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
+22
View File
@@ -97,3 +97,25 @@ def test_ehlers_super_smoother_batch_shape(sine_prices):
def test_mama_batch_shape(sine_prices):
out = ta.MAMA().batch(sine_prices)
assert out.shape == (sine_prices.size, 2)
def test_orderbook_indicators_construct_and_emit():
# All five order-book indicators accept a four-array snapshot and emit a float.
snapshot = ([100.0, 99.0], [2.0, 1.0], [101.0, 102.0], [1.0, 1.0])
indicators = [
ta.OrderBookImbalanceTop1(),
ta.OrderBookImbalanceTopN(2),
ta.OrderBookImbalanceFull(),
ta.Microprice(),
ta.QuotedSpread(),
]
for ind in indicators:
out = ind.update(*snapshot)
assert isinstance(out, float)
def test_orderbook_batch_returns_one_value_per_snapshot():
snapshots = [([100.0], [3.0], [101.0], [1.0])] * 5
out = ta.OrderBookImbalanceTop1().batch(snapshots)
assert out.shape == (5,)
assert out.dtype == np.float64