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Author SHA1 Message Date
Pratik Bhadane 2080e4673d chore: update ferro-ta version to 1.1.3
- Bumped version numbers across Cargo.toml, Cargo.lock, pyproject.toml, and conda/meta.yaml to 1.1.3.
- Added new features including American option pricing, digital options, extended Greeks, and historical volatility estimators.
- Enhanced documentation and tests for new functionalities.
- Updated CHANGELOG.md to reflect changes for version 1.1.3.
2026-04-02 16:30:45 +05:30
40 changed files with 519 additions and 1930 deletions
-11
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@@ -34,14 +34,3 @@ updates:
labels:
- "dependencies"
- "github-actions"
# WASM JavaScript package
- package-ecosystem: "npm"
directory: "/wasm"
schedule:
interval: "weekly"
day: "monday"
open-pull-requests-limit: 5
labels:
- "dependencies"
- "javascript"
+59 -127
View File
@@ -87,7 +87,7 @@ jobs:
steps:
- name: Deploy to GitHub Pages
id: deployment
uses: actions/deploy-pages@v5
uses: actions/deploy-pages@v4
# -------------------------------------------------------------------------
# CI gate — all required jobs must pass before this job succeeds.
@@ -136,123 +136,88 @@ jobs:
# Keep release jobs here because trusted-publisher configuration points to
# CI.yml specifically.
# -------------------------------------------------------------------------
# One abi3 wheel per (platform, arch). abi3-py310 means a single wheel
# covers CPython 3.10+ on each target, so there is no python-version axis.
# extension-module + abi3 link no libpython, which is what lets the linux
# jobs cross-compile aarch64/musl from an x86_64 runner via maturin-action.
build-wheels-linux:
name: Build wheels (linux-gnu / ${{ matrix.target }})
name: Build wheels (linux / py${{ matrix.python-version }})
runs-on: ubuntu-latest
if: (github.event_name == 'release' && github.event.action == 'published') || (github.event_name == 'workflow_dispatch' && inputs.release)
strategy:
fail-fast: false
matrix:
target: [x86_64, aarch64]
python-version: ["3.10", "3.11", "3.12", "3.13"]
steps:
- uses: actions/checkout@v6
- name: Build abi3 manylinux wheel
- name: Build wheel
uses: PyO3/maturin-action@v1
with:
command: build
target: ${{ matrix.target }}
args: --release --out dist
args: --release --out dist --compatibility pypi -i python${{ matrix.python-version }}
manylinux: "2_17"
- name: Upload wheels as artifact
uses: actions/upload-artifact@v7
with:
name: wheels-linux-gnu-${{ matrix.target }}
path: dist/*.whl
build-wheels-musllinux:
name: Build wheels (linux-musl / ${{ matrix.target }})
runs-on: ubuntu-latest
if: (github.event_name == 'release' && github.event.action == 'published') || (github.event_name == 'workflow_dispatch' && inputs.release)
strategy:
fail-fast: false
matrix:
target: [x86_64, aarch64]
steps:
- uses: actions/checkout@v6
- name: Build abi3 musllinux wheel
uses: PyO3/maturin-action@v1
with:
command: build
target: ${{ matrix.target }}
args: --release --out dist
manylinux: musllinux_1_2
- name: Upload wheels as artifact
uses: actions/upload-artifact@v7
with:
name: wheels-linux-musl-${{ matrix.target }}
name: wheels-linux-py${{ matrix.python-version }}
path: dist/*.whl
build-wheels-macos:
name: Build wheels (macos / universal2)
name: Build wheels (macos / py${{ matrix.python-version }})
runs-on: macos-latest
if: (github.event_name == 'release' && github.event.action == 'published') || (github.event_name == 'workflow_dispatch' && inputs.release)
steps:
- uses: actions/checkout@v6
- name: Set up Python
uses: actions/setup-python@v6
with:
python-version: "3.10"
- name: Build universal2 abi3 wheel
uses: PyO3/maturin-action@v1
with:
command: build
target: universal2-apple-darwin
args: --release --out dist
- name: Upload wheels as artifact
uses: actions/upload-artifact@v7
with:
name: wheels-macos-universal2
path: dist/*.whl
build-wheels-windows:
name: Build wheels (windows / ${{ matrix.platform.arch }})
runs-on: ${{ matrix.platform.runner }}
if: (github.event_name == 'release' && github.event.action == 'published') || (github.event_name == 'workflow_dispatch' && inputs.release)
strategy:
fail-fast: false
matrix:
platform:
- runner: windows-latest
arch: x64
target: x64
- runner: windows-11-arm
arch: arm64
target: aarch64
python-version: ["3.10", "3.11", "3.12", "3.13"]
steps:
- uses: actions/checkout@v6
- name: Set up Python
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v6
with:
python-version: "3.11"
architecture: ${{ matrix.platform.arch }}
python-version: ${{ matrix.python-version }}
- name: Build abi3 wheel
- name: Build universal2 wheel
uses: PyO3/maturin-action@v1
with:
command: build
target: ${{ matrix.platform.target }}
args: --release --out dist
args: --release --out dist --compatibility pypi -i python
target: universal2-apple-darwin
- name: Upload wheels as artifact
uses: actions/upload-artifact@v7
with:
name: wheels-windows-${{ matrix.platform.arch }}
name: wheels-macos-py${{ matrix.python-version }}
path: dist/*.whl
build-wheels-windows:
name: Build wheels (windows / py${{ matrix.python-version }})
runs-on: windows-latest
if: (github.event_name == 'release' && github.event.action == 'published') || (github.event_name == 'workflow_dispatch' && inputs.release)
strategy:
fail-fast: false
matrix:
python-version: ["3.10", "3.11", "3.12", "3.13"]
steps:
- uses: actions/checkout@v6
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v6
with:
python-version: ${{ matrix.python-version }}
- name: Build wheel
uses: PyO3/maturin-action@v1
with:
command: build
args: --release --out dist --compatibility pypi -i python
- name: Upload wheels as artifact
uses: actions/upload-artifact@v7
with:
name: wheels-windows-py${{ matrix.python-version }}
path: dist/*.whl
build-sdist:
@@ -282,7 +247,6 @@ jobs:
runs-on: ubuntu-latest
needs:
- build-wheels-linux
- build-wheels-musllinux
- build-wheels-macos
- build-wheels-windows
- build-sdist
@@ -292,8 +256,6 @@ jobs:
url: https://pypi.org/p/ferro-ta
permissions:
id-token: write
attestations: write
contents: read
steps:
- name: Download all wheels
uses: actions/download-artifact@v8
@@ -308,11 +270,6 @@ jobs:
name: sdist
path: dist
- name: Generate SLSA build provenance attestations
uses: actions/attest-build-provenance@v2
with:
subject-path: "dist/*"
- name: Verify distribution coverage
run: |
python3 - <<'PY'
@@ -326,15 +283,19 @@ jobs:
for name in files:
print(f" - {name}")
# One abi3 wheel (cp310-abi3) per platform/arch — covers CPython 3.10+.
expected = [
"ferro_ta-*-cp310-abi3-manylinux*_x86_64.whl",
"ferro_ta-*-cp310-abi3-manylinux*_aarch64.whl",
"ferro_ta-*-cp310-abi3-musllinux*_x86_64.whl",
"ferro_ta-*-cp310-abi3-musllinux*_aarch64.whl",
"ferro_ta-*-cp310-abi3-macosx*_universal2.whl",
"ferro_ta-*-cp310-abi3-win_amd64.whl",
"ferro_ta-*-cp310-abi3-win_arm64.whl",
"ferro_ta-*-cp310-cp310-manylinux*_x86_64.whl",
"ferro_ta-*-cp311-cp311-manylinux*_x86_64.whl",
"ferro_ta-*-cp312-cp312-manylinux*_x86_64.whl",
"ferro_ta-*-cp313-cp313-manylinux*_x86_64.whl",
"ferro_ta-*-cp310-cp310-win_amd64.whl",
"ferro_ta-*-cp311-cp311-win_amd64.whl",
"ferro_ta-*-cp312-cp312-win_amd64.whl",
"ferro_ta-*-cp313-cp313-win_amd64.whl",
"ferro_ta-*-cp310-cp310-macosx*_universal2.whl",
"ferro_ta-*-cp311-cp311-macosx*_universal2.whl",
"ferro_ta-*-cp312-cp312-macosx*_universal2.whl",
"ferro_ta-*-cp313-cp313-macosx*_universal2.whl",
"ferro_ta-*.tar.gz",
]
@@ -385,7 +346,6 @@ jobs:
permissions:
contents: write
id-token: write
attestations: write
steps:
- uses: actions/checkout@v6
@@ -420,40 +380,12 @@ jobs:
- name: Generate Rust SBOM (CycloneDX)
run: cargo cyclonedx --format json --override-filename ferro-ta-rust-sbom.cdx
- name: Validate SBOMs (schema check)
run: |
python3 -c "import json, sys; json.load(open('ferro-ta-python-sbom.spdx.json')); print('Python SBOM valid JSON')"
python3 -c "import json, sys; data=json.load(open('ferro-ta-rust-sbom.cdx.json')); assert data.get('bomFormat')=='CycloneDX', 'not CycloneDX'; print('Rust SBOM valid CycloneDX')"
- name: Install cosign
uses: sigstore/cosign-installer@v3
- name: Sign SBOMs with cosign (keyless)
env:
COSIGN_EXPERIMENTAL: "1"
run: |
cosign sign-blob --yes ferro-ta-python-sbom.spdx.json --output-signature ferro-ta-python-sbom.spdx.json.sig --output-certificate ferro-ta-python-sbom.spdx.json.pem
cosign sign-blob --yes ferro-ta-rust-sbom.cdx.json --output-signature ferro-ta-rust-sbom.cdx.json.sig --output-certificate ferro-ta-rust-sbom.cdx.json.pem
- name: Attest SBOM provenance
uses: actions/attest-build-provenance@v2
with:
subject-path: |
ferro-ta-python-sbom.spdx.json
ferro-ta-rust-sbom.cdx.json
- name: Upload Python SBOM to release
uses: softprops/action-gh-release@v3
uses: softprops/action-gh-release@v2
with:
files: |
ferro-ta-python-sbom.spdx.json
ferro-ta-python-sbom.spdx.json.sig
ferro-ta-python-sbom.spdx.json.pem
files: ferro-ta-python-sbom.spdx.json
- name: Upload Rust SBOM to release
uses: softprops/action-gh-release@v3
uses: softprops/action-gh-release@v2
with:
files: |
ferro-ta-rust-sbom.cdx.json
ferro-ta-rust-sbom.cdx.json.sig
ferro-ta-rust-sbom.cdx.json.pem
files: ferro-ta-rust-sbom.cdx.json
+1 -1
View File
@@ -44,6 +44,6 @@ jobs:
- name: Upload GitHub Pages artifact
if: ${{ inputs.upload-pages-artifact }}
uses: actions/upload-pages-artifact@v5
uses: actions/upload-pages-artifact@v4
with:
path: docs/_build/
+90 -92
View File
@@ -7,157 +7,151 @@ permissions:
contents: read
jobs:
# -------------------------------------------------------------------------
# Lint — no Rust, no wheel build, very fast
# -------------------------------------------------------------------------
lint:
name: Lint (ruff)
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- run: pip install uv
- run: uv run --with ruff ruff check python/ tests/
- run: uv run --with ruff ruff format --check python/ tests/
# -------------------------------------------------------------------------
# Type checking — needs wheel; build once with cache
# -------------------------------------------------------------------------
- name: Install uv
run: pip install uv
- name: Run ruff check via uv
run: uv run --with ruff ruff check python/ tests/
- name: Run ruff format check via uv
run: uv run --with ruff ruff format --check python/ tests/
typecheck:
name: Type checking (mypy + pyright)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
- run: pip install maturin numpy
- run: maturin build --release --out dist && pip install dist/*.whl
- run: pip install uv
- run: uv run --with mypy --with numpy python -m mypy python/ferro_ta --ignore-missing-imports --no-error-summary
- run: uv run --with pyright python -m pyright python/ferro_ta
# -------------------------------------------------------------------------
# Build wheel artifact (once per run, reused by all test matrix entries)
# -------------------------------------------------------------------------
build-wheel:
name: Build wheel (ubuntu / Python ${{ matrix.python-version }})
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
strategy:
matrix:
python-version: ["3.10", "3.11", "3.12", "3.13"]
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
with:
python-version: ${{ matrix.python-version }}
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
with:
shared-key: "wheel-${{ matrix.python-version }}"
- run: pip install maturin numpy
- run: maturin build --release --out dist
- uses: actions/upload-artifact@v7
with:
name: wheel-${{ matrix.python-version }}
path: dist/*.whl
- name: Install uv
run: pip install uv
- name: Run mypy on ferro_ta via uv
run: uv run --with mypy --with numpy python -m mypy python/ferro_ta --ignore-missing-imports --no-error-summary
- name: Run pyright on ferro_ta via uv
run: uv run --with pyright python -m pyright python/ferro_ta
# -------------------------------------------------------------------------
# Test matrix — downloads pre-built wheel, no Rust compilation
# -------------------------------------------------------------------------
test:
name: Test (Python ${{ matrix.python-version }})
name: Test (ubuntu-latest / Python ${{ matrix.python-version }})
runs-on: ubuntu-latest
needs: build-wheel
strategy:
fail-fast: false
matrix:
python-version: ["3.10", "3.11", "3.12", "3.13"]
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python ${{ matrix.python-version }}
uses: actions/setup-python@v6
with:
python-version: ${{ matrix.python-version }}
- uses: actions/download-artifact@v8
with:
name: wheel-${{ matrix.python-version }}
path: dist
- name: Install wheel + test deps
- name: Install maturin and test dependencies
run: |
pip install maturin numpy pytest pytest-cov pandas polars hypothesis pyyaml mcp
- name: Build and install ferro_ta (dev mode)
run: |
maturin build --release --out dist
pip install dist/*.whl
pip install pytest pytest-cov pandas polars hypothesis pyyaml mcp scipy
- name: Run tests with coverage
- name: Run unit tests with coverage
run: pytest tests/unit/ tests/integration/ -v --cov=ferro_ta --cov-report=xml --cov-report=term-missing --cov-fail-under=65
- name: Check API manifest is current
if: matrix.python-version == '3.12'
run: python scripts/check_api_manifest.py
- uses: actions/upload-artifact@v7
- name: Upload coverage report
uses: actions/upload-artifact@v7
if: matrix.python-version == '3.12'
with:
name: coverage-python-${{ matrix.python-version }}
path: coverage.xml
# -------------------------------------------------------------------------
# Benchmark vs TA-Lib (downloads wheel from build-wheel job)
# -------------------------------------------------------------------------
benchmark-vs-talib:
name: Benchmark vs TA-Lib
runs-on: ubuntu-latest
needs: build-wheel
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- uses: actions/download-artifact@v8
with:
name: wheel-3.12
path: dist
- name: Install TA-Lib C library
- name: Install TA-Lib C library (Ubuntu)
run: |
sudo apt-get update
sudo apt-get install -y build-essential curl
curl -sL https://sourceforge.net/projects/ta-lib/files/ta-lib/0.4.0/ta-lib-0.4.0-src.tar.gz/download -o ta-lib-0.4.0-src.tar.gz
tar -xzf ta-lib-0.4.0-src.tar.gz
cd ta-lib && ./configure --prefix=/usr && make && sudo make install && sudo ldconfig
- run: pip install dist/*.whl numpy ta-lib
- run: python benchmarks/bench_vs_talib.py --sizes 10000 100000 --json benchmark_vs_talib.json
- run: python3 benchmarks/check_vs_talib_regression.py --input benchmark_vs_talib.json
- uses: actions/upload-artifact@v7
cd ta-lib
./configure --prefix=/usr
make
sudo make install
sudo ldconfig
- name: Install maturin and ta-lib Python package
run: |
pip install maturin numpy
pip install ta-lib
- name: Build and install ferro_ta
run: |
maturin build --release --out dist
pip install dist/*.whl
- name: Run benchmark comparison
run: |
python benchmarks/bench_vs_talib.py --sizes 10000 100000 --json benchmark_vs_talib.json
- name: Enforce benchmark regression policy
run: python3 benchmarks/check_vs_talib_regression.py --input benchmark_vs_talib.json
- name: Upload benchmark results
uses: actions/upload-artifact@v7
with:
name: benchmark-vs-talib
path: benchmark_vs_talib.json
# -------------------------------------------------------------------------
# Performance smoke (downloads wheel from build-wheel job)
# -------------------------------------------------------------------------
perf-smoke:
name: Performance smoke and contracts
runs-on: ubuntu-latest
needs: build-wheel
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- uses: actions/download-artifact@v8
with:
name: wheel-3.12
path: dist
- run: pip install dist/*.whl numpy pytest
- run: |
- name: Install maturin and perf dependencies
run: |
pip install maturin numpy pytest
- name: Build and install ferro_ta
run: |
maturin build --release --out dist
pip install dist/*.whl
- name: Generate reproducible perf artifacts
run: |
python benchmarks/run_perf_contract.py \
--output-dir perf-contract \
--skip-talib \
@@ -167,8 +161,12 @@ jobs:
--streaming-bars 20000 \
--price-bars 20000 \
--iv-bars 50000
- run: python benchmarks/check_hotspot_regression.py --input perf-contract/runtime_hotspots.json
- uses: actions/upload-artifact@v7
- name: Enforce hotspot regression policy
run: python benchmarks/check_hotspot_regression.py --input perf-contract/runtime_hotspots.json
- name: Upload perf artifacts
uses: actions/upload-artifact@v7
with:
name: perf-contract
path: perf-contract/
+45 -62
View File
@@ -7,119 +7,102 @@ permissions:
contents: read
jobs:
# -------------------------------------------------------------------------
# cargo-deny — uses the official pre-built action (no cargo install needed)
# -------------------------------------------------------------------------
cargo-deny:
name: cargo deny check
audit:
name: Dependency audit (cargo + pip)
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: EmbarkStudios/cargo-deny-action@v2
# -------------------------------------------------------------------------
# pip-audit + uv.lock freshness check (lightweight, no Rust needed)
# -------------------------------------------------------------------------
pip-audit:
name: pip-audit + uv.lock check
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: actions/setup-python@v6
- name: Install cargo-audit and run cargo audit
run: |
cargo install cargo-audit
cargo audit
- name: Install cargo-deny and run cargo deny check
run: |
cargo install cargo-deny --locked
cargo deny check
- name: Set up Python 3.12
uses: actions/setup-python@v6
with:
python-version: "3.12"
- run: pip install uv
- run: uv run --with pip-audit pip-audit --skip-editable
- run: uv lock --check
# -------------------------------------------------------------------------
# fmt + clippy (with Rust cache so subsequent runs skip recompilation)
# -------------------------------------------------------------------------
rust-lint:
name: Rust fmt + clippy
- name: Install uv
run: pip install uv
- name: Install pip-audit via uv and run pip-audit
run: uv run --with pip-audit pip-audit --skip-editable
- name: Verify uv.lock is up-to-date
run: uv lock --check
rust:
name: Rust (fmt + clippy)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
components: rustfmt, clippy
- uses: Swatinem/rust-cache@v2
- run: cargo fmt --all -- --check
- run: cargo clippy --release -- -D warnings
- name: Verify benchmarks compile
- name: Verify benchmarks compile (ferro_ta_core)
run: cargo bench -p ferro_ta_core --no-run
# -------------------------------------------------------------------------
# Build + test ferro_ta_core (with Rust cache)
# -------------------------------------------------------------------------
rust-core:
name: Rust core (build + test)
name: Rust core library (ferro_ta_core)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
- run: cargo build -p ferro_ta_core
- run: cargo test -p ferro_ta_core
- name: Build core crate
run: cargo build -p ferro_ta_core
- name: Test core crate
run: cargo test -p ferro_ta_core
# -------------------------------------------------------------------------
# Coverage (optional, cached)
# -------------------------------------------------------------------------
rust-coverage:
name: Rust coverage (tarpaulin)
name: Rust coverage (tarpaulin, optional)
runs-on: ubuntu-latest
continue-on-error: true
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
- uses: taiki-e/install-action@v2
with:
tool: cargo-tarpaulin
- run: cargo tarpaulin -p ferro_ta_core --out Xml --output-dir coverage/
- uses: actions/upload-artifact@v7
- name: Install cargo-tarpaulin
run: cargo install cargo-tarpaulin --locked
- name: Collect Rust coverage (ferro_ta_core)
run: cargo tarpaulin -p ferro_ta_core --out Xml --output-dir coverage/
- name: Upload Rust coverage artifact
uses: actions/upload-artifact@v7
with:
name: rust-coverage
path: coverage/
if-no-files-found: ignore
# -------------------------------------------------------------------------
# Fuzz (optional, nightly, cached)
# -------------------------------------------------------------------------
fuzz:
name: Fuzz targets (short CI run)
name: Fuzz targets (short CI run, optional)
runs-on: ubuntu-latest
continue-on-error: true
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: nightly
targets: x86_64-unknown-linux-gnu
- uses: Swatinem/rust-cache@v2
- uses: taiki-e/install-action@v2
with:
tool: cargo-fuzz
- name: Install cargo-fuzz
run: cargo install cargo-fuzz --locked
- name: Run fuzz_sma (10000 iterations)
working-directory: fuzz
run: cargo fuzz run fuzz_sma --target x86_64-unknown-linux-gnu -- -runs=10000 -max_len=512
run: cargo fuzz run fuzz_sma -- -runs=10000 -max_len=512
- name: Run fuzz_rsi (10000 iterations)
working-directory: fuzz
run: cargo fuzz run fuzz_rsi --target x86_64-unknown-linux-gnu -- -runs=10000 -max_len=512
- uses: actions/upload-artifact@v7
run: cargo fuzz run fuzz_rsi -- -runs=10000 -max_len=512
- name: Upload fuzz artifacts on crash
uses: actions/upload-artifact@v7
if: always()
with:
name: fuzz-artifacts
+26 -15
View File
@@ -8,43 +8,54 @@ permissions:
jobs:
wasm:
name: WASM (test + build + bench)
name: WASM binding (wasm-pack test --node)
runs-on: ubuntu-latest
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: actions/setup-node@v6
- name: Set up Node.js
uses: actions/setup-node@v6
with:
node-version: "20"
- uses: dtolnay/rust-toolchain@v1
- name: Install Rust (stable)
uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
targets: wasm32-unknown-unknown
- uses: Swatinem/rust-cache@v2
- uses: taiki-e/install-action@v2
with:
tool: wasm-pack
- name: Test WASM binding
- name: Install wasm-pack
run: curl https://rustwasm.github.io/wasm-pack/installer/init.sh -sSf | sh
- name: Build and test WASM binding
working-directory: wasm
run: wasm-pack test --node
- name: Build WASM packages (node + web)
- name: Build WASM package (both targets)
working-directory: wasm
run: npm run build
- name: Check API manifest is current
run: python3 scripts/check_api_manifest.py
- name: Benchmark WASM
- name: Benchmark WASM package
working-directory: wasm
run: node bench.js --json ../wasm_benchmark.json
- uses: actions/upload-artifact@v7
- name: Upload WASM node package artifact
uses: actions/upload-artifact@v7
with:
name: wasm-pkg-node
path: wasm/node/
- uses: actions/upload-artifact@v7
- name: Upload WASM web package artifact
uses: actions/upload-artifact@v7
with:
name: wasm-pkg-web
path: wasm/web/
- uses: actions/upload-artifact@v7
- name: Upload WASM benchmark artifact
uses: actions/upload-artifact@v7
with:
name: wasm-benchmark
path: wasm_benchmark.json
-100
View File
@@ -1,100 +0,0 @@
name: Nightly benchmarks
on:
schedule:
# 03:15 UTC every day — off peak, avoids colliding with the regular CI surge.
- cron: "15 3 * * *"
workflow_dispatch:
permissions:
contents: read
issues: write
jobs:
bench:
name: Run perf contract and regression checks
runs-on: ubuntu-latest
timeout-minutes: 60
env:
RUSTFLAGS: "" # override target-cpu=native from .cargo/config.toml
steps:
- uses: actions/checkout@v6
- uses: dtolnay/rust-toolchain@v1
with:
toolchain: stable
- uses: Swatinem/rust-cache@v2
- uses: actions/setup-python@v6
with:
python-version: "3.12"
- name: Install uv
run: pip install uv
- name: Build ferro-ta wheel
run: |
uv sync --extra dev
uv run maturin build --release --out dist
uv run pip install --force-reinstall dist/*.whl
- name: Run vs-TA-Lib benchmark
run: uv run python benchmarks/bench_vs_talib.py --output benchmarks/artifacts/nightly_vs_talib.json
- name: Run SIMD benchmark matrix
run: uv run python benchmarks/bench_simd.py --output benchmarks/artifacts/nightly_simd.json
- name: Check hotspot regression
id: hotspot
continue-on-error: true
run: uv run python benchmarks/check_hotspot_regression.py --tolerance 0.05
- name: Check vs-TA-Lib regression
id: vs_talib
continue-on-error: true
run: uv run python benchmarks/check_vs_talib_regression.py --tolerance 0.05
- name: Run criterion bench (build only)
run: cargo bench -p ferro_ta_core --no-run
- name: Upload nightly artifacts
uses: actions/upload-artifact@v7
if: always()
with:
name: nightly-bench-${{ github.run_id }}
path: benchmarks/artifacts/
retention-days: 30
- name: Open issue on regression
if: steps.hotspot.outcome == 'failure' || steps.vs_talib.outcome == 'failure'
uses: actions/github-script@v8
env:
HOTSPOT_OUTCOME: ${{ steps.hotspot.outcome }}
VS_TALIB_OUTCOME: ${{ steps.vs_talib.outcome }}
RUN_URL: ${{ github.server_url }}/${{ github.repository }}/actions/runs/${{ github.run_id }}
with:
script: |
const hotspot = process.env.HOTSPOT_OUTCOME;
const vsTalib = process.env.VS_TALIB_OUTCOME;
const runUrl = process.env.RUN_URL;
const failed = [];
if (hotspot === 'failure') failed.push('hotspot');
if (vsTalib === 'failure') failed.push('vs-TA-Lib');
const title = `Nightly benchmark regression: ${failed.join(' + ')}`;
const body = [
`The nightly benchmark workflow reported a >5% regression in: **${failed.join(', ')}**.`,
'',
`Run: ${runUrl}`,
'',
'Artifacts with the raw JSON are attached to the run above.',
'If this is a known regression, update the baseline JSON and close.',
'If it is unexpected, investigate the last commit on `main` before the nightly ran.',
].join('\n');
await github.rest.issues.create({
owner: context.repo.owner,
repo: context.repo.repo,
title,
body,
labels: ['performance', 'regression', 'nightly'],
});
+1 -3
View File
@@ -20,7 +20,6 @@ jobs:
- uses: actions/checkout@v6
with:
fetch-depth: 0
token: ${{ secrets.GH_PAT }}
- name: Extract version from tag
id: version
@@ -52,11 +51,10 @@ jobs:
PY
- name: Create GitHub Release
uses: softprops/action-gh-release@v3
uses: softprops/action-gh-release@v2
with:
tag_name: ${{ github.ref_name }}
name: v${{ steps.version.outputs.version }}
body: ${{ steps.changelog.outputs.body }}
draft: false
prerelease: ${{ contains(github.ref_name, '-') }}
token: ${{ secrets.GH_PAT }}
-70
View File
@@ -9,76 +9,6 @@ and the project uses [Semantic Versioning](https://semver.org/).
## [Unreleased]
## [1.2.0] — 2026-06-29
### Added
- **Runtime CPU-feature dispatch** for SIMD hot paths via the `multiversion`
crate (`ferro_ta_core/src/simd.rs`). One binary now selects baseline /
AVX2-FMA / AVX-512 / NEON kernels at load time via CPUID instead of being
pinned at build time, so it runs on any CPU of the target architecture with
no illegal-instruction crashes on older chips. The `simd` feature is on by
default; `--no-default-features` gives a pure-scalar build.
- **Broader wheel coverage**: release builds now also produce Linux `aarch64`
(manylinux) and `musllinux` (x86_64 + aarch64) wheels and a Windows `arm64`
wheel, alongside the existing Linux x86_64, macOS universal2, and Windows
x64 wheels.
- **abi3 wheels** (`cp310-abi3`): a single stable-ABI wheel per platform now
covers CPython 3.10+ (including future 3.14+), replacing the per-version
wheel matrix.
- **Dynamic Time Warping** (`DTW`, `DTW_DISTANCE`, `BATCH_DTW`): Euclidean-cost
DTW with optional Sakoe-Chiba band (`window=` parameter). `DTW()` returns
`(distance, path)` with the optimal warping path as an `(N, 2)` index array;
`DTW_DISTANCE()` is the faster distance-only variant; `BATCH_DTW()` computes
distances from each row of a 2-D matrix to a reference series in parallel
via rayon. Distance convention matches `dtaidistance.dtw.distance()`.
- **Indicator-specific exception types** (`FerroTaError`, `InvalidPeriodError`,
`InsufficientDataError`, `LengthMismatchError`, `NumericConvergenceError`,
`InvalidInputError`): finer-grained errors for catching specific failure
modes. All subclass `ValueError` so existing `except ValueError` code keeps
working (backward compatible).
### Changed
- **SIMD is now enabled by default and runtime-dispatched.** Replaced the
compile-time `wide` crate (which was never actually enabled in published
wheels) with `multiversion`. The `wide` Cargo feature is removed; use the
default `simd` feature instead.
- **Dependency bumps.** Rust: `log` 0.4.32, `serde_json` 1.0.150,
`rayon` 1.12.0. API service (`api/requirements.txt`): `uvicorn>=0.49.0`,
`pydantic>=2.13.4`, `ferro-ta>=1.1.4`. CI actions: `actions/deploy-pages` v5,
`actions/upload-pages-artifact` v5, `softprops/action-gh-release` v3.
- Python coverage threshold raised from 65% to 80% and enforced in CI.
### Fixed
- **aarch64 Linux containers can now install ferro-ta.** Previously no Linux
`aarch64` wheel was published, so arm64 images (e.g. AWS Graviton) fell back
to an sdist build that failed without a Rust toolchain. A manylinux/musllinux
aarch64 wheel is now published.
- Published wheels now actually ship SIMD-accelerated kernels; the prior build
enabled no SIMD feature at all.
### Security
- **SLSA build provenance** attestations are now generated for every PyPI
wheel and sdist via `actions/attest-build-provenance`. Verify with
`gh attestation verify <wheel>`.
- **Sigstore keyless signatures** are now published alongside both
CycloneDX/SPDX SBOMs on every GitHub Release (`.sig` + `.pem` files).
- `ferro_ta_core` crate now declares `#![forbid(unsafe_code)]` to prevent
regression — the pure-logic layer has no unsafe code and never will.
- Dependabot now covers the WASM npm package in addition to pip, cargo,
and GitHub Actions.
- **pip-audit fixes**: bumped dev lockfile deps `idna` 3.18, `pytest` 9.1.1,
and `urllib3` 2.7.0 to clear PYSEC-2026-215, CVE-2025-71176, and
PYSEC-2026-141/142.
- **pyo3 advisories triaged**: RUSTSEC-2026-0176 and RUSTSEC-2026-0177 are
ignored in `deny.toml` with rationale — ferro-ta uses neither affected code
path (PyList/PyTuple `nth` iterators; `PyCFunction::new_closure`). The
upstream fix requires pyo3 >=0.29 (a large API migration), tracked for a
follow-up.
## [1.1.3] — 2026-04-02
### Added
Generated
+58 -61
View File
@@ -34,9 +34,9 @@ checksum = "940b3a0ca603d1eade50a4846a2afffd5ef57a9feac2c0e2ec2e14f9ead76000"
[[package]]
name = "arc-swap"
version = "1.9.1"
version = "1.9.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "6a3a1fd6f75306b68087b831f025c712524bcb19aad54e557b1129cfa0a2b207"
checksum = "a07d1f37ff60921c83bdfc7407723bdefe89b44b98a9b772f225c8f9d67141a6"
dependencies = [
"rustversion",
]
@@ -53,6 +53,12 @@ version = "3.20.2"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "5d20789868f4b01b2f2caec9f5c4e0213b41e3e5702a50157d699ae31ced2fcb"
[[package]]
name = "bytemuck"
version = "1.25.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "c8efb64bd706a16a1bdde310ae86b351e4d21550d98d056f22f8a7f7a2183fec"
[[package]]
name = "cast"
version = "0.3.0"
@@ -61,9 +67,9 @@ checksum = "37b2a672a2cb129a2e41c10b1224bb368f9f37a2b16b612598138befd7b37eb5"
[[package]]
name = "cc"
version = "1.2.59"
version = "1.2.57"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "b7a4d3ec6524d28a329fc53654bbadc9bdd7b0431f5d65f1a56ffb28a1ee5283"
checksum = "7a0dd1ca384932ff3641c8718a02769f1698e7563dc6974ffd03346116310423"
dependencies = [
"find-msvc-tools",
"shlex",
@@ -201,7 +207,7 @@ checksum = "48c757948c5ede0e46177b7add2e67155f70e33c07fea8284df6576da70b3719"
[[package]]
name = "ferro_ta"
version = "1.2.0"
version = "1.1.3"
dependencies = [
"criterion",
"ferro_ta_core",
@@ -216,12 +222,12 @@ dependencies = [
[[package]]
name = "ferro_ta_core"
version = "1.2.0"
version = "1.1.3"
dependencies = [
"criterion",
"multiversion",
"serde",
"serde_json",
"wide",
]
[[package]]
@@ -273,9 +279,9 @@ checksum = "8f42a60cbdf9a97f5d2305f08a87dc4e09308d1276d28c869c684d7777685682"
[[package]]
name = "js-sys"
version = "0.3.94"
version = "0.3.91"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "2e04e2ef80ce82e13552136fabeef8a5ed1f985a96805761cbb9a2c34e7664d9"
checksum = "b49715b7073f385ba4bc528e5747d02e66cb39c6146efb66b781f131f0fb399c"
dependencies = [
"once_cell",
"wasm-bindgen",
@@ -283,15 +289,15 @@ dependencies = [
[[package]]
name = "libc"
version = "0.2.184"
version = "0.2.183"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "48f5d2a454e16a5ea0f4ced81bd44e4cfc7bd3a507b61887c99fd3538b28e4af"
checksum = "b5b646652bf6661599e1da8901b3b9522896f01e736bad5f723fe7a3a27f899d"
[[package]]
name = "log"
version = "0.4.32"
version = "0.4.29"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "953f07c43838f8e6f9758cab68bf5bed85465e7587ebe0b823f1bcd81978ad3a"
checksum = "5e5032e24019045c762d3c0f28f5b6b8bbf38563a65908389bf7978758920897"
[[package]]
name = "matrixmultiply"
@@ -318,28 +324,6 @@ dependencies = [
"autocfg",
]
[[package]]
name = "multiversion"
version = "0.8.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "7edb7f0ff51249dfda9ab96b5823695e15a052dc15074c9dbf3d118afaf2c201"
dependencies = [
"multiversion-macros",
"target-features",
]
[[package]]
name = "multiversion-macros"
version = "0.8.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "b093064383341eb3271f42e381cb8f10a01459478446953953c75d24bd339fc0"
dependencies = [
"proc-macro2",
"quote",
"syn",
"target-features",
]
[[package]]
name = "ndarray"
version = "0.16.1"
@@ -562,9 +546,9 @@ checksum = "60a357793950651c4ed0f3f52338f53b2f809f32d83a07f72909fa13e4c6c1e3"
[[package]]
name = "rayon"
version = "1.12.0"
version = "1.11.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "fb39b166781f92d482534ef4b4b1b2568f42613b53e5b6c160e24cfbfa30926d"
checksum = "368f01d005bf8fd9b1206fb6fa653e6c4a81ceb1466406b81792d87c5677a58f"
dependencies = [
"either",
"rayon-core",
@@ -611,9 +595,9 @@ checksum = "dc897dd8d9e8bd1ed8cdad82b5966c3e0ecae09fb1907d58efaa013543185d0a"
[[package]]
name = "rustc-hash"
version = "2.1.2"
version = "2.1.1"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "94300abf3f1ae2e2b8ffb7b58043de3d399c73fa6f4b73826402a5c457614dbe"
checksum = "357703d41365b4b27c590e3ed91eabb1b663f07c4c084095e60cbed4362dff0d"
[[package]]
name = "rustversion"
@@ -621,6 +605,15 @@ version = "1.0.22"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "b39cdef0fa800fc44525c84ccb54a029961a8215f9619753635a9c0d2538d46d"
[[package]]
name = "safe_arch"
version = "1.0.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "1f7caad094bd561859bcd467734a720c3c1f5d1f338995351fefe2190c45efed"
dependencies = [
"bytemuck",
]
[[package]]
name = "same-file"
version = "1.0.6"
@@ -662,9 +655,9 @@ dependencies = [
[[package]]
name = "serde_json"
version = "1.0.150"
version = "1.0.149"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "e8014e44b4736ed0538adeecded0fce2a272f22dc9578a7eb6b2d9993c74cfb9"
checksum = "83fc039473c5595ace860d8c4fafa220ff474b3fc6bfdb4293327f1a37e94d86"
dependencies = [
"itoa",
"memchr",
@@ -696,12 +689,6 @@ version = "0.5.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "609409d472a0a7d8d4dd9e19891bbdef546b9dce670c3057d0e02192dc541226"
[[package]]
name = "target-features"
version = "0.1.6"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "c1bbb9f3c5c463a01705937a24fdabc5047929ac764b2d5b9cf681c1f5041ed5"
[[package]]
name = "target-lexicon"
version = "0.13.5"
@@ -742,9 +729,9 @@ dependencies = [
[[package]]
name = "wasm-bindgen"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "0551fc1bb415591e3372d0bc4780db7e587d84e2a7e79da121051c5c4b89d0b0"
checksum = "6532f9a5c1ece3798cb1c2cfdba640b9b3ba884f5db45973a6f442510a87d38e"
dependencies = [
"cfg-if",
"once_cell",
@@ -755,9 +742,9 @@ dependencies = [
[[package]]
name = "wasm-bindgen-macro"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "7fbdf9a35adf44786aecd5ff89b4563a90325f9da0923236f6104e603c7e86be"
checksum = "18a2d50fcf105fb33bb15f00e7a77b772945a2ee45dcf454961fd843e74c18e6"
dependencies = [
"quote",
"wasm-bindgen-macro-support",
@@ -765,9 +752,9 @@ dependencies = [
[[package]]
name = "wasm-bindgen-macro-support"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "dca9693ef2bab6d4e6707234500350d8dad079eb508dca05530c85dc3a529ff2"
checksum = "03ce4caeaac547cdf713d280eda22a730824dd11e6b8c3ca9e42247b25c631e3"
dependencies = [
"bumpalo",
"proc-macro2",
@@ -778,23 +765,33 @@ dependencies = [
[[package]]
name = "wasm-bindgen-shared"
version = "0.2.117"
version = "0.2.114"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "39129a682a6d2d841b6c429d0c51e5cb0ed1a03829d8b3d1e69a011e62cb3d3b"
checksum = "75a326b8c223ee17883a4251907455a2431acc2791c98c26279376490c378c16"
dependencies = [
"unicode-ident",
]
[[package]]
name = "web-sys"
version = "0.3.94"
version = "0.3.91"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "cd70027e39b12f0849461e08ffc50b9cd7688d942c1c8e3c7b22273236b4dd0a"
checksum = "854ba17bb104abfb26ba36da9729addc7ce7f06f5c0f90f3c391f8461cca21f9"
dependencies = [
"js-sys",
"wasm-bindgen",
]
[[package]]
name = "wide"
version = "1.2.0"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "198f6abc41fab83526d10880fa5c17e2b4ee44e763949b4bb34e2fd1e8ca48e4"
dependencies = [
"bytemuck",
"safe_arch",
]
[[package]]
name = "winapi"
version = "0.3.9"
@@ -843,18 +840,18 @@ dependencies = [
[[package]]
name = "zerocopy"
version = "0.8.48"
version = "0.8.47"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "eed437bf9d6692032087e337407a86f04cd8d6a16a37199ed57949d415bd68e9"
checksum = "efbb2a062be311f2ba113ce66f697a4dc589f85e78a4aea276200804cea0ed87"
dependencies = [
"zerocopy-derive",
]
[[package]]
name = "zerocopy-derive"
version = "0.8.48"
version = "0.8.47"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "70e3cd084b1788766f53af483dd21f93881ff30d7320490ec3ef7526d203bad4"
checksum = "0e8bc7269b54418e7aeeef514aa68f8690b8c0489a06b0136e5f57c4c5ccab89"
dependencies = [
"proc-macro2",
"quote",
+4 -12
View File
@@ -5,7 +5,7 @@ resolver = "2"
[package]
name = "ferro_ta"
version = "1.2.0"
version = "1.1.3"
edition = "2021"
description = "Rust-powered Python technical analysis library with a TA-Lib-compatible API"
license = "MIT"
@@ -22,9 +22,7 @@ name = "ferro_ta"
crate-type = ["cdylib"]
[dependencies]
# abi3-py310: build a single stable-ABI wheel that runs on CPython 3.10+
# (including future 3.14+), instead of one wheel per minor version.
pyo3 = { version = "0.25", features = ["extension-module", "abi3-py310"] }
pyo3 = { version = "0.25", features = ["extension-module"] }
ta = "0.5.0"
numpy = "0.25"
# Must be < 0.17 while numpy 0.25 is used (numpy's IntoPyArray is for its own ndarray only).
@@ -32,11 +30,7 @@ ndarray = "0.16"
rayon = "1.10"
log = "0.4"
pyo3-log = "0.12"
# default-features = false so the `simd` toggle is forwarded explicitly via
# this crate's own `simd` feature (below). Without this, core's default `simd`
# would always be on and `--no-default-features` could never produce a true
# pure-scalar build (used by the SIMD benchmark baseline).
ferro_ta_core = { path = "crates/ferro_ta_core", version = "1.2.0", default-features = false, features = ["serde"] }
ferro_ta_core = { path = "crates/ferro_ta_core", version = "1.1.3", features = ["serde"] }
[dev-dependencies]
criterion = { version = "0.8", features = ["html_reports"] }
@@ -46,7 +40,5 @@ lto = true
codegen-units = 1
[features]
# SIMD runtime dispatch ON by default → published wheels ship the adaptive
# fast path with no extra flags. `--no-default-features` yields pure scalar.
default = ["simd"]
default = []
simd = ["ferro_ta_core/simd"]
+7 -22
View File
@@ -8,36 +8,21 @@
#
# Environment variables (override at runtime):
# MAX_SERIES_LENGTH=100000 # maximum data-point count per request
#
# CPU portability
# ---------------
# This image installs the PRE-BUILT ferro-ta wheel from PyPI — we do NOT
# recompile from sdist with `RUSTFLAGS=-C target-cpu=...`. The wheel is built
# at the manylinux baseline (x86-64-v1) and selects AVX2/AVX-512/NEON kernels
# at RUNTIME via CPU dispatch. One image therefore runs on any node — old or
# new CPU, x86_64 or arm64 — with no illegal-instruction (SIGILL) crashes.
# Pinning a target-cpu would be faster on a uniform fleet but would crash on
# any older/heterogeneous node, which is the opposite of broad coverage.
#
# Build this image for whichever arch your nodes use:
# docker build --platform linux/amd64 -t ferro-ta-api .
# docker build --platform linux/arm64 -t ferro-ta-api . # Graviton/Ampere
# Both resolve a matching manylinux wheel — no Rust toolchain needed here.
FROM python:3.11-slim
WORKDIR /app
# Copy and install dependencies first (cache layer). No compiler is needed:
# ferro-ta, numpy, and pydantic-core all ship prebuilt wheels for linux
# x86_64 and aarch64.
# Install system dependencies required to build ferro_ta (Rust is pre-compiled
# into the wheel, so only pip + wheel tooling is needed at runtime).
RUN apt-get update && apt-get install -y --no-install-recommends \
gcc \
&& rm -rf /var/lib/apt/lists/*
# Copy and install dependencies first (cache layer)
COPY requirements.txt ./
RUN pip install --no-cache-dir -r requirements.txt
# Fail the build immediately if the wheel did not resolve for this arch
# (e.g. an exotic platform that fell back to an sdist build without Rust).
RUN python -c "import ferro_ta, numpy as np; ferro_ta.SMA(np.arange(10.0), 3); print('ferro_ta', ferro_ta.__version__, 'import OK')"
# Copy API source
COPY main.py ./
+3 -3
View File
@@ -1,6 +1,6 @@
# Runtime dependencies for ferro-ta API
ferro_ta>=1.1.4
ferro_ta>=1.0.0
fastapi>=0.110.0
uvicorn[standard]>=0.49.0
pydantic>=2.13.4
uvicorn[standard]>=0.27.0
pydantic>=2.0.0
numpy>=1.20
+1 -4
View File
@@ -55,11 +55,8 @@ def run_simd_benchmark(
iv_bars: int = 50_000,
window: int = 252,
) -> dict[str, Any]:
# `simd` is a default feature, so a pure-scalar baseline must explicitly
# opt out via --no-default-features; otherwise both builds would be
# identical and every reported speedup would collapse to 1.0.
variants = [
("portable_release", ["--no-default-features"]),
("portable_release", []),
("simd_release", ["--features", "simd"]),
]
reports = {
+1 -1
View File
@@ -1,5 +1,5 @@
{% set name = "ferro-ta" %}
{% set version = "1.2.0" %}
{% set version = "1.1.3" %}
package:
name: {{ name|lower }}
+4 -10
View File
@@ -1,6 +1,6 @@
[package]
name = "ferro_ta_core"
version = "1.2.0"
version = "1.1.3"
edition = "2021"
description = "Pure Rust core indicator library — no PyO3, no numpy dependency"
license = "MIT"
@@ -16,7 +16,7 @@ name = "ferro_ta_core"
crate-type = ["lib"]
[dependencies]
multiversion = { version = "0.8", optional = true }
wide = { version = "1.1.1", optional = true }
serde = { version = "1.0", features = ["derive"], optional = true }
serde_json = { version = "1.0", optional = true }
@@ -28,12 +28,6 @@ name = "indicators"
harness = false
[features]
# Runtime CPU-feature dispatch (multiversion). Default ON so `cargo add
# ferro_ta_core` and the published wheels get SIMD-accelerated reductions
# that adapt to the running CPU (baseline .. AVX-512 / NEON) WITHOUT pinning
# a target-cpu — one binary runs on any CPU of the target arch, with no
# illegal-instruction crashes on older chips. Disable with
# `--no-default-features` for a pure-scalar build.
default = ["simd"]
simd = ["dep:multiversion"]
wide = ["dep:wide"]
simd = ["wide"]
serde = ["dep:serde", "dep:serde_json"]
+1 -1
View File
@@ -13,7 +13,7 @@ PyO3, NumPy, or Python runtime dependency, which makes it a good fit for:
```toml
[dependencies]
ferro_ta_core = "1.2.0"
ferro_ta_core = "1.1.3"
```
## Design
-4
View File
@@ -1,5 +1,3 @@
#![forbid(unsafe_code)]
/*!
ferro_ta_core — Pure Rust indicator library.
@@ -51,8 +49,6 @@ pub mod price_transform;
pub mod regime;
pub mod resampling;
pub mod signals;
/// Runtime-dispatched SIMD reduction primitives (internal).
pub(crate) mod simd;
pub mod statistic;
pub mod streaming;
pub mod volatility;
+61 -7
View File
@@ -38,10 +38,27 @@ pub fn sma_into(src: &[f64], timeperiod: usize, dest: &mut [f64], dest_offset: u
return;
}
// Seed the rolling window with a runtime-dispatched reduction. The O(n)
// streaming recurrence below is inherently sequential, so SIMD only ever
// applies to this initial window sum.
let mut window_sum = crate::simd::sum(&src[..timeperiod]);
#[cfg(feature = "simd")]
let window_sum_init = {
use wide::f64x4;
let p_data = &src[..timeperiod];
let mut sum = f64x4::splat(0.0);
let mut chunks = p_data.chunks_exact(4);
for chunk in &mut chunks {
sum += f64x4::new([chunk[0], chunk[1], chunk[2], chunk[3]]);
}
let arr = sum.to_array();
let mut total = arr[0] + arr[1] + arr[2] + arr[3];
for &v in chunks.remainder() {
total += v;
}
total
};
#[cfg(not(feature = "simd"))]
let window_sum_init: f64 = src[..timeperiod].iter().sum();
let mut window_sum = window_sum_init;
let tp_f64 = timeperiod as f64;
dest[dest_offset + timeperiod - 1] = window_sum / tp_f64;
@@ -107,9 +124,46 @@ pub fn wma(close: &[f64], timeperiod: usize) -> Vec<f64> {
let denom: f64 = (timeperiod * (timeperiod + 1) / 2) as f64;
let p = timeperiod as f64;
// Seed: compute T and S for the first window via a runtime-dispatched
// reduction (the streaming recurrence below is sequential).
let (mut t, mut s) = crate::simd::wma_seed(&close[..timeperiod]);
// Seed: compute T and S for the first window.
#[cfg(feature = "simd")]
let (mut t, mut s) = {
use wide::f64x4;
let p_data = &close[..timeperiod];
let mut t_simd = f64x4::splat(0.0);
let mut s_simd = f64x4::splat(0.0);
let mut chunks = p_data.chunks_exact(4);
let mut idx = 1.0;
let step = f64x4::new([0.0, 1.0, 2.0, 3.0]);
for chunk in &mut chunks {
let vals = f64x4::new([chunk[0], chunk[1], chunk[2], chunk[3]]);
let mults = f64x4::splat(idx) + step;
t_simd += vals * mults;
s_simd += vals;
idx += 4.0;
}
let t_arr = t_simd.to_array();
let s_arr = s_simd.to_array();
let mut t = t_arr[0] + t_arr[1] + t_arr[2] + t_arr[3];
let mut s = s_arr[0] + s_arr[1] + s_arr[2] + s_arr[3];
for &v in chunks.remainder() {
t += v * idx;
s += v;
idx += 1.0;
}
(t, s)
};
#[cfg(not(feature = "simd"))]
let (mut t, mut s) = {
let t_val: f64 = close[..timeperiod]
.iter()
.enumerate()
.map(|(k, &v)| v * (k + 1) as f64)
.sum();
let s_val: f64 = close[..timeperiod].iter().sum();
(t_val, s_val)
};
result[timeperiod - 1] = t / denom;
-161
View File
@@ -1,161 +0,0 @@
//! Runtime-dispatched SIMD primitives.
//!
//! Each public reduction here is compiled into several CPU-feature-specific
//! variants (baseline, SSE, AVX2/FMA, AVX-512 on x86_64; NEON on aarch64; …)
//! by [`multiversion`]. The fastest variant the *current* CPU supports is
//! chosen at runtime via CPUID. This gives one binary that:
//!
//! * runs on **any** CPU of the target architecture — no illegal-instruction
//! (SIGILL) crashes on pre-AVX2 chips, unlike a static `-C target-cpu=…`;
//! * still uses wide vector units where the hardware has them.
//!
//! The hot loops accumulate into **independent lanes** before a final
//! horizontal combine. That is what lets the optimizer auto-vectorize them:
//! a plain sequential `iter().sum()` is a dependency chain LLVM may not
//! reorder (doing so would change floating-point rounding). As a consequence
//! these results differ from a strict left-to-right sum by a few ULPs — well
//! inside every indicator's documented tolerance.
/// Number of independent accumulator lanes. Eight `f64` lanes cover the
/// widest target we dispatch to (AVX-512 = 8×f64); narrower targets (AVX2,
/// NEON) simply use a subset.
#[cfg(feature = "simd")]
const LANES: usize = 8;
/// Sum of a slice of `f64`, runtime-dispatched.
#[cfg(feature = "simd")]
#[multiversion::multiversion(targets = "simd")]
pub(crate) fn sum(data: &[f64]) -> f64 {
let mut acc = [0.0f64; LANES];
let mut chunks = data.chunks_exact(LANES);
for chunk in &mut chunks {
for (a, &v) in acc.iter_mut().zip(chunk) {
*a += v;
}
}
let remainder: f64 = chunks.remainder().iter().sum();
remainder + acc.iter().sum::<f64>()
}
/// Pure-scalar fallback when the `simd` feature is disabled.
#[cfg(not(feature = "simd"))]
pub(crate) fn sum(data: &[f64]) -> f64 {
data.iter().sum()
}
/// Weighted-moving-average seed for the first window.
///
/// Returns `(t, s)` where `t = Σ data[k] * (k + 1)` (1-based linear weights)
/// and `s = Σ data[k]`. Used to seed the O(n) WMA recurrence.
#[cfg(feature = "simd")]
#[multiversion::multiversion(targets = "simd")]
pub(crate) fn wma_seed(data: &[f64]) -> (f64, f64) {
// Lane-local accumulation (same idea as `sum`) so each CPU-feature clone
// can vectorize: `t` weights each value by its 1-based global index.
let mut t_acc = [0.0f64; LANES];
let mut s_acc = [0.0f64; LANES];
let mut chunks = data.chunks_exact(LANES);
let mut base = 0.0f64; // global index of this chunk's first element
for chunk in &mut chunks {
for (lane, ((t, s), &v)) in t_acc
.iter_mut()
.zip(s_acc.iter_mut())
.zip(chunk)
.enumerate()
{
*t += v * (base + lane as f64 + 1.0);
*s += v;
}
base += LANES as f64;
}
let mut t = 0.0;
let mut s = 0.0;
for (i, &v) in chunks.remainder().iter().enumerate() {
t += v * (base + i as f64 + 1.0);
s += v;
}
(t + t_acc.iter().sum::<f64>(), s + s_acc.iter().sum::<f64>())
}
/// Pure-scalar fallback when the `simd` feature is disabled.
#[cfg(not(feature = "simd"))]
pub(crate) fn wma_seed(data: &[f64]) -> (f64, f64) {
let mut t = 0.0;
let mut s = 0.0;
for (k, &v) in data.iter().enumerate() {
t += v * (k + 1) as f64;
s += v;
}
(t, s)
}
#[cfg(test)]
mod tests {
use super::*;
/// Strict sequential reference — the ground truth we compare against.
fn naive_sum(data: &[f64]) -> f64 {
data.iter().sum()
}
fn naive_wma_seed(data: &[f64]) -> (f64, f64) {
let t = data
.iter()
.enumerate()
.map(|(k, &v)| v * (k + 1) as f64)
.sum();
let s = data.iter().sum();
(t, s)
}
/// Deterministic test vectors spanning the lane boundaries: empty, a
/// partial chunk (< LANES), an exact multiple, and an exact-multiple +
/// remainder. This exercises every branch of the chunked reduction.
fn cases() -> Vec<Vec<f64>> {
let big: Vec<f64> = (0..1000).map(|i| (i as f64) * 0.5 - 123.0).collect();
vec![
vec![],
vec![42.0],
vec![1.0, 2.0, 3.0], // < LANES
(1..=8).map(|i| i as f64).collect(), // exactly LANES
(1..=17).map(|i| i as f64).collect(), // LANES*2 + 1
big,
]
}
#[test]
fn sum_matches_sequential_within_tolerance() {
for data in cases() {
let got = sum(&data);
let want = naive_sum(&data);
assert!(
(got - want).abs() <= 1e-9 * want.abs().max(1.0),
"sum mismatch: got {got}, want {want}, len {}",
data.len()
);
}
}
#[test]
fn wma_seed_matches_sequential_within_tolerance() {
for data in cases() {
let (t, s) = wma_seed(&data);
let (wt, ws) = naive_wma_seed(&data);
assert!(
(t - wt).abs() <= 1e-9 * wt.abs().max(1.0),
"wma t mismatch: got {t}, want {wt}, len {}",
data.len()
);
assert!(
(s - ws).abs() <= 1e-9 * ws.abs().max(1.0),
"wma s mismatch: got {s}, want {ws}, len {}",
data.len()
);
}
}
#[test]
fn sum_empty_is_zero() {
assert_eq!(sum(&[]), 0.0);
}
}
-230
View File
@@ -247,118 +247,6 @@ pub fn correl(real0: &[f64], real1: &[f64], timeperiod: usize) -> Vec<f64> {
result
}
// ---------------------------------------------------------------------------
// Dynamic Time Warping (DTW)
// ---------------------------------------------------------------------------
/// Internal helper: build the full DTW accumulated-cost matrix.
///
/// Local cost: `|s1[i] - s2[j]|` (Euclidean / L1 for 1-D series).
/// This matches the convention used by `dtaidistance.dtw.distance()`.
///
/// Out-of-band cells (Sakoe-Chiba constraint) are set to `f64::INFINITY`.
fn dtw_matrix(s1: &[f64], s2: &[f64], window: Option<usize>) -> Vec<Vec<f64>> {
let n = s1.len();
let m = s2.len();
let mut dp = vec![vec![f64::INFINITY; m]; n];
for i in 0..n {
// Window convention matches dtaidistance: window=w means |i-j| < w.
// None = unconstrained (full matrix).
let (j_lo, j_hi) = match window {
None => (0, m),
Some(w) => {
let lo = i.saturating_sub(w.saturating_sub(1));
let hi = i.saturating_add(w).min(m);
(lo, hi)
}
};
for j in j_lo..j_hi {
// Squared Euclidean local cost — matches dtaidistance convention.
// The final sqrt is applied only once at the top level (not per-step).
let cost = (s1[i] - s2[j]).powi(2);
let prev = if i == 0 && j == 0 {
0.0
} else if i == 0 {
dp[0][j - 1]
} else if j == 0 {
dp[i - 1][0]
} else {
dp[i - 1][j - 1].min(dp[i - 1][j]).min(dp[i][j - 1])
};
dp[i][j] = cost + prev;
}
}
dp
}
/// Compute the Dynamic Time Warping distance between two 1-D series.
///
/// Returns the accumulated Euclidean cost along the optimal warping path.
/// Uses `|s1[i] - s2[j]|` as the local cost, matching `dtaidistance` convention.
///
/// # Arguments
/// * `s1` - First time series.
/// * `s2` - Second time series.
/// * `window` - Optional Sakoe-Chiba band width. `None` = unconstrained.
///
/// Returns `f64::NAN` if either input is empty.
pub fn dtw_distance(s1: &[f64], s2: &[f64], window: Option<usize>) -> f64 {
if s1.is_empty() || s2.is_empty() {
return f64::NAN;
}
let dp = dtw_matrix(s1, s2, window);
// sqrt applied once at the end — matches dtaidistance.dtw.distance() convention.
dp[s1.len() - 1][s2.len() - 1].sqrt()
}
/// Compute the DTW distance and the optimal warping path between two 1-D series.
///
/// The warping path is a `Vec<(usize, usize)>` of `(i, j)` index pairs,
/// starting at `(0, 0)` and ending at `(n-1, m-1)`, monotonically non-decreasing.
///
/// # Arguments
/// * `s1` - First time series.
/// * `s2` - Second time series.
/// * `window` - Optional Sakoe-Chiba band width. `None` = unconstrained.
///
/// Returns `(f64::NAN, vec![])` if either input is empty.
pub fn dtw_path(s1: &[f64], s2: &[f64], window: Option<usize>) -> (f64, Vec<(usize, usize)>) {
if s1.is_empty() || s2.is_empty() {
return (f64::NAN, vec![]);
}
let dp = dtw_matrix(s1, s2, window);
let dist = dp[s1.len() - 1][s2.len() - 1].sqrt();
// Backtrace from (n-1, m-1) to (0, 0)
let mut path = Vec::new();
let (mut i, mut j) = (s1.len() - 1, s2.len() - 1);
path.push((i, j));
while i > 0 || j > 0 {
let (ni, nj) = match (i, j) {
(0, _) => (0, j - 1),
(_, 0) => (i - 1, 0),
_ => {
let diag = dp[i - 1][j - 1];
let up = dp[i - 1][j];
let left = dp[i][j - 1];
let best = diag.min(up).min(left);
if best == diag {
(i - 1, j - 1)
} else if best == up {
(i - 1, j)
} else {
(i, j - 1)
}
}
};
i = ni;
j = nj;
path.push((i, j));
}
path.reverse();
(dist, path)
}
#[cfg(test)]
mod tests {
use super::*;
@@ -371,122 +259,4 @@ mod tests {
assert!(v.abs() < 1e-10);
}
}
#[test]
fn dtw_identical_series_is_zero() {
let a = vec![1.0, 2.0, 3.0, 4.0, 5.0];
assert_eq!(dtw_distance(&a, &a, None), 0.0);
}
#[test]
fn dtw_known_shifted_series() {
// [0,1,2] vs [1,2,3]: DTW uses squared Euclidean local cost + final sqrt.
// Optimal path (0,0)→(1,0)→(2,1)→(2,2), accumulated cost = 1+0+0+1 = 2, sqrt(2).
// Matches dtaidistance.dtw.distance([0,1,2],[1,2,3]) = 1.4142...
let a = vec![0.0, 1.0, 2.0];
let b = vec![1.0, 2.0, 3.0];
let expected = 2.0_f64.sqrt();
let result = dtw_distance(&a, &b, None);
assert!(
(result - expected).abs() < 1e-12,
"got {result}, expected {expected}"
);
}
#[test]
fn dtw_known_even_shift() {
// [0,2,4] vs [1,3,5]: diagonal path, squared costs 1+1+1=3, sqrt(3).
// Matches dtaidistance.dtw.distance([0,2,4],[1,3,5]) = 1.7320...
let a = vec![0.0, 2.0, 4.0];
let b = vec![1.0, 3.0, 5.0];
let expected = 3.0_f64.sqrt();
let result = dtw_distance(&a, &b, None);
assert!(
(result - expected).abs() < 1e-12,
"got {result}, expected {expected}"
);
}
#[test]
fn dtw_single_element() {
let a = vec![3.0];
let b = vec![7.0];
assert_eq!(dtw_distance(&a, &b, None), 4.0);
}
#[test]
fn dtw_empty_returns_nan() {
assert!(dtw_distance(&[], &[1.0, 2.0], None).is_nan());
assert!(dtw_distance(&[1.0, 2.0], &[], None).is_nan());
}
#[test]
fn dtw_path_endpoints() {
let a = vec![1.0, 2.0, 3.0, 4.0];
let b = vec![1.5, 2.5, 3.5, 4.5];
let (_, path) = dtw_path(&a, &b, None);
assert_eq!(path.first(), Some(&(0, 0)));
assert_eq!(path.last(), Some(&(3, 3)));
}
#[test]
fn dtw_path_is_monotone() {
let a = vec![1.0, 3.0, 2.0, 5.0, 4.0];
let b = vec![2.0, 1.0, 4.0, 3.0, 6.0];
let (_, path) = dtw_path(&a, &b, None);
for k in 1..path.len() {
assert!(path[k].0 >= path[k - 1].0);
assert!(path[k].1 >= path[k - 1].1);
}
}
#[test]
fn dtw_path_distance_matches_distance_only() {
let a = vec![1.0, 4.0, 2.0, 8.0, 3.0];
let b = vec![2.0, 3.0, 7.0, 4.0, 5.0];
let d1 = dtw_distance(&a, &b, None);
let (d2, _) = dtw_path(&a, &b, None);
assert!((d1 - d2).abs() < 1e-12);
}
#[test]
fn dtw_nan_in_input_propagates() {
// NaN in either input must propagate to the distance (IEEE 754 semantics).
let a = vec![1.0, 2.0, f64::NAN, 4.0];
let b = vec![1.0, 2.0, 3.0, 4.0];
assert!(dtw_distance(&a, &b, None).is_nan());
assert!(dtw_distance(&b, &a, None).is_nan());
}
#[test]
fn dtw_is_symmetric() {
let a = vec![1.0, 4.0, 2.0, 8.0, 3.0, 6.0, 5.0];
let b = vec![2.0, 3.0, 7.0, 4.0, 5.0, 1.0, 9.0];
let d_ab = dtw_distance(&a, &b, None);
let d_ba = dtw_distance(&b, &a, None);
assert!((d_ab - d_ba).abs() < 1e-12);
}
#[test]
fn dtw_path_length_bounded() {
// A valid warp path has length between max(n, m) and n + m - 1.
let a: Vec<f64> = (0..7).map(|x| x as f64).collect();
let b: Vec<f64> = (0..10).map(|x| (x as f64).sin()).collect();
let (_, path) = dtw_path(&a, &b, None);
let n = a.len();
let m = b.len();
assert!(path.len() >= n.max(m));
assert!(path.len() <= n + m - 1);
}
#[test]
fn dtw_window_constrained_ge_unconstrained() {
// window convention matches dtaidistance: Some(w) means |i-j| < w.
// A narrow window restricts warping, so constrained distance >= unconstrained.
let a: Vec<f64> = (0..20).map(|x| x as f64).collect();
let b: Vec<f64> = (0..20).map(|x| x as f64 + 3.0).collect();
let d_full = dtw_distance(&a, &b, None);
let d_narrow = dtw_distance(&a, &b, Some(3));
assert!(d_narrow >= d_full - 1e-12);
}
}
+1 -13
View File
@@ -53,19 +53,7 @@ skip = []
db-urls = ["https://github.com/rustsec/advisory-db"]
# Deny known security vulnerabilities
version = 2
ignore = [
# pyo3 0.25 advisories — fix is pyo3 >=0.29, which is a large API
# migration (IntoPy/ToPyObject were removed in 0.26). Ignored here
# because ferro-ta does NOT use either affected code path:
# * RUSTSEC-2026-0176 — OOB read in PyList/PyTuple nth/nth_back
# iterators: the crate has zero PyList/PyTuple iterator usage.
# * RUSTSEC-2026-0177 — missing Sync bound on
# PyCFunction::new_closure: the crate uses #[pyfunction], never
# new_closure.
# Tracked for removal once the pyo3 0.29 upgrade lands.
"RUSTSEC-2026-0176",
"RUSTSEC-2026-0177",
]
ignore = []
# ---------------------------------------------------------------------------
# Sources — only allow crates from crates.io and our own path deps
+7 -63
View File
@@ -1,8 +1,8 @@
{
"surfaces": {
"python": {
"indicator_count": 211,
"method_count": 467,
"indicator_count": 208,
"method_count": 464,
"categories": [
"aggregation",
"alerts",
@@ -131,13 +131,6 @@
"doc": "",
"params": []
},
{
"name": "BATCH_DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "BBANDS",
"category": "overlap",
@@ -663,20 +656,6 @@
"doc": "",
"params": []
},
{
"name": "DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "DTW_DISTANCE",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "DX",
"category": "momentum",
@@ -3304,13 +3283,6 @@
"doc": "",
"params": []
},
{
"name": "BATCH_DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "BETA",
"category": "statistic",
@@ -3325,20 +3297,6 @@
"doc": "",
"params": []
},
{
"name": "DTW",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "DTW_DISTANCE",
"category": "statistic",
"module": "ferro_ta.indicators.statistic",
"doc": "",
"params": []
},
{
"name": "LINEARREG",
"category": "statistic",
@@ -4777,7 +4735,7 @@
]
},
"rust_core": {
"public_function_count": 351,
"public_function_count": 349,
"functions": [
{
"module": "aggregation",
@@ -6229,16 +6187,6 @@
"function": "correl",
"file": "statistic.rs"
},
{
"module": "statistic",
"function": "dtw_distance",
"file": "statistic.rs"
},
{
"module": "statistic",
"function": "dtw_path",
"file": "statistic.rs"
},
{
"module": "statistic",
"function": "linearreg",
@@ -6537,7 +6485,7 @@
]
},
"wasm_node": {
"export_count": 222,
"export_count": 221,
"exports": [
"ad",
"adosc",
@@ -6598,7 +6546,6 @@
"digital_price",
"donchian",
"drawdown_series",
"dtw_distance",
"dx",
"early_exercise_premium",
"ema",
@@ -6765,9 +6712,9 @@
}
},
"parity_summary": {
"python_indicator_count": 210,
"wasm_export_count": 222,
"common_python_wasm_count": 92,
"python_indicator_count": 207,
"wasm_export_count": 221,
"common_python_wasm_count": 91,
"common_python_wasm": [
"ad",
"adosc",
@@ -6796,7 +6743,6 @@
"dema",
"detect_breaks_cusum",
"donchian",
"dtw_distance",
"dx",
"ema",
"ht_dcperiod",
@@ -6871,7 +6817,6 @@
"asin",
"atan",
"batch_apply",
"batch_dtw",
"beta",
"cdl2crows",
"cdl3blackcrows",
@@ -6941,7 +6886,6 @@
"cosh",
"div",
"drawdown",
"dtw",
"exp",
"feature_matrix",
"floor",
+1 -1
View File
@@ -1,7 +1,7 @@
Release Notes
=============
These docs track package version ``1.2.0``.
These docs track package version ``1.1.3``.
1.1.0-audit (2026-03-28)
------------------------
-80
View File
@@ -1,80 +0,0 @@
# Dynamic Time Warping
ferro-ta ships three DTW entry points. Pick the one that matches your
workload — the distance-only path is measurably faster than the one that
reconstructs the warping path, and `BATCH_DTW` parallelises over rows.
## Quick reference
| Function | Returns | When to use |
|---|---|---|
| `DTW_DISTANCE(a, b, window=None)` | `float` | You only need the distance. Fastest. |
| `DTW(a, b, window=None)` | `(float, ndarray[N, 2])` | You need the alignment path for plotting or downstream analysis. |
| `BATCH_DTW(matrix, reference, window=None)` | `ndarray[N]` | You have N candidate series and one reference; uses rayon. |
## Distance convention
ferro-ta's DTW uses squared-Euclidean local cost accumulated along the
optimal path, with a single `sqrt()` applied at the end. This matches
`dtaidistance.dtw.distance()` to within floating-point tolerance (parity
tests assert numerical agreement, not bitwise identity). Example:
```python
>>> import ferro_ta as fta
>>> fta.DTW_DISTANCE([0.0, 1.0, 2.0], [1.0, 2.0, 3.0])
1.4142135623730951 # == sqrt(2), same as dtaidistance
```
If you are migrating from a library that uses absolute-difference local
cost without the final sqrt (e.g. `fastdtw`'s default), your numbers will
not line up. That is a choice ferro-ta made for parity with the
scientific-Python ecosystem.
## Window constraint (Sakoe-Chiba band)
Passing `window=w` constrains the DP to cells where `|i - j| < w`. This
turns the O(n·m) cost into O(n·w), which is typically a 520× speedup for
realistic `w`. A narrower band can only *increase* the distance, so
`window=` is safe to use whenever your series are roughly aligned.
```python
# Unconstrained
fta.DTW_DISTANCE(a, b)
# Constrained: warping may shift up to 5 positions
fta.DTW_DISTANCE(a, b, window=5)
```
## Batch usage
`BATCH_DTW` compares each row of a 2-D matrix against one reference
series, in parallel:
```python
import numpy as np
import ferro_ta as fta
reference = np.random.random(500)
candidates = np.random.random((1000, 500))
distances = fta.BATCH_DTW(candidates, reference, window=20)
nearest = int(np.argmin(distances))
```
Parallelism is via rayon; no thread-pool configuration is needed on the
Python side. For the sequence lengths ferro-ta targets (thousands of
bars, hundreds to low thousands of candidates), batch-parallel classic
DTW beats FastDTW-style approximations.
## Edge cases
- **Empty input:** raises `FerroTAInputError`.
- **NaN in input:** propagates to the output (matches IEEE 754). Call
`ferro_ta.core.exceptions.check_finite()` first if you want to fail
loudly instead.
- **Different-length series:** fully supported. The path array length
is bounded by `max(n, m) <= len(path) <= n + m - 1`.
## See also
- `tests/unit/indicators/test_statistic.py` — parity tests against `dtaidistance`.
-92
View File
@@ -1,92 +0,0 @@
# SIMD acceleration
ferro-ta accelerates hot reductions with **runtime CPU-feature dispatch**
via the [`multiversion`](https://crates.io/crates/multiversion) crate. Each
dispatched function is compiled into several variants — baseline, SSE,
AVX2/FMA, AVX-512 on x86_64; NEON on aarch64 — and the fastest one the
**current** CPU supports is chosen at load time via CPUID.
## Why dispatch instead of `-C target-cpu`
A static `RUSTFLAGS=-C target-cpu=x86-64-v3` build *requires* AVX2 on the
running CPU; on an older chip it crashes with an illegal instruction
(SIGILL). Runtime dispatch instead ships every code path in one binary and
picks at runtime, so a single artifact:
- runs on **any** CPU of the target architecture (no SIGILL on pre-AVX2
hardware), and
- still uses wide vector units where the hardware has them.
That property is what lets the **same** wheel / Docker image / crate run
across a heterogeneous fleet.
## When it helps
SIMD helps indicators whose inner loop is a reduction over contiguous
`f64` data — e.g. the initial window sum that seeds SMA, the `(T, S)` seed
for WMA, and similar fixed-window reductions. It does **not** help:
- The O(n) streaming recurrences (`window_sum += new - old`): each step
depends on the previous one, so they are inherently sequential.
- Branchy inner loops (SAR, candlestick patterns).
- Streaming classes (a single-bar update is one or two ops).
The shared primitives live in `crates/ferro_ta_core/src/simd.rs`
(`sum`, `wma_seed`). They accumulate into independent lanes before a final
horizontal combine — that lane independence is what allows the optimizer to
vectorize each CPU-feature variant. A consequence is that results differ
from a strict left-to-right sum by a few ULPs, well inside every
indicator's documented tolerance.
## The `simd` feature
Dispatch is gated behind the `simd` Cargo feature, which is **on by
default**:
```bash
# default build — runtime dispatch enabled
cargo build -p ferro_ta_core --release
# pure-scalar build (debugging / baseline benchmarking)
cargo build -p ferro_ta_core --release --no-default-features
```
For Python, wheels published to PyPI are built with the default features,
so `pip install ferro-ta` ships the dispatched fast path with no action on
your part. To build a pure-scalar extension from source:
```bash
maturin develop --release --no-default-features
```
## Measured speedups
The nightly `benchmarks/bench_simd.py` job (see
`.github/workflows/nightly-bench.yml`) builds the extension twice — once
with `--no-default-features` (pure scalar) and once with `--features simd`
(dispatch) — and reports the per-indicator delta. Numbers are regenerated
on every run and vary with hardware; treat any table in a PR as a snapshot,
not a contract. The dispatched kernels here target correctness-preserving
reductions, so gains are modest on the sliding-window indicators and larger
on full-array reductions.
## Adding a SIMD-optimized indicator
1. Write and test the **scalar** implementation first — it is the ground
truth.
2. If the hot path is a contiguous `f64` reduction, route it through a
`crate::simd` primitive, or wrap a new helper in
`#[multiversion::multiversion(targets = "simd")]` with the loop body
accumulating into independent lanes.
3. Add a parity test comparing the dispatched result against the strict
scalar reference within tolerance (see `simd.rs` tests for the pattern).
4. Benchmark scalar vs dispatch via `bench_simd.py`. Only keep the SIMD
path if it wins — alignment and tail-handling overhead can make a naive
vectorization *lose* to scalar.
## See also
- `crates/ferro_ta_core/src/simd.rs` — dispatched primitives and tests.
- `benches/indicators.rs` — criterion suite.
- `crates/ferro_ta_core/Cargo.toml` `[features] simd = ["dep:multiversion"]`
— the gate (default-on).
+1 -1
View File
@@ -180,7 +180,7 @@ For source builds, packaging details, and platform notes, see
Release status
--------------
These docs track package version ``1.2.0``.
These docs track package version ``1.1.3``.
- Release notes by version: :doc:`changelog`
- Canonical project changelog: `CHANGELOG.md <https://github.com/pratikbhadane24/ferro-ta/blob/main/CHANGELOG.md>`_
+2 -2
View File
@@ -4,7 +4,7 @@ build-backend = "maturin"
[project]
name = "ferro-ta"
version = "1.2.0"
version = "1.1.3"
description = "Rust-powered Python technical analysis library with a TA-Lib-compatible API"
readme = "README.md"
license = { text = "MIT" }
@@ -84,7 +84,7 @@ omit = ["*/_ferro_ta*", "*/mcp/*"]
[tool.coverage.report]
show_missing = true
fail_under = 80
fail_under = 65
exclude_lines = [
"pragma: no cover",
"if TYPE_CHECKING:",
-6
View File
@@ -110,14 +110,8 @@ __version__ = _detect_version()
# ---------------------------------------------------------------------------
from ferro_ta.core.exceptions import ( # noqa: F401
FerroTAError,
FerroTaError,
FerroTAInputError,
FerroTAValueError,
InsufficientDataError,
InvalidInputError,
InvalidPeriodError,
LengthMismatchError,
NumericConvergenceError,
)
# ---------------------------------------------------------------------------
+4 -61
View File
@@ -131,63 +131,6 @@ class FerroTAInputError(FerroTAError, ValueError):
code = "FTERR002"
# ---------------------------------------------------------------------------
# Finer-grained exception subclasses (added in 1.2.0).
#
# These are drop-in compatible with the base classes: every subclass still
# inherits from ``FerroTAError`` and ``ValueError``, so existing user code
# like ``except FerroTAValueError:`` or ``except ValueError:`` keeps working.
# The subclasses exist so users can catch *specific* failure modes without
# string-matching on the error message.
# ---------------------------------------------------------------------------
class InvalidPeriodError(FerroTAValueError):
"""Parameter like ``timeperiod``, ``fastperiod``, ``slowperiod`` is out of range.
Default error code: ``FTERR001``.
"""
class InsufficientDataError(FerroTAInputError):
"""Input array is shorter than the minimum required for the indicator.
Default error code: ``FTERR003``.
"""
code = "FTERR003"
class LengthMismatchError(FerroTAInputError):
"""Two or more input arrays (e.g. OHLC) have different lengths.
Default error code: ``FTERR004``.
"""
code = "FTERR004"
class NumericConvergenceError(FerroTAValueError):
"""An iterative calculation failed to converge within tolerance.
Raised by iterative pricing models (implied volatility root-finding,
Newton-Raphson, etc.) when the maximum iteration count is exhausted.
"""
class InvalidInputError(FerroTAInputError):
"""Input contains NaN/Inf in strict mode, wrong dtype, or wrong shape.
Default error code: ``FTERR005``.
"""
code = "FTERR005"
# Public aliases that match the names documented in the README and
# CHANGELOG [Unreleased] section.
FerroTaError = FerroTAError # type: ignore[misc]
# ---------------------------------------------------------------------------
# Validation helpers (called by Python wrappers)
# ---------------------------------------------------------------------------
@@ -211,7 +154,7 @@ def check_timeperiod(value: int, name: str = "timeperiod", minimum: int = 1) ->
If ``value < minimum``.
"""
if value < minimum:
raise InvalidPeriodError(
raise FerroTAValueError(
f"{name} must be >= {minimum}, got {value}",
suggestion=f"Set {name}={minimum} or higher.",
)
@@ -250,7 +193,7 @@ def check_equal_length(**arrays: object) -> None:
if len(set(lengths.values())) > 1:
detail = ", ".join(f"{k}={v}" for k, v in lengths.items())
raise LengthMismatchError(
raise FerroTAInputError(
f"All input arrays must have the same length. Got: {detail}",
code=_CODE_LENGTH_MISMATCH,
suggestion="Trim or align your arrays so that open, high, low, close, and volume all have the same number of rows.",
@@ -280,7 +223,7 @@ def check_finite(arr: object, name: str = "input") -> None:
a = np.asarray(arr, dtype=np.float64)
if not np.all(np.isfinite(a)):
raise InvalidInputError(
raise FerroTAInputError(
f"{name} contains NaN or Inf values. "
"ferro_ta propagates NaN by default; call check_finite() only "
"when you require all-finite inputs.",
@@ -312,7 +255,7 @@ def check_min_length(arr: object, min_len: int, name: str = "input") -> None:
elif hasattr(arr, "shape"):
length = arr.shape[0] # type: ignore[union-attr]
if length < min_len:
raise InsufficientDataError(
raise FerroTAInputError(
f"{name} must have at least {min_len} elements, got {length}",
code=_CODE_TOO_SHORT,
suggestion=f"Provide at least {min_len} data points. Current length: {length}.",
-109
View File
@@ -12,33 +12,19 @@ LINEARREG_ANGLE — Linear Regression Angle (degrees)
TSF Time Series Forecast
BETA Beta
CORREL Pearson's Correlation Coefficient (r)
DTW Dynamic Time Warping (distance + warping path)
DTW_DISTANCE Dynamic Time Warping distance only (faster)
BATCH_DTW Batch DTW: N series vs 1 reference, in parallel
"""
from __future__ import annotations
from typing import Optional
import numpy as np
from numpy.typing import ArrayLike
from ferro_ta._ferro_ta import (
batch_dtw as _batch_dtw,
)
from ferro_ta._ferro_ta import (
beta as _beta,
)
from ferro_ta._ferro_ta import (
correl as _correl,
)
from ferro_ta._ferro_ta import (
dtw as _dtw,
)
from ferro_ta._ferro_ta import (
dtw_distance as _dtw_distance,
)
from ferro_ta._ferro_ta import (
linearreg as _linearreg,
)
@@ -261,98 +247,6 @@ def CORREL(real0: ArrayLike, real1: ArrayLike, timeperiod: int = 30) -> np.ndarr
_normalize_rust_error(e)
def DTW(
series1: ArrayLike,
series2: ArrayLike,
window: Optional[int] = None,
) -> tuple[float, np.ndarray]:
"""Dynamic Time Warping — distance and optimal warping path.
Parameters
----------
series1 : array-like
First time series.
series2 : array-like
Second time series (may differ in length from series1).
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
distance : float
DTW distance (accumulated Euclidean cost along the optimal path).
path : numpy.ndarray, shape (N, 2)
Warping path as ``(i, j)`` index pairs from ``(0, 0)`` to
``(len(series1)-1, len(series2)-1)``.
"""
try:
return _dtw(_to_f64(series1), _to_f64(series2), window)
except ValueError as e:
_normalize_rust_error(e)
def DTW_DISTANCE(
series1: ArrayLike,
series2: ArrayLike,
window: Optional[int] = None,
) -> float:
"""Dynamic Time Warping distance only (faster — no path reconstruction).
Parameters
----------
series1 : array-like
First time series.
series2 : array-like
Second time series (may differ in length from series1).
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
float
DTW distance (accumulated Euclidean cost along the optimal path).
"""
try:
return _dtw_distance(_to_f64(series1), _to_f64(series2), window)
except ValueError as e:
_normalize_rust_error(e)
def BATCH_DTW(
matrix: ArrayLike,
reference: ArrayLike,
window: Optional[int] = None,
) -> np.ndarray:
"""Batch Dynamic Time Warping — N series vs 1 reference, computed in parallel.
Parameters
----------
matrix : array-like, shape (N, L)
N time series of length L. Each row is compared against ``reference``.
reference : array-like, shape (L,)
The reference series.
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
numpy.ndarray, shape (N,)
DTW distance from each row of ``matrix`` to ``reference``.
"""
try:
mat = np.ascontiguousarray(matrix, dtype=np.float64)
if mat.ndim != 2:
from ferro_ta.core.exceptions import FerroTAInputError
raise FerroTAInputError(
f"matrix must be a 2-D array, got {mat.ndim}-D.",
suggestion="Pass a 2-D NumPy array of shape (N, L).",
)
return _batch_dtw(mat, _to_f64(reference), window)
except ValueError as e:
_normalize_rust_error(e)
__all__ = [
"STDDEV",
"VAR",
@@ -363,7 +257,4 @@ __all__ = [
"TSF",
"BETA",
"CORREL",
"DTW",
"DTW_DISTANCE",
"BATCH_DTW",
]
+127 -199
View File
@@ -1,40 +1,27 @@
#!/usr/bin/env bash
# Pre-push CI gate — runs checks in parallel to minimise wall-clock time.
#
# Usage:
# scripts/pre_push_checks.sh # all checks
# scripts/pre_push_checks.sh rust_clippy wasm # selected checks
# scripts/pre_push_checks.sh --list
# FERRO_FAST=1 scripts/pre_push_checks.sh # skip docs + wasm bench
set -euo pipefail
ROOT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")/.." && pwd)"
cd "$ROOT_DIR"
AVAILABLE_CHECKS=(
version changelog manifest
rust_fmt rust_clippy rust_core rust_bench
python_lint python_typecheck python_test
docs wasm
version
changelog
rust_fmt
rust_clippy
rust_core
rust_bench
python_lint
python_typecheck
python_test
docs
wasm
manifest
)
DEFAULT_CHECKS=("${AVAILABLE_CHECKS[@]}")
# ---------------------------------------------------------------------------
# Helpers
# ---------------------------------------------------------------------------
need_cmd() {
if ! command -v "$1" >/dev/null 2>&1; then
echo "Missing required command: $1" >&2; exit 1
fi
}
run_cmd() {
printf ' +'
printf ' %q' "$@"
printf '\n'
"$@"
}
python_env_ready=0
usage() {
cat <<'EOF'
@@ -43,60 +30,93 @@ Usage:
scripts/pre_push_checks.sh <check> [<check> ...]
scripts/pre_push_checks.sh --list
Environment:
FERRO_FAST=1 Skip docs and wasm (fastest local feedback loop)
Runs the repo's basic local CI gate before push. By default it covers:
version changelog rust_fmt rust_clippy rust_core rust_bench
python_lint python_typecheck python_test docs wasm manifest
Notes:
- This mirrors the required CI categories we can run locally.
- It intentionally skips the multi-Python test matrix, audit jobs, perf smoke,
and benchmark-regression jobs.
EOF
}
# ---------------------------------------------------------------------------
# Individual check functions
# ---------------------------------------------------------------------------
list_checks() {
printf '%s\n' "${AVAILABLE_CHECKS[@]}"
}
need_cmd() {
local command_name="$1"
if ! command -v "$command_name" >/dev/null 2>&1; then
echo "Missing required command: $command_name" >&2
exit 1
fi
}
run_cmd() {
printf ' +'
printf ' %q' "$@"
printf '\n'
"$@"
}
ensure_python_env() {
if [[ "$python_env_ready" -eq 1 ]]; then
return
fi
need_cmd uv
run_cmd uv sync --extra dev --extra docs --extra mcp
run_cmd uv run --extra dev --extra docs --extra mcp maturin develop --release
python_env_ready=1
}
run_version() {
need_cmd python3
run_cmd python3 scripts/bump_version.py --check
}
run_changelog() {
need_cmd python3
run_cmd python3 scripts/check_changelog.py
}
run_rust_fmt() {
need_cmd cargo
run_cmd cargo fmt --all -- --check
}
run_rust_clippy() {
need_cmd cargo
run_cmd cargo clippy --release -- -D warnings
}
run_rust_core() {
need_cmd cargo
run_cmd cargo build -p ferro_ta_core
run_cmd cargo test -p ferro_ta_core
}
run_rust_bench() {
need_cmd cargo
run_cmd cargo bench -p ferro_ta_core --no-run
}
run_version() { need_cmd python3; run_cmd python3 scripts/bump_version.py --check; }
run_changelog() { need_cmd python3; run_cmd python3 scripts/check_changelog.py; }
run_manifest() { need_cmd python3; run_cmd python3 scripts/check_api_manifest.py; }
run_rust_fmt() { need_cmd cargo; run_cmd cargo fmt --all -- --check; }
run_python_lint() {
need_cmd uv
run_cmd uv run --with ruff ruff check python/ tests/
run_cmd uv run --with ruff ruff format --check python/ tests/
}
run_rust_clippy() { need_cmd cargo; run_cmd cargo clippy --release -- -D warnings; }
run_rust_core() { need_cmd cargo; run_cmd cargo build -p ferro_ta_core && run_cmd cargo test -p ferro_ta_core; }
run_rust_bench() { need_cmd cargo; run_cmd cargo bench -p ferro_ta_core --no-run; }
run_python_typecheck() {
need_cmd uv
run_cmd uv run --with mypy --with numpy python -m mypy python/ferro_ta \
--ignore-missing-imports --no-error-summary
run_cmd uv run --with mypy --with numpy python -m mypy python/ferro_ta --ignore-missing-imports --no-error-summary
run_cmd uv run --with pyright python -m pyright python/ferro_ta
}
# python_test and docs both need a compiled extension.
# Use a flag file so only the first concurrent caller runs maturin develop;
# subsequent callers (in parallel background jobs) wait and reuse it.
_MATURIN_LOCK="${TMPDIR:-/tmp}/ferro_ta_maturin_$$.lock"
_MATURIN_FLAG="${TMPDIR:-/tmp}/ferro_ta_maturin_$$.done"
ensure_python_env() {
[[ -f "$_MATURIN_FLAG" ]] && return
(
flock 9
if [[ ! -f "$_MATURIN_FLAG" ]]; then
need_cmd uv
run_cmd uv sync --extra dev --extra docs --extra mcp
run_cmd uv run --extra dev --extra docs --extra mcp maturin develop --release
touch "$_MATURIN_FLAG"
fi
) 9>"$_MATURIN_LOCK"
}
run_python_test() {
ensure_python_env
run_cmd uv run --extra dev --extra mcp --with pytest-cov \
pytest tests/unit/ tests/integration/ \
-v --cov=ferro_ta --cov-report=term-missing --cov-fail-under=65
run_cmd uv run --extra dev --extra mcp --with pytest-cov pytest tests/unit/ tests/integration/ -v --cov=ferro_ta --cov-report=term-missing --cov-fail-under=65
}
run_docs() {
@@ -105,161 +125,69 @@ run_docs() {
}
run_wasm() {
need_cmd node; need_cmd wasm-pack
need_cmd node
need_cmd wasm-pack
local benchmark_json="../.wasm_benchmark.prepush.json"
(
cd wasm
trap 'rm -f "$benchmark_json"' EXIT
run_cmd wasm-pack test --node
run_cmd npm run build
if [[ "${FERRO_FAST:-0}" != "1" ]]; then
local bj="../.wasm_benchmark.prepush.json"
run_cmd node bench.js --json "$bj"
rm -f "$bj"
fi
run_cmd node bench.js --json "$benchmark_json"
)
}
run_manifest() {
need_cmd python3
run_cmd python3 scripts/check_api_manifest.py
}
run_check() {
case "$1" in
version) run_version ;;
changelog) run_changelog ;;
manifest) run_manifest ;;
rust_fmt) run_rust_fmt ;;
rust_clippy) run_rust_clippy ;;
rust_core) run_rust_core ;;
rust_bench) run_rust_bench ;;
python_lint) run_python_lint ;;
local check_name="$1"
case "$check_name" in
version) run_version ;;
changelog) run_changelog ;;
rust_fmt) run_rust_fmt ;;
rust_clippy) run_rust_clippy ;;
rust_core) run_rust_core ;;
rust_bench) run_rust_bench ;;
python_lint) run_python_lint ;;
python_typecheck) run_python_typecheck ;;
python_test) run_python_test ;;
docs) run_docs ;;
wasm) run_wasm ;;
*) echo "Unknown check: $1 — use --list" >&2; exit 1 ;;
python_test) run_python_test ;;
docs) run_docs ;;
wasm) run_wasm ;;
manifest) run_manifest ;;
*)
echo "Unknown check: $check_name" >&2
echo "Use --list to see supported checks." >&2
exit 1
;;
esac
}
# ---------------------------------------------------------------------------
# Parallel runner — starts all checks concurrently, collects results
# ---------------------------------------------------------------------------
if [[ "${1:-}" == "--help" || "${1:-}" == "-h" ]]; then
usage
exit 0
fi
run_parallel() {
local -a checks=("$@")
[[ "${#checks[@]}" -eq 0 ]] && return 0
local -a pids logs names
local start
start=$(date +%s)
printf '\nStarting %d checks in parallel: %s\n' "${#checks[@]}" "${checks[*]}"
for check in "${checks[@]}"; do
local log
log=$(mktemp /tmp/ferro_prepush_XXXXXX)
logs+=("$log")
names+=("$check")
run_check "$check" >"$log" 2>&1 &
pids+=($!)
done
local failed=0
local -a failed_names
printf '\n'
for i in "${!pids[@]}"; do
if wait "${pids[$i]}" 2>/dev/null; then
printf ' ✓ %s\n' "${names[$i]}"
else
printf ' ✗ %s\n' "${names[$i]}"
failed_names+=("${names[$i]}")
failed=1
fi
done
# Print logs for failed checks only
if [[ "$failed" -eq 1 ]]; then
for i in "${!names[@]}"; do
local name="${names[$i]}"
if [[ " ${failed_names[*]:-} " == *" $name "* ]]; then
printf '\n'; printf '━%.0s' {1..60}; printf '\nFAILED: %s\n' "$name"; printf '━%.0s' {1..60}; printf '\n'
cat "${logs[$i]}"
fi
done
fi
for log in "${logs[@]}"; do rm -f "$log"; done
rm -f "$_MATURIN_LOCK" "$_MATURIN_FLAG"
printf '\nElapsed: %ds\n' "$(( $(date +%s) - start ))"
return "$failed"
}
# ---------------------------------------------------------------------------
# Argument parsing
# ---------------------------------------------------------------------------
[[ "${1:-}" == "--help" || "${1:-}" == "-h" ]] && { usage; exit 0; }
[[ "${1:-}" == "--list" ]] && { printf '%s\n' "${AVAILABLE_CHECKS[@]}"; exit 0; }
if [[ "${1:-}" == "--list" ]]; then
list_checks
exit 0
fi
selected_checks=()
if [[ "$#" -gt 0 ]]; then
selected_checks=("$@")
else
selected_checks=("${DEFAULT_CHECKS[@]}")
if [[ "${FERRO_FAST:-0}" == "1" ]]; then
selected_checks=()
for c in "${DEFAULT_CHECKS[@]}"; do
[[ "$c" == "docs" || "$c" == "wasm" ]] && continue
selected_checks+=("$c")
done
printf 'FERRO_FAST=1: skipping docs + wasm\n'
fi
fi
# ---------------------------------------------------------------------------
# Execution strategy:
# Phase 1 — instant gate (sequential, fail-fast):
# version, changelog, manifest, python_lint, rust_fmt
# These are trivial to run and catch the most common mistakes early.
# If any fail here we abort immediately without waiting for slow checks.
#
# Phase 2 — everything else in parallel:
# rust_clippy, rust_core, rust_bench, python_typecheck,
# python_test, docs, wasm
# ---------------------------------------------------------------------------
FAST_CHECKS=(version changelog manifest python_lint rust_fmt)
phase1=()
phase2=()
for c in "${selected_checks[@]}"; do
is_fast=0
for f in "${FAST_CHECKS[@]}"; do [[ "$c" == "$f" ]] && is_fast=1 && break; done
if [[ "$is_fast" -eq 1 ]]; then phase1+=("$c"); else phase2+=("$c"); fi
total_checks="${#selected_checks[@]}"
index=0
for check_name in "${selected_checks[@]}"; do
index=$((index + 1))
printf '\n[%d/%d] %s\n' "$index" "$total_checks" "$check_name"
run_check "$check_name"
done
# Phase 1: fast gate
if [[ "${#phase1[@]}" -gt 0 ]]; then
printf 'Phase 1 — fast gate (%d checks)\n' "${#phase1[@]}"
start1=$(date +%s)
for c in "${phase1[@]}"; do
printf ' [%s] ... ' "$c"
log=$(mktemp /tmp/ferro_prepush_XXXXXX)
if run_check "$c" >"$log" 2>&1; then
printf 'ok\n'
else
printf 'FAILED\n'
cat "$log"
rm -f "$log"
echo "" >&2
echo "Fast gate failed on '$c' — aborting before slow checks." >&2
exit 1
fi
rm -f "$log"
done
printf 'Phase 1 passed (%ds)\n' "$(( $(date +%s) - start1 ))"
fi
# Phase 2: parallel slow checks
if [[ "${#phase2[@]}" -gt 0 ]]; then
printf '\nPhase 2 — parallel slow checks\n'
run_parallel "${phase2[@]}" || exit 1
fi
printf '\nAll pre-push checks passed.\n'
printf '\nAll selected pre-push checks passed.\n'
-98
View File
@@ -1,98 +0,0 @@
use ndarray::Array2;
use numpy::{IntoPyArray, PyArray1, PyArray2, PyReadonlyArray1, PyReadonlyArray2};
use pyo3::exceptions::PyValueError;
use pyo3::prelude::*;
use rayon::prelude::*;
/// Dynamic Time Warping — distance and optimal warping path between two 1-D series.
///
/// Returns a tuple `(distance, path)` where `path` is a NumPy array of shape
/// `(N, 2)` containing `(i, j)` index pairs from `(0, 0)` to `(n-1, m-1)`.
///
/// Local cost: `|series1[i] - series2[j]|` (Euclidean, matches `dtaidistance`).
#[pyfunction]
#[pyo3(signature = (series1, series2, window = None))]
pub fn dtw<'py>(
py: Python<'py>,
series1: PyReadonlyArray1<'py, f64>,
series2: PyReadonlyArray1<'py, f64>,
window: Option<usize>,
) -> PyResult<(f64, Bound<'py, PyArray2<usize>>)> {
let s1 = series1.as_slice()?;
let s2 = series2.as_slice()?;
if s1.is_empty() || s2.is_empty() {
return Err(PyValueError::new_err(
"series1 and series2 must not be empty",
));
}
let (dist, path) = ferro_ta_core::statistic::dtw_path(s1, s2, window);
let n = path.len();
let flat: Vec<usize> = path.iter().flat_map(|&(i, j)| [i, j]).collect();
let arr =
Array2::from_shape_vec((n, 2), flat).map_err(|e| PyValueError::new_err(e.to_string()))?;
Ok((dist, arr.into_pyarray(py)))
}
/// Dynamic Time Warping — distance only (faster, no path reconstruction).
///
/// Returns the accumulated Euclidean cost along the optimal warping path.
/// Use this when you only need the distance, not the alignment path.
#[pyfunction]
#[pyo3(signature = (series1, series2, window = None))]
pub fn dtw_distance<'py>(
_py: Python<'py>,
series1: PyReadonlyArray1<'py, f64>,
series2: PyReadonlyArray1<'py, f64>,
window: Option<usize>,
) -> PyResult<f64> {
let s1 = series1.as_slice()?;
let s2 = series2.as_slice()?;
if s1.is_empty() || s2.is_empty() {
return Err(PyValueError::new_err(
"series1 and series2 must not be empty",
));
}
Ok(ferro_ta_core::statistic::dtw_distance(s1, s2, window))
}
/// Batch Dynamic Time Warping — compute DTW distance from each row of a 2-D matrix
/// to a single reference series, in parallel.
///
/// Parameters
/// ----------
/// matrix : np.ndarray, shape (N, L)
/// N time series of length L. Each row is compared against `reference`.
/// reference : np.ndarray, shape (L,)
/// The reference series.
/// window : int, optional
/// Sakoe-Chiba band width. `None` = unconstrained.
///
/// Returns
/// -------
/// np.ndarray, shape (N,)
/// DTW distances, one per row.
#[pyfunction]
#[pyo3(signature = (matrix, reference, window = None))]
pub fn batch_dtw<'py>(
py: Python<'py>,
matrix: PyReadonlyArray2<'py, f64>,
reference: PyReadonlyArray1<'py, f64>,
window: Option<usize>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let mat = matrix.as_array();
let ref_slice = reference.as_slice()?;
if ref_slice.is_empty() {
return Err(PyValueError::new_err("reference must not be empty"));
}
let (n_rows, _) = mat.dim();
let rows: Vec<Vec<f64>> = (0..n_rows).map(|i| mat.row(i).to_vec()).collect();
let result: Vec<f64> = rows
.par_iter()
.map(|series| ferro_ta_core::statistic::dtw_distance(series, ref_slice, window))
.collect();
Ok(result.into_pyarray(py))
}
-4
View File
@@ -4,7 +4,6 @@
mod beta;
pub(crate) mod common;
mod correl;
mod dtw;
mod linearreg;
mod stddev;
mod var;
@@ -24,8 +23,5 @@ pub fn register(m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_function(pyo3::wrap_pyfunction!(self::linearreg::tsf, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::beta::beta, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::correl::correl, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::dtw::dtw, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::dtw::dtw_distance, m)?)?;
m.add_function(pyo3::wrap_pyfunction!(self::dtw::batch_dtw, m)?)?;
Ok(())
}
-178
View File
@@ -1,14 +1,10 @@
"""Unit tests for ferro_ta.indicators.statistic"""
import numpy as np
import pytest
from ferro_ta.indicators.statistic import (
BATCH_DTW,
BETA,
CORREL,
DTW,
DTW_DISTANCE,
LINEARREG,
LINEARREG_ANGLE,
LINEARREG_INTERCEPT,
@@ -312,177 +308,3 @@ class TestTSF:
expected = _naive_linearreg(_A, timeperiod=14, x_value=14.0)
result = TSF(_A, timeperiod=14)
np.testing.assert_allclose(result, expected, equal_nan=True)
# ---------------------------------------------------------------------------
# DTW — Dynamic Time Warping
# ---------------------------------------------------------------------------
dtai = pytest.importorskip("dtaidistance", reason="dtaidistance not installed")
_DTW_RNG = np.random.default_rng(42)
class TestDTW:
# --- Validation against dtaidistance (SOTA reference) ---
def test_distance_matches_dtaidistance_random(self):
"""Core correctness: our distance == dtaidistance on 20 random pairs."""
for _ in range(20):
n = int(_DTW_RNG.integers(5, 50))
a = _DTW_RNG.random(n)
b = _DTW_RNG.random(n)
expected = dtai.dtw.distance(a, b)
actual = DTW_DISTANCE(a, b)
np.testing.assert_allclose(
actual, expected, rtol=1e-9, err_msg=f"Mismatch on series length {n}"
)
def test_distance_matches_dtaidistance_unequal_length(self):
"""Handles unequal-length series correctly."""
for _ in range(10):
a = _DTW_RNG.random(int(_DTW_RNG.integers(5, 30)))
b = _DTW_RNG.random(int(_DTW_RNG.integers(5, 30)))
expected = dtai.dtw.distance(a, b)
actual = DTW_DISTANCE(a, b)
np.testing.assert_allclose(actual, expected, rtol=1e-9)
def test_path_distance_matches_dtaidistance(self):
"""DTW() path variant: returned distance matches dtaidistance."""
a = _DTW_RNG.random(20)
b = _DTW_RNG.random(25)
expected = dtai.dtw.distance(a, b)
dist, _ = DTW(a, b)
np.testing.assert_allclose(dist, expected, rtol=1e-9)
def test_path_matches_dtaidistance_warping_path(self):
"""Warping path matches dtaidistance.dtw.warping_path() on same-length series."""
for _ in range(10):
n = int(_DTW_RNG.integers(5, 20))
a = _DTW_RNG.random(n)
b = _DTW_RNG.random(n)
expected_path = dtai.dtw.warping_path(a, b)
_, actual_path = DTW(a, b)
actual_pairs = [tuple(int(x) for x in row) for row in actual_path]
assert actual_pairs == expected_path, (
f"Path mismatch for n={n}:\n ours={actual_pairs}\n dtai={expected_path}"
)
def test_window_constrained_matches_dtaidistance(self):
"""Sakoe-Chiba window matches dtaidistance window parameter."""
a = _DTW_RNG.random(30)
b = _DTW_RNG.random(30)
for w in [3, 8, 15]:
expected = dtai.dtw.distance(a, b, window=w)
actual = DTW_DISTANCE(a, b, window=w)
np.testing.assert_allclose(
actual, expected, rtol=1e-9, err_msg=f"Mismatch at window={w}"
)
def test_batch_matches_dtaidistance(self):
"""BATCH_DTW matches calling dtaidistance per-row."""
ref = _DTW_RNG.random(20)
matrix = _DTW_RNG.random((8, 20))
batch_result = BATCH_DTW(matrix, ref)
for i in range(8):
expected = dtai.dtw.distance(matrix[i], ref)
np.testing.assert_allclose(
batch_result[i],
expected,
rtol=1e-9,
err_msg=f"Batch mismatch at row {i}",
)
# --- Mathematical properties ---
def test_identical_distance_is_zero(self):
a = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
dist, _ = DTW(a, a)
assert dist == pytest.approx(0.0, abs=1e-10)
def test_symmetry(self):
a, b = _DTW_RNG.random(20), _DTW_RNG.random(20)
assert DTW_DISTANCE(a, b) == pytest.approx(DTW_DISTANCE(b, a), rel=1e-10)
def test_triangle_inequality(self):
a, b, c = _DTW_RNG.random(15), _DTW_RNG.random(15), _DTW_RNG.random(15)
assert DTW_DISTANCE(a, c) <= DTW_DISTANCE(a, b) + DTW_DISTANCE(b, c) + 1e-9
# --- Known hardcoded values ---
def test_known_shifted_series(self):
# [0,1,2] vs [1,2,3]: optimal path (0,0)→(1,0)→(2,1)→(2,2)
# Squared costs: 1+0+0+1=2, sqrt(2). Verified against dtaidistance.
a = np.array([0.0, 1.0, 2.0])
b = np.array([1.0, 2.0, 3.0])
np.testing.assert_allclose(DTW_DISTANCE(a, b), np.sqrt(2.0), rtol=1e-9)
def test_known_single_element(self):
# sqrt((3-7)^2) = sqrt(16) = 4.0
np.testing.assert_allclose(
DTW_DISTANCE(np.array([3.0]), np.array([7.0])), 4.0, rtol=1e-9
)
def test_known_constant_series(self):
assert DTW_DISTANCE(np.full(10, 5.0), np.full(10, 5.0)) == pytest.approx(
0.0, abs=1e-12
)
# --- Path structural guarantees ---
def test_path_starts_at_origin(self):
_, path = DTW(_DTW_RNG.random(10), _DTW_RNG.random(10))
assert tuple(int(x) for x in path[0]) == (0, 0)
def test_path_ends_at_corner(self):
_, path = DTW(_DTW_RNG.random(7), _DTW_RNG.random(9))
assert tuple(int(x) for x in path[-1]) == (6, 8)
def test_path_is_monotone(self):
_, path = DTW(_DTW_RNG.random(20), _DTW_RNG.random(20))
for k in range(1, len(path)):
assert path[k][0] >= path[k - 1][0]
assert path[k][1] >= path[k - 1][1]
def test_path_steps_unit_size(self):
_, path = DTW(_DTW_RNG.random(15), _DTW_RNG.random(12))
for k in range(1, len(path)):
di = int(path[k][0]) - int(path[k - 1][0])
dj = int(path[k][1]) - int(path[k - 1][1])
assert di in (0, 1) and dj in (0, 1)
assert not (di == 0 and dj == 0)
# --- DTW_DISTANCE == DTW distance ---
def test_distance_only_matches_full(self):
a, b = _DTW_RNG.random(25), _DTW_RNG.random(25)
d_full, _ = DTW(a, b)
np.testing.assert_allclose(DTW_DISTANCE(a, b), d_full, rtol=1e-10)
# --- Batch ---
def test_batch_single_row(self):
ref = np.array([1.0, 2.0, 3.0])
result = BATCH_DTW(np.array([[1.0, 2.0, 3.0]]), ref)
assert result[0] == pytest.approx(0.0, abs=1e-10)
def test_batch_matches_single_calls(self):
ref = _DTW_RNG.random(20)
matrix = _DTW_RNG.random((8, 20))
batch = BATCH_DTW(matrix, ref)
for i in range(8):
np.testing.assert_allclose(
batch[i], DTW_DISTANCE(matrix[i], ref), rtol=1e-10
)
# --- Edge cases ---
def test_empty_series_raises(self):
with pytest.raises((ValueError, Exception)):
DTW(np.array([]), np.array([1.0, 2.0]))
def test_window_constrained_ge_unconstrained(self):
a, b = _DTW_RNG.random(20), _DTW_RNG.random(20)
d_full = DTW_DISTANCE(a, b)
d_narrow = DTW_DISTANCE(a, b, window=2)
assert d_narrow >= d_full - 1e-9
Generated
+10 -10
View File
@@ -950,7 +950,7 @@ wheels = [
[[package]]
name = "ferro-ta"
version = "1.2.0"
version = "1.1.3"
source = { editable = "." }
dependencies = [
{ name = "numpy" },
@@ -1272,11 +1272,11 @@ wheels = [
[[package]]
name = "idna"
version = "3.18"
version = "3.11"
source = { registry = "https://pypi.org/simple" }
sdist = { url = "https://files.pythonhosted.org/packages/cd/63/9496c57188a2ee585e0f1db071d75089a11e98aa86eb99d9d7618fc1edce/idna-3.18.tar.gz", hash = "sha256:ffb385a7e039654cef1ab9ef32c6fafe283c0c0467bba1d9029738ce4a14a848", size = 196711, upload-time = "2026-06-02T14:34:07.794Z" }
sdist = { url = "https://files.pythonhosted.org/packages/6f/6d/0703ccc57f3a7233505399edb88de3cbd678da106337b9fcde432b65ed60/idna-3.11.tar.gz", hash = "sha256:795dafcc9c04ed0c1fb032c2aa73654d8e8c5023a7df64a53f39190ada629902", size = 194582, upload-time = "2025-10-12T14:55:20.501Z" }
wheels = [
{ url = "https://files.pythonhosted.org/packages/1e/5e/d4e9f1a599fb8e573b7b87160658329fbf28d19eac2718f51fc3def3aa5a/idna-3.18-py3-none-any.whl", hash = "sha256:7f952cbe720b688055e3f87de14f5c3e5fdaa8bc3928985c4077ca689de849a2", size = 65455, upload-time = "2026-06-02T14:34:06.319Z" },
{ url = "https://files.pythonhosted.org/packages/0e/61/66938bbb5fc52dbdf84594873d5b51fb1f7c7794e9c0f5bd885f30bc507b/idna-3.11-py3-none-any.whl", hash = "sha256:771a87f49d9defaf64091e6e6fe9c18d4833f140bd19464795bc32d966ca37ea", size = 71008, upload-time = "2025-10-12T14:55:18.883Z" },
]
[[package]]
@@ -2906,7 +2906,7 @@ wheels = [
[[package]]
name = "pytest"
version = "9.1.1"
version = "9.0.2"
source = { registry = "https://pypi.org/simple" }
dependencies = [
{ name = "colorama", marker = "sys_platform == 'win32'" },
@@ -2917,9 +2917,9 @@ dependencies = [
{ name = "pygments" },
{ name = "tomli", marker = "python_full_version < '3.11'" },
]
sdist = { url = "https://files.pythonhosted.org/packages/e4/47/b9efed96c114afcfa3c9d3fe98a76a1d14c74a9e266d397cf6eb64be5e01/pytest-9.1.1.tar.gz", hash = "sha256:1088fbde8f2b49d95a549a195707afa7a76a3ce9bcadc26b6d71f0ffda5fe313", size = 1636369, upload-time = "2026-06-19T10:58:32.857Z" }
sdist = { url = "https://files.pythonhosted.org/packages/d1/db/7ef3487e0fb0049ddb5ce41d3a49c235bf9ad299b6a25d5780a89f19230f/pytest-9.0.2.tar.gz", hash = "sha256:75186651a92bd89611d1d9fc20f0b4345fd827c41ccd5c299a868a05d70edf11", size = 1568901, upload-time = "2025-12-06T21:30:51.014Z" }
wheels = [
{ url = "https://files.pythonhosted.org/packages/24/25/1de2678b631f5a49215c6c96fff41ba892b0a34df68d6d80292b1b48aa7f/pytest-9.1.1-py3-none-any.whl", hash = "sha256:37a86b45efb9a47a61a36449063e8e18d0cab3161329fc099eb21783169c4f0c", size = 386536, upload-time = "2026-06-19T10:58:31.347Z" },
{ url = "https://files.pythonhosted.org/packages/3b/ab/b3226f0bd7cdcf710fbede2b3548584366da3b19b5021e74f5bde2a8fa3f/pytest-9.0.2-py3-none-any.whl", hash = "sha256:711ffd45bf766d5264d487b917733b453d917afd2b0ad65223959f59089f875b", size = 374801, upload-time = "2025-12-06T21:30:49.154Z" },
]
[[package]]
@@ -4261,11 +4261,11 @@ wheels = [
[[package]]
name = "urllib3"
version = "2.7.0"
version = "2.6.3"
source = { registry = "https://pypi.org/simple" }
sdist = { url = "https://files.pythonhosted.org/packages/53/0c/06f8b233b8fd13b9e5ee11424ef85419ba0d8ba0b3138bf360be2ff56953/urllib3-2.7.0.tar.gz", hash = "sha256:231e0ec3b63ceb14667c67be60f2f2c40a518cb38b03af60abc813da26505f4c", size = 433602, upload-time = "2026-05-07T16:13:18.596Z" }
sdist = { url = "https://files.pythonhosted.org/packages/c7/24/5f1b3bdffd70275f6661c76461e25f024d5a38a46f04aaca912426a2b1d3/urllib3-2.6.3.tar.gz", hash = "sha256:1b62b6884944a57dbe321509ab94fd4d3b307075e0c2eae991ac71ee15ad38ed", size = 435556, upload-time = "2026-01-07T16:24:43.925Z" }
wheels = [
{ url = "https://files.pythonhosted.org/packages/7f/3e/5db95bcf282c52709639744ca2a8b149baccf648e39c8cc87553df9eae0c/urllib3-2.7.0-py3-none-any.whl", hash = "sha256:9fb4c81ebbb1ce9531cce37674bbc6f1360472bc18ca9a553ede278ef7276897", size = 131087, upload-time = "2026-05-07T16:13:17.151Z" },
{ url = "https://files.pythonhosted.org/packages/39/08/aaaad47bc4e9dc8c725e68f9d04865dbcb2052843ff09c97b08904852d84/urllib3-2.6.3-py3-none-any.whl", hash = "sha256:bf272323e553dfb2e87d9bfd225ca7b0f467b919d7bbd355436d3fd37cb0acd4", size = 131584, upload-time = "2026-01-07T16:24:42.685Z" },
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[[package]]
+2 -2
View File
@@ -49,11 +49,11 @@ checksum = "9330f8b2ff13f34540b44e946ef35111825727b38d33286ef986142615121801"
[[package]]
name = "ferro_ta_core"
version = "1.2.0"
version = "1.1.3"
[[package]]
name = "ferro_ta_wasm"
version = "1.2.0"
version = "1.1.3"
dependencies = [
"ferro_ta_core",
"js-sys",
+1 -1
View File
@@ -1,6 +1,6 @@
[package]
name = "ferro_ta_wasm"
version = "1.2.0"
version = "1.1.3"
edition = "2021"
description = "WebAssembly bindings for ferro-ta technical analysis indicators"
license = "MIT"
+1 -1
View File
@@ -1,6 +1,6 @@
{
"name": "ferro-ta-wasm",
"version": "1.2.0",
"version": "1.1.3",
"description": "WebAssembly bindings for ferro-ta technical analysis indicators",
"main": "node/ferro_ta_wasm.js",
"module": "web/ferro_ta_wasm.js",
-12
View File
@@ -1653,18 +1653,6 @@ pub fn correl(real0: &Float64Array, real1: &Float64Array, timeperiod: usize) ->
from_vec(ferro_ta_core::statistic::correl(&to_vec(real0), &to_vec(real1), timeperiod))
}
/// Dynamic Time Warping distance between two series.
///
/// Returns the accumulated Euclidean cost along the optimal warping path.
/// Pass `window` as `0` for unconstrained (no Sakoe-Chiba band).
#[wasm_bindgen]
pub fn dtw_distance(series1: &Float64Array, series2: &Float64Array, window: usize) -> f64 {
let s1 = to_vec(series1);
let s2 = to_vec(series2);
let w = if window == 0 { None } else { Some(window) };
ferro_ta_core::statistic::dtw_distance(&s1, &s2, w)
}
// ===========================================================================
// Streaming / Stateful API
// ===========================================================================