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feat: derivatives basis & calendar-spread indicators (part 3 of 3) (#128)

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* feat(derivatives): TermStructureBasis indicator (core)

* feat(derivatives): CalendarSpread indicator (core)

* feat(derivatives): Python, Node and WASM bindings for basis & calendar-spread indicators

* test(derivatives): Python and Node tests for basis & calendar-spread indicators

* docs(derivatives): README row + counter 242->244, CHANGELOG part 3; fuzz basis indicators
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kingchenc
2026-06-01 22:07:35 +02:00
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CHANGELOG.md
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@@ -29,6 +29,12 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
- **Taker Buy/Sell Ratio** — taker buy volume over taker sell volume.
- **Liquidation Features** — a multi-output breakdown of long/short
liquidation notional into net, total and a bounded imbalance.
- **Derivatives family — basis & term structure (part 3).** The final
perpetual-vs-futures basis indicators over the `DerivativesTick` feed:
- **Term-Structure Basis** — the dated future's relative premium to spot,
`(futuresPrice − indexPrice) / indexPrice`.
- **Calendar Spread** — the dated future's relative premium to the perpetual,
`(futuresPrice − markPrice) / markPrice`.
## [0.4.3] - 2026-06-01