Pratik Bhadane
602d675749
Implements all phases of the derivatives expansion plan: Rust core (crates/ferro_ta_core/src/options/, src/futures/): - BSM and Black-76 pricing (scalar + vectorized batch) - Greeks: delta, gamma, vega, theta, rho - Implied volatility solver (Newton + bisection fallback) - Smile/skew metrics: ATM IV, 25-delta RR/BF, skew slope, convexity - Chain helpers: moneyness labels, strike selection by offset or delta - Synthetic forwards, basis, annualized basis, implied carry, carry spread - Continuous contract stitching: weighted, back-adjusted, ratio-adjusted - Curve analytics: calendar spreads, slope, contango/backwardation summary PyO3 bindings (src/options/, src/futures/): - All Rust functions registered and exposed via _ferro_ta extension Python API (python/ferro_ta/analysis/): - options.py: pricing, greeks, IV, smile, chain, legacy iv_rank/percentile/zscore - futures.py: basis, carry, curve, roll, synthetic, continuous contracts - options_strategy.py: typed strategy schemas (expiry/strike selectors, leg presets, risk controls, simulation limits) - derivatives_payoff.py: multi-leg payoff aggregation and Greeks aggregation Bug fix: wrap _to_f64 calls in iv_rank/iv_percentile/iv_zscore to raise FerroTAInputError (not plain ValueError) for 2D array input. Docs: derivatives.rst, derivatives-analytics.md, options-volatility.md, quickstart.rst, index.rst, api/analysis.rst all updated. Tests: 2053 pass, 12 skipped. All CI checks pass locally. Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
120 lines
3.1 KiB
ReStructuredText
120 lines
3.1 KiB
ReStructuredText
Quick Start
|
|
===========
|
|
|
|
Installation
|
|
------------
|
|
|
|
.. code-block:: bash
|
|
|
|
pip install ferro-ta
|
|
|
|
# For Pandas support:
|
|
pip install ferro-ta pandas
|
|
|
|
# For benchmarks:
|
|
pip install ferro-ta pytest-benchmark
|
|
|
|
Basic Usage
|
|
-----------
|
|
|
|
All functions accept NumPy arrays and return NumPy arrays:
|
|
|
|
.. code-block:: python
|
|
|
|
import numpy as np
|
|
from ferro_ta import SMA, EMA, RSI, MACD, BBANDS, ATR
|
|
|
|
close = np.array([44.34, 44.09, 44.15, 43.61, 44.33, 44.83, 45.10, 45.15, 43.61, 44.33])
|
|
high = close + 0.5
|
|
low = close - 0.5
|
|
|
|
# Single output
|
|
sma = SMA(close, timeperiod=5)
|
|
ema = EMA(close, timeperiod=5)
|
|
rsi = RSI(close, timeperiod=5)
|
|
atr = ATR(high, low, close, timeperiod=5)
|
|
|
|
# Multi output
|
|
upper, middle, lower = BBANDS(close, timeperiod=5)
|
|
macd_line, signal, histogram = MACD(close)
|
|
|
|
Pandas Integration
|
|
------------------
|
|
|
|
All functions transparently accept ``pandas.Series`` and preserve the index:
|
|
|
|
.. code-block:: python
|
|
|
|
import pandas as pd
|
|
from ferro_ta import SMA, BBANDS
|
|
|
|
idx = pd.date_range("2024-01-01", periods=10, freq="D")
|
|
close = pd.Series([44.34, 44.09, 44.15, 43.61, 44.33,
|
|
44.83, 45.10, 45.15, 43.61, 44.33], index=idx)
|
|
|
|
sma = SMA(close, timeperiod=3) # → pd.Series, same index
|
|
upper, mid, lower = BBANDS(close, timeperiod=3) # → tuple of pd.Series
|
|
|
|
Streaming / Live Trading
|
|
------------------------
|
|
|
|
Use the :mod:`ferro_ta.streaming` module for bar-by-bar processing:
|
|
|
|
.. code-block:: python
|
|
|
|
from ferro_ta.streaming import StreamingSMA, StreamingRSI, StreamingATR
|
|
|
|
sma = StreamingSMA(period=5)
|
|
rsi = StreamingRSI(period=14)
|
|
atr = StreamingATR(period=14)
|
|
|
|
for bar in live_feed:
|
|
current_sma = sma.update(bar.close)
|
|
current_rsi = rsi.update(bar.close)
|
|
current_atr = atr.update(bar.high, bar.low, bar.close)
|
|
|
|
Extended Indicators
|
|
-------------------
|
|
|
|
.. code-block:: python
|
|
|
|
from ferro_ta import VWAP, SUPERTREND, ICHIMOKU, DONCHIAN, PIVOT_POINTS
|
|
import numpy as np
|
|
|
|
high = np.array([...])
|
|
low = np.array([...])
|
|
close = np.array([...])
|
|
vol = np.array([...])
|
|
|
|
# VWAP
|
|
vwap = VWAP(high, low, close, vol)
|
|
rolling_vwap = VWAP(high, low, close, vol, timeperiod=14)
|
|
|
|
# Supertrend
|
|
st_line, direction = SUPERTREND(high, low, close, timeperiod=7, multiplier=3.0)
|
|
|
|
# Ichimoku Cloud
|
|
tenkan, kijun, senkou_a, senkou_b, chikou = ICHIMOKU(high, low, close)
|
|
|
|
# Donchian Channels
|
|
dc_upper, dc_mid, dc_lower = DONCHIAN(high, low, timeperiod=20)
|
|
|
|
# Pivot Points
|
|
pivot, r1, s1, r2, s2 = PIVOT_POINTS(high, low, close, method="classic")
|
|
|
|
Derivatives Analytics
|
|
---------------------
|
|
|
|
.. code-block:: python
|
|
|
|
from ferro_ta.analysis.options import greeks, option_price
|
|
from ferro_ta.analysis.futures import basis
|
|
|
|
call_price = option_price(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
|
|
call_greeks = greeks(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
|
|
front_basis = basis(100.0, 103.0)
|
|
|
|
See :doc:`derivatives` for the full analytics surface, including implied
|
|
volatility inversion, smile metrics, strike selection, futures curve tools,
|
|
strategy schemas, and multi-leg payoff helpers.
|