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
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kingchenc
@@ -1175,3 +1175,28 @@ test('OI flow rejects bad input', () => {
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assert.throws(() => new wickra.OIPriceDivergence(0));
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assert.throws(() => new wickra.OIWeighted().update(0, 100));
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});
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test('basis & calendar-spread reference values', () => {
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// futures 102 vs index 100 -> 0.02 contango.
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assert.ok(Math.abs(new wickra.TermStructureBasis().update(102, 100) - 0.02) < 1e-12);
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assert.ok(Math.abs(new wickra.TermStructureBasis().update(98, 100) + 0.02) < 1e-12);
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// futures 101 vs perpetual mark 100 -> 0.01.
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assert.ok(Math.abs(new wickra.CalendarSpread().update(101, 100) - 0.01) < 1e-12);
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});
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test('basis streaming update matches batch', () => {
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const n = 20;
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const index = Array.from({ length: n }, (_, i) => 100 + Math.sin(i * 0.2));
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const futures = Array.from({ length: n }, (_, i) => index[i] + 0.5);
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const batch = new wickra.TermStructureBasis().batch(futures, index);
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const streamer = new wickra.TermStructureBasis();
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assert.equal(batch.length, n);
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for (let i = 0; i < n; i++) {
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assert.ok(Math.abs(streamer.update(futures[i], index[i]) - batch[i]) < 1e-12);
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}
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});
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test('basis rejects bad input', () => {
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assert.throws(() => new wickra.TermStructureBasis().update(100, 0));
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assert.throws(() => new wickra.CalendarSpread().update(100, 0));
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});
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Vendored
+18
@@ -2417,6 +2417,24 @@ export declare class LiquidationFeatures {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type TermStructureBasisNode = TermStructureBasis
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export declare class TermStructureBasis {
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constructor()
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update(futuresPrice: number, indexPrice: number): number | null
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batch(futuresPrice: Array<number>, indexPrice: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type CalendarSpreadNode = CalendarSpread
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export declare class CalendarSpread {
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constructor()
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update(futuresPrice: number, markPrice: number): number | null
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batch(futuresPrice: Array<number>, markPrice: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type SharpeRatioNode = SharpeRatio
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export declare class SharpeRatio {
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constructor(period: number, riskFree: number)
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@@ -310,7 +310,7 @@ if (!nativeBinding) {
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throw new Error(`Failed to load native binding`)
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}
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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
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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
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module.exports.version = version
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module.exports.SMA = SMA
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@@ -538,6 +538,8 @@ module.exports.OIWeighted = OIWeighted
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module.exports.LongShortRatio = LongShortRatio
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module.exports.TakerBuySellRatio = TakerBuySellRatio
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module.exports.LiquidationFeatures = LiquidationFeatures
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module.exports.TermStructureBasis = TermStructureBasis
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module.exports.CalendarSpread = CalendarSpread
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module.exports.SharpeRatio = SharpeRatio
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module.exports.SortinoRatio = SortinoRatio
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module.exports.CalmarRatio = CalmarRatio
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@@ -9477,6 +9477,42 @@ fn deriv_liquidation(
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.map_err(map_err)
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}
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fn deriv_futures_index(futures_price: f64, index_price: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0,
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1.0,
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index_price,
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futures_price,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0,
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)
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.map_err(map_err)
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}
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fn deriv_futures_mark(futures_price: f64, mark_price: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0,
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mark_price,
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1.0,
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futures_price,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0,
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)
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.map_err(map_err)
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}
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#[napi(js_name = "FundingRate")]
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pub struct FundingRateNode {
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inner: wc::FundingRate,
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@@ -10015,6 +10051,126 @@ impl LiquidationFeaturesNode {
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}
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}
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#[napi(js_name = "TermStructureBasis")]
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pub struct TermStructureBasisNode {
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inner: wc::TermStructureBasis,
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}
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impl Default for TermStructureBasisNode {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl TermStructureBasisNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::TermStructureBasis::new(),
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}
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}
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#[napi]
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pub fn update(&mut self, futures_price: f64, index_price: f64) -> napi::Result<Option<f64>> {
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Ok(self
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.inner
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.update(deriv_futures_index(futures_price, index_price)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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futures_price: Vec<f64>,
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index_price: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if futures_price.len() != index_price.len() {
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return Err(NapiError::from_reason(
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"futures_price and index_price must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(futures_price.len());
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for i in 0..futures_price.len() {
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out.push(
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self.inner
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.update(deriv_futures_index(futures_price[i], index_price[i])?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "CalendarSpread")]
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pub struct CalendarSpreadNode {
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inner: wc::CalendarSpread,
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}
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impl Default for CalendarSpreadNode {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl CalendarSpreadNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::CalendarSpread::new(),
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}
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}
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#[napi]
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pub fn update(&mut self, futures_price: f64, mark_price: f64) -> napi::Result<Option<f64>> {
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Ok(self
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.inner
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.update(deriv_futures_mark(futures_price, mark_price)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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futures_price: Vec<f64>,
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mark_price: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if futures_price.len() != mark_price.len() {
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return Err(NapiError::from_reason(
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"futures_price and mark_price must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(futures_price.len());
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for i in 0..futures_price.len() {
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out.push(
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self.inner
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.update(deriv_futures_mark(futures_price[i], mark_price[i])?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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// ============================== Family 15: Risk / Performance ==============================
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// Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper
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