Tick signal generation (src/signals/tick_signals.rs):
- tick_momentum_entry: O(N) single-pass entry signal array from spread/BSI/return
gates with cooldown enforcement; replaces the Python O(N×120) entry-check loop
- tick_momentum_exit: time-based (EOD) exit bool array from tick timestamps
Tick feature extraction (src/indicators/tick_features.rs):
- tick_spread_pct: (ask-bid)/mid * 100, element-wise
- buy_sell_imbalance_delta: per-tick delta BSI from Zerodha cumulative session
totals — fixes the ~0.95 all-day artefact from raw cumulative sums
- return_window: lookback return over configurable time window, binary search
O(N log N); returns NaN where history insufficient (no silent pass-through)
- realized_vol_rolling: rolling stddev of log-returns as realized vol proxy
- oi_position_pct: OI position within day's high/low range [0, 100]
- tick_velocity: rolling ticks/min over configurable window
Python bindings: compute_tick_entry_signals, compute_tick_exit_signals,
tick_spread_pct, buy_sell_imbalance_delta, return_window, realized_vol_rolling,
oi_position_pct, tick_velocity — all with numpy array I/O and default args.
15 new Rust unit tests (7 signal, 8 feature); 153 total, 0 failed.
Co-Authored-By: porcelaincode <contact@alphabench.in>
porcelaincode
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