53566b9d82
Move several hot Python analysis paths to Rust-backed helpers. This adds Rust implementations for backtest strategy signal generation and the core portfolio loop, options and futures payoff aggregation, Greeks aggregation, ratio calculation, trade extraction, chunked close-only indicator runs, and forward-fill helpers. Wire the Python analysis and data modules to prefer these paths, and add coverage for the new batch fast path. Expand the WASM package to export WMA, ADX, and MFI from ferro_ta_core, refresh the Node examples, benchmarks, and README, and add a Node-vs-Python conformance test so the browser and node surface stays aligned with the main Python package. Introduce a generated cross-surface API manifest in docs/, along with scripts to rebuild and verify it from source exports. Enforce manifest freshness in the Python and WASM CI workflows so release candidates catch surface drift before push.
5179 lines
126 KiB
JSON
5179 lines
126 KiB
JSON
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"doc": "",
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{
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"name": "CDLSHOOTINGSTAR",
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"category": "pattern",
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"module": "ferro_ta.indicators.pattern",
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"doc": "",
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{
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"name": "CDLSHORTLINE",
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"doc": "",
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{
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"name": "CDLSPINNINGTOP",
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"doc": "",
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{
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"name": "CDLSTALLEDPATTERN",
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"doc": "",
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{
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"name": "CDLSTICKSANDWICH",
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"doc": "",
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{
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"name": "CDLTAKURI",
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"doc": "",
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{
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"name": "CDLTASUKIGAP",
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"doc": "",
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{
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"name": "CDLTHRUSTING",
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"doc": "",
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{
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"name": "CDLTRISTAR",
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"doc": "",
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{
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"name": "CDLUNIQUE3RIVER",
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"doc": "",
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{
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"name": "CDLUPSIDEGAP2CROWS",
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"doc": "",
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{
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"name": "CDLXSIDEGAP3METHODS",
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{
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"name": "beta",
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"doc": "",
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{
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"name": "correlation_matrix",
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{
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"name": "drawdown",
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{
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"name": "portfolio_volatility",
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"doc": "",
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{
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"name": "AVGPRICE",
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"doc": "",
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{
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"name": "MEDPRICE",
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{
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"name": "TYPPRICE",
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{
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"name": "WCLPRICE",
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"name": "detect_breaks_cusum",
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{
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"name": "regime",
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{
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"name": "regime_adx",
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{
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"name": "regime_combined",
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{
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"name": "rolling_variance_break",
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"name": "structural_breaks",
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"name": "multi_timeframe",
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{
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"name": "resample",
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{
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"name": "volume_bars",
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{
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"name": "compose",
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{
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{
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{
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{
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"name": "CDLDOJI",
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{
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"name": "CDLDOJISTAR",
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{
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"name": "CDLDRAGONFLYDOJI",
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{
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"name": "CDLENGULFING",
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{
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"name": "CDLEVENINGDOJISTAR",
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"module": "ferro_ta",
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{
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"name": "CDLEVENINGSTAR",
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"module": "ferro_ta",
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"doc": "",
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{
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"name": "CDLGAPSIDESIDEWHITE",
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"module": "ferro_ta",
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"doc": "",
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{
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"name": "CDLGRAVESTONEDOJI",
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"module": "ferro_ta",
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{
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{
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"name": "CDLHANGINGMAN",
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{
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"name": "CDLHARAMI",
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{
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"name": "CDLHARAMICROSS",
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{
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"name": "CDLHIGHWAVE",
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{
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"name": "CDLHIKKAKE",
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{
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{
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{
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{
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"module": "ferro_ta",
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"doc": "",
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{
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"name": "CDLINVERTEDHAMMER",
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"module": "ferro_ta",
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"doc": "",
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{
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"name": "CDLKICKING",
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"module": "ferro_ta",
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"doc": "",
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},
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{
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"name": "CDLKICKINGBYLENGTH",
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"module": "ferro_ta",
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"doc": "",
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{
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"name": "CDLLADDERBOTTOM",
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"module": "ferro_ta",
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{
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"name": "CDLLONGLEGGEDDOJI",
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"module": "ferro_ta",
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"doc": "",
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{
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"name": "CDLLONGLINE",
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"doc": "",
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{
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"name": "CDLMARUBOZU",
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{
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"name": "CDLMATCHINGLOW",
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"doc": "",
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{
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"name": "CDLMATHOLD",
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"doc": "",
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{
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"name": "CDLMORNINGDOJISTAR",
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"module": "ferro_ta",
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{
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"name": "CDLMORNINGSTAR",
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{
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{
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{
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{
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{
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"name": "CDLSEPARATINGLINES",
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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{
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"name": "LOG10",
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{
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"name": "MA",
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{
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{
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{
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"name": "MACDFIX",
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{
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"name": "MAMA",
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{
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"name": "MAVP",
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{
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"name": "MAX",
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"module": "ferro_ta",
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"doc": "",
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"params": []
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{
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"name": "MAXINDEX",
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"category": "top_level",
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"module": "ferro_ta",
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"params": []
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{
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"name": "MEDPRICE",
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"module": "ferro_ta",
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"doc": "",
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"params": []
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},
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{
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"name": "MFI",
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"module": "ferro_ta",
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"doc": "",
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"params": []
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{
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"name": "MIDPOINT",
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"module": "ferro_ta",
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"doc": "",
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{
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"name": "MIDPRICE",
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|
"function": "select_strike_by_delta",
|
|
"file": "options/chain.rs"
|
|
},
|
|
{
|
|
"module": "options.chain",
|
|
"function": "select_strike_by_offset",
|
|
"file": "options/chain.rs"
|
|
},
|
|
{
|
|
"module": "options.greeks",
|
|
"function": "black_76_greeks",
|
|
"file": "options/greeks.rs"
|
|
},
|
|
{
|
|
"module": "options.greeks",
|
|
"function": "black_scholes_greeks",
|
|
"file": "options/greeks.rs"
|
|
},
|
|
{
|
|
"module": "options.greeks",
|
|
"function": "model_greeks",
|
|
"file": "options/greeks.rs"
|
|
},
|
|
{
|
|
"module": "options.greeks",
|
|
"function": "model_theta",
|
|
"file": "options/greeks.rs"
|
|
},
|
|
{
|
|
"module": "options.iv",
|
|
"function": "implied_volatility",
|
|
"file": "options/iv.rs"
|
|
},
|
|
{
|
|
"module": "options.iv",
|
|
"function": "iv_percentile",
|
|
"file": "options/iv.rs"
|
|
},
|
|
{
|
|
"module": "options.iv",
|
|
"function": "iv_rank",
|
|
"file": "options/iv.rs"
|
|
},
|
|
{
|
|
"module": "options.iv",
|
|
"function": "iv_zscore",
|
|
"file": "options/iv.rs"
|
|
},
|
|
{
|
|
"module": "options.mod",
|
|
"function": "sign",
|
|
"file": "options/mod.rs"
|
|
},
|
|
{
|
|
"module": "options.normal",
|
|
"function": "cdf",
|
|
"file": "options/normal.rs"
|
|
},
|
|
{
|
|
"module": "options.normal",
|
|
"function": "pdf",
|
|
"file": "options/normal.rs"
|
|
},
|
|
{
|
|
"module": "options.pricing",
|
|
"function": "black_76_price",
|
|
"file": "options/pricing.rs"
|
|
},
|
|
{
|
|
"module": "options.pricing",
|
|
"function": "black_scholes_price",
|
|
"file": "options/pricing.rs"
|
|
},
|
|
{
|
|
"module": "options.pricing",
|
|
"function": "model_price",
|
|
"file": "options/pricing.rs"
|
|
},
|
|
{
|
|
"module": "options.pricing",
|
|
"function": "price_lower_bound",
|
|
"file": "options/pricing.rs"
|
|
},
|
|
{
|
|
"module": "options.pricing",
|
|
"function": "price_upper_bound",
|
|
"file": "options/pricing.rs"
|
|
},
|
|
{
|
|
"module": "options.surface",
|
|
"function": "atm_iv",
|
|
"file": "options/surface.rs"
|
|
},
|
|
{
|
|
"module": "options.surface",
|
|
"function": "linear_interpolate",
|
|
"file": "options/surface.rs"
|
|
},
|
|
{
|
|
"module": "options.surface",
|
|
"function": "smile_metrics",
|
|
"file": "options/surface.rs"
|
|
},
|
|
{
|
|
"module": "options.surface",
|
|
"function": "term_structure_slope",
|
|
"file": "options/surface.rs"
|
|
},
|
|
{
|
|
"module": "overlap",
|
|
"function": "bbands",
|
|
"file": "overlap.rs"
|
|
},
|
|
{
|
|
"module": "overlap",
|
|
"function": "ema",
|
|
"file": "overlap.rs"
|
|
},
|
|
{
|
|
"module": "overlap",
|
|
"function": "macd",
|
|
"file": "overlap.rs"
|
|
},
|
|
{
|
|
"module": "overlap",
|
|
"function": "sma",
|
|
"file": "overlap.rs"
|
|
},
|
|
{
|
|
"module": "overlap",
|
|
"function": "sma_into",
|
|
"file": "overlap.rs"
|
|
},
|
|
{
|
|
"module": "overlap",
|
|
"function": "wma",
|
|
"file": "overlap.rs"
|
|
},
|
|
{
|
|
"module": "statistic",
|
|
"function": "stddev",
|
|
"file": "statistic.rs"
|
|
},
|
|
{
|
|
"module": "volatility",
|
|
"function": "atr",
|
|
"file": "volatility.rs"
|
|
},
|
|
{
|
|
"module": "volatility",
|
|
"function": "trange",
|
|
"file": "volatility.rs"
|
|
},
|
|
{
|
|
"module": "volume",
|
|
"function": "mfi",
|
|
"file": "volume.rs"
|
|
},
|
|
{
|
|
"module": "volume",
|
|
"function": "obv",
|
|
"file": "volume.rs"
|
|
}
|
|
]
|
|
},
|
|
"wasm_node": {
|
|
"export_count": 12,
|
|
"exports": [
|
|
"adx",
|
|
"atr",
|
|
"bbands",
|
|
"ema",
|
|
"macd",
|
|
"mfi",
|
|
"mom",
|
|
"obv",
|
|
"rsi",
|
|
"sma",
|
|
"stochf",
|
|
"wma"
|
|
]
|
|
}
|
|
},
|
|
"parity_summary": {
|
|
"python_indicator_count": 207,
|
|
"wasm_export_count": 12,
|
|
"common_python_wasm_count": 12,
|
|
"common_python_wasm": [
|
|
"adx",
|
|
"atr",
|
|
"bbands",
|
|
"ema",
|
|
"macd",
|
|
"mfi",
|
|
"mom",
|
|
"obv",
|
|
"rsi",
|
|
"sma",
|
|
"stochf",
|
|
"wma"
|
|
],
|
|
"python_only_vs_wasm": [
|
|
"acos",
|
|
"ad",
|
|
"add",
|
|
"adosc",
|
|
"adxr",
|
|
"aggregate_ticks",
|
|
"alertevent",
|
|
"alertmanager",
|
|
"apo",
|
|
"aroon",
|
|
"aroonosc",
|
|
"asin",
|
|
"atan",
|
|
"avgprice",
|
|
"batch_apply",
|
|
"batch_ema",
|
|
"batch_rsi",
|
|
"batch_sma",
|
|
"beta",
|
|
"bop",
|
|
"cci",
|
|
"cdl2crows",
|
|
"cdl3blackcrows",
|
|
"cdl3inside",
|
|
"cdl3linestrike",
|
|
"cdl3outside",
|
|
"cdl3starsinsouth",
|
|
"cdl3whitesoldiers",
|
|
"cdlabandonedbaby",
|
|
"cdladvanceblock",
|
|
"cdlbelthold",
|
|
"cdlbreakaway",
|
|
"cdlclosingmarubozu",
|
|
"cdlconcealbabyswall",
|
|
"cdlcounterattack",
|
|
"cdldarkcloudcover",
|
|
"cdldoji",
|
|
"cdldojistar",
|
|
"cdldragonflydoji",
|
|
"cdlengulfing",
|
|
"cdleveningdojistar",
|
|
"cdleveningstar",
|
|
"cdlgapsidesidewhite",
|
|
"cdlgravestonedoji",
|
|
"cdlhammer",
|
|
"cdlhangingman",
|
|
"cdlharami",
|
|
"cdlharamicross",
|
|
"cdlhighwave",
|
|
"cdlhikkake",
|
|
"cdlhikkakemod",
|
|
"cdlhomingpigeon",
|
|
"cdlidentical3crows",
|
|
"cdlinneck",
|
|
"cdlinvertedhammer",
|
|
"cdlkicking",
|
|
"cdlkickingbylength",
|
|
"cdlladderbottom",
|
|
"cdllongleggeddoji",
|
|
"cdllongline",
|
|
"cdlmarubozu",
|
|
"cdlmatchinglow",
|
|
"cdlmathold",
|
|
"cdlmorningdojistar",
|
|
"cdlmorningstar",
|
|
"cdlonneck",
|
|
"cdlpiercing",
|
|
"cdlrickshawman",
|
|
"cdlrisefall3methods",
|
|
"cdlseparatinglines",
|
|
"cdlshootingstar",
|
|
"cdlshortline",
|
|
"cdlspinningtop",
|
|
"cdlstalledpattern",
|
|
"cdlsticksandwich",
|
|
"cdltakuri",
|
|
"cdltasukigap",
|
|
"cdlthrusting",
|
|
"cdltristar",
|
|
"cdlunique3river",
|
|
"cdlupsidegap2crows",
|
|
"cdlxsidegap3methods",
|
|
"ceil",
|
|
"chandelier_exit",
|
|
"check_cross",
|
|
"check_threshold",
|
|
"choppiness_index",
|
|
"cmo",
|
|
"collect_alert_bars",
|
|
"compose",
|
|
"compute_many",
|
|
"continuous_bar_labels",
|
|
"correl",
|
|
"correlation_matrix",
|
|
"cos",
|
|
"cosh",
|
|
"dema",
|
|
"detect_breaks_cusum",
|
|
"div",
|
|
"donchian",
|
|
"drawdown",
|
|
"dx",
|
|
"exp",
|
|
"feature_matrix",
|
|
"floor",
|
|
"funding_pnl",
|
|
"ht_dcperiod",
|
|
"ht_dcphase",
|
|
"ht_phasor",
|
|
"ht_sine",
|
|
"ht_trendline",
|
|
"ht_trendmode",
|
|
"hull_ma",
|
|
"ichimoku",
|
|
"kama",
|
|
"keltner_channels",
|
|
"linearreg",
|
|
"linearreg_angle",
|
|
"linearreg_intercept",
|
|
"linearreg_slope",
|
|
"ln",
|
|
"log10",
|
|
"ma",
|
|
"macdext",
|
|
"macdfix",
|
|
"mama",
|
|
"mavp",
|
|
"max",
|
|
"maxindex",
|
|
"medprice",
|
|
"midpoint",
|
|
"midprice",
|
|
"min",
|
|
"minindex",
|
|
"minus_di",
|
|
"minus_dm",
|
|
"mult",
|
|
"multi_timeframe",
|
|
"natr",
|
|
"pivot_points",
|
|
"plus_di",
|
|
"plus_dm",
|
|
"portfolio_volatility",
|
|
"ppo",
|
|
"rank_signals",
|
|
"regime",
|
|
"regime_adx",
|
|
"regime_combined",
|
|
"resample",
|
|
"resample_continuous",
|
|
"roc",
|
|
"rocp",
|
|
"rocr",
|
|
"rocr100",
|
|
"rolling_variance_break",
|
|
"sar",
|
|
"sarext",
|
|
"screen",
|
|
"session_boundaries",
|
|
"sin",
|
|
"sinh",
|
|
"sqrt",
|
|
"stddev",
|
|
"stoch",
|
|
"stochrsi",
|
|
"streamingatr",
|
|
"streamingbbands",
|
|
"streamingema",
|
|
"streamingmacd",
|
|
"streamingrsi",
|
|
"streamingsma",
|
|
"streamingstoch",
|
|
"streamingsupertrend",
|
|
"streamingvwap",
|
|
"structural_breaks",
|
|
"sub",
|
|
"sum",
|
|
"supertrend",
|
|
"t3",
|
|
"tan",
|
|
"tanh",
|
|
"tema",
|
|
"tickaggregator",
|
|
"trange",
|
|
"trima",
|
|
"trix",
|
|
"tsf",
|
|
"typprice",
|
|
"ultosc",
|
|
"var",
|
|
"volume_bars",
|
|
"vwap",
|
|
"vwma",
|
|
"wclprice",
|
|
"willr"
|
|
],
|
|
"wasm_only_vs_python": []
|
|
}
|
|
}
|