feat(family-11): add DeMark suite (TD Setup, Sequential, DeMarker, REI, Pressure) (#48)
* feat(family-11): add DeMark suite (TD Setup, Sequential, DeMarker, REI, Pressure)
Family 11 (DeMark) was previously empty; this PR adds five
streaming-first DeMark indicators in one batch.
- **TD Setup** (`TdSetup`): parameterised buy/sell setup counter.
Counts consecutive bars whose close is less-than (buy) or
greater-than (sell) the close `lookback` bars earlier, saturating
at `target`. Emits a signed `f64` so callers read direction from
the sign and run length from the magnitude. Classic config:
`lookback = 4`, `target = 9`.
- **TD Sequential** (`TdSequential`): the canonical Setup + Countdown
exhaustion pattern. Output struct `{ setup, countdown, direction }`
exposes both phase counts as signed numbers plus the active
countdown direction (+1 buy / -1 sell / 0 none). Countdown
activates when a setup completes and tracks the close-vs-high/low
comparison `countdown_lookback` bars back, capped at
`countdown_target`. Classic: 4/9/2/13.
- **TD DeMarker** (`TdDeMarker`): bounded [0, 1] oscillator from the
rolling average of upward high expansion (DeMax) and downward low
expansion (DeMin). Falls back to the neutral 0.5 on a flat market
(denominator zero).
- **TD REI** (`TdRei`): Range Expansion Index, bounded [-100, 100].
Per-bar numerator gated on a range-overlap condition vs the bars
5 and 6 back, normalised by a `period`-bar sum of absolute moves.
Classic period = 5. Saturates at +100 in a slow steady uptrend
and at -100 in the mirror downtrend; emits 0 on a flat market.
- **TD Pressure** (`TdPressure`): volume-weighted buying / selling
pressure normalised to [-100, 100]. Per-bar pressure is the
intra-bar close-vs-open ratio scaled by volume; the output is the
rolling mean divided by the rolling mean volume. Zero-range bars
contribute zero (avoid the undefined ratio) and a flat zero-volume
window falls back to 0.
Bindings: all five exposed in Python (`ta.TDSetup`, `ta.TDSequential`,
`ta.TDDeMarker`, `ta.TDREI`, `ta.TDPressure`), Node (`wickra.TDSetup`
etc.), and WASM. Multi-output classes (`TDSequential`) return either
a struct `{ setup, countdown, direction }` per bar (streaming) or a
flat interleaved Float64Array of length `3 * n` (batch).
Tests: 47 unit tests across the five new core files (pure-trend
saturation, flat-market neutral fallback, batch-equals-streaming,
zero-parameter rejection, reset semantics, accessors). Python
test_new_indicators.py picks up all five plus a multi-output TD
Sequential block. Node indicators.test.js picks up all five.
Reference values added to test_known_values.py.
Fuzz: candle fuzz target sweeps all five DeMark indicators with the
existing `Vec<f64>` -> `Vec<Candle>` driver.
Benches: BTCUSDT 1-minute dataset benches for each DeMark indicator
in `crates/wickra/benches/indicators.rs`.
Docs: README family table gains a "DeMark" row; indicator counter
bumped 71 -> 76. CHANGELOG entry added under [Unreleased]. Wiki
drafts (deep-dive pages + Sidebar / Overview / Warmup-Periods / Home
deltas) live under `indicator-ideas/families/wiki/family-11-demark/`
for manual merge into the wiki repo.
* feat(family-11): add 7 missing DeMark indicators
Complete the DeMark suite (family 11) with the seven indicators not
covered by the first commit: TD Combo, TD Countdown, TD Lines (TDST),
TD Range Projection, TD Differential, TD Open, and TD Risk Level.
- TdCombo: aggressive countdown variant with three strictness rules
on top of the classic close-vs-low/high lookback rule (monotone
low/high, monotone close vs prior bar).
- TdCountdown: standalone 13-bar countdown packaging only the signed
countdown count (the setup machine runs internally).
- TdLines: TDST horizontal support/resistance levels from the
highest-high / lowest-low bars of the most-recently-completed
setup, exposed as a multi-output struct.
- TdRangeProjection: DeMark X-projection of the next bar's high and
low from the current bar's OHLC via an open-vs-close-weighted
pivot (three branches: close<open, close>open, close==open).
- TdDifferential: two-bar buying-pressure vs selling-pressure
reversal pattern emitting +1/-1/0.
- TdOpen: gap-and-fade reversal pattern (open outside prior range
with subsequent recovery into it) emitting +1/-1/0.
- TdRiskLevel: protective stop levels derived from the setup
extreme bar +/- its true range.
All seven are wired through Rust core, Python, Node and WASM
bindings, registered in the candle-stream fuzz target, given
benchmark entries on the BTCUSDT 1-minute dataset, and covered by
streaming-vs-batch equivalence, reference-value, lifecycle and
input-validation tests on the Python and Node sides. README counter
moves 76 -> 83 and the CHANGELOG "family 11" entry is extended to
list all twelve indicators.
* fix(td_risk_level tests): check first emission at idx 12, not last bar
TdRiskLevel re-ratchets the sell-risk level on each subsequent setup
completion, so a strictly rising series produces 22.0 at idx 19 (latest
setup) rather than 15.0 (first setup). The test comment already named
idx 12 as the reference; switch the assertion from out[-1] to out[12]
to match the reference computation.
* test(family-11): cover buy-direction branches in TD indicators
Add downtrend tests to TdSequential, TdCombo and TdCountdown so the
buy-side countdown/combo increment branches are exercised; remove an
empty `if buy_countdown == target {}` block in TdSequential whose
behavior is already enforced by the outer strict `<` guard.
Closes codecov/patch gaps reported on PR #48 (10 missed lines across
the three files).
This commit is contained in:
kingchenc
@@ -145,6 +145,14 @@ const candleScalar = {
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GarmanKlassVolatility: { make: () => new wickra.GarmanKlassVolatility(20, 252), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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RogersSatchellVolatility: { make: () => new wickra.RogersSatchellVolatility(20, 252), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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YangZhangVolatility: { make: () => new wickra.YangZhangVolatility(20, 252), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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TDSetup: { make: () => new wickra.TDSetup(4, 9), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
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TDDeMarker: { make: () => new wickra.TDDeMarker(14), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
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TDREI: { make: () => new wickra.TDREI(5), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
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TDPressure: { make: () => new wickra.TDPressure(5), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(open, high, low, close, volume) },
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TDCombo: { make: () => new wickra.TDCombo(4, 9, 2, 13), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
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TDCountdown: { make: () => new wickra.TDCountdown(4, 9, 2, 13), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
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TDDifferential: { make: () => new wickra.TDDifferential(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
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TDOpen: { make: () => new wickra.TDOpen(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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};
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for (const [name, d] of Object.entries(candleScalar)) {
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@@ -200,6 +208,11 @@ const multi = {
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DemarkPivots: { make: () => new wickra.DemarkPivots(), fields: ['pp', 'r1', 's1'], step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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WilliamsFractals: { make: () => new wickra.WilliamsFractals(), fields: ['up', 'down'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
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ZigZag: { make: () => new wickra.ZigZag(0.02), fields: ['swing', 'direction'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
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// Family 11: DeMark
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TDSequential: { make: () => new wickra.TDSequential(4, 9, 2, 13), fields: ['setup', 'countdown', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
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TDLines: { make: () => new wickra.TDLines(4, 9), fields: ['resistance', 'support'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
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TDRangeProjection: { make: () => new wickra.TDRangeProjection(), fields: ['high', 'low'], step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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TDRiskLevel: { make: () => new wickra.TDRiskLevel(4, 9), fields: ['buyRisk', 'sellRisk'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
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};
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for (const [name, d] of Object.entries(multi)) {
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+20
-1
@@ -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, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, RVI, PGO, KST, SMI, LaguerreRSI, ConnorsRSI, Inertia, ALMA, McGinleyDynamic, FRAMA, VIDYA, JMA, Alligator, EVWMA, APO, AwesomeOscillatorHistogram, CFO, ZeroLagMACD, ElderImpulse, STC, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, KVO, VolumeOscillator, NVI, PVI, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, RWI, WaveTrend, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, RVIVolatility, ParkinsonVolatility, GarmanKlassVolatility, RogersSatchellVolatility, YangZhangVolatility, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands } = 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, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, RVI, PGO, KST, SMI, LaguerreRSI, ConnorsRSI, Inertia, ALMA, McGinleyDynamic, FRAMA, VIDYA, JMA, Alligator, EVWMA, APO, AwesomeOscillatorHistogram, CFO, ZeroLagMACD, ElderImpulse, STC, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, KVO, VolumeOscillator, NVI, PVI, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, RWI, WaveTrend, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, RVIVolatility, ParkinsonVolatility, GarmanKlassVolatility, RogersSatchellVolatility, YangZhangVolatility, 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 } = nativeBinding
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module.exports.version = version
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module.exports.SMA = SMA
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@@ -442,3 +442,22 @@ module.exports.DoubleBollinger = DoubleBollinger
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module.exports.TtmSqueeze = TtmSqueeze
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module.exports.FractalChaosBands = FractalChaosBands
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module.exports.VwapStdDevBands = VwapStdDevBands
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module.exports.ClassicPivots = ClassicPivots
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module.exports.FibonacciPivots = FibonacciPivots
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module.exports.Camarilla = Camarilla
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module.exports.WoodiePivots = WoodiePivots
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module.exports.DemarkPivots = DemarkPivots
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module.exports.WilliamsFractals = WilliamsFractals
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module.exports.ZigZag = ZigZag
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module.exports.TDSetup = TDSetup
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module.exports.TDSequential = TDSequential
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module.exports.TDDeMarker = TDDeMarker
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module.exports.TDREI = TDREI
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module.exports.TDPressure = TDPressure
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module.exports.TDCombo = TDCombo
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module.exports.TDCountdown = TDCountdown
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module.exports.TDLines = TDLines
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module.exports.TDRangeProjection = TDRangeProjection
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module.exports.TDDifferential = TDDifferential
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module.exports.TDOpen = TDOpen
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module.exports.TDRiskLevel = TDRiskLevel
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@@ -6607,3 +6607,785 @@ impl ZigZagNode {
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self.inner.warmup_period() as u32
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}
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}
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// ============================== TD Setup ==============================
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#[napi(js_name = "TDSetup")]
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pub struct TdSetupNode {
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inner: wc::TdSetup,
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}
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#[napi]
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impl TdSetupNode {
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#[napi(constructor)]
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pub fn new(lookback: u32, target: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::TdSetup::new(lookback as usize, target 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(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(cnd(high, low, close, 0.0)?))
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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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high: Vec<f64>,
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low: Vec<f64>,
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close: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if high.len() != low.len() || low.len() != close.len() {
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return Err(NapiError::from_reason(
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"high, low, close must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(high.len());
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for i in 0..high.len() {
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out.push(
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self.inner
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.update(cnd(high[i], low[i], close[i], 0.0)?)
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.unwrap_or(f64::NAN),
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);
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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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// ============================== TD Sequential ==============================
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/// TD Sequential output triple: setup count, countdown count, direction.
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#[napi(object)]
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pub struct TdSequentialValue {
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pub setup: f64,
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pub countdown: f64,
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pub direction: f64,
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}
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#[napi(js_name = "TDSequential")]
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pub struct TdSequentialNode {
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inner: wc::TdSequential,
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}
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#[napi]
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impl TdSequentialNode {
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#[napi(constructor)]
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pub fn new(
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setup_lookback: u32,
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setup_target: u32,
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countdown_lookback: u32,
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countdown_target: u32,
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) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::TdSequential::new(
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setup_lookback as usize,
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setup_target as usize,
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countdown_lookback as usize,
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countdown_target as usize,
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)
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.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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high: f64,
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low: f64,
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close: f64,
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) -> napi::Result<Option<TdSequentialValue>> {
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Ok(self
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.inner
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.update(cnd(high, low, close, 0.0)?)
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.map(|o| TdSequentialValue {
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setup: o.setup,
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countdown: o.countdown,
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direction: o.direction,
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}))
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}
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/// Batch returns a flat array `[setup0, countdown0, direction0, setup1, ...]`.
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#[napi]
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pub fn batch(
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&mut self,
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high: Vec<f64>,
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low: Vec<f64>,
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close: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if high.len() != low.len() || low.len() != close.len() {
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return Err(NapiError::from_reason(
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"high, low, close must be equal length".to_string(),
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));
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}
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let n = high.len();
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let mut out = vec![f64::NAN; n * 3];
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for i in 0..n {
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if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
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out[i * 3] = o.setup;
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out[i * 3 + 1] = o.countdown;
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out[i * 3 + 2] = o.direction;
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}
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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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// ============================== TD DeMarker ==============================
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#[napi(js_name = "TDDeMarker")]
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pub struct TdDeMarkerNode {
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inner: wc::TdDeMarker,
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}
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#[napi]
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impl TdDeMarkerNode {
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#[napi(constructor)]
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pub fn new(period: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::TdDeMarker::new(period 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(&mut self, high: f64, low: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(cnd(high, low, low, 0.0)?))
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}
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#[napi]
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pub fn batch(&mut self, high: Vec<f64>, low: Vec<f64>) -> napi::Result<Vec<f64>> {
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if high.len() != low.len() {
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return Err(NapiError::from_reason(
|
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"high and low must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(high.len());
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for i in 0..high.len() {
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out.push(
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self.inner
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.update(cnd(high[i], low[i], low[i], 0.0)?)
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.unwrap_or(f64::NAN),
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);
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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")]
|
||||
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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD REI ==============================
|
||||
|
||||
#[napi(js_name = "TDREI")]
|
||||
pub struct TdReiNode {
|
||||
inner: wc::TdRei,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdReiNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(period: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::TdRei::new(period as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(&mut self, high: f64, low: f64) -> napi::Result<Option<f64>> {
|
||||
Ok(self.inner.update(cnd(high, low, low, 0.0)?))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(&mut self, high: Vec<f64>, low: Vec<f64>) -> napi::Result<Vec<f64>> {
|
||||
if high.len() != low.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"high and low must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(high.len());
|
||||
for i in 0..high.len() {
|
||||
out.push(
|
||||
self.inner
|
||||
.update(cnd(high[i], low[i], low[i], 0.0)?)
|
||||
.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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Pressure ==============================
|
||||
|
||||
#[napi(js_name = "TDPressure")]
|
||||
pub struct TdPressureNode {
|
||||
inner: wc::TdPressure,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdPressureNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(period: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::TdPressure::new(period as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
volume: f64,
|
||||
) -> napi::Result<Option<f64>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, volume, 0).map_err(map_err)?;
|
||||
Ok(self.inner.update(candle))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
volume: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if open.len() != high.len()
|
||||
|| high.len() != low.len()
|
||||
|| low.len() != close.len()
|
||||
|| close.len() != volume.len()
|
||||
{
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close, volume must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(open.len());
|
||||
for i in 0..open.len() {
|
||||
let candle = wc::Candle::new(open[i], high[i], low[i], close[i], volume[i], 0)
|
||||
.map_err(map_err)?;
|
||||
out.push(self.inner.update(candle).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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Combo ==============================
|
||||
|
||||
#[napi(js_name = "TDCombo")]
|
||||
pub struct TdComboNode {
|
||||
inner: wc::TdCombo,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdComboNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(
|
||||
setup_lookback: u32,
|
||||
setup_target: u32,
|
||||
countdown_lookback: u32,
|
||||
countdown_target: u32,
|
||||
) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::TdCombo::new(
|
||||
setup_lookback as usize,
|
||||
setup_target as usize,
|
||||
countdown_lookback as usize,
|
||||
countdown_target as usize,
|
||||
)
|
||||
.map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
|
||||
Ok(self.inner.update(cnd(high, low, close, 0.0)?))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(high.len());
|
||||
for i in 0..high.len() {
|
||||
out.push(
|
||||
self.inner
|
||||
.update(cnd(high[i], low[i], close[i], 0.0)?)
|
||||
.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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Countdown ==============================
|
||||
|
||||
#[napi(js_name = "TDCountdown")]
|
||||
pub struct TdCountdownNode {
|
||||
inner: wc::TdCountdown,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdCountdownNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(
|
||||
setup_lookback: u32,
|
||||
setup_target: u32,
|
||||
countdown_lookback: u32,
|
||||
countdown_target: u32,
|
||||
) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::TdCountdown::new(
|
||||
setup_lookback as usize,
|
||||
setup_target as usize,
|
||||
countdown_lookback as usize,
|
||||
countdown_target as usize,
|
||||
)
|
||||
.map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
|
||||
Ok(self.inner.update(cnd(high, low, close, 0.0)?))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(high.len());
|
||||
for i in 0..high.len() {
|
||||
out.push(
|
||||
self.inner
|
||||
.update(cnd(high[i], low[i], close[i], 0.0)?)
|
||||
.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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Lines ==============================
|
||||
|
||||
/// TD Lines output pair: latest TDST resistance / support (NaN if unset).
|
||||
#[napi(object)]
|
||||
pub struct TdLinesValue {
|
||||
pub resistance: f64,
|
||||
pub support: f64,
|
||||
}
|
||||
|
||||
#[napi(js_name = "TDLines")]
|
||||
pub struct TdLinesNode {
|
||||
inner: wc::TdLines,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdLinesNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(lookback: u32, target: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::TdLines::new(lookback as usize, target as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
) -> napi::Result<Option<TdLinesValue>> {
|
||||
Ok(self
|
||||
.inner
|
||||
.update(cnd(high, low, close, 0.0)?)
|
||||
.map(|o| TdLinesValue {
|
||||
resistance: o.resistance,
|
||||
support: o.support,
|
||||
}))
|
||||
}
|
||||
/// Batch returns a flat array `[resistance0, support0, resistance1, ...]`.
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let n = high.len();
|
||||
let mut out = vec![f64::NAN; n * 2];
|
||||
for i in 0..n {
|
||||
if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
|
||||
out[i * 2] = o.resistance;
|
||||
out[i * 2 + 1] = o.support;
|
||||
}
|
||||
}
|
||||
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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Range Projection ==============================
|
||||
|
||||
/// TD Range Projection output pair: projected next-bar high / low.
|
||||
#[napi(object)]
|
||||
pub struct TdRangeProjectionValue {
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
}
|
||||
|
||||
#[napi(js_name = "TDRangeProjection")]
|
||||
pub struct TdRangeProjectionNode {
|
||||
inner: wc::TdRangeProjection,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdRangeProjectionNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::TdRangeProjection::new(),
|
||||
}
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
) -> napi::Result<Option<TdRangeProjectionValue>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, 0.0, 0).map_err(map_err)?;
|
||||
Ok(self.inner.update(candle).map(|o| TdRangeProjectionValue {
|
||||
high: o.high,
|
||||
low: o.low,
|
||||
}))
|
||||
}
|
||||
/// Batch returns a flat array `[high0, low0, high1, low1, ...]`.
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if open.len() != high.len() || high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let n = open.len();
|
||||
let mut out = vec![f64::NAN; n * 2];
|
||||
for i in 0..n {
|
||||
let candle =
|
||||
wc::Candle::new(open[i], high[i], low[i], close[i], 0.0, 0).map_err(map_err)?;
|
||||
if let Some(p) = self.inner.update(candle) {
|
||||
out[i * 2] = p.high;
|
||||
out[i * 2 + 1] = p.low;
|
||||
}
|
||||
}
|
||||
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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Differential ==============================
|
||||
|
||||
#[napi(js_name = "TDDifferential")]
|
||||
pub struct TdDifferentialNode {
|
||||
inner: wc::TdDifferential,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdDifferentialNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::TdDifferential::new(),
|
||||
}
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
|
||||
Ok(self.inner.update(cnd(high, low, close, 0.0)?))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(high.len());
|
||||
for i in 0..high.len() {
|
||||
out.push(
|
||||
self.inner
|
||||
.update(cnd(high[i], low[i], close[i], 0.0)?)
|
||||
.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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Open ==============================
|
||||
|
||||
#[napi(js_name = "TDOpen")]
|
||||
pub struct TdOpenNode {
|
||||
inner: wc::TdOpen,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdOpenNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::TdOpen::new(),
|
||||
}
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
open: f64,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
) -> napi::Result<Option<f64>> {
|
||||
let candle = wc::Candle::new(open, high, low, close, 0.0, 0).map_err(map_err)?;
|
||||
Ok(self.inner.update(candle))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
open: Vec<f64>,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if open.len() != high.len() || high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"open, high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(open.len());
|
||||
for i in 0..open.len() {
|
||||
let candle =
|
||||
wc::Candle::new(open[i], high[i], low[i], close[i], 0.0, 0).map_err(map_err)?;
|
||||
out.push(self.inner.update(candle).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
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== TD Risk Level ==============================
|
||||
|
||||
/// TD Risk Level output pair: buy-side / sell-side protective stop levels
|
||||
/// (NaN if unset).
|
||||
#[napi(object)]
|
||||
pub struct TdRiskLevelValue {
|
||||
pub buy_risk: f64,
|
||||
pub sell_risk: f64,
|
||||
}
|
||||
|
||||
#[napi(js_name = "TDRiskLevel")]
|
||||
pub struct TdRiskLevelNode {
|
||||
inner: wc::TdRiskLevel,
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl TdRiskLevelNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new(lookback: u32, target: u32) -> napi::Result<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::TdRiskLevel::new(lookback as usize, target as usize).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(
|
||||
&mut self,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
) -> napi::Result<Option<TdRiskLevelValue>> {
|
||||
Ok(self
|
||||
.inner
|
||||
.update(cnd(high, low, close, 0.0)?)
|
||||
.map(|o| TdRiskLevelValue {
|
||||
buy_risk: o.buy_risk,
|
||||
sell_risk: o.sell_risk,
|
||||
}))
|
||||
}
|
||||
/// Batch returns a flat array `[buyRisk0, sellRisk0, buyRisk1, ...]`.
|
||||
#[napi]
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
high: Vec<f64>,
|
||||
low: Vec<f64>,
|
||||
close: Vec<f64>,
|
||||
) -> napi::Result<Vec<f64>> {
|
||||
if high.len() != low.len() || low.len() != close.len() {
|
||||
return Err(NapiError::from_reason(
|
||||
"high, low, close must be equal length".to_string(),
|
||||
));
|
||||
}
|
||||
let n = high.len();
|
||||
let mut out = vec![f64::NAN; n * 2];
|
||||
for i in 0..n {
|
||||
if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
|
||||
out[i * 2] = o.buy_risk;
|
||||
out[i * 2 + 1] = o.sell_risk;
|
||||
}
|
||||
}
|
||||
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
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user