feat: footprint microstructure indicator (part 4 of 4) (#123)

2026-06-01 20:00:58 +02:00
parent 4f11df0e33
commit 3dd7010129
18 changed files with 636 additions and 22 deletions
@@ -21,6 +21,12 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
  - **Depth Slope** — the mean per-side OLS slope of cumulative resting size
    against distance from the mid, measuring how fast the book thickens away
    from the touch.
+- **Microstructure family — footprint (part 4).** **Footprint** decomposes the
+  volume traded in a bar across price buckets (`round(price / tick_size)`),
+  splitting each bucket into buy-initiated (ask) and sell-initiated (bid)
+  volume. A multi-output, variable-length indicator: every `update` returns the
+  full footprint accumulated since the last `reset`, exposed in Rust, Python
+  (`(k, 3)` arrays), Node (`{ price, bidVol, askVol }` rows) and WASM.

 ## [0.4.2] - 2026-06-01