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>
ferro_ta_core
ferro_ta_core is the pure Rust indicator engine behind ferro-ta.
It provides allocation-friendly indicator functions over &[f64] slices without any
PyO3, NumPy, or Python runtime dependency, which makes it a good fit for:
- Rust-native technical analysis workloads
- custom services and backtesting engines
- future non-Python bindings such as WASM and other FFI layers
Installation
[dependencies]
ferro_ta_core = "1.0.2"
Design
- Pure functions over Rust slices
- No Python or NumPy dependency
- Shared core for the Python package and WASM bindings
- Output shape matches TA-Lib-style full-length series with
NaNwarm-up values where applicable
Modules
overlap- moving averages, MACD, Bollinger Bandsmomentum- RSI, MOMvolatility- ATR, TRANGEvolume- OBVstatistic- STDDEVmath- rolling SUM/MAX/MIN helpers
Example
use ferro_ta_core::overlap;
fn main() {
let close = vec![1.0, 2.0, 3.0, 4.0, 5.0];
let sma = overlap::sma(&close, 3);
assert!(sma[0].is_nan());
assert!(sma[1].is_nan());
assert!((sma[2] - 2.0).abs() < 1e-10);
}
Relationship To ferro-ta
The published Python package:
- crate:
ferro_ta - PyPI package:
ferro-ta
wraps this crate with PyO3 bindings and adds:
- NumPy conversion
- pandas/polars wrappers
- streaming classes
- batch helpers
- higher-level Python tooling
If you only need Rust indicator functions, use ferro_ta_core directly.
Development
From the repository root:
cargo build -p ferro_ta_core
cargo test -p ferro_ta_core
cargo bench -p ferro_ta_core --no-run
License
MIT