feat(seasonality): add the Seasonality & Session family (12 indicators) (#161)
## Summary Adds the **Seasonality & Session** family — the first family that reads the wall-clock fields of `Candle::timestamp`. A new private `calendar` module decomposes an epoch-millisecond instant (shifted by a per-indicator `utc_offset_minutes`) into civil fields via Howard Hinnant's branch-light `civil_from_days` algorithm. Session / day / month rollovers are detected automatically, so callers never have to invoke `reset()` at a boundary. Indicator counter **339 → 351**; family count **20 → 21**. ## Indicators | Shape | Indicators | |-------|-----------| | Scalar (`f64`) | `SessionVwap`, `AverageDailyRange`, `OvernightGap`, `TurnOfMonth`, `SeasonalZScore` | | Struct | `SessionHighLow`, `SessionRange` (Asia/EU/US), `OvernightIntradayReturn` | | Profile (`Vec<f64>`) | `TimeOfDayReturnProfile`, `DayOfWeekProfile`, `IntradayVolatilityProfile`, `VolumeByTimeProfile` | ## Bindings The input is the **full** candle (`open, high, low, close, volume, timestamp`), not the `high/low/close` slice the value-indicator helper assumes, so the Python / Node / WASM bindings are custom full-candle implementations: - **Python** — `update((o,h,l,c,v,ts))`; `batch(open, high, low, close, volume, timestamp)` → `PyArray1` (scalar) / `PyArray2` (struct & profile), warmup rows `NaN`. - **Node** — `update(open, high, low, close, volume, timestamp)`; `batch(...)` → flat `Vec<f64>`; struct outputs as `#[napi(object)]` values. - **WASM** — `update` only (multi-input precedent); profiles as `Float64Array`, structs as camelCase objects, `timestamp` as `BigInt`. ## Verification - `wickra-core`: full per-branch unit tests, **100%** coverage target; 2852 lib tests + 334 doctests green. - `cargo clippy --workspace --all-targets --all-features -- -D warnings`: clean. - Node: 428 tests (dedicated `seasonality.test.js` streaming-vs-batch). - Python: full suite + dedicated `test_seasonality.py` streaming-vs-batch. - Counter check: mod-count == counted lib block == 351.
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kingchenc
@@ -42,6 +42,7 @@
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// builds — library code is still linted for genuinely large stack arrays.
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#![cfg_attr(test, allow(clippy::large_stack_arrays))]
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mod calendar;
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mod cross_section;
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mod derivatives;
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mod error;
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@@ -59,17 +60,18 @@ pub use indicators::{
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AcceleratorOscillator, AdOscillator, AdVolumeLine, AdaptiveCycle, Adl, AdvanceBlock,
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AdvanceDecline, AdvanceDeclineRatio, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma,
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Alpha, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator, AroonOutput, Atr, AtrBands,
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AtrBandsOutput, AtrTrailingStop, Autocorrelation, AverageDrawdown, AvgPrice, AwesomeOscillator,
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AwesomeOscillatorHistogram, BalanceOfPower, BeltHold, Beta, BetaNeutralSpread, BollingerBands,
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BollingerBandwidth, BollingerOutput, BreadthThrust, Breakaway, BullishPercentIndex,
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CalendarSpread, CalmarRatio, Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo,
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ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput,
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ChandelierExit, ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput,
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ClosingMarubozu, Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput,
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ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi, Coppock, Counterattack,
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CumulativeVolumeDelta, CumulativeVolumeIndex, CyberneticCycle, Decycler, DecyclerOscillator,
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Dema, DemandIndex, DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, DistanceSsd,
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Doji, DojiStar, Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
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AtrBandsOutput, AtrTrailingStop, Autocorrelation, AverageDailyRange, AverageDrawdown, AvgPrice,
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AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BeltHold, Beta,
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BetaNeutralSpread, BollingerBands, BollingerBandwidth, BollingerOutput, BreadthThrust,
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Breakaway, BullishPercentIndex, CalendarSpread, CalmarRatio, Camarilla, CamarillaPivotsOutput,
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Cci, CenterOfGravity, Cfo, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility,
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ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit, ChandelierExitOutput, ChoppinessIndex,
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ClassicPivots, ClassicPivotsOutput, ClosingMarubozu, Cmo, CoefficientOfVariation,
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Cointegration, CointegrationOutput, ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi,
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Coppock, Counterattack, CumulativeVolumeDelta, CumulativeVolumeIndex, CyberneticCycle,
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DayOfWeekProfile, DayOfWeekProfileOutput, Decycler, DecyclerOscillator, Dema, DemandIndex,
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DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, DistanceSsd, Doji, DojiStar,
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Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
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DoubleBollingerOutput, DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx,
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EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
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EmpiricalModeDecomposition, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, Fama,
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@@ -81,44 +83,48 @@ pub use indicators::{
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HistoricalVolatility, Hma, HomingPigeon, HtDcPhase, HtPhasor, HtPhasorOutput, HtTrendMode,
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HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, IdenticalThreeCrows,
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InNeck, Inertia, InformationRatio, InitialBalance, InitialBalanceOutput,
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InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma, KagiBars,
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KalmanHedgeRatio, KalmanHedgeRatioOutput, Kama, KellyCriterion, Keltner, KeltnerOutput,
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Kicking, KickingByLength, Kst, KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom,
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LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput, LinRegAngle,
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LinRegChannel, LinRegChannelOutput, LinRegIntercept, LinRegSlope, LinearRegression,
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LiquidationFeatures, LiquidationFeaturesOutput, LongLeggedDoji, LongLine, LongShortRatio,
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MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix, MacdIndicator, MacdOutput, Mama, MamaOutput,
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MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, MaxDrawdown,
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McClellanOscillator, McClellanSummationIndex, McGinleyDynamic, MedianAbsoluteDeviation,
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MedianPrice, Mfi, Microprice, MidPoint, MidPrice, MinusDi, MinusDm, Mom, MorningDojiStar,
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MorningEveningStar, Natr, NewHighsNewLows, Nvi, OIPriceDivergence, OIWeighted, Obv, OmegaRatio,
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OnNeck, OpenInterestDelta, OpeningMarubozu, OpeningRange, OpeningRangeOutput,
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OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, OuHalfLife, PainIndex,
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PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentAboveMa,
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PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud, PlusDi, PlusDm, Pmo,
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PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi, QuotedSpread, RSquared, RealizedSpread,
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RecoveryFactor, RelativeStrengthAB, RelativeStrengthOutput, RenkoBars, RenkoTrailingStop,
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RickshawMan, RisingThreeMethods, Roc, Rocp, Rocr, Rocr100, RogersSatchellVolatility,
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RollingCorrelation, RollingCovariance, RollingVwap, RoofingFilter, Rsi, Rvi, RviVolatility,
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Rwi, RwiOutput, SarExt, SeparatingLines, SharpeRatio, ShootingStar, ShortLine, SignedVolume,
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SineWave, Skewness, Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation, SpinningTop,
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SpreadBollingerBands, SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError,
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StandardErrorBands, StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev,
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StepTrailingStop, StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother,
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SuperTrend, SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown,
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TdDeMarker, TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
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InstantaneousTrendline, IntradayVolatilityProfile, IntradayVolatilityProfileOutput,
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InverseFisherTransform, InvertedHammer, Jma, KagiBars, KalmanHedgeRatio,
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KalmanHedgeRatioOutput, Kama, KellyCriterion, Keltner, KeltnerOutput, Kicking, KickingByLength,
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Kst, KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation,
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LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel, LinRegChannelOutput,
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LinRegIntercept, LinRegSlope, LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput,
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LongLeggedDoji, LongLine, LongShortRatio, MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix,
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MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, Marubozu, MassIndex,
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MatHold, MatchingLow, MaxDrawdown, McClellanOscillator, McClellanSummationIndex,
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McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Microprice, MidPoint, MidPrice,
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MinusDi, MinusDm, Mom, MorningDojiStar, MorningEveningStar, Natr, NewHighsNewLows, Nvi,
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OIPriceDivergence, OIWeighted, Obv, OmegaRatio, OnNeck, OpenInterestDelta, OpeningMarubozu,
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OpeningRange, OpeningRangeOutput, OrderBookImbalanceFull, OrderBookImbalanceTop1,
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OrderBookImbalanceTopN, OuHalfLife, OvernightGap, OvernightIntradayReturn,
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OvernightIntradayReturnOutput, PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility,
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PearsonCorrelation, PercentAboveMa, PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud,
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PlusDi, PlusDm, Pmo, PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi, QuotedSpread, RSquared,
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RealizedSpread, RecoveryFactor, RelativeStrengthAB, RelativeStrengthOutput, RenkoBars,
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RenkoTrailingStop, RickshawMan, RisingThreeMethods, Roc, Rocp, Rocr, Rocr100,
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RogersSatchellVolatility, RollingCorrelation, RollingCovariance, RollingVwap, RoofingFilter,
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Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SarExt, SeasonalZScore, SeparatingLines,
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SessionHighLow, SessionHighLowOutput, SessionRange, SessionRangeOutput, SessionVwap,
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SharpeRatio, ShootingStar, ShortLine, SignedVolume, SineWave, Skewness, Sma, Smi, Smma,
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SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadBollingerBands,
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SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError, StandardErrorBands,
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StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
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StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend,
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SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker,
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TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
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TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
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TdSequentialOutput, TdSetup, Tema, TermStructureBasis, ThreeInside, ThreeLineStrike,
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ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickIndex, Tii, TpoProfile,
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TpoProfileOutput, TradeImbalance, TreynorRatio, Trima, Trin, Trix, TrueRange, Tsf, Tsi, Tsv,
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TtmSqueeze, TtmSqueezeOutput, Tweezer, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
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ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickIndex, Tii,
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TimeOfDayReturnProfile, TimeOfDayReturnProfileOutput, TpoProfile, TpoProfileOutput,
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TradeImbalance, TreynorRatio, Trima, Trin, Trix, TrueRange, Tsf, Tsi, Tsv, TtmSqueeze,
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TtmSqueezeOutput, TurnOfMonth, Tweezer, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
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UniqueThreeRiver, UpDownVolumeRatio, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea,
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ValueAreaOutput, ValueAtRisk, Variance, VarianceRatio, VerticalHorizontalFilter, Vidya,
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VoltyStop, VolumeOscillator, VolumePriceTrend, VolumeProfile, VolumeProfileOutput, Vortex,
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VortexOutput, Vwap, VwapStdDevBands, VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend,
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WaveTrendOutput, WeightedClose, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, Wma,
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WoodiePivots, WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd,
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ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
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VoltyStop, VolumeByTimeProfile, VolumeByTimeProfileOutput, VolumeOscillator, VolumePriceTrend,
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VolumeProfile, VolumeProfileOutput, Vortex, VortexOutput, Vwap, VwapStdDevBands,
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VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput, WeightedClose, WilliamsFractals,
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WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots, WoodiePivotsOutput, YangZhangVolatility,
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YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
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};
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// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
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// line so the indicator-count tooling (which scans the braced block above and
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