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

* 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

bindings/node/__tests__/indicators.test.js

@@ -1175,3 +1175,28 @@ test('OI flow rejects bad input', () => {
   assert.throws(() => new wickra.OIPriceDivergence(0));
   assert.throws(() => new wickra.OIWeighted().update(0, 100));
 });
+
+test('basis & calendar-spread reference values', () => {
+  // futures 102 vs index 100 -> 0.02 contango.
+  assert.ok(Math.abs(new wickra.TermStructureBasis().update(102, 100) - 0.02) < 1e-12);
+  assert.ok(Math.abs(new wickra.TermStructureBasis().update(98, 100) + 0.02) < 1e-12);
+  // futures 101 vs perpetual mark 100 -> 0.01.
+  assert.ok(Math.abs(new wickra.CalendarSpread().update(101, 100) - 0.01) < 1e-12);
+});
+
+test('basis streaming update matches batch', () => {
+  const n = 20;
+  const index = Array.from({ length: n }, (_, i) => 100 + Math.sin(i * 0.2));
+  const futures = Array.from({ length: n }, (_, i) => index[i] + 0.5);
+  const batch = new wickra.TermStructureBasis().batch(futures, index);
+  const streamer = new wickra.TermStructureBasis();
+  assert.equal(batch.length, n);
+  for (let i = 0; i < n; i++) {
+    assert.ok(Math.abs(streamer.update(futures[i], index[i]) - batch[i]) < 1e-12);
+  }
+});
+
+test('basis rejects bad input', () => {
+  assert.throws(() => new wickra.TermStructureBasis().update(100, 0));
+  assert.throws(() => new wickra.CalendarSpread().update(100, 0));
+});

bindings/node/index.d.ts

@@ -2417,6 +2417,24 @@ export declare class LiquidationFeatures {
   isReady(): boolean
   warmupPeriod(): number
 }
+export type TermStructureBasisNode = TermStructureBasis
+export declare class TermStructureBasis {
+  constructor()
+  update(futuresPrice: number, indexPrice: number): number | null
+  batch(futuresPrice: Array<number>, indexPrice: Array<number>): Array<number>
+  reset(): void
+  isReady(): boolean
+  warmupPeriod(): number
+}
+export type CalendarSpreadNode = CalendarSpread
+export declare class CalendarSpread {
+  constructor()
+  update(futuresPrice: number, markPrice: number): number | null
+  batch(futuresPrice: Array<number>, markPrice: Array<number>): Array<number>
+  reset(): void
+  isReady(): boolean
+  warmupPeriod(): number
+}
 export type SharpeRatioNode = SharpeRatio
 export declare class SharpeRatio {
   constructor(period: number, riskFree: number)

bindings/node/index.js

@@ -310,7 +310,7 @@ if (!nativeBinding) {
   throw new Error(`Failed to load native binding`)
 }
 
-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, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, OIPriceDivergence, OIWeighted, LongShortRatio, TakerBuySellRatio, LiquidationFeatures, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
+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, 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
 
 module.exports.version = version
 module.exports.SMA = SMA
@@ -538,6 +538,8 @@ module.exports.OIWeighted = OIWeighted
 module.exports.LongShortRatio = LongShortRatio
 module.exports.TakerBuySellRatio = TakerBuySellRatio
 module.exports.LiquidationFeatures = LiquidationFeatures
+module.exports.TermStructureBasis = TermStructureBasis
+module.exports.CalendarSpread = CalendarSpread
 module.exports.SharpeRatio = SharpeRatio
 module.exports.SortinoRatio = SortinoRatio
 module.exports.CalmarRatio = CalmarRatio

bindings/node/src/lib.rs

@@ -9477,6 +9477,42 @@ fn deriv_liquidation(
     .map_err(map_err)
 }
 
+fn deriv_futures_index(futures_price: f64, index_price: f64) -> napi::Result<wc::DerivativesTick> {
+    wc::DerivativesTick::new(
+        0.0,
+        1.0,
+        index_price,
+        futures_price,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0,
+    )
+    .map_err(map_err)
+}
+
+fn deriv_futures_mark(futures_price: f64, mark_price: f64) -> napi::Result<wc::DerivativesTick> {
+    wc::DerivativesTick::new(
+        0.0,
+        mark_price,
+        1.0,
+        futures_price,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0,
+    )
+    .map_err(map_err)
+}
+
 #[napi(js_name = "FundingRate")]
 pub struct FundingRateNode {
     inner: wc::FundingRate,
@@ -10015,6 +10051,126 @@ impl LiquidationFeaturesNode {
     }
 }
 
+#[napi(js_name = "TermStructureBasis")]
+pub struct TermStructureBasisNode {
+    inner: wc::TermStructureBasis,
+}
+
+impl Default for TermStructureBasisNode {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[napi]
+impl TermStructureBasisNode {
+    #[napi(constructor)]
+    pub fn new() -> Self {
+        Self {
+            inner: wc::TermStructureBasis::new(),
+        }
+    }
+    #[napi]
+    pub fn update(&mut self, futures_price: f64, index_price: f64) -> napi::Result<Option<f64>> {
+        Ok(self
+            .inner
+            .update(deriv_futures_index(futures_price, index_price)?))
+    }
+    #[napi]
+    pub fn batch(
+        &mut self,
+        futures_price: Vec<f64>,
+        index_price: Vec<f64>,
+    ) -> napi::Result<Vec<f64>> {
+        if futures_price.len() != index_price.len() {
+            return Err(NapiError::from_reason(
+                "futures_price and index_price must be equal length".to_string(),
+            ));
+        }
+        let mut out = Vec::with_capacity(futures_price.len());
+        for i in 0..futures_price.len() {
+            out.push(
+                self.inner
+                    .update(deriv_futures_index(futures_price[i], index_price[i])?)
+                    .unwrap_or(f64::NAN),
+            );
+        }
+        Ok(out)
+    }
+    #[napi]
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[napi(js_name = "isReady")]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[napi(js_name = "warmupPeriod")]
+    pub fn warmup_period(&self) -> u32 {
+        self.inner.warmup_period() as u32
+    }
+}
+
+#[napi(js_name = "CalendarSpread")]
+pub struct CalendarSpreadNode {
+    inner: wc::CalendarSpread,
+}
+
+impl Default for CalendarSpreadNode {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[napi]
+impl CalendarSpreadNode {
+    #[napi(constructor)]
+    pub fn new() -> Self {
+        Self {
+            inner: wc::CalendarSpread::new(),
+        }
+    }
+    #[napi]
+    pub fn update(&mut self, futures_price: f64, mark_price: f64) -> napi::Result<Option<f64>> {
+        Ok(self
+            .inner
+            .update(deriv_futures_mark(futures_price, mark_price)?))
+    }
+    #[napi]
+    pub fn batch(
+        &mut self,
+        futures_price: Vec<f64>,
+        mark_price: Vec<f64>,
+    ) -> napi::Result<Vec<f64>> {
+        if futures_price.len() != mark_price.len() {
+            return Err(NapiError::from_reason(
+                "futures_price and mark_price must be equal length".to_string(),
+            ));
+        }
+        let mut out = Vec::with_capacity(futures_price.len());
+        for i in 0..futures_price.len() {
+            out.push(
+                self.inner
+                    .update(deriv_futures_mark(futures_price[i], mark_price[i])?)
+                    .unwrap_or(f64::NAN),
+            );
+        }
+        Ok(out)
+    }
+    #[napi]
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[napi(js_name = "isReady")]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[napi(js_name = "warmupPeriod")]
+    pub fn warmup_period(&self) -> u32 {
+        self.inner.warmup_period() as u32
+    }
+}
+
 // ============================== Family 15: Risk / Performance ==============================
 
 // Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper

bindings/python/python/wickra/__init__.py

@@ -268,6 +268,8 @@ from ._wickra import (
     LongShortRatio,
     TakerBuySellRatio,
     LiquidationFeatures,
+    TermStructureBasis,
+    CalendarSpread,
     # Risk / Performance
     SharpeRatio,
     SortinoRatio,
@@ -533,6 +535,8 @@ __all__ = [
     "LongShortRatio",
     "TakerBuySellRatio",
     "LiquidationFeatures",
+    "TermStructureBasis",
+    "CalendarSpread",
     # Risk / Performance
     "SharpeRatio",
     "SortinoRatio",

bindings/python/src/lib.rs

@@ -12308,6 +12308,42 @@ fn deriv_liquidation(
     .map_err(map_err)
 }
 
+fn deriv_futures_index(futures_price: f64, index_price: f64) -> PyResult<wc::DerivativesTick> {
+    wc::DerivativesTick::new(
+        0.0,
+        1.0,
+        index_price,
+        futures_price,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0,
+    )
+    .map_err(map_err)
+}
+
+fn deriv_futures_mark(futures_price: f64, mark_price: f64) -> PyResult<wc::DerivativesTick> {
+    wc::DerivativesTick::new(
+        0.0,
+        mark_price,
+        1.0,
+        futures_price,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0,
+    )
+    .map_err(map_err)
+}
+
 // FundingRate takes no parameters; streaming `update(funding_rate)`, `batch`
 // over one funding-rate array.
 #[pyclass(name = "FundingRate", module = "wickra._wickra", skip_from_py_object)]
@@ -12852,6 +12888,125 @@ impl PyLiquidationFeatures {
     }
 }
 
+// TermStructureBasis takes no parameters; streaming
+// `update(futures_price, index_price)`.
+#[pyclass(
+    name = "TermStructureBasis",
+    module = "wickra._wickra",
+    skip_from_py_object
+)]
+#[derive(Clone)]
+struct PyTermStructureBasis {
+    inner: wc::TermStructureBasis,
+}
+
+#[pymethods]
+impl PyTermStructureBasis {
+    #[new]
+    fn new() -> Self {
+        Self {
+            inner: wc::TermStructureBasis::new(),
+        }
+    }
+    fn update(&mut self, futures_price: f64, index_price: f64) -> PyResult<Option<f64>> {
+        Ok(self
+            .inner
+            .update(deriv_futures_index(futures_price, index_price)?))
+    }
+    fn batch<'py>(
+        &mut self,
+        py: Python<'py>,
+        futures_price: Vec<f64>,
+        index_price: Vec<f64>,
+    ) -> PyResult<Bound<'py, PyArray1<f64>>> {
+        if futures_price.len() != index_price.len() {
+            return Err(PyValueError::new_err(
+                "futures_price and index_price must be equal length",
+            ));
+        }
+        let mut out = Vec::with_capacity(futures_price.len());
+        for i in 0..futures_price.len() {
+            out.push(
+                self.inner
+                    .update(deriv_futures_index(futures_price[i], index_price[i])?)
+                    .unwrap_or(f64::NAN),
+            );
+        }
+        Ok(out.into_pyarray(py))
+    }
+    fn reset(&mut self) {
+        self.inner.reset();
+    }
+    fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+    fn __repr__(&self) -> String {
+        "TermStructureBasis()".to_string()
+    }
+}
+
+// CalendarSpread takes no parameters; streaming `update(futures_price, mark_price)`.
+#[pyclass(
+    name = "CalendarSpread",
+    module = "wickra._wickra",
+    skip_from_py_object
+)]
+#[derive(Clone)]
+struct PyCalendarSpread {
+    inner: wc::CalendarSpread,
+}
+
+#[pymethods]
+impl PyCalendarSpread {
+    #[new]
+    fn new() -> Self {
+        Self {
+            inner: wc::CalendarSpread::new(),
+        }
+    }
+    fn update(&mut self, futures_price: f64, mark_price: f64) -> PyResult<Option<f64>> {
+        Ok(self
+            .inner
+            .update(deriv_futures_mark(futures_price, mark_price)?))
+    }
+    fn batch<'py>(
+        &mut self,
+        py: Python<'py>,
+        futures_price: Vec<f64>,
+        mark_price: Vec<f64>,
+    ) -> PyResult<Bound<'py, PyArray1<f64>>> {
+        if futures_price.len() != mark_price.len() {
+            return Err(PyValueError::new_err(
+                "futures_price and mark_price must be equal length",
+            ));
+        }
+        let mut out = Vec::with_capacity(futures_price.len());
+        for i in 0..futures_price.len() {
+            out.push(
+                self.inner
+                    .update(deriv_futures_mark(futures_price[i], mark_price[i])?)
+                    .unwrap_or(f64::NAN),
+            );
+        }
+        Ok(out.into_pyarray(py))
+    }
+    fn reset(&mut self) {
+        self.inner.reset();
+    }
+    fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+    fn __repr__(&self) -> String {
+        "CalendarSpread()".to_string()
+    }
+}
+
 // ============================== Family 15: Risk / Performance ==============================
 
 #[pyclass(name = "SharpeRatio", module = "wickra._wickra", skip_from_py_object)]
@@ -13985,6 +14140,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
     m.add_class::<PyLongShortRatio>()?;
     m.add_class::<PyTakerBuySellRatio>()?;
     m.add_class::<PyLiquidationFeatures>()?;
+    m.add_class::<PyTermStructureBasis>()?;
+    m.add_class::<PyCalendarSpread>()?;
     // Family 15: Risk / Performance metrics.
     m.add_class::<PySharpeRatio>()?;
     m.add_class::<PySortinoRatio>()?;

bindings/python/tests/test_input_validation.py

@@ -268,3 +268,13 @@ def test_oi_price_divergence_zero_window_raises():
 def test_oi_weighted_non_positive_mark_raises():
     with pytest.raises(ValueError):
         ta.OIWeighted().update(0.0, 100.0)
+
+
+def test_term_structure_basis_non_positive_index_raises():
+    with pytest.raises(ValueError):
+        ta.TermStructureBasis().update(100.0, 0.0)
+
+
+def test_calendar_spread_non_positive_mark_raises():
+    with pytest.raises(ValueError):
+        ta.CalendarSpread().update(100.0, 0.0)

bindings/python/tests/test_known_values.py

@@ -1013,3 +1013,16 @@ def test_liquidation_features_reference_value():
     # 30 long vs 10 short: (long, short, net, total, imbalance).
     out = ta.LiquidationFeatures().update(30.0, 10.0)
     assert out == pytest.approx((30.0, 10.0, 20.0, 40.0, 0.5))
+
+
+def test_term_structure_basis_reference_value():
+    # futures 102 vs index 100 -> 0.02 (contango).
+    assert ta.TermStructureBasis().update(102.0, 100.0) == pytest.approx(0.02)
+    # Backwardation reads negative.
+    assert ta.TermStructureBasis().update(98.0, 100.0) == pytest.approx(-0.02)
+
+
+def test_calendar_spread_reference_value():
+    # futures 101 vs perpetual mark 100 -> 0.01.
+    assert ta.CalendarSpread().update(101.0, 100.0) == pytest.approx(0.01)
+    assert ta.CalendarSpread().update(99.0, 100.0) == pytest.approx(-0.01)

bindings/python/tests/test_new_indicators.py

@@ -2047,3 +2047,29 @@ def test_liquidation_features_streaming_equals_batch():
     for i in range(n):
         row = streamer.update(long_liq[i], short_liq[i])
         assert tuple(batch[i]) == pytest.approx(row)
+
+
+def test_basis_indicators_streaming_equals_batch():
+    n = 40
+    index = np.array([100.0 + math.sin(i * 0.2) for i in range(n)], dtype=np.float64)
+    mark = np.array([index[i] + 0.05 * math.cos(i * 0.3) for i in range(n)], dtype=np.float64)
+    futures = np.array(
+        [index[i] + 0.5 + 0.1 * math.sin(i * 0.25) for i in range(n)], dtype=np.float64
+    )
+
+    # TermStructureBasis; update(futures_price, index_price).
+    batch = ta.TermStructureBasis().batch(futures, index)
+    streamer = ta.TermStructureBasis()
+    streamed = np.array(
+        [streamer.update(futures[i], index[i]) for i in range(n)], dtype=np.float64
+    )
+    assert batch.shape == (n,)
+    assert _eq_nan(batch, streamed)
+
+    # CalendarSpread; update(futures_price, mark_price).
+    batch = ta.CalendarSpread().batch(futures, mark)
+    streamer = ta.CalendarSpread()
+    streamed = np.array(
+        [streamer.update(futures[i], mark[i]) for i in range(n)], dtype=np.float64
+    )
+    assert _eq_nan(batch, streamed)

bindings/wasm/src/lib.rs

@@ -7228,6 +7228,119 @@ impl WasmLiquidationFeatures {
     }
 }
 
+fn deriv_futures_index(
+    futures_price: f64,
+    index_price: f64,
+) -> Result<wc::DerivativesTick, JsError> {
+    wc::DerivativesTick::new(
+        0.0,
+        1.0,
+        index_price,
+        futures_price,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0,
+    )
+    .map_err(map_err)
+}
+
+fn deriv_futures_mark(futures_price: f64, mark_price: f64) -> Result<wc::DerivativesTick, JsError> {
+    wc::DerivativesTick::new(
+        0.0,
+        mark_price,
+        1.0,
+        futures_price,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0.0,
+        0,
+    )
+    .map_err(map_err)
+}
+
+#[wasm_bindgen(js_name = TermStructureBasis)]
+pub struct WasmTermStructureBasis {
+    inner: wc::TermStructureBasis,
+}
+
+impl Default for WasmTermStructureBasis {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = TermStructureBasis)]
+impl WasmTermStructureBasis {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmTermStructureBasis {
+        Self {
+            inner: wc::TermStructureBasis::new(),
+        }
+    }
+    pub fn update(&mut self, futures_price: f64, index_price: f64) -> Result<Option<f64>, JsError> {
+        Ok(self
+            .inner
+            .update(deriv_futures_index(futures_price, index_price)?))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = CalendarSpread)]
+pub struct WasmCalendarSpread {
+    inner: wc::CalendarSpread,
+}
+
+impl Default for WasmCalendarSpread {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = CalendarSpread)]
+impl WasmCalendarSpread {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmCalendarSpread {
+        Self {
+            inner: wc::CalendarSpread::new(),
+        }
+    }
+    pub fn update(&mut self, futures_price: f64, mark_price: f64) -> Result<Option<f64>, JsError> {
+        Ok(self
+            .inner
+            .update(deriv_futures_mark(futures_price, mark_price)?))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
 #[cfg(test)]
 mod tests {
     use super::*;