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>
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85 lines
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ferro-ta Documentation
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======================
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.. toctree::
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:maxdepth: 2
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:caption: Contents
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quickstart
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migration_talib
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pandas_api
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error_handling
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api/index
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streaming
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extended
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batch
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derivatives
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benchmarks
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plugins
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changelog
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contributing
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Overview
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--------
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**ferro-ta** is a fast Technical Analysis library — a drop-in alternative to TA-Lib
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powered by Rust and PyO3.
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Features:
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- 160+ indicators covering all TA-Lib categories
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- 10 extended indicators not in TA-Lib (VWAP, Supertrend, Ichimoku Cloud, …)
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- Batch execution API — run indicators on 2-D arrays of multiple series
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- Pure Rust core library (``crates/ferro_ta_core``) — no PyO3 / numpy dependency
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- Streaming / bar-by-bar API for live trading
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- Transparent pandas.Series support
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- Math operators and transforms
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- Type stubs (.pyi) for IDE auto-completion
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- WASM binding for browser/Node.js use
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- Options/IV helpers and derivatives analytics — see :doc:`derivatives`
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- Agentic workflow and LangChain tool wrappers — see `Agentic guide <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/agentic.md>`_
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- MCP server for Cursor/Claude integration — see `MCP guide <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/mcp.md>`_
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- Sphinx documentation
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Installation
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~~~~~~~~~~~~
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.. code-block:: bash
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pip install ferro-ta
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Quick Start
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~~~~~~~~~~~
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.. code-block:: python
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import numpy as np
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from ferro_ta import SMA, EMA, RSI, MACD, BBANDS
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close = np.array([10.0, 11.0, 12.0, 13.0, 14.0, 13.5, 12.5])
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print(SMA(close, timeperiod=3))
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# Batch: run SMA on 5 symbols at once
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from ferro_ta.batch import batch_sma
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data = np.random.rand(100, 5)
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result = batch_sma(data, timeperiod=10)
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Further Reading
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~~~~~~~~~~~~~~~
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- `Architecture <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/architecture.md>`_ — Rust/Python layout, two-crate design, binding flow.
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- `Performance Guide <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/performance.md>`_ — when to use raw numpy vs pandas/polars, batch notes, tips.
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- `API Stability <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/stability.md>`_ — stability tiers, versioning, and deprecation policy.
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- `Rust-First Policy <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/rust_first.md>`_ — all compute logic belongs in Rust; how to add new indicators.
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- `Out-of-Core Execution <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/out-of-core.md>`_ — chunked processing and Dask integration.
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- :doc:`derivatives` — IV helpers, options pricing/Greeks/IV, futures analytics, strategy schemas, and payoff helpers.
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- `Agentic Workflow <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/agentic.md>`_ — tools.py, workflow.py, LangChain integration.
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- `MCP Server <https://github.com/pratikbhadane24/ferro-ta/blob/main/docs/mcp.md>`_ — run ferro-ta as an MCP server in Cursor/Claude.
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Indices and tables
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==================
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* :ref:`genindex`
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* :ref:`modindex`
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* :ref:`search`
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