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.
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@@ -8,6 +8,22 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
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## [Unreleased]
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### Added
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- **Microstructure family — order book (part 1).** A new family of indicators
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that consume an order-book depth snapshot (`OrderBook` of sorted, uncrossed
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bid/ask `Level`s) rather than OHLCV, exposed in Rust, Python, Node and WASM:
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- **Order-Book Imbalance** — `OrderBookImbalanceTop1`, `OrderBookImbalanceTopN`
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(configurable depth) and `OrderBookImbalanceFull` measure signed depth
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pressure `(bidDepth − askDepth) / (bidDepth + askDepth)` over the top level,
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the top-N levels, or the full book.
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- **Microprice** — the size-weighted fair value
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`(bidPx·askSz + askPx·bidSz) / (bidSz + askSz)`, tilting the mid toward the
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side more likely to be hit.
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- **Quoted Spread** — the top-of-book spread in basis points of the mid.
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New public value types `Level`, `OrderBook`, `Side`, `Trade` and `TradeQuote`
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back this and the upcoming trade-flow and price-impact indicators. Python and
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Node accept a batch over a list of snapshots; WASM exposes per-snapshot
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`update`.
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- **Signed Doji encoding.** `Doji` gains an opt-in `.signed()` mode
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(`Doji(signed=True)` in Python, `new Doji(true)` in Node and WASM) that
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classifies a detected Doji by the position of its body within the bar range —
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