88 lines
3.7 KiB
Markdown
88 lines
3.7 KiB
Markdown
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# ferro_ta_core
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`ferro_ta_core` is the pure Rust indicator engine behind [`ferro-ta`](https://github.com/pratikbhadane24/ferro-ta).
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It provides allocation-friendly indicator functions over `&[f64]` slices without any
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PyO3, NumPy, or Python runtime dependency, which makes it a good fit for:
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- Rust-native technical analysis workloads
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- custom services and backtesting engines
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- non-Python bindings (WASM, FFI)
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## Installation
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```toml
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[dependencies]
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ferro_ta_core = "1.2.0"
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```
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## Design
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- Pure functions over Rust slices
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- No Python or NumPy dependency
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- Shared core for the Python package and WASM bindings
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- Output shape matches TA-Lib-style full-length series with `NaN` warm-up values where applicable
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## Modules
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| Module | Functions | Highlights |
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|--------|-----------|------------|
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| `overlap` | 20 | SMA, EMA, WMA, DEMA, TEMA, TRIMA, KAMA, T3, BBANDS, MACD, MACDFIX, MACDEXT, SAR, SAREXT, MAMA, MIDPOINT, MIDPRICE, MA, MAVP, Hull MA |
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| `momentum` | 26 | RSI, MOM, STOCH, STOCHF, ADX, ADXR, DX, +DI, -DI, +DM, -DM, ROC, WILLR, AROON, CCI, BOP, STOCHRSI, APO, PPO, CMO, TRIX, ULTOSC |
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| `volatility` | 3 | ATR, NATR, TRANGE |
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| `volume` | 4 | OBV, MFI, AD, ADOSC |
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| `pattern` | 61 | All TA-Lib candlestick patterns (CDL2CROWS through CDLXSIDEGAP3METHODS) |
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| `statistic` | 9 | STDDEV, VAR, LINEARREG, LINEARREG_SLOPE/INTERCEPT/ANGLE, TSF, BETA, CORREL |
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| `math` | 24 | Rolling SUM/MAX/MIN/MAXINDEX/MININDEX, element-wise ADD/SUB/MULT/DIV, 15 transforms (trig, exp, log, sqrt, ceil, floor) |
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| `price_transform` | 4 | AVGPRICE, MEDPRICE, TYPPRICE, WCLPRICE |
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| `cycle` | 7 | Hilbert Transform: TRENDLINE, DCPERIOD, DCPHASE, PHASOR, SINE, TRENDMODE |
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| `extended` | 10 | VWAP, VWMA, Supertrend, Donchian, Keltner, Ichimoku, Pivot Points, Hull MA, Chandelier Exit, Choppiness Index |
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| `streaming` | 9 | Stateful bar-by-bar: SMA, EMA, RSI, ATR, BBands, MACD, Stoch, VWAP, Supertrend |
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| `batch` | 8 | Vectorized multi-column: batch_sma/ema/rsi/atr/stoch/adx, run_close/hlc_indicators |
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| `backtest` | 19 | Signal generators, close-only and OHLCV engines, walk-forward, Monte Carlo, performance metrics |
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| `options` | 18 | Black-Scholes/Black-76 pricing, Greeks, implied volatility, IV rank/percentile/zscore, smile metrics, chain analytics |
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| `futures` | 14 | Basis, annualized basis, carry, roll (weighted/back-adjusted/ratio), curve analysis, synthetic forward/spot |
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| `portfolio` | 10 | Beta, correlation matrix, drawdown, relative strength, spread, ratio, z-score, portfolio volatility |
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| `signals` | 4 | Rank values, compose rank, top/bottom N indices |
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| `alerts` | 3 | Threshold crossings, cross detection, alert bar collection |
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| `regime` | 4 | ADX regime, combined regime, CUSUM breaks, variance breaks |
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| `aggregation` | 3 | Tick bars, volume bars, time bars from trade data |
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| `resampling` | 2 | Volume bars, OHLCV aggregation by label |
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| `chunked` | 4 | Trim overlap, stitch chunks, make chunk ranges, forward fill NaN |
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| `crypto` | 3 | Funding cumulative PnL, continuous bar labels, session boundaries |
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## Example
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```rust
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use ferro_ta_core::overlap;
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fn main() {
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let close = vec![1.0, 2.0, 3.0, 4.0, 5.0];
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let sma = overlap::sma(&close, 3);
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assert!(sma[0].is_nan());
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assert!(sma[1].is_nan());
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assert!((sma[2] - 2.0).abs() < 1e-10);
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}
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```
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## Relationship To `ferro-ta`
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The published Python package (`ferro-ta` on PyPI) wraps this crate with PyO3 bindings and adds NumPy conversion, pandas/polars wrappers, and higher-level Python tooling. The WASM package (`ferro-ta-wasm` on npm) also wraps this crate with full feature parity.
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If you only need Rust indicator functions, use `ferro_ta_core` directly.
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## Development
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From the repository root:
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```bash
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cargo build -p ferro_ta_core
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cargo test -p ferro_ta_core
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cargo bench -p ferro_ta_core --no-run
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```
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## License
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MIT
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