feat: microstructure price-impact & depth indicators (part 3 of 4) (#122)
* feat: effective spread microstructure indicator (part 3 of 4) * feat: realized spread microstructure indicator (part 3 of 4) * feat: kyle's lambda microstructure indicator (part 3 of 4) * feat: depth slope microstructure indicator (part 3 of 4)
This commit is contained in:
kingchenc
@@ -926,6 +926,10 @@ test('order-book indicators reference values', () => {
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assert.equal(new wickra.Microprice().update([100], [1], [101], [3]), 100.25);
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// Quoted spread: 1 / 100.5 * 10000 ≈ 99.5025 bps.
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assert.ok(Math.abs(new wickra.QuotedSpread().update([100], [1], [101], [1]) - 99.50248756) < 1e-6);
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// Depth slope: each side distances 1,2 -> cumulative 1,3 -> OLS slope 2.
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assert.ok(Math.abs(new wickra.DepthSlope().update([99, 98], [1, 2], [101, 102], [1, 2]) - 2.0) < 1e-9);
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// Single level per side -> no slope -> 0.
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assert.equal(new wickra.DepthSlope().update([100], [1], [101], [1]), 0.0);
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});
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test('order-book streaming update matches batch', () => {
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@@ -981,3 +985,81 @@ test('trade-flow rejects bad input', () => {
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assert.throws(() => new wickra.TradeImbalance(0));
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assert.throws(() => new wickra.SignedVolume().update(100, -1, true));
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});
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test('price-impact indicators reference values', () => {
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// Buy at 100.05 vs mid 100.0: 2 * (100.05 - 100) / 100 * 10000 = 10 bps.
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assert.ok(Math.abs(new wickra.EffectiveSpread().update(100.05, 1, true, 100.0) - 10.0) < 1e-9);
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// Sell at 99.95 vs mid 100.0: 2 * -1 * (99.95 - 100) / 100 * 10000 = 10 bps.
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assert.ok(Math.abs(new wickra.EffectiveSpread().update(99.95, 1, false, 100.0) - 10.0) < 1e-9);
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// A buy filled below the mid is price improvement -> negative.
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assert.ok(new wickra.EffectiveSpread().update(99.95, 1, true, 100.0) < 0.0);
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});
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test('price-impact streaming update matches batch', () => {
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const n = 30;
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const mid = Array.from({ length: n }, (_, i) => 100 + 0.25 * Math.sin(i * 0.5));
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const isBuy = Array.from({ length: n }, (_, i) => i % 3 !== 0);
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const price = Array.from({ length: n }, (_, i) => mid[i] + (isBuy[i] ? 0.03 : -0.03));
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const size = Array.from({ length: n }, (_, i) => 1 + (i % 4));
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const batch = new wickra.EffectiveSpread().batch(price, size, isBuy, mid);
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const streamer = new wickra.EffectiveSpread();
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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], mid[i]);
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assert.ok(Math.abs(s - batch[i]) < 1e-9, `mismatch at ${i}: ${s} vs ${batch[i]}`);
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}
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});
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test('realized spread resolves against the future mid', () => {
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const rs = new wickra.RealizedSpread(1);
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assert.equal(rs.update(100.10, 1, true, 100.0), null); // buffered
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// 2 * (+1) * (100.10 - 100.20) / 100.0 * 10000 = -20 bps.
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assert.ok(Math.abs(rs.update(99.90, 1, false, 100.20) - -20.0) < 1e-9);
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});
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test('realized spread streaming update matches batch', () => {
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const n = 30;
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const mid = Array.from({ length: n }, (_, i) => 100 + 0.25 * Math.sin(i * 0.5));
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const isBuy = Array.from({ length: n }, (_, i) => i % 3 !== 0);
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const price = Array.from({ length: n }, (_, i) => mid[i] + (isBuy[i] ? 0.03 : -0.03));
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const size = Array.from({ length: n }, (_, i) => 1 + (i % 4));
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const batch = new wickra.RealizedSpread(4).batch(price, size, isBuy, mid);
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const streamer = new wickra.RealizedSpread(4);
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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], mid[i]);
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const got = s === null ? NaN : s;
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assert.ok(
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(Number.isNaN(got) && Number.isNaN(batch[i])) || Math.abs(got - batch[i]) < 1e-9,
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`mismatch at ${i}: ${got} vs ${batch[i]}`,
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);
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}
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});
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test("kyle's lambda recovers a constant price-impact slope", () => {
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// Each trade moves the mid by exactly 0.5 per unit of signed volume.
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const impact = 0.5;
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let mid = 100;
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const price = [];
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const size = [];
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const isBuy = [];
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const mids = [];
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for (let i = 0; i < 20; i++) {
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const buy = i % 2 === 0;
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const sz = 1 + (i % 3);
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const signed = buy ? sz : -sz;
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mid += impact * signed;
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price.push(mid);
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size.push(sz);
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isBuy.push(buy);
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mids.push(mid);
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}
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const out = new wickra.KylesLambda(6).batch(price, size, isBuy, mids);
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assert.ok(Math.abs(out[out.length - 1] - 0.5) < 1e-9);
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});
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test('price-impact rejects bad input', () => {
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assert.throws(() => new wickra.EffectiveSpread().update(100, 1, true, 0));
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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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Vendored
+36
@@ -2232,6 +2232,15 @@ export declare class QuotedSpread {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type DepthSlopeNode = DepthSlope
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export declare class DepthSlope {
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constructor()
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update(bidPx: Array<number>, bidSz: Array<number>, askPx: Array<number>, askSz: Array<number>): number | null
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batch(snapshots: Array<ObSnapshot>): Array<number>
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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 OrderBookImbalanceTopNNode = OrderBookImbalanceTopN
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export declare class OrderBookImbalanceTopN {
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constructor(levels: number)
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@@ -2268,6 +2277,33 @@ export declare class TradeImbalance {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type EffectiveSpreadNode = EffectiveSpread
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export declare class EffectiveSpread {
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constructor()
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update(price: number, size: number, isBuy: boolean, mid: number): number | null
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batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>, mid: Array<number>): Array<number>
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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 RealizedSpreadNode = RealizedSpread
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export declare class RealizedSpread {
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constructor(horizon: number)
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update(price: number, size: number, isBuy: boolean, mid: number): number | null
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batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>, mid: Array<number>): Array<number>
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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 KylesLambdaNode = KylesLambda
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export declare class KylesLambda {
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constructor(window: number)
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update(price: number, size: number, isBuy: boolean, mid: number): number | null
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batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>, mid: Array<number>): Array<number>
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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, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, 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, 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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@@ -519,10 +519,14 @@ module.exports.OrderBookImbalanceTop1 = OrderBookImbalanceTop1
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module.exports.OrderBookImbalanceFull = OrderBookImbalanceFull
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module.exports.Microprice = Microprice
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module.exports.QuotedSpread = QuotedSpread
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module.exports.DepthSlope = DepthSlope
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module.exports.OrderBookImbalanceTopN = OrderBookImbalanceTopN
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module.exports.SignedVolume = SignedVolume
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module.exports.CumulativeVolumeDelta = CumulativeVolumeDelta
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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.SharpeRatio = SharpeRatio
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module.exports.SortinoRatio = SortinoRatio
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module.exports.CalmarRatio = CalmarRatio
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@@ -8865,6 +8865,7 @@ node_ob_indicator!(
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);
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node_ob_indicator!(MicropriceNode, wc::Microprice, "Microprice");
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node_ob_indicator!(QuotedSpreadNode, wc::QuotedSpread, "QuotedSpread");
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node_ob_indicator!(DepthSlopeNode, wc::DepthSlope, "DepthSlope");
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// Top-N imbalance carries a `levels` parameter, so it is hand-written.
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#[napi(js_name = "OrderBookImbalanceTopN")]
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@@ -9052,6 +9053,217 @@ impl TradeImbalanceNode {
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}
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}
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// ============================== Microstructure: Price Impact ==============================
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//
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// Price-impact indicators consume a trade paired with the mid prevailing at
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// execution. Streaming `update(price, size, isBuy, mid)` takes one such
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// trade-quote (`isBuy=true` for a buyer-initiated trade); `batch` takes four
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// equal-length arrays.
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fn build_trade_quote(
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price: f64,
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size: f64,
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is_buy: bool,
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mid: f64,
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) -> napi::Result<wc::TradeQuote> {
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let trade = build_trade(price, size, is_buy)?;
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wc::TradeQuote::new(trade, mid).map_err(map_err)
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}
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macro_rules! node_trade_quote_indicator {
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($node:ident, $inner:ty, $js:literal) => {
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#[napi(js_name = $js)]
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pub struct $node {
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inner: $inner,
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}
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impl Default for $node {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl $node {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: <$inner>::new(),
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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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mid: f64,
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) -> napi::Result<Option<f64>> {
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Ok(self
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.inner
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.update(build_trade_quote(price, size, is_buy, mid)?))
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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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mid: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if price.len() != size.len()
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|| size.len() != is_buy.len()
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|| is_buy.len() != mid.len()
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{
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return Err(NapiError::from_reason(
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"price, size, is_buy, mid 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 quote = build_trade_quote(price[i], size[i], is_buy[i], mid[i])?;
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out.push(self.inner.update(quote).unwrap_or(f64::NAN));
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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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};
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}
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node_trade_quote_indicator!(EffectiveSpreadNode, wc::EffectiveSpread, "EffectiveSpread");
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// Realized spread carries a `horizon` parameter, so it is hand-written.
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#[napi(js_name = "RealizedSpread")]
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pub struct RealizedSpreadNode {
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inner: wc::RealizedSpread,
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}
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#[napi]
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impl RealizedSpreadNode {
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#[napi(constructor)]
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pub fn new(horizon: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::RealizedSpread::new(horizon as usize).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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mid: f64,
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) -> napi::Result<Option<f64>> {
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Ok(self
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.inner
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.update(build_trade_quote(price, size, is_buy, mid)?))
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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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mid: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if price.len() != size.len() || size.len() != is_buy.len() || is_buy.len() != mid.len() {
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return Err(NapiError::from_reason(
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"price, size, is_buy, mid must be equal length".to_string(),
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));
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}
|
||||
let mut out = Vec::with_capacity(price.len());
|
||||
for i in 0..price.len() {
|
||||
let quote = build_trade_quote(price[i], size[i], is_buy[i], mid[i])?;
|
||||
out.push(self.inner.update(quote).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
#[napi(js_name = "isReady")]
|
||||
pub fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
#[napi(js_name = "warmupPeriod")]
|
||||
pub fn warmup_period(&self) -> u32 {
|
||||
self.inner.warmup_period() as u32
|
||||
}
|
||||
}
|
||||
|
||||
// Kyle's lambda carries a `window` parameter, so it is hand-written.
|
||||
#[napi(js_name = "KylesLambda")]
|
||||
pub struct KylesLambdaNode {
|
||||
inner: wc::KylesLambda,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl KylesLambdaNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(window: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::KylesLambda::new(window as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
price: f64,
|
||||
size: f64,
|
||||
is_buy: bool,
|
||||
mid: f64,
|
||||
) -> napi::Result<Option<f64>> {
|
||||
Ok(self
|
||||
.inner
|
||||
.update(build_trade_quote(price, size, is_buy, mid)?))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
price: Vec<f64>,
|
||||
size: Vec<f64>,
|
||||
is_buy: Vec<bool>,
|
||||
mid: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if price.len() != size.len() || size.len() != is_buy.len() || is_buy.len() != mid.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"price, size, is_buy, mid must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(price.len());
|
||||
for i in 0..price.len() {
|
||||
let quote = build_trade_quote(price[i], size[i], is_buy[i], mid[i])?;
|
||||
out.push(self.inner.update(quote).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
#[napi(js_name = "isReady")]
|
||||
pub fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
#[napi(js_name = "warmupPeriod")]
|
||||
pub fn warmup_period(&self) -> u32 {
|
||||
self.inner.warmup_period() as u32
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Family 15: Risk / Performance ==============================
|
||||
|
||||
// Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper
|
||||
|
||||
Reference in New Issue
Block a user