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

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kingchenc
2026-06-01 20:00:58 +02:00
committed by GitHub
parent 4f11df0e33
commit 3dd7010129
18 changed files with 636 additions and 22 deletions
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bindings/python/tests/test_known_values.py
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@@ -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)