators and backtest tools to AI agents. This guide shows how to run
|
||||
the server and connect it to Cursor or any MCP-compatible client.
|
||||
ferro-ta ships an optional MCP (Model Context Protocol) server built on the
|
||||
official Python SDK's FastMCP layer. The server now exposes the broad public
|
||||
ferro-ta callable surface instead of a tiny hand-picked subset.
|
||||
|
||||
That means MCP clients can use:
|
||||
|
||||
- Exact top-level ferro-ta exports such as `SMA`, `RSI`, `MACD`, `about`,
|
||||
`methods`, `info`, `benchmark`, and `traced`
|
||||
- Non-top-level public tools such as `compute_indicator`, `run_backtest`,
|
||||
`check_cross`, `aggregate_ticks`, `TickAggregator`, and `AlertManager`
|
||||
- Legacy lowercase convenience aliases: `sma`, `ema`, `rsi`, `macd`,
|
||||
and `backtest`
|
||||
- Generic instance tools for stateful classes and stored callables:
|
||||
`list_instances`, `describe_instance`, `call_instance_method`,
|
||||
`call_stored_callable`, and `delete_instance`
|
||||
|
||||
---
|
||||
|
||||
## Installation
|
||||
|
||||
The MCP server requires no additional dependencies beyond ferro_ta itself.
|
||||
For the full MCP SDK integration (recommended), install the optional extra:
|
||||
Install the optional MCP extra:
|
||||
|
||||
```bash
|
||||
pip install "ferro-ta[mcp]"
|
||||
```
|
||||
|
||||
or install the `mcp` package separately:
|
||||
If you are working from this repository, you can install the same extra into
|
||||
the project environment with:
|
||||
|
||||
```bash
|
||||
pip install "mcp>=1.0"
|
||||
uv sync --extra mcp
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## Running the server
|
||||
|
||||
Run the server over stdio:
|
||||
|
||||
```bash
|
||||
python -m ferro_ta.mcp
|
||||
```
|
||||
|
||||
The server listens on stdin/stdout using JSON-RPC 2.0 (the MCP protocol).
|
||||
The command exits immediately with an install hint if the optional `mcp`
|
||||
dependency is missing.
|
||||
|
||||
---
|
||||
|
||||
## Connect in Cursor
|
||||
|
||||
1. Open Cursor settings (Command Palette → "Open User Settings (JSON)").
|
||||
2. Find or create the `mcpServers` section:
|
||||
Add the server to Cursor's MCP settings:
|
||||
|
||||
```json
|
||||
{
|
||||
@@ -44,82 +58,134 @@ The server listens on stdin/stdout using JSON-RPC 2.0 (the MCP protocol).
|
||||
"ferro-ta": {
|
||||
"command": "python",
|
||||
"args": ["-m", "ferro_ta.mcp"],
|
||||
"description": "ferro_ta — Technical Analysis MCP server"
|
||||
"description": "ferro-ta technical analysis tools"
|
||||
}
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
3. Reload Cursor (Command Palette → "Developer: Reload Window").
|
||||
4. The ferro-ta tools will appear in the Tools panel.
|
||||
You can place this in your user settings JSON or in a workspace-level
|
||||
`.cursor/mcp.json`.
|
||||
|
||||
### Workspace-level config
|
||||
---
|
||||
|
||||
You can also add the config to your project's `.cursor/mcp.json`:
|
||||
## Tool naming
|
||||
|
||||
The MCP server prefers the real ferro-ta API names.
|
||||
|
||||
- Use exact public names when possible, for example `SMA`, `MACD`,
|
||||
`compute_indicator`, `trade_stats`, `TickAggregator`, or `AlertManager`
|
||||
- Use the legacy lowercase aliases only when you want the old MCP-friendly
|
||||
shortcuts and result shapes
|
||||
- Use `about`, `methods`, `indicators`, and `info` to discover what is
|
||||
available from inside an MCP client
|
||||
|
||||
---
|
||||
|
||||
## Stateful classes and object references
|
||||
|
||||
Class tools return stored object references instead of plain text placeholders.
|
||||
For example, calling `TickAggregator` or `AlertManager` returns a payload like:
|
||||
|
||||
```json
|
||||
{
|
||||
"mcpServers": {
|
||||
"ferro-ta": {
|
||||
"command": "python",
|
||||
"args": ["-m", "ferro_ta.mcp"]
|
||||
}
|
||||
}
|
||||
"instance_id": "tickaggregator-0001",
|
||||
"type": "ferro_ta.data.aggregation.TickAggregator",
|
||||
"repr": "TickAggregator(rule='tick:2')"
|
||||
}
|
||||
```
|
||||
|
||||
Use that `instance_id` with:
|
||||
|
||||
- `describe_instance` to inspect the stored object and list public methods
|
||||
- `call_instance_method` to call methods like `aggregate`, `update`,
|
||||
`run_backtest`, or `to_dict`
|
||||
- `delete_instance` to remove stored objects when you are done
|
||||
|
||||
If a tool returns a stored callable, use `call_stored_callable`.
|
||||
|
||||
---
|
||||
|
||||
## Callable references
|
||||
|
||||
Some ferro-ta APIs accept other callables, for example `benchmark`,
|
||||
`log_call`, `traced`, or `multi_timeframe(indicator=...)`.
|
||||
|
||||
Pass public ferro-ta callables using:
|
||||
|
||||
```json
|
||||
{"callable": "SMA"}
|
||||
```
|
||||
|
||||
Pass stored objects using:
|
||||
|
||||
```json
|
||||
{"instance_id": "function-0001"}
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## Example prompts
|
||||
|
||||
Once connected, you can ask Claude (or any MCP-enabled AI) things like:
|
||||
Once connected, you can ask an MCP-compatible client things like:
|
||||
|
||||
> "Compute RSI(14) on this price series: [100, 102, 101, 105, 108, 104, 107]"
|
||||
> "Run `SMA` with `close=[100, 101, 102, 103, 104]` and `timeperiod=3`."
|
||||
|
||||
> "Run a backtest with the rsi_30_70 strategy on [100, 101, 99, 103, 106, 102, 108, 105, 109, 112, 108, 111]"
|
||||
> "Use `compute_indicator` to calculate `MACD` for this close series."
|
||||
|
||||
> "List all available ferro_ta indicators"
|
||||
> "Call `about` and summarize the current ferro-ta API surface."
|
||||
|
||||
> "What does the SMA indicator do?"
|
||||
> "Create a `TickAggregator` with `rule='tick:50'`, aggregate this tick data,
|
||||
> then delete the instance."
|
||||
|
||||
> "Benchmark `SMA` over this price series using a callable reference."
|
||||
|
||||
---
|
||||
|
||||
## Available tools
|
||||
## Programmatic use
|
||||
|
||||
| Tool | Description |
|
||||
|------|-------------|
|
||||
| `sma` | Simple Moving Average |
|
||||
| `ema` | Exponential Moving Average |
|
||||
| `rsi` | Relative Strength Index |
|
||||
| `macd` | MACD line, signal, histogram |
|
||||
| `backtest` | Vectorized backtest (rsi_30_70, sma_crossover, macd_crossover) |
|
||||
| `list_indicators` | List all registered indicators |
|
||||
| `describe_indicator` | Describe a named indicator |
|
||||
|
||||
---
|
||||
|
||||
## Programmatic use (Python client)
|
||||
|
||||
You can also use the MCP handlers directly in Python without the server:
|
||||
Use the server entrypoint:
|
||||
|
||||
```python
|
||||
from ferro_ta.mcp import handle_list_tools, handle_call_tool
|
||||
import numpy as np
|
||||
from ferro_ta.mcp import create_server
|
||||
|
||||
server = create_server()
|
||||
# server.run(transport="stdio")
|
||||
```
|
||||
|
||||
Or call the handlers directly without starting the server:
|
||||
|
||||
```python
|
||||
from ferro_ta.mcp import handle_call_tool, handle_list_tools
|
||||
import json
|
||||
|
||||
# List tools
|
||||
tools = handle_list_tools()
|
||||
print([t["name"] for t in tools["tools"]])
|
||||
print(len(tools["tools"]))
|
||||
|
||||
# Call RSI
|
||||
close = list(np.cumprod(1 + np.random.default_rng(0).normal(0, 0.01, 50)) * 100)
|
||||
result = handle_call_tool("rsi", {"close": close, "timeperiod": 14})
|
||||
print(result)
|
||||
close = [100, 101, 102, 103, 104]
|
||||
result = handle_call_tool("SMA", {"close": close, "timeperiod": 3})
|
||||
print(json.loads(result["content"][0]["text"]))
|
||||
|
||||
aggregator = json.loads(
|
||||
handle_call_tool("TickAggregator", {"rule": "tick:2"})["content"][0]["text"]
|
||||
)
|
||||
bars = handle_call_tool(
|
||||
"call_instance_method",
|
||||
{
|
||||
"instance_id": aggregator["instance_id"],
|
||||
"method": "aggregate",
|
||||
"args": [{"price": [1, 2, 3, 4], "size": [1, 1, 1, 1]}],
|
||||
},
|
||||
)
|
||||
print(json.loads(bars["content"][0]["text"]))
|
||||
```
|
||||
|
||||
---
|
||||
|
||||
## See also
|
||||
|
||||
- `ferro_ta.mcp` — module source.
|
||||
- `ferro_ta.tools` — underlying tool functions.
|
||||
- `docs/agentic.md` — LangChain and workflow integration.
|
||||
- `python -m ferro_ta.mcp` - stdio MCP entrypoint
|
||||
- `ferro_ta.mcp.create_server()` - FastMCP server factory
|
||||
- `ferro_ta.tools.api_info` - API discovery helpers used by the MCP catalog
|
||||
- `ferro_ta.tools` - stable wrappers such as `compute_indicator`
|
||||
- `docs/agentic.md` - workflow and agent integration notes
|
||||
|
||||
@@ -0,0 +1,117 @@
|
||||
Support Matrix
|
||||
==============
|
||||
|
||||
The primary product is the Python technical analysis library: TA-Lib-style
|
||||
indicator calls backed by a Rust implementation.
|
||||
|
||||
Indicator compatibility
|
||||
-----------------------
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
|
||||
* - Status
|
||||
- Scope
|
||||
- Notes
|
||||
* - Exact parity
|
||||
- Common TA-Lib-compatible indicators such as ``SMA``, ``WMA``,
|
||||
``BBANDS``, ``RSI``, ``ATR``, ``NATR``, ``CCI``, ``STOCH``,
|
||||
``STOCHRSI``, and most candlestick patterns
|
||||
- Matches TA-Lib numerically within floating-point tolerance in the
|
||||
current comparison suite.
|
||||
* - Approximate parity
|
||||
- EMA-family indicators (``EMA``, ``DEMA``, ``TEMA``, ``T3``, ``MACD``),
|
||||
``MAMA`` / ``FAMA``, ``SAR`` / ``SAREXT``, and ``HT_*`` cycle
|
||||
indicators
|
||||
- Same API and intended use, with convergence-window or floating-point
|
||||
differences documented in the migration guide.
|
||||
* - Intentionally different
|
||||
- ferro-ta-only indicators such as ``VWAP``, ``SUPERTREND``,
|
||||
``ICHIMOKU``, ``DONCHIAN``, ``KELTNER_CHANNELS``, ``HULL_MA``,
|
||||
``CHANDELIER_EXIT``, ``VWMA``, and ``CHOPPINESS_INDEX``
|
||||
- These extend the library beyond TA-Lib and are not parity claims.
|
||||
|
||||
For migration details and known indicator-specific differences, see
|
||||
:doc:`migration_talib`.
|
||||
|
||||
Module status
|
||||
-------------
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
|
||||
* - Surface
|
||||
- Status
|
||||
- Notes
|
||||
* - Top-level indicators and category submodules
|
||||
- Stable core
|
||||
- This is the main supported surface of the project.
|
||||
* - ``ferro_ta.batch``
|
||||
- Supported
|
||||
- Public API is supported; internal dispatch may evolve.
|
||||
* - ``ferro_ta.streaming``
|
||||
- Supported, still evolving
|
||||
- Suitable for live workflows; some API details are still marked
|
||||
experimental in the stability policy.
|
||||
* - ``ferro_ta.extended``
|
||||
- Supported extension
|
||||
- Useful indicators beyond TA-Lib, but not part of drop-in parity claims.
|
||||
* - ``ferro_ta.analysis.*``
|
||||
- Adjacent tooling
|
||||
- Useful analytics helpers, but not the primary product story.
|
||||
* - MCP, WASM, GPU, plugin, and agent-oriented tooling
|
||||
- Experimental or adjacent
|
||||
- Evaluate these independently from the core indicator library.
|
||||
|
||||
Supported Python versions
|
||||
-------------------------
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
|
||||
* - Python
|
||||
- Status
|
||||
* - 3.13
|
||||
- Supported and tested in CI
|
||||
* - 3.12
|
||||
- Supported and tested in CI
|
||||
* - 3.11
|
||||
- Supported and tested in CI
|
||||
* - 3.10
|
||||
- Supported and tested in CI
|
||||
* - < 3.10
|
||||
- Not supported
|
||||
|
||||
Tested wheel targets
|
||||
--------------------
|
||||
|
||||
.. list-table::
|
||||
:header-rows: 1
|
||||
|
||||
* - OS
|
||||
- Architecture
|
||||
- Wheel status
|
||||
* - Linux
|
||||
- ``x86_64`` (manylinux2014 / ``manylinux_2_17``)
|
||||
- Tested wheel target
|
||||
* - macOS
|
||||
- ``universal2``
|
||||
- Tested wheel target for Intel and Apple Silicon
|
||||
* - Windows
|
||||
- ``x86_64``
|
||||
- Tested wheel target
|
||||
|
||||
For source builds, packaging details, and platform notes, see
|
||||
`PLATFORMS.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/PLATFORMS.md>`_.
|
||||
|
||||
Release status
|
||||
--------------
|
||||
|
||||
These docs track package version ``1.0.4``.
|
||||
|
||||
- Release notes by version: :doc:`changelog`
|
||||
- Canonical project changelog: `CHANGELOG.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/CHANGELOG.md>`_
|
||||
- Stability policy: `docs/stability.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/stability.md>`_
|
||||
|
||||
If the package version, docs version, or support matrix disagree, treat that as
|
||||
a documentation bug.
|
||||
@@ -0,0 +1,71 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "batch",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T21:08:30.877702+00:00",
|
||||
"python_version": "3.12.11",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "2d5000262f0f1439546bd4872235aae0333880a4",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"dataset": {
|
||||
"n_samples": 20000,
|
||||
"n_series": 32,
|
||||
"total_bars": 640000,
|
||||
"seed": 42
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"indicator": "SMA",
|
||||
"parallel_ms": 1.9615,
|
||||
"sequential_ms": 2.0423,
|
||||
"loop_ms": 0.8865,
|
||||
"parallel_speedup_vs_loop": 0.452,
|
||||
"sequential_speedup_vs_loop": 0.4341
|
||||
},
|
||||
{
|
||||
"indicator": "RSI",
|
||||
"parallel_ms": 2.1731,
|
||||
"sequential_ms": 4.3225,
|
||||
"loop_ms": 3.2043,
|
||||
"parallel_speedup_vs_loop": 1.4745,
|
||||
"sequential_speedup_vs_loop": 0.7413
|
||||
},
|
||||
{
|
||||
"indicator": "ATR",
|
||||
"parallel_ms": 4.2249,
|
||||
"sequential_ms": 6.6175,
|
||||
"loop_ms": 4.0382,
|
||||
"parallel_speedup_vs_loop": 0.9558,
|
||||
"sequential_speedup_vs_loop": 0.6102
|
||||
},
|
||||
{
|
||||
"indicator": "ADX",
|
||||
"parallel_ms": 4.8674,
|
||||
"sequential_ms": 7.6402,
|
||||
"loop_ms": 5.1861,
|
||||
"parallel_speedup_vs_loop": 1.0655,
|
||||
"sequential_speedup_vs_loop": 0.6788
|
||||
}
|
||||
],
|
||||
"grouped_results": [
|
||||
{
|
||||
"case": "close_bundle_3",
|
||||
"grouped_ms": 0.1878,
|
||||
"separate_ms": 0.1719,
|
||||
"speedup_vs_separate": 0.9155
|
||||
},
|
||||
{
|
||||
"case": "hlc_bundle_3",
|
||||
"grouped_ms": 0.2958,
|
||||
"separate_ms": 0.4633,
|
||||
"speedup_vs_separate": 1.5666
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,163 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "indicator_latency",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T21:08:30.515962+00:00",
|
||||
"python_version": "3.12.11",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "2d5000262f0f1439546bd4872235aae0333880a4",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"fixtures": [
|
||||
{
|
||||
"path": "/Users/pratikbhadane/Work/Projects/ferro-ta/benchmarks/fixtures/canonical_ohlcv.npz",
|
||||
"size_bytes": 75586,
|
||||
"sha256": "60192f8349fb06cd59ef7f70fd77aa8280399e819d7cc5eed3ca95cf5ee1a89c"
|
||||
}
|
||||
],
|
||||
"dataset": {
|
||||
"fixture": "/Users/pratikbhadane/Work/Projects/ferro-ta/benchmarks/fixtures/canonical_ohlcv.npz",
|
||||
"bars": 2000,
|
||||
"rounds": 5
|
||||
}
|
||||
},
|
||||
"results": [
|
||||
{
|
||||
"name": "VAR_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.0202
|
||||
},
|
||||
{
|
||||
"name": "WILLR_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0183
|
||||
},
|
||||
{
|
||||
"name": "STOCH",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {},
|
||||
"elapsed_ms": 0.0181
|
||||
},
|
||||
{
|
||||
"name": "ADX_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0147
|
||||
},
|
||||
{
|
||||
"name": "CCI_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0144
|
||||
},
|
||||
{
|
||||
"name": "MACD",
|
||||
"inputs": "close",
|
||||
"kwargs": {},
|
||||
"elapsed_ms": 0.0132
|
||||
},
|
||||
{
|
||||
"name": "ATR_14",
|
||||
"inputs": "hlc",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0108
|
||||
},
|
||||
{
|
||||
"name": "RSI_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0102
|
||||
},
|
||||
{
|
||||
"name": "STDDEV_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.0086
|
||||
},
|
||||
{
|
||||
"name": "BETA_5",
|
||||
"inputs": "pair_hl",
|
||||
"kwargs": {
|
||||
"timeperiod": 5
|
||||
},
|
||||
"elapsed_ms": 0.008
|
||||
},
|
||||
{
|
||||
"name": "CORREL_30",
|
||||
"inputs": "pair_hl",
|
||||
"kwargs": {
|
||||
"timeperiod": 30
|
||||
},
|
||||
"elapsed_ms": 0.0068
|
||||
},
|
||||
{
|
||||
"name": "EMA_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.0052
|
||||
},
|
||||
{
|
||||
"name": "BBANDS_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.005
|
||||
},
|
||||
{
|
||||
"name": "TSF_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0048
|
||||
},
|
||||
{
|
||||
"name": "LINEARREG_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0046
|
||||
},
|
||||
{
|
||||
"name": "LINEARREG_SLOPE_14",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 14
|
||||
},
|
||||
"elapsed_ms": 0.0045
|
||||
},
|
||||
{
|
||||
"name": "SMA_20",
|
||||
"inputs": "close",
|
||||
"kwargs": {
|
||||
"timeperiod": 20
|
||||
},
|
||||
"elapsed_ms": 0.0027
|
||||
}
|
||||
]
|
||||
}
|
||||
@@ -0,0 +1,52 @@
|
||||
{
|
||||
"metadata": {
|
||||
"suite": "perf_contract",
|
||||
"runtime": {
|
||||
"generated_at_utc": "2026-03-23T21:09:13.077731+00:00",
|
||||
"python_version": "3.12.11",
|
||||
"platform": "macOS-26.3.1-arm64-arm-64bit",
|
||||
"machine": "arm64",
|
||||
"processor": "arm"
|
||||
},
|
||||
"git": {
|
||||
"commit": "2d5000262f0f1439546bd4872235aae0333880a4",
|
||||
"dirty": true,
|
||||
"branch": "feat/performace-1.0.2"
|
||||
},
|
||||
"fixtures": [
|
||||
{
|
||||
"path": "/Users/pratikbhadane/Work/Projects/ferro-ta/benchmarks/fixtures/canonical_ohlcv.npz",
|
||||
"size_bytes": 75586,
|
||||
"sha256": "60192f8349fb06cd59ef7f70fd77aa8280399e819d7cc5eed3ca95cf5ee1a89c"
|
||||
}
|
||||
],
|
||||
"output_dir": "perf-contract"
|
||||
},
|
||||
"artifacts": {
|
||||
"indicator_latency": {
|
||||
"path": "perf-contract/indicator_latency.json",
|
||||
"size_bytes": 3212,
|
||||
"sha256": "1e7f844fe6eb467f07bbb1e4eb918c56861e8cf819ab4802b96e033c6d2570c4"
|
||||
},
|
||||
"batch": {
|
||||
"path": "perf-contract/batch.json",
|
||||
"size_bytes": 1679,
|
||||
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|
||||
"stream_over_batch_ratio": 116.9385
|
||||
}
|
||||
]
|
||||
}
|
||||
+3
-2
@@ -4,8 +4,8 @@ build-backend = "maturin"
|
||||
|
||||
[project]
|
||||
name = "ferro-ta"
|
||||
version = "1.0.2"
|
||||
description = "A fast Technical Analysis library — TA-Lib alternative powered by Rust and PyO3"
|
||||
version = "1.0.4"
|
||||
description = "Rust-powered Python technical analysis library with a TA-Lib-compatible API"
|
||||
readme = "README.md"
|
||||
license = { text = "MIT" }
|
||||
requires-python = ">=3.10"
|
||||
@@ -104,6 +104,7 @@ ignore = ["E501", "UP006", "UP045", "UP007"]
|
||||
"tests/unit/*" = ["N801", "N802", "N806", "E402", "E741", "F811"]
|
||||
"tests/integration/*" = ["N801", "N802", "N806", "E402", "E741", "F811"]
|
||||
"python/ferro_ta/*.py" = ["N802"] # Public API: SMA, RSI, ATR, etc.
|
||||
"python/ferro_ta/__init__.py" = ["E402", "N802"] # Re-export surface by design
|
||||
"python/ferro_ta/__init__.pyi" = ["N802", "E402"]
|
||||
|
||||
[tool.ruff.format]
|
||||
|
||||
@@ -59,7 +59,51 @@ array([ nan, nan, 11. , 12. , 13. , 13.5, 13.33...])
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import re as _re
|
||||
import sys as _sys
|
||||
from importlib.metadata import PackageNotFoundError as _PackageNotFoundError
|
||||
from importlib.metadata import version as _dist_version
|
||||
from pathlib import Path as _Path
|
||||
|
||||
try:
|
||||
import tomllib as _tomllib
|
||||
except ImportError: # pragma: no cover
|
||||
try:
|
||||
import tomli as _tomllib # type: ignore[no-redef]
|
||||
except ImportError: # pragma: no cover
|
||||
_tomllib = None # type: ignore[assignment]
|
||||
|
||||
|
||||
def _detect_version() -> str:
|
||||
try:
|
||||
return _dist_version("ferro-ta")
|
||||
except _PackageNotFoundError:
|
||||
pass
|
||||
|
||||
if _tomllib is not None:
|
||||
pyproject_toml = _Path(__file__).resolve().parents[2] / "pyproject.toml"
|
||||
if pyproject_toml.is_file():
|
||||
try:
|
||||
with pyproject_toml.open("rb") as handle:
|
||||
data = _tomllib.load(handle)
|
||||
return data.get("project", {}).get("version", "0+unknown")
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
pyproject_toml = _Path(__file__).resolve().parents[2] / "pyproject.toml"
|
||||
if pyproject_toml.is_file():
|
||||
try:
|
||||
text = pyproject_toml.read_text(encoding="utf-8")
|
||||
match = _re.search(r'^version\s*=\s*"([^"]+)"', text, _re.MULTILINE)
|
||||
if match:
|
||||
return match.group(1)
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
return "0+unknown"
|
||||
|
||||
|
||||
__version__ = _detect_version()
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# Exceptions — exported at the top level for convenient catching
|
||||
@@ -281,6 +325,7 @@ from ferro_ta.indicators.volume import ( # noqa: F401
|
||||
)
|
||||
|
||||
__all__ = [
|
||||
"__version__",
|
||||
# Overlap Studies
|
||||
"SMA",
|
||||
"EMA",
|
||||
@@ -459,7 +504,9 @@ __all__ = [
|
||||
"VWMA",
|
||||
"CHOPPINESS_INDEX",
|
||||
# API discovery
|
||||
"about",
|
||||
"indicators",
|
||||
"methods",
|
||||
"info",
|
||||
# Logging utilities
|
||||
"enable_debug",
|
||||
@@ -585,9 +632,10 @@ from ferro_ta.tools.alerts import ( # noqa: F401, E402
|
||||
)
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# API discovery helpers — ferro_ta.indicators() and ferro_ta.info()
|
||||
# API discovery helpers — ferro_ta.about(), ferro_ta.methods(),
|
||||
# ferro_ta.indicators(), and ferro_ta.info()
|
||||
# ---------------------------------------------------------------------------
|
||||
from ferro_ta.tools.api_info import indicators, info # noqa: F401, E402
|
||||
from ferro_ta.tools.api_info import about, indicators, info, methods # noqa: F401, E402
|
||||
|
||||
_ALIASED_SUBMODULES = {
|
||||
"batch": batch,
|
||||
|
||||
@@ -13,6 +13,8 @@ from numpy.typing import ArrayLike, NDArray
|
||||
|
||||
_F = TypeVar("_F", bound=Callable[..., Any])
|
||||
|
||||
__version__: str
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# Overlap Studies
|
||||
# ---------------------------------------------------------------------------
|
||||
@@ -739,8 +741,10 @@ class FerroTAInputError(FerroTAError, ValueError):
|
||||
# API discovery (ferro_ta.api_info)
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
def about() -> dict[str, Any]: ...
|
||||
def indicators(category: str | None = None) -> list[dict[str, Any]]: ...
|
||||
def info(func_or_name: Callable[..., Any] | str) -> dict[str, Any]: ...
|
||||
def methods(category: str | None = None) -> list[dict[str, Any]]: ...
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# Logging utilities (ferro_ta.logging_utils)
|
||||
|
||||
+1294
-391
File diff suppressed because it is too large
Load Diff
@@ -1,19 +1,23 @@
|
||||
"""
|
||||
ferro_ta.api_info — API discovery helpers.
|
||||
|
||||
Provides :func:`indicators` and :func:`info` for exploring the ferro_ta
|
||||
indicator catalogue without reading source code.
|
||||
Provides :func:`indicators`, :func:`methods`, :func:`about`, and :func:`info`
|
||||
for exploring the ferro_ta public API without reading source code.
|
||||
|
||||
Usage
|
||||
-----
|
||||
>>> import ferro_ta
|
||||
>>> ferro_ta.indicators() # all indicators, sorted
|
||||
>>> ferro_ta.indicators(category="momentum") # filter by category
|
||||
>>> ferro_ta.methods() # public callables across modules
|
||||
>>> ferro_ta.about()["version"] # package metadata summary
|
||||
>>> ferro_ta.info(ferro_ta.SMA) # parameter docs for SMA
|
||||
|
||||
API
|
||||
---
|
||||
indicators(category=None) — Return list of dicts describing every indicator.
|
||||
methods(category=None) — Return list of public callables across modules.
|
||||
about() — Return package/version/module summary metadata.
|
||||
info(func_or_name) — Return a dict with full signature/docstring info.
|
||||
"""
|
||||
|
||||
@@ -23,7 +27,7 @@ import importlib
|
||||
import inspect
|
||||
from typing import Any
|
||||
|
||||
__all__ = ["indicators", "info"]
|
||||
__all__ = ["indicators", "methods", "about", "info"]
|
||||
|
||||
# ---------------------------------------------------------------------------
|
||||
# Category → module mapping used by indicators()
|
||||
@@ -52,6 +56,20 @@ _CATEGORY_MODULES: dict[str, str] = {
|
||||
"regime": "ferro_ta.analysis.regime",
|
||||
}
|
||||
|
||||
_METHOD_MODULES: dict[str, str] = {
|
||||
"top_level": "ferro_ta",
|
||||
**_CATEGORY_MODULES,
|
||||
"options": "ferro_ta.analysis.options",
|
||||
"futures": "ferro_ta.analysis.futures",
|
||||
"backtest": "ferro_ta.analysis.backtest",
|
||||
"options_strategy": "ferro_ta.analysis.options_strategy",
|
||||
"derivatives_payoff": "ferro_ta.analysis.derivatives_payoff",
|
||||
"attribution": "ferro_ta.analysis.attribution",
|
||||
"cross_asset": "ferro_ta.analysis.cross_asset",
|
||||
"tools": "ferro_ta.tools.tools",
|
||||
"viz": "ferro_ta.tools.viz",
|
||||
}
|
||||
|
||||
|
||||
def _iter_module_callables(
|
||||
module_name: str,
|
||||
@@ -137,6 +155,66 @@ def indicators(category: str | None = None) -> list[dict[str, Any]]:
|
||||
return result
|
||||
|
||||
|
||||
def methods(category: str | None = None) -> list[dict[str, Any]]:
|
||||
"""Return public callables across ferro_ta modules.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
category : str | None
|
||||
Optional key from :data:`_METHOD_MODULES`, such as ``"top_level"``,
|
||||
``"options"``, ``"futures"``, or ``"batch"``.
|
||||
"""
|
||||
cats: dict[str, str] = (
|
||||
{category: _METHOD_MODULES[category]}
|
||||
if category is not None
|
||||
else _METHOD_MODULES
|
||||
)
|
||||
|
||||
result: list[dict[str, Any]] = []
|
||||
seen: set[tuple[str, str]] = set()
|
||||
for cat, mod_name in cats.items():
|
||||
for name, func in _iter_module_callables(mod_name):
|
||||
key = (mod_name, name)
|
||||
if key in seen:
|
||||
continue
|
||||
seen.add(key)
|
||||
doc = inspect.getdoc(func) or ""
|
||||
first_line = doc.splitlines()[0] if doc else ""
|
||||
try:
|
||||
sig = inspect.signature(func)
|
||||
params = list(sig.parameters.keys())
|
||||
except (ValueError, TypeError):
|
||||
params = []
|
||||
result.append(
|
||||
{
|
||||
"name": name,
|
||||
"category": cat,
|
||||
"module": mod_name,
|
||||
"doc": first_line,
|
||||
"params": params,
|
||||
}
|
||||
)
|
||||
|
||||
result.sort(key=lambda d: (d["category"], d["name"]))
|
||||
return result
|
||||
|
||||
|
||||
def about() -> dict[str, Any]:
|
||||
"""Return a small metadata summary for the installed ferro_ta package."""
|
||||
import ferro_ta # noqa: PLC0415
|
||||
|
||||
top_level_exports = sorted(getattr(ferro_ta, "__all__", []))
|
||||
return {
|
||||
"name": "ferro-ta",
|
||||
"version": getattr(ferro_ta, "__version__", "0+unknown"),
|
||||
"top_level_export_count": len(top_level_exports),
|
||||
"indicator_count": len(indicators()),
|
||||
"method_count": len(methods()),
|
||||
"categories": sorted(_METHOD_MODULES.keys()),
|
||||
"top_level_exports": top_level_exports,
|
||||
}
|
||||
|
||||
|
||||
def info(func_or_name: Any) -> dict[str, Any]:
|
||||
"""Return detailed information about an indicator function.
|
||||
|
||||
|
||||
@@ -0,0 +1,187 @@
|
||||
#!/usr/bin/env python3
|
||||
"""Update or verify ferro-ta version strings across release files.
|
||||
|
||||
Usage
|
||||
-----
|
||||
python3 scripts/bump_version.py 1.0.3
|
||||
python3 scripts/bump_version.py --check
|
||||
python3 scripts/bump_version.py --show
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import argparse
|
||||
import re
|
||||
from dataclasses import dataclass
|
||||
from pathlib import Path
|
||||
|
||||
|
||||
ROOT = Path(__file__).resolve().parent.parent
|
||||
SEMVER_RE = re.compile(r"^\d+\.\d+\.\d+$")
|
||||
|
||||
|
||||
@dataclass(frozen=True)
|
||||
class VersionCarrier:
|
||||
label: str
|
||||
path: Path
|
||||
pattern: str
|
||||
replacement: str
|
||||
|
||||
def read(self) -> str:
|
||||
text = self.path.read_text(encoding="utf-8")
|
||||
match = re.search(self.pattern, text, flags=re.MULTILINE)
|
||||
if not match:
|
||||
raise ValueError(f"Could not find version for {self.label} in {self.path}")
|
||||
return match.group(2)
|
||||
|
||||
def write(self, version: str) -> bool:
|
||||
text = self.path.read_text(encoding="utf-8")
|
||||
updated, count = re.subn(
|
||||
self.pattern,
|
||||
rf"\g<1>{version}\g<3>",
|
||||
text,
|
||||
count=1,
|
||||
flags=re.MULTILINE,
|
||||
)
|
||||
if count != 1:
|
||||
raise ValueError(f"Could not update {self.label} in {self.path}")
|
||||
changed = updated != text
|
||||
if changed:
|
||||
self.path.write_text(updated, encoding="utf-8")
|
||||
return changed
|
||||
|
||||
|
||||
CARRIERS = [
|
||||
VersionCarrier(
|
||||
"cargo_root",
|
||||
ROOT / "Cargo.toml",
|
||||
r'(?m)^(version = ")([^"]+)(")$',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"cargo_core_dep",
|
||||
ROOT / "Cargo.toml",
|
||||
r'(ferro_ta_core = \{ path = "crates/ferro_ta_core", version = ")([^"]+)(" \})',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"cargo_core_crate",
|
||||
ROOT / "crates" / "ferro_ta_core" / "Cargo.toml",
|
||||
r'(?m)^(version = ")([^"]+)(")$',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"cargo_core_readme",
|
||||
ROOT / "crates" / "ferro_ta_core" / "README.md",
|
||||
r'(ferro_ta_core = ")([^"]+)(")',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"pyproject",
|
||||
ROOT / "pyproject.toml",
|
||||
r'(?m)^(version = ")([^"]+)(")$',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"wasm_cargo",
|
||||
ROOT / "wasm" / "Cargo.toml",
|
||||
r'(?m)^(version = ")([^"]+)(")$',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"wasm_package",
|
||||
ROOT / "wasm" / "package.json",
|
||||
r'("version": ")([^"]+)(")',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"conda",
|
||||
ROOT / "conda" / "meta.yaml",
|
||||
r'({% set version = ")([^"]+)(" %})',
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"docs_changelog",
|
||||
ROOT / "docs" / "changelog.rst",
|
||||
r"(These docs track package version ``)([^`]+)(``\.)",
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
VersionCarrier(
|
||||
"docs_support_matrix",
|
||||
ROOT / "docs" / "support_matrix.rst",
|
||||
r"(These docs track package version ``)([^`]+)(``\.)",
|
||||
r"\g<1>{version}\g<3>",
|
||||
),
|
||||
]
|
||||
|
||||
|
||||
def _read_versions() -> dict[str, str]:
|
||||
return {carrier.label: carrier.read() for carrier in CARRIERS}
|
||||
|
||||
|
||||
def _print_versions(versions: dict[str, str]) -> None:
|
||||
for label, version in versions.items():
|
||||
print(f"{label:20} {version}")
|
||||
|
||||
|
||||
def _check_versions() -> int:
|
||||
versions = _read_versions()
|
||||
unique = sorted(set(versions.values()))
|
||||
_print_versions(versions)
|
||||
if len(unique) != 1:
|
||||
print()
|
||||
print(f"ERROR: version mismatch detected: {', '.join(unique)}")
|
||||
return 1
|
||||
print()
|
||||
print(f"OK: all tracked versions match {unique[0]}")
|
||||
return 0
|
||||
|
||||
|
||||
def _set_version(version: str) -> int:
|
||||
if not SEMVER_RE.match(version):
|
||||
print(f"ERROR: expected MAJOR.MINOR.PATCH, got {version!r}")
|
||||
return 1
|
||||
|
||||
changed_paths: list[Path] = []
|
||||
for carrier in CARRIERS:
|
||||
if carrier.write(version):
|
||||
changed_paths.append(carrier.path)
|
||||
|
||||
if changed_paths:
|
||||
print(f"Updated version to {version}:")
|
||||
for path in sorted(set(changed_paths)):
|
||||
print(f" - {path.relative_to(ROOT)}")
|
||||
else:
|
||||
print(f"No changes needed. All tracked files already use {version}.")
|
||||
return 0
|
||||
|
||||
|
||||
def main() -> int:
|
||||
parser = argparse.ArgumentParser(description=__doc__)
|
||||
parser.add_argument("version", nargs="?", help="New version to write")
|
||||
parser.add_argument(
|
||||
"--check",
|
||||
action="store_true",
|
||||
help="Fail if tracked version strings do not match",
|
||||
)
|
||||
parser.add_argument(
|
||||
"--show",
|
||||
action="store_true",
|
||||
help="Print tracked version strings without modifying files",
|
||||
)
|
||||
args = parser.parse_args()
|
||||
|
||||
if args.check:
|
||||
return _check_versions()
|
||||
if args.show:
|
||||
_print_versions(_read_versions())
|
||||
return 0
|
||||
if args.version:
|
||||
return _set_version(args.version)
|
||||
|
||||
parser.print_help()
|
||||
return 1
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
raise SystemExit(main())
|
||||
@@ -227,6 +227,27 @@ def test_indicators_returns_list():
|
||||
assert "ATR" in names
|
||||
|
||||
|
||||
def test_methods_returns_public_callables():
|
||||
import ferro_ta
|
||||
|
||||
result = ferro_ta.methods()
|
||||
assert isinstance(result, list)
|
||||
assert any(d["name"] == "SMA" and d["category"] == "top_level" for d in result)
|
||||
assert any(
|
||||
d["name"] == "option_price" and d["category"] == "options" for d in result
|
||||
)
|
||||
|
||||
|
||||
def test_about_reports_version_and_counts():
|
||||
import ferro_ta
|
||||
|
||||
meta = ferro_ta.about()
|
||||
assert meta["version"] == ferro_ta.__version__
|
||||
assert meta["indicator_count"] > 20
|
||||
assert meta["method_count"] >= meta["indicator_count"]
|
||||
assert "__version__" in meta["top_level_exports"]
|
||||
|
||||
|
||||
def test_indicators_filter_by_category():
|
||||
import ferro_ta
|
||||
|
||||
|
||||
@@ -1,3 +1,7 @@
|
||||
import subprocess
|
||||
import sys
|
||||
from pathlib import Path
|
||||
|
||||
import numpy as np
|
||||
import pytest
|
||||
|
||||
@@ -216,3 +220,34 @@ class TestStrategyAndPayoff:
|
||||
assert payoff[1] == pytest.approx(-3.0)
|
||||
assert greeks.delta > 0.0
|
||||
assert greeks.gamma > 0.0
|
||||
|
||||
|
||||
class TestDerivativesBenchmarking:
|
||||
def test_derivatives_benchmark_smoke(self, tmp_path):
|
||||
root = Path(__file__).resolve().parents[2]
|
||||
script = root / "benchmarks" / "bench_derivatives_compare.py"
|
||||
output_path = tmp_path / "derivatives_benchmark.json"
|
||||
|
||||
completed = subprocess.run(
|
||||
[
|
||||
sys.executable,
|
||||
str(script),
|
||||
"--sizes",
|
||||
"32",
|
||||
"--accuracy-size",
|
||||
"16",
|
||||
"--json",
|
||||
str(output_path),
|
||||
],
|
||||
cwd=root,
|
||||
check=False,
|
||||
capture_output=True,
|
||||
text=True,
|
||||
)
|
||||
|
||||
assert completed.returncode == 0, completed.stdout + completed.stderr
|
||||
assert output_path.is_file()
|
||||
payload = output_path.read_text(encoding="utf-8")
|
||||
assert '"accuracy"' in payload
|
||||
assert '"speed"' in payload
|
||||
assert '"provider": "ferro_ta"' in payload
|
||||
|
||||
@@ -641,6 +641,9 @@ class TestBatchShapeValidation:
|
||||
# ---------------------------------------------------------------------------
|
||||
|
||||
import os
|
||||
import re
|
||||
import runpy
|
||||
import subprocess
|
||||
|
||||
try:
|
||||
import tomllib # Python 3.11+
|
||||
@@ -673,8 +676,41 @@ def _read_pyproject_version() -> str:
|
||||
return data["project"]["version"]
|
||||
|
||||
|
||||
def _read_conda_version() -> str:
|
||||
root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
|
||||
conda_meta = os.path.join(root, "conda", "meta.yaml")
|
||||
text = open(conda_meta).read()
|
||||
match = re.search(r'{% set version = "([^"]+)" %}', text)
|
||||
if not match:
|
||||
raise ValueError("Could not find conda version")
|
||||
return match.group(1)
|
||||
|
||||
|
||||
def _read_docs_release() -> str:
|
||||
root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
|
||||
conf_py = os.path.join(root, "docs", "conf.py")
|
||||
old_env = os.environ.pop("FERRO_TA_VERSION", None)
|
||||
try:
|
||||
data = runpy.run_path(conf_py)
|
||||
return data["release"]
|
||||
finally:
|
||||
if old_env is not None:
|
||||
os.environ["FERRO_TA_VERSION"] = old_env
|
||||
|
||||
|
||||
def _run_bump_version_check() -> subprocess.CompletedProcess[str]:
|
||||
root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
|
||||
return subprocess.run(
|
||||
["python3", "scripts/bump_version.py", "--check"],
|
||||
cwd=root,
|
||||
text=True,
|
||||
capture_output=True,
|
||||
check=False,
|
||||
)
|
||||
|
||||
|
||||
class TestVersionConsistency:
|
||||
"""Cargo.toml and pyproject.toml must have the same version string."""
|
||||
"""Public version strings should stay aligned with the package version."""
|
||||
|
||||
def test_versions_match(self):
|
||||
try:
|
||||
@@ -687,6 +723,41 @@ class TestVersionConsistency:
|
||||
f"pyproject.toml={pyproject_ver!r}"
|
||||
)
|
||||
|
||||
def test_package_version_matches_project_version(self):
|
||||
cargo_ver = _read_cargo_version()
|
||||
assert ferro_ta.__version__ == cargo_ver
|
||||
|
||||
def test_conda_version_matches_project_version(self):
|
||||
cargo_ver = _read_cargo_version()
|
||||
conda_ver = _read_conda_version()
|
||||
assert conda_ver == cargo_ver
|
||||
|
||||
def test_docs_release_matches_project_version(self):
|
||||
cargo_ver = _read_cargo_version()
|
||||
docs_release = _read_docs_release()
|
||||
assert docs_release == cargo_ver
|
||||
|
||||
def test_docs_changelog_mentions_current_version(self):
|
||||
cargo_ver = _read_cargo_version()
|
||||
root = os.path.dirname(
|
||||
os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
|
||||
)
|
||||
changelog_rst = os.path.join(root, "docs", "changelog.rst")
|
||||
text = open(changelog_rst).read()
|
||||
assert cargo_ver in text
|
||||
|
||||
def test_api_version_matches_project_version(self):
|
||||
cargo_ver = _read_cargo_version()
|
||||
try:
|
||||
from api.main import app
|
||||
except Exception:
|
||||
pytest.skip("api/main.py not importable")
|
||||
assert app.version == cargo_ver
|
||||
|
||||
def test_bump_version_check_passes(self):
|
||||
result = _run_bump_version_check()
|
||||
assert result.returncode == 0, result.stdout + result.stderr
|
||||
|
||||
def test_release_md_exists(self):
|
||||
"""RELEASE.md must exist in the repository root."""
|
||||
root = os.path.dirname(
|
||||
|
||||
@@ -4,6 +4,9 @@ regime detection, performance attribution, and dashboard helpers.
|
||||
|
||||
from __future__ import annotations
|
||||
|
||||
import importlib
|
||||
import runpy
|
||||
|
||||
import numpy as np
|
||||
import pytest
|
||||
|
||||
@@ -1218,7 +1221,22 @@ class TestMCPListTools:
|
||||
|
||||
result = handle_list_tools()
|
||||
names = [t["name"] for t in result["tools"]]
|
||||
for expected in ("sma", "ema", "rsi", "macd", "backtest", "list_indicators"):
|
||||
assert len(names) > 250
|
||||
for expected in (
|
||||
"sma",
|
||||
"ema",
|
||||
"rsi",
|
||||
"macd",
|
||||
"backtest",
|
||||
"SMA",
|
||||
"compute_indicator",
|
||||
"about",
|
||||
"check_cross",
|
||||
"TickAggregator",
|
||||
"call_instance_method",
|
||||
"call_stored_callable",
|
||||
"delete_instance",
|
||||
):
|
||||
assert expected in names, f"Expected tool '{expected}' not found"
|
||||
|
||||
def test_each_tool_has_schema(self):
|
||||
@@ -1280,6 +1298,57 @@ class TestMCPCallTool:
|
||||
assert "final_equity" in payload
|
||||
assert "n_trades" in payload
|
||||
|
||||
def test_top_level_sma_call(self):
|
||||
import json
|
||||
|
||||
from ferro_ta.mcp import handle_call_tool
|
||||
|
||||
close = list(np.linspace(100, 110, 30))
|
||||
result = handle_call_tool("SMA", {"close": close, "timeperiod": 5})
|
||||
payload = json.loads(result["content"][0]["text"])
|
||||
assert len(payload) == 30
|
||||
|
||||
def test_compute_indicator_call(self):
|
||||
import json
|
||||
|
||||
from ferro_ta.mcp import handle_call_tool
|
||||
|
||||
close = list(_make_close(100))
|
||||
result = handle_call_tool(
|
||||
"compute_indicator",
|
||||
{
|
||||
"name": "MACD",
|
||||
"args": [close],
|
||||
},
|
||||
)
|
||||
payload = json.loads(result["content"][0]["text"])
|
||||
assert "macd" in payload
|
||||
|
||||
def test_about_call(self):
|
||||
import json
|
||||
|
||||
from ferro_ta.mcp import handle_call_tool
|
||||
|
||||
result = handle_call_tool("about", {})
|
||||
payload = json.loads(result["content"][0]["text"])
|
||||
assert payload["indicator_count"] >= 200
|
||||
assert payload["method_count"] >= 400
|
||||
|
||||
def test_check_cross_call(self):
|
||||
import json
|
||||
|
||||
from ferro_ta.mcp import handle_call_tool
|
||||
|
||||
result = handle_call_tool(
|
||||
"check_cross",
|
||||
{
|
||||
"fast": [1.0, 2.0, 3.0, 2.0, 1.0],
|
||||
"slow": [2.0, 2.0, 2.0, 2.0, 2.0],
|
||||
},
|
||||
)
|
||||
payload = json.loads(result["content"][0]["text"])
|
||||
assert len(payload) == 5
|
||||
|
||||
def test_list_indicators_call(self):
|
||||
import json
|
||||
|
||||
@@ -1322,3 +1391,129 @@ class TestMCPCallTool:
|
||||
"backtest", {"close": close, "strategy": "no_strategy"}
|
||||
)
|
||||
assert result.get("isError") is True or "content" in result
|
||||
|
||||
def test_tick_aggregator_instance_lifecycle(self):
|
||||
import json
|
||||
|
||||
from ferro_ta.mcp import handle_call_tool
|
||||
|
||||
created = json.loads(
|
||||
handle_call_tool("TickAggregator", {"rule": "tick:2"})["content"][0]["text"]
|
||||
)
|
||||
instance_id = created["instance_id"]
|
||||
|
||||
described = json.loads(
|
||||
handle_call_tool(
|
||||
"describe_instance", {"instance_id": instance_id}
|
||||
)["content"][0]["text"]
|
||||
)
|
||||
method_names = [item["name"] for item in described["methods"]]
|
||||
assert "aggregate" in method_names
|
||||
|
||||
aggregated = json.loads(
|
||||
handle_call_tool(
|
||||
"call_instance_method",
|
||||
{
|
||||
"instance_id": instance_id,
|
||||
"method": "aggregate",
|
||||
"args": [
|
||||
{
|
||||
"price": [1.0, 2.0, 3.0, 4.0],
|
||||
"size": [1.0, 1.0, 1.0, 1.0],
|
||||
}
|
||||
],
|
||||
},
|
||||
)["content"][0]["text"]
|
||||
)
|
||||
assert "open" in aggregated
|
||||
assert "close" in aggregated
|
||||
|
||||
deleted = json.loads(
|
||||
handle_call_tool(
|
||||
"delete_instance", {"instance_id": instance_id}
|
||||
)["content"][0]["text"]
|
||||
)
|
||||
assert deleted["deleted"] is True
|
||||
|
||||
def test_stored_callable_can_be_invoked(self):
|
||||
import json
|
||||
|
||||
from ferro_ta.mcp import handle_call_tool
|
||||
|
||||
wrapped = json.loads(
|
||||
handle_call_tool(
|
||||
"traced", {"func": {"callable": "SMA"}}
|
||||
)["content"][0]["text"]
|
||||
)
|
||||
instance_id = wrapped["instance_id"]
|
||||
|
||||
called = json.loads(
|
||||
handle_call_tool(
|
||||
"call_stored_callable",
|
||||
{
|
||||
"instance_id": instance_id,
|
||||
"args": [[1.0, 2.0, 3.0, 4.0, 5.0]],
|
||||
"kwargs": {"timeperiod": 3},
|
||||
},
|
||||
)["content"][0]["text"]
|
||||
)
|
||||
assert len(called) == 5
|
||||
|
||||
handle_call_tool("delete_instance", {"instance_id": instance_id})
|
||||
|
||||
def test_benchmark_accepts_callable_reference(self):
|
||||
import json
|
||||
|
||||
from ferro_ta.mcp import handle_call_tool
|
||||
|
||||
result = handle_call_tool(
|
||||
"benchmark",
|
||||
{
|
||||
"func": {"callable": "SMA"},
|
||||
"args": [[1.0, 2.0, 3.0, 4.0, 5.0]],
|
||||
"kwargs": {"timeperiod": 3},
|
||||
"n": 2,
|
||||
"warmup": 0,
|
||||
},
|
||||
)
|
||||
payload = json.loads(result["content"][0]["text"])
|
||||
assert payload["n"] == 2.0
|
||||
assert "mean_ms" in payload
|
||||
|
||||
|
||||
class TestMCPServer:
|
||||
def test_create_server_requires_mcp_dependency(self, monkeypatch):
|
||||
import ferro_ta.mcp as mcp_mod
|
||||
|
||||
real_import_module = importlib.import_module
|
||||
|
||||
def fake_import_module(name, package=None):
|
||||
if name.startswith("mcp"):
|
||||
raise ImportError("No module named 'mcp'")
|
||||
return real_import_module(name, package)
|
||||
|
||||
mcp_mod.create_server.cache_clear()
|
||||
monkeypatch.setattr(importlib, "import_module", fake_import_module)
|
||||
|
||||
with pytest.raises(RuntimeError, match='pip install "ferro-ta\\[mcp\\]"'):
|
||||
mcp_mod.create_server()
|
||||
|
||||
def test_main_entrypoint_invokes_run_server(self, monkeypatch):
|
||||
import ferro_ta.mcp as mcp_mod
|
||||
|
||||
calls: list[str] = []
|
||||
|
||||
monkeypatch.setattr(mcp_mod, "run_server", lambda: calls.append("called"))
|
||||
runpy.run_module("ferro_ta.mcp.__main__", run_name="__main__")
|
||||
|
||||
assert calls == ["called"]
|
||||
|
||||
def test_create_server_registers_generated_tools(self):
|
||||
import ferro_ta.mcp as mcp_mod
|
||||
|
||||
server = mcp_mod.create_server()
|
||||
tool_names = [tool.name for tool in server._tool_manager.list_tools()]
|
||||
|
||||
assert "SMA" in tool_names
|
||||
assert "TickAggregator" in tool_names
|
||||
assert "call_instance_method" in tool_names
|
||||
|
||||
@@ -515,19 +515,24 @@ wheels = [
|
||||
|
||||
[[package]]
|
||||
name = "cuda-bindings"
|
||||
version = "12.9.4"
|
||||
version = "13.2.0"
|
||||
source = { registry = "https://pypi.org/simple" }
|
||||
dependencies = [
|
||||
{ name = "cuda-pathfinder", marker = "(python_full_version < '3.11' and sys_platform == 'emscripten') or (python_full_version < '3.11' and sys_platform == 'win32') or (sys_platform != 'emscripten' and sys_platform != 'win32')" },
|
||||
]
|
||||
wheels = [
|
||||
{ url = "https://files.pythonhosted.org/packages/7a/d8/b546104b8da3f562c1ff8ab36d130c8fe1dd6a045ced80b4f6ad74f7d4e1/cuda_bindings-12.9.4-cp310-cp310-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:4d3c842c2a4303b2a580fe955018e31aea30278be19795ae05226235268032e5", size = 12148218, upload-time = "2025-10-21T14:51:28.855Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/45/e7/b47792cc2d01c7e1d37c32402182524774dadd2d26339bd224e0e913832e/cuda_bindings-12.9.4-cp311-cp311-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:c912a3d9e6b6651853eed8eed96d6800d69c08e94052c292fec3f282c5a817c9", size = 12210593, upload-time = "2025-10-21T14:51:36.574Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/a9/c1/dabe88f52c3e3760d861401bb994df08f672ec893b8f7592dc91626adcf3/cuda_bindings-12.9.4-cp312-cp312-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:fda147a344e8eaeca0c6ff113d2851ffca8f7dfc0a6c932374ee5c47caa649c8", size = 12151019, upload-time = "2025-10-21T14:51:43.167Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/63/56/e465c31dc9111be3441a9ba7df1941fe98f4aa6e71e8788a3fb4534ce24d/cuda_bindings-12.9.4-cp313-cp313-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:32bdc5a76906be4c61eb98f546a6786c5773a881f3b166486449b5d141e4a39f", size = 11906628, upload-time = "2025-10-21T14:51:49.905Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/a3/84/1e6be415e37478070aeeee5884c2022713c1ecc735e6d82d744de0252eee/cuda_bindings-12.9.4-cp313-cp313t-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:56e0043c457a99ac473ddc926fe0dc4046694d99caef633e92601ab52cbe17eb", size = 11925991, upload-time = "2025-10-21T14:51:56.535Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/d1/af/6dfd8f2ed90b1d4719bc053ff8940e494640fe4212dc3dd72f383e4992da/cuda_bindings-12.9.4-cp314-cp314-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:8b72ee72a9cc1b531db31eebaaee5c69a8ec3500e32c6933f2d3b15297b53686", size = 11922703, upload-time = "2025-10-21T14:52:03.585Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/6c/19/90ac264acc00f6df8a49378eedec9fd2db3061bf9263bf9f39fd3d8377c3/cuda_bindings-12.9.4-cp314-cp314t-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:d80bffc357df9988dca279734bc9674c3934a654cab10cadeed27ce17d8635ee", size = 11924658, upload-time = "2025-10-21T14:52:10.411Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/1a/fe/7351d7e586a8b4c9f89731bfe4cf0148223e8f9903ff09571f78b3fb0682/cuda_bindings-13.2.0-cp310-cp310-manylinux_2_24_aarch64.manylinux_2_28_aarch64.whl", hash = "sha256:08b395f79cb89ce0cd8effff07c4a1e20101b873c256a1aeb286e8fd7bd0f556", size = 5744254, upload-time = "2026-03-11T00:12:29.798Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/aa/ef/184aa775e970fc089942cd9ec6302e6e44679d4c14549c6a7ea45bf7f798/cuda_bindings-13.2.0-cp310-cp310-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:d6f3682ec3c4769326aafc67c2ba669d97d688d0b7e63e659d36d2f8b72f32d6", size = 6329075, upload-time = "2026-03-11T00:12:32.319Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/e0/a9/3a8241c6e19483ac1f1dcf5c10238205dcb8a6e9d0d4d4709240dff28ff4/cuda_bindings-13.2.0-cp311-cp311-manylinux_2_24_aarch64.manylinux_2_28_aarch64.whl", hash = "sha256:721104c603f059780d287969be3d194a18d0cc3b713ed9049065a1107706759d", size = 5730273, upload-time = "2026-03-11T00:12:37.18Z" },
|
||||
{ url = "https://files.pythonhosted.org/packages/e9/94/2748597f47bb1600cd466b20cab4159f1530a3a33fe7f70fee199b3abb9e/cuda_bindings-13.2.0-cp311-cp311-manylinux_2_24_x86_64.manylinux_2_28_x86_64.whl", hash = "sha256:1eba9504ac70667dd48313395fe05157518fd6371b532790e96fbb31bbb5a5e1", size = 6313924, upload-time = "2026-03-11T00:12:39.462Z" },
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[[package]]
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+1
-1
@@ -1,6 +1,6 @@
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[package]
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edition = "2021"
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license = "MIT"
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+1
-1
@@ -1,6 +1,6 @@
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{
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"name": "ferro-ta-wasm",
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"version": "1.0.2",
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"description": "WebAssembly bindings for ferro-ta technical analysis indicators",
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"main": "pkg/ferro_ta_wasm.js",
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"types": "pkg/ferro_ta_wasm.d.ts",
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Reference in New Issue
Block a user