feat: order-book microstructure indicators (part 1 of 4) (#112)

* feat(core): add microstructure input types (OrderBook, Trade, TradeQuote)

New non-OHLCV value types for the order-book / trade-flow indicator family:
Level, OrderBook (sorted, uncrossed depth snapshot), Side, Trade (with
aggressor side), and TradeQuote (trade paired with prevailing mid). Each has a
validating constructor plus a new_unchecked hot-path constructor, with full
unit coverage. Adds InvalidOrderBook / InvalidTrade error variants.

* feat(core): add 5 order-book microstructure indicators

OrderBookImbalanceTop1/TopN/Full (signed depth imbalance), Microprice
(size-weighted fair value), and QuotedSpread (top-of-book spread in bps). All
consume the OrderBook snapshot type, emit f64, are stateless and ready after
the first snapshot, with full unit coverage. Registers a new Microstructure
family in the taxonomy.

* feat(bindings): expose order-book microstructure indicators

Python, Node, and WASM bindings for OrderBookImbalanceTop1/TopN/Full,
Microprice and QuotedSpread. Each takes a depth snapshot via four equal-length
(bid_px, bid_sz, ask_px, ask_sz) arrays. Python and Node expose a batch over a
list of snapshots; WASM exposes per-snapshot update (the streaming model that
fits a browser book feed). Regenerates node index.d.ts/.js and registers the
new InvalidOrderBook/InvalidTrade arms in the Python error mapping.

* test(bindings,fuzz): cover order-book microstructure indicators

Python: smoke, reference values, streaming-vs-batch, lifecycle/repr and input
validation (mismatched lengths, crossed book, misordered levels, zero levels)
for all five order-book indicators. Node: reference values, streaming-vs-batch,
and rejection cases. Adds an indicator_update_orderbook fuzz target driving
every order-book indicator over arbitrary (incl. degenerate) snapshots.

* bench(microstructure): synthetic order-book benchmarks

Add a bench_orderbook_input harness and synthesise a five-level book around
each candle close (no order-book dataset ships with the repo). Benches the
cheapest (top-of-book imbalance) and most-expensive (full-depth imbalance) plus
microprice, matching the curated cheapest/expensive-per-family approach.

* docs: add Microstructure family + bump indicator counter to 224

README gains the Microstructure family row (order-book imbalance, microprice,
quoted spread) and the indicator counter goes 219 -> 224 across seventeen
families; CHANGELOG records the new order-book indicators and value types.
This commit is contained in:
kingchenc
2026-06-01 16:06:22 +02:00
committed by GitHub
parent 498b74a5ae
commit 2be21df803
27 changed files with 2189 additions and 21 deletions
+16
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@@ -8,6 +8,22 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
## [Unreleased]
### Added
- **Microstructure family — order book (part 1).** A new family of indicators
that consume an order-book depth snapshot (`OrderBook` of sorted, uncrossed
bid/ask `Level`s) rather than OHLCV, exposed in Rust, Python, Node and WASM:
- **Order-Book Imbalance** — `OrderBookImbalanceTop1`, `OrderBookImbalanceTopN`
(configurable depth) and `OrderBookImbalanceFull` measure signed depth
pressure `(bidDepth askDepth) / (bidDepth + askDepth)` over the top level,
the top-N levels, or the full book.
- **Microprice** — the size-weighted fair value
`(bidPx·askSz + askPx·bidSz) / (bidSz + askSz)`, tilting the mid toward the
side more likely to be hit.
- **Quoted Spread** — the top-of-book spread in basis points of the mid.
New public value types `Level`, `OrderBook`, `Side`, `Trade` and `TradeQuote`
back this and the upcoming trade-flow and price-impact indicators. Python and
Node accept a batch over a list of snapshots; WASM exposes per-snapshot
`update`.
- **Signed Doji encoding.** `Doji` gains an opt-in `.signed()` mode
(`Doji(signed=True)` in Python, `new Doji(true)` in Node and WASM) that
classifies a detected Doji by the position of its body within the bar range —