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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@@ -22,9 +22,7 @@
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//! WeightedClose.
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use libfuzzer_sys::fuzz_target;
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use wickra_core::{
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AbandonedBaby, AccelerationBands, AcceleratorOscillator, AdOscillator, Adl, AdvanceBlock, Adx, Adxr, Alligator, AnchoredVwap, Aroon, AroonOscillator, Atr, AtrBands, AtrTrailingStop, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, BeltHold, Breakaway, Camarilla, Candle, Cci, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex, ClassicPivots, ClosingMarubozu, ConcealingBabySwallow, Counterattack, DemandIndex, DemarkPivots, Doji, DojiStar, Donchian, DonchianStop, DownsideGapThreeMethods, DragonflyDoji, Dx, EaseOfMovement, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, FibonacciPivots, ForceIndex, FractalChaosBands, GapSideBySideWhite, GarmanKlassVolatility, GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HighWave, Hikkake, HikkakeModified, HomingPigeon, HurstChannel, Ichimoku, IdenticalThreeCrows, InNeck, Indicator, Inertia, InitialBalance, InvertedHammer, Keltner, Kicking, KickingByLength, Kvo, LadderBottom, LongLeggedDoji, LongLine, MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, AvgPrice, MedianPrice, Mfi, MidPrice, MinusDi, MinusDm, MorningDojiStar, MorningEveningStar, Natr, Nvi, Obv, OnNeck, OpeningMarubozu, OpeningRange, ParkinsonVolatility, Pgo, PiercingDarkCloud, PlusDi, PlusDm, Psar, Pvi, RickshawMan, RisingThreeMethods, RogersSatchellVolatility, RollingVwap, Rvi, Rwi, SarExt, SeparatingLines, ShootingStar, ShortLine, Smi, SpinningTop, StalledPattern, StarcBands, StickSandwich, Stochastic, SuperTrend, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdOpen, TdPressure, TdRangeProjection, TdRei, TdRiskLevel, TdSequential, TdSetup, ThreeInside, ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TpoProfile, TrueRange, Tsv, TtmSqueeze, Tweezer, TwoCrows, TypicalPrice, UltimateOscillator, UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, VoltyStop, VolumeOscillator, VolumePriceTrend, VolumeProfile, Vortex, Vwap, VwapStdDevBands, Vwma, Vzo, WaveTrend, WeightedClose, WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit, ZigZag
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};
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use wickra_core::{AbandonedBaby, AccelerationBands, AcceleratorOscillator, AdOscillator, Adl, AdvanceBlock, Adx, Adxr, Alligator, AnchoredVwap, Aroon, AroonOscillator, Atr, AtrBands, AtrTrailingStop, AverageDailyRange, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, BeltHold, Breakaway, Camarilla, Candle, Cci, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex, ClassicPivots, ClosingMarubozu, ConcealingBabySwallow, Counterattack, DayOfWeekProfile, DemandIndex, DemarkPivots, Doji, DojiStar, Donchian, DonchianStop, DownsideGapThreeMethods, DragonflyDoji, Dx, EaseOfMovement, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, FibonacciPivots, ForceIndex, FractalChaosBands, GapSideBySideWhite, GarmanKlassVolatility, GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HighWave, Hikkake, HikkakeModified, HomingPigeon, HurstChannel, Ichimoku, IdenticalThreeCrows, InNeck, Indicator, Inertia, InitialBalance, IntradayVolatilityProfile, InvertedHammer, Keltner, Kicking, KickingByLength, Kvo, LadderBottom, LongLeggedDoji, LongLine, MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, AvgPrice, MedianPrice, Mfi, MidPrice, MinusDi, MinusDm, MorningDojiStar, MorningEveningStar, Natr, Nvi, Obv, OnNeck, OpeningMarubozu, OpeningRange, OvernightGap, OvernightIntradayReturn, ParkinsonVolatility, Pgo, PiercingDarkCloud, PlusDi, PlusDm, Psar, Pvi, RickshawMan, RisingThreeMethods, RogersSatchellVolatility, RollingVwap, Rvi, Rwi, SarExt, SeasonalZScore, SeparatingLines, SessionHighLow, SessionRange, SessionVwap, ShootingStar, ShortLine, Smi, SpinningTop, StalledPattern, StarcBands, StickSandwich, Stochastic, SuperTrend, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdOpen, TdPressure, TdRangeProjection, TdRei, TdRiskLevel, TdSequential, TdSetup, ThreeInside, ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TimeOfDayReturnProfile, TpoProfile, TrueRange, Tsv, TtmSqueeze, TurnOfMonth, Tweezer, TwoCrows, TypicalPrice, UltimateOscillator, UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, VoltyStop, VolumeByTimeProfile, VolumeOscillator, VolumePriceTrend, VolumeProfile, Vortex, Vwap, VwapStdDevBands, Vwma, Vzo, WaveTrend, WeightedClose, WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit, ZigZag};
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/// Convert a flat `f64` stream into a `Vec<Candle>` by chunking it into
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/// `[open, high, low, close, volume]` groups. Tuples that fail OHLCV
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@@ -349,4 +347,29 @@ fuzz_target!(|data: Vec<f64>| {
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drive(TwoCrows::new, &candles);
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drive(UpsideGapTwoCrows::new, &candles);
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drive(IdenticalThreeCrows::new, &candles);
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// --- Seasonality & Session ---
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drive(|| VolumeByTimeProfile::new(24, 0).unwrap(), &candles);
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drive(|| IntradayVolatilityProfile::new(24, 0).unwrap(), &candles);
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drive(|| DayOfWeekProfile::new(0), &candles);
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drive(|| TimeOfDayReturnProfile::new(24, 0).unwrap(), &candles);
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drive(|| SeasonalZScore::new(0), &candles);
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drive(|| TurnOfMonth::new(3, 1, 0).unwrap(), &candles);
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drive(|| OvernightIntradayReturn::new(0), &candles);
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drive(|| OvernightGap::new(0), &candles);
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drive(|| AverageDailyRange::new(14, 0).unwrap(), &candles);
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drive(|| SessionRange::new(0), &candles);
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drive(|| SessionHighLow::new(0), &candles);
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drive(|| SessionVwap::new(0), &candles);
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});
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