feat: footprint microstructure indicator (part 4 of 4) (#123)
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kingchenc
@@ -1063,3 +1063,34 @@ test('price-impact rejects bad input', () => {
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assert.throws(() => new wickra.RealizedSpread(0));
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assert.throws(() => new wickra.KylesLambda(1));
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});
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test('footprint buckets buy and sell volume per price level', () => {
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const fp = new wickra.Footprint(1.0);
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fp.update(100.2, 2, true); // bucket 100 -> ask 2
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fp.update(100.7, 3, false); // bucket 101 -> bid 3
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const out = fp.update(100.1, 1, true); // bucket 100 -> ask 3
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assert.equal(out.length, 2);
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assert.deepEqual(
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{ price: out[0].price, bidVol: out[0].bidVol, askVol: out[0].askVol },
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{ price: 100.0, bidVol: 0.0, askVol: 3.0 },
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);
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assert.deepEqual(
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{ price: out[1].price, bidVol: out[1].bidVol, askVol: out[1].askVol },
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{ price: 101.0, bidVol: 3.0, askVol: 0.0 },
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);
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});
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test('footprint streaming update matches batch and rejects bad tick', () => {
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const n = 12;
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const price = Array.from({ length: n }, (_, i) => 100 + (i % 5) * 0.3);
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const size = Array.from({ length: n }, (_, i) => 1 + (i % 3));
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const isBuy = Array.from({ length: n }, (_, i) => i % 2 === 0);
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const batch = new wickra.Footprint(1.0).batch(price, size, isBuy);
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const streamer = new wickra.Footprint(1.0);
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assert.equal(batch.length, n);
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for (let i = 0; i < n; i++) {
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const s = streamer.update(price[i], size[i], isBuy[i]);
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assert.deepEqual(s, batch[i], `mismatch at ${i}`);
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}
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assert.throws(() => new wickra.Footprint(0));
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});
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Vendored
+15
@@ -286,6 +286,12 @@ export interface ObSnapshot {
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askPx: Array<number>
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askSz: Array<number>
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}
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/** One price bucket of a footprint. */
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export interface FootprintLevelValue {
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price: number
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bidVol: number
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askVol: number
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}
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export type SmaNode = SMA
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export declare class SMA {
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constructor(period: number)
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@@ -2304,6 +2310,15 @@ export declare class KylesLambda {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type FootprintNode = Footprint
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export declare class Footprint {
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constructor(tickSize: number)
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update(price: number, size: number, isBuy: boolean): Array<FootprintLevelValue>
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batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<Array<FootprintLevelValue>>
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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, 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, 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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@@ -527,6 +527,7 @@ module.exports.TradeImbalance = TradeImbalance
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module.exports.EffectiveSpread = EffectiveSpread
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module.exports.RealizedSpread = RealizedSpread
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module.exports.KylesLambda = KylesLambda
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module.exports.Footprint = Footprint
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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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@@ -9264,6 +9264,94 @@ impl KylesLambdaNode {
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}
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}
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// ============================== Microstructure: Footprint ==============================
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//
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// Footprint is a multi-output, variable-length indicator. Each `update(price,
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// size, isBuy)` returns the full bar footprint accumulated since the last
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// `reset()` as an array of `{ price, bidVol, askVol }` rows (sorted ascending
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// by price); `batch` returns an array of such arrays, one per trade.
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/// One price bucket of a footprint.
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#[napi(object)]
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pub struct FootprintLevelValue {
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pub price: f64,
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pub bid_vol: f64,
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pub ask_vol: f64,
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}
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fn footprint_levels(out: &wc::FootprintOutput) -> Vec<FootprintLevelValue> {
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out.levels
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.iter()
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.map(|level| FootprintLevelValue {
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price: level.price,
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bid_vol: level.bid_vol,
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ask_vol: level.ask_vol,
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})
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.collect()
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}
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#[napi(js_name = "Footprint")]
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pub struct FootprintNode {
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inner: wc::Footprint,
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}
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#[napi]
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impl FootprintNode {
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#[napi(constructor)]
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pub fn new(tick_size: f64) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::Footprint::new(tick_size).map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(
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&mut self,
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price: f64,
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size: f64,
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is_buy: bool,
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) -> napi::Result<Vec<FootprintLevelValue>> {
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let out = self
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.inner
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.update(build_trade(price, size, is_buy)?)
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.expect("footprint emits on every trade");
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Ok(footprint_levels(&out))
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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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price: Vec<f64>,
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size: Vec<f64>,
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is_buy: Vec<bool>,
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) -> napi::Result<Vec<Vec<FootprintLevelValue>>> {
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if price.len() != size.len() || size.len() != is_buy.len() {
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return Err(NapiError::from_reason(
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"price, size, is_buy must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(price.len());
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for i in 0..price.len() {
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let snapshot = self
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.inner
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.update(build_trade(price[i], size[i], is_buy[i])?)
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.expect("footprint emits on every trade");
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out.push(footprint_levels(&snapshot));
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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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