feat: TA-Lib candlestick patterns — separating/kicking/ladder/mat-hold (part 6 of 9) (#138)
This commit is contained in:
kingchenc
@@ -260,6 +260,11 @@ const candleScalar = {
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OnNeck: { make: () => new wickra.OnNeck(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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InNeck: { make: () => new wickra.InNeck(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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Thrusting: { make: () => new wickra.Thrusting(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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SeparatingLines: { make: () => new wickra.SeparatingLines(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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Kicking: { make: () => new wickra.Kicking(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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KickingByLength: { make: () => new wickra.KickingByLength(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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LadderBottom: { make: () => new wickra.LadderBottom(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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MatHold: { make: () => new wickra.MatHold(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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};
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for (const [name, d] of Object.entries(candleScalar)) {
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Vendored
+45
@@ -2435,6 +2435,51 @@ export declare class Thrusting {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type SeparatingLinesNode = SeparatingLines
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export declare class SeparatingLines {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type KickingNode = Kicking
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export declare class Kicking {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type KickingByLengthNode = KickingByLength
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export declare class KickingByLength {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type LadderBottomNode = LadderBottom
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export declare class LadderBottom {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type MatHoldNode = MatHold
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export declare class MatHold {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type OrderBookImbalanceTop1Node = OrderBookImbalanceTop1
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export declare class OrderBookImbalanceTop1 {
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constructor()
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@@ -310,7 +310,7 @@ if (!nativeBinding) {
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throw new Error(`Failed to load native binding`)
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}
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, McGinleyDynamic, FRAMA, SuperSmoother, FisherTransform, Decycler, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, RVIVolatility, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, Inertia, ConnorsRSI, LaguerreRSI, SMI, KST, PGO, RVI, AwesomeOscillatorHistogram, STC, ElderImpulse, ZeroLagMACD, CFO, APO, KAMA, EVWMA, Alligator, JMA, VIDYA, ALMA, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, NVI, PVI, VolumeOscillator, KVO, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, YangZhangVolatility, RogersSatchellVolatility, GarmanKlassVolatility, ParkinsonVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, WaveTrend, RWI, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, InverseFisherTransform, DecyclerOscillator, RoofingFilter, EmpiricalModeDecomposition, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, TwoCrows, UpsideGapTwoCrows, IdenticalThreeCrows, ThreeLineStrike, ThreeStarsInSouth, AbandonedBaby, AdvanceBlock, BeltHold, Breakaway, Counterattack, DojiStar, DragonflyDoji, GravestoneDoji, LongLeggedDoji, RickshawMan, EveningDojiStar, MorningDojiStar, GapSideBySideWhite, HighWave, Hikkake, HikkakeModified, HomingPigeon, OnNeck, InNeck, Thrusting, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, OIPriceDivergence, OIWeighted, LongShortRatio, TakerBuySellRatio, LiquidationFeatures, TermStructureBasis, CalendarSpread, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, McGinleyDynamic, FRAMA, SuperSmoother, FisherTransform, Decycler, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, RVIVolatility, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, Inertia, ConnorsRSI, LaguerreRSI, SMI, KST, PGO, RVI, AwesomeOscillatorHistogram, STC, ElderImpulse, ZeroLagMACD, CFO, APO, KAMA, EVWMA, Alligator, JMA, VIDYA, ALMA, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, NVI, PVI, VolumeOscillator, KVO, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, YangZhangVolatility, RogersSatchellVolatility, GarmanKlassVolatility, ParkinsonVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, WaveTrend, RWI, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, InverseFisherTransform, DecyclerOscillator, RoofingFilter, EmpiricalModeDecomposition, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, TwoCrows, UpsideGapTwoCrows, IdenticalThreeCrows, ThreeLineStrike, ThreeStarsInSouth, AbandonedBaby, AdvanceBlock, BeltHold, Breakaway, Counterattack, DojiStar, DragonflyDoji, GravestoneDoji, LongLeggedDoji, RickshawMan, EveningDojiStar, MorningDojiStar, GapSideBySideWhite, HighWave, Hikkake, HikkakeModified, HomingPigeon, OnNeck, InNeck, Thrusting, SeparatingLines, Kicking, KickingByLength, LadderBottom, MatHold, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, OIPriceDivergence, OIWeighted, LongShortRatio, TakerBuySellRatio, LiquidationFeatures, TermStructureBasis, CalendarSpread, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
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module.exports.version = version
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module.exports.SMA = SMA
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@@ -540,6 +540,11 @@ module.exports.HomingPigeon = HomingPigeon
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module.exports.OnNeck = OnNeck
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module.exports.InNeck = InNeck
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module.exports.Thrusting = Thrusting
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module.exports.SeparatingLines = SeparatingLines
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module.exports.Kicking = Kicking
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module.exports.KickingByLength = KickingByLength
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module.exports.LadderBottom = LadderBottom
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module.exports.MatHold = MatHold
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module.exports.OrderBookImbalanceTop1 = OrderBookImbalanceTop1
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module.exports.OrderBookImbalanceFull = OrderBookImbalanceFull
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module.exports.Microprice = Microprice
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@@ -8794,6 +8794,11 @@ node_candle_pattern!(HomingPigeonNode, wc::HomingPigeon, "HomingPigeon");
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node_candle_pattern!(OnNeckNode, wc::OnNeck, "OnNeck");
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node_candle_pattern!(InNeckNode, wc::InNeck, "InNeck");
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node_candle_pattern!(ThrustingNode, wc::Thrusting, "Thrusting");
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node_candle_pattern!(SeparatingLinesNode, wc::SeparatingLines, "SeparatingLines");
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node_candle_pattern!(KickingNode, wc::Kicking, "Kicking");
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node_candle_pattern!(KickingByLengthNode, wc::KickingByLength, "KickingByLength");
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node_candle_pattern!(LadderBottomNode, wc::LadderBottom, "LadderBottom");
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node_candle_pattern!(MatHoldNode, wc::MatHold, "MatHold");
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// ============================== Microstructure: Order Book ==============================
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//
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@@ -265,6 +265,11 @@ from ._wickra import (
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OnNeck,
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InNeck,
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Thrusting,
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SeparatingLines,
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Kicking,
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KickingByLength,
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LadderBottom,
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MatHold,
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# Microstructure: order book
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OrderBookImbalanceTop1,
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OrderBookImbalanceTopN,
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@@ -557,6 +562,11 @@ __all__ = [
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"OnNeck",
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"InNeck",
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"Thrusting",
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"SeparatingLines",
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"Kicking",
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"KickingByLength",
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"LadderBottom",
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"MatHold",
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# Microstructure: order book
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"OrderBookImbalanceTop1",
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"OrderBookImbalanceTopN",
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@@ -11657,6 +11657,11 @@ candle_pattern_no_param!(PyHomingPigeon, wc::HomingPigeon, "HomingPigeon");
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candle_pattern_no_param!(PyOnNeck, wc::OnNeck, "OnNeck");
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candle_pattern_no_param!(PyInNeck, wc::InNeck, "InNeck");
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candle_pattern_no_param!(PyThrusting, wc::Thrusting, "Thrusting");
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candle_pattern_no_param!(PySeparatingLines, wc::SeparatingLines, "SeparatingLines");
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candle_pattern_no_param!(PyKicking, wc::Kicking, "Kicking");
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candle_pattern_no_param!(PyKickingByLength, wc::KickingByLength, "KickingByLength");
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candle_pattern_no_param!(PyLadderBottom, wc::LadderBottom, "LadderBottom");
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candle_pattern_no_param!(PyMatHold, wc::MatHold, "MatHold");
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// ============================== Microstructure: Order Book ==============================
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//
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// Order-book indicators consume a depth snapshot rather than OHLCV. Streaming
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@@ -14178,6 +14183,11 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyOnNeck>()?;
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m.add_class::<PyInNeck>()?;
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m.add_class::<PyThrusting>()?;
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m.add_class::<PySeparatingLines>()?;
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m.add_class::<PyKicking>()?;
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m.add_class::<PyKickingByLength>()?;
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m.add_class::<PyLadderBottom>()?;
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m.add_class::<PyMatHold>()?;
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// Microstructure: order book.
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m.add_class::<PyOrderBookImbalanceTop1>()?;
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m.add_class::<PyOrderBookImbalanceTopN>()?;
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@@ -623,6 +623,26 @@ CANDLE_SCALAR = {
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lambda: ta.Thrusting(),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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"SeparatingLines": (
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lambda: ta.SeparatingLines(),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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"Kicking": (
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lambda: ta.Kicking(),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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"KickingByLength": (
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lambda: ta.KickingByLength(),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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"LadderBottom": (
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lambda: ta.LadderBottom(),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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"MatHold": (
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lambda: ta.MatHold(),
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lambda ind, h, l, c, v: ind.batch(c, h, l, c),
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),
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}
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@@ -1835,6 +1855,42 @@ def test_thrusting_reference():
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assert t.update((15.0, 15.1, 9.0, 10.0, 1.0, 0)) == pytest.approx(0.0)
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assert t.update((7.0, 11.6, 6.9, 11.5, 1.0, 1)) == pytest.approx(-1.0)
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def test_separating_lines_reference():
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t = ta.SeparatingLines()
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assert t.update((12.0, 12.1, 9.9, 10.0, 1.0, 0)) == pytest.approx(0.0)
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assert t.update((12.0, 14.1, 12.0, 14.0, 1.0, 1)) == pytest.approx(1.0)
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def test_kicking_reference():
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t = ta.Kicking()
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assert t.update((12.0, 12.0, 10.0, 10.0, 1.0, 0)) == pytest.approx(0.0)
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assert t.update((14.0, 16.0, 14.0, 16.0, 1.0, 1)) == pytest.approx(1.0)
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def test_kicking_by_length_reference():
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t = ta.KickingByLength()
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assert t.update((12.0, 12.0, 10.0, 10.0, 1.0, 0)) == pytest.approx(0.0)
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assert t.update((14.0, 20.0, 14.0, 20.0, 1.0, 1)) == pytest.approx(1.0)
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def test_ladder_bottom_reference():
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t = ta.LadderBottom()
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assert t.update((20.0, 20.1, 17.9, 18.0, 1.0, 0)) == pytest.approx(0.0)
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assert t.update((18.0, 18.1, 15.9, 16.0, 1.0, 1)) == pytest.approx(0.0)
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assert t.update((16.0, 16.1, 13.9, 14.0, 1.0, 2)) == pytest.approx(0.0)
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assert t.update((14.0, 15.0, 12.4, 12.5, 1.0, 3)) == pytest.approx(0.0)
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assert t.update((15.0, 17.1, 14.9, 17.0, 1.0, 4)) == pytest.approx(1.0)
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def test_mat_hold_reference():
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t = ta.MatHold()
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assert t.update((10.0, 15.1, 9.9, 15.0, 1.0, 0)) == pytest.approx(0.0)
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assert t.update((16.0, 16.1, 15.4, 15.5, 1.0, 1)) == pytest.approx(0.0)
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assert t.update((15.5, 15.6, 14.9, 15.0, 1.0, 2)) == pytest.approx(0.0)
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assert t.update((15.0, 15.1, 14.4, 14.5, 1.0, 3)) == pytest.approx(0.0)
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assert t.update((14.5, 17.1, 14.4, 17.0, 1.0, 4)) == pytest.approx(1.0)
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# --- Lifecycle ------------------------------------------------------------
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@@ -6371,6 +6371,11 @@ wasm_candle_pattern!(WasmHomingPigeon, wc::HomingPigeon, HomingPigeon);
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wasm_candle_pattern!(WasmOnNeck, wc::OnNeck, OnNeck);
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wasm_candle_pattern!(WasmInNeck, wc::InNeck, InNeck);
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wasm_candle_pattern!(WasmThrusting, wc::Thrusting, Thrusting);
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wasm_candle_pattern!(WasmSeparatingLines, wc::SeparatingLines, SeparatingLines);
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wasm_candle_pattern!(WasmKicking, wc::Kicking, Kicking);
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wasm_candle_pattern!(WasmKickingByLength, wc::KickingByLength, KickingByLength);
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wasm_candle_pattern!(WasmLadderBottom, wc::LadderBottom, LadderBottom);
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wasm_candle_pattern!(WasmMatHold, wc::MatHold, MatHold);
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// ============================== Microstructure: Order Book ==============================
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//
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