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

bindings/python/tests/test_input_validation.py

@@ -231,3 +231,10 @@ def test_realized_spread_zero_horizon_raises():
 def test_kyles_lambda_window_below_two_raises():
     with pytest.raises(ValueError):
         ta.KylesLambda(1)
+
+
+def test_footprint_non_positive_tick_raises():
+    with pytest.raises(ValueError):
+        ta.Footprint(0.0)
+    with pytest.raises(ValueError):
+        ta.Footprint(-1.0)

bindings/python/tests/test_known_values.py

@@ -882,6 +882,17 @@ def test_depth_slope_reference_value():
     assert ta.DepthSlope().update([100.0], [1.0], [101.0], [1.0]) == pytest.approx(0.0)
 
 
+def test_footprint_buckets_buy_and_sell_volume():
+    fp = ta.Footprint(1.0)
+    fp.update(100.2, 2.0, True)  # bucket 100 -> ask 2
+    fp.update(100.7, 3.0, False)  # bucket 101 -> bid 3
+    out = fp.update(100.1, 1.0, True)  # bucket 100 -> ask 3
+    # Columns are [price, bid_vol, ask_vol], rows sorted ascending by price.
+    assert out.shape == (2, 3)
+    assert list(out[0]) == [100.0, 0.0, 3.0]
+    assert list(out[1]) == [101.0, 3.0, 0.0]
+
+
 def test_signed_volume_reference_values():
     assert ta.SignedVolume().update(100.0, 2.0, True) == pytest.approx(2.0)
     assert ta.SignedVolume().update(100.0, 3.0, False) == pytest.approx(-3.0)

bindings/python/tests/test_lifecycle.py

@@ -207,3 +207,14 @@ def test_kyles_lambda_lifecycle_and_repr():
     kl.reset()
     assert not kl.is_ready()
     assert repr(ta.KylesLambda(7)) == "KylesLambda(window=7)"
+
+
+def test_footprint_lifecycle_and_repr():
+    fp = ta.Footprint(0.5)
+    assert fp.warmup_period() == 1
+    assert not fp.is_ready()
+    fp.update(100.0, 1.0, True)
+    assert fp.is_ready()
+    fp.reset()
+    assert not fp.is_ready()
+    assert repr(ta.Footprint(0.25)) == "Footprint(tick_size=0.25)"

bindings/python/tests/test_new_indicators.py

@@ -1939,3 +1939,16 @@ def test_price_impact_indicators_streaming_equals_batch():
         )
         assert batch.shape == (n,)
         assert _eq_nan(batch, streamed)
+
+
+def test_footprint_streaming_equals_batch():
+    n = 20
+    price = [100.0 + (i % 5) * 0.3 for i in range(n)]
+    size = [1.0 + (i % 3) for i in range(n)]
+    is_buy = [i % 2 == 0 for i in range(n)]
+    batch = ta.Footprint(1.0).batch(price, size, is_buy)
+    streamer = ta.Footprint(1.0)
+    assert len(batch) == n
+    for i in range(n):
+        streamed = streamer.update(price[i], size[i], is_buy[i])
+        assert np.array_equal(streamed, batch[i])

bindings/python/tests/test_smoke.py

@@ -154,3 +154,16 @@ def test_price_impact_batch_returns_one_value_per_trade():
         out = ind.batch(price, size, is_buy, mid)
         assert out.shape == (4,)
         assert out.dtype == np.float64
+
+
+def test_footprint_constructs_and_emits():
+    out = ta.Footprint(1.0).update(100.2, 2.0, True)
+    assert out.shape == (1, 3)
+    assert out.dtype == np.float64
+
+
+def test_footprint_batch_returns_list_of_arrays():
+    res = ta.Footprint(1.0).batch([100.2, 100.7], [2.0, 3.0], [True, False])
+    assert isinstance(res, list)
+    assert len(res) == 2
+    assert res[-1].shape[1] == 3