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feat: microstructure price-impact & depth indicators (part 3 of 4) (#122)

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* 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)
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kingchenc
2026-06-01 19:45:38 +02:00
committed by GitHub
parent b5d9e47a2e
commit 4f11df0e33
25 changed files with 1898 additions and 39 deletions
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crates/wickra-core/src/lib.rs
+23 -23
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@@ -55,36 +55,36 @@ pub use indicators::{
ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, Cmo,
CoefficientOfVariation, Cointegration, CointegrationOutput, ConditionalValueAtRisk, ConnorsRsi,
Coppock, CumulativeVolumeDelta, CyberneticCycle, Decycler, DecyclerOscillator, Dema,
DemandIndex, DemarkPivots, DemarkPivotsOutput, DetrendedStdDev, Doji, Donchian, DonchianOutput,
DonchianStop, DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput, Dpo,
DrawdownDuration, EaseOfMovement, EhlersStochastic, ElderImpulse, Ema,
DemandIndex, DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, Doji, Donchian,
DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput, Dpo,
DrawdownDuration, EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
EmpiricalModeDecomposition, Engulfing, Evwma, Fama, FibonacciPivots, FibonacciPivotsOutput,
FisherTransform, ForceIndex, FractalChaosBands, FractalChaosBandsOutput, Frama, GainLossRatio,
GarmanKlassVolatility, Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput, HiLoActivator,
HilbertDominantCycle, HistoricalVolatility, Hma, HurstChannel, HurstChannelOutput,
HurstExponent, Ichimoku, IchimokuOutput, Inertia, InformationRatio, InitialBalance,
InitialBalanceOutput, InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma,
Kama, KellyCriterion, Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis, Kvo, LaguerreRsi,
LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel,
LinRegChannelOutput, LinRegSlope, LinearRegression, MaEnvelope, MaEnvelopeOutput,
MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, Marubozu, MassIndex,
MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Microprice, Mom,
MorningEveningStar, Natr, Nvi, Obv, OmegaRatio, OpeningRange, OpeningRangeOutput,
OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, PainIndex,
PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentB,
Kama, KellyCriterion, Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis, Kvo, KylesLambda,
LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput, LinRegAngle,
LinRegChannel, LinRegChannelOutput, LinRegSlope, LinearRegression, MaEnvelope,
MaEnvelopeOutput, MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex,
Marubozu, MassIndex, MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi,
Microprice, Mom, MorningEveningStar, Natr, Nvi, Obv, OmegaRatio, OpeningRange,
OpeningRangeOutput, OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN,
PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentB,
PercentageTrailingStop, Pgo, PiercingDarkCloud, Pmo, Ppo, ProfitFactor, Psar, Pvi,
QuotedSpread, RSquared, RecoveryFactor, RelativeStrengthAB, RelativeStrengthOutput,
RenkoTrailingStop, Roc, RogersSatchellVolatility, RollingVwap, RoofingFilter, Rsi, Rvi,
RviVolatility, Rwi, RwiOutput, SharpeRatio, ShootingStar, SignedVolume, SineWave, Skewness,
Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation, SpinningTop, StandardError,
StandardErrorBands, StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev,
StepTrailingStop, StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend,
SuperTrendOutput, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdLinesOutput,
TdOpen, TdPressure, TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel,
TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, Tema, ThreeInside, ThreeOutside,
ThreeSoldiersOrCrows, Tii, TradeImbalance, TreynorRatio, Trima, Trix, TrueRange, Tsi, Tsv,
TtmSqueeze, TtmSqueezeOutput, Tweezer, TypicalPrice, UlcerIndex, UltimateOscillator, ValueArea,
ValueAreaOutput, ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, VoltyStop,
QuotedSpread, RSquared, RealizedSpread, RecoveryFactor, RelativeStrengthAB,
RelativeStrengthOutput, RenkoTrailingStop, Roc, RogersSatchellVolatility, RollingVwap,
RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SharpeRatio, ShootingStar,
SignedVolume, SineWave, Skewness, Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation,
SpinningTop, StandardError, StandardErrorBands, StandardErrorBandsOutput, StarcBands,
StarcBandsOutput, Stc, StdDev, StepTrailingStop, StochRsi, Stochastic, StochasticOutput,
SuperSmoother, SuperTrend, SuperTrendOutput, TdCombo, TdCountdown, TdDeMarker, TdDifferential,
TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection, TdRangeProjectionOutput, TdRei,
TdRiskLevel, TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, Tema, ThreeInside,
ThreeOutside, ThreeSoldiersOrCrows, Tii, TradeImbalance, TreynorRatio, Trima, Trix, TrueRange,
Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, Tweezer, TypicalPrice, UlcerIndex, UltimateOscillator,
ValueArea, ValueAreaOutput, ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, VoltyStop,
VolumeOscillator, VolumePriceTrend, Vortex, VortexOutput, Vwap, VwapStdDevBands,
VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput, WeightedClose, WilliamsFractals,
WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots, WoodiePivotsOutput, YangZhangVolatility,