feat: add Market Breadth family with CrossSection input (#153)
## What Adds a new indicator input type and family for **market-breadth** analysis — indicators that aggregate the state of an entire universe of symbols at each tick, rather than a single instrument's price. This is the last open input-type on the expansion roadmap (S10) and unblocks the remaining breadth indicators (McClellan, TRIN, High-Low Index, ...). ## Core - **`CrossSection` input type** (`crates/wickra-core/src/cross_section.rs`) — one tick carrying the per-symbol state of the whole universe as a `Vec<Member>` + `timestamp`. Each `Member` precomputes a signed `change` (sign classifies advancing / declining / unchanged), a `volume`, and `new_high` / `new_low` extreme flags, so the breadth indicators stay stateless per tick. Both `Member` and `CrossSection` are `#[non_exhaustive]` for additive field growth. `CrossSection::new` validates the universe (non-empty, finite changes, finite non-negative volumes); `new_unchecked` skips validation for hot paths. `advancers()` / `decliners()` count by sign. - **`Error::InvalidCrossSection`** variant for the validation failures. - **`AdvanceDecline`** (`advance_decline.rs`) — the Advance/Decline Line: the running cumulative sum of net advancing-minus-declining issues. `Input = CrossSection`, `Output = f64`, ready after the first tick. - New **"Market Breadth"** `FAMILIES` group; indicator count **314 → 315**, family count nineteen → twenty. ## Bindings All custom (CrossSection is non-scalar, so no macros apply). The universe crosses each boundary as parallel arrays (`change`, `volume`, `new_high`, `new_low`): - **Python / Node** expose `update` + `batch` (one array group per tick). Node satisfies the completeness contract (`update`/`batch`/`reset`/`isReady`/`warmupPeriod`). - **WASM** exposes only `update` (the universe is ragged across ticks, matching the other multi-input wasm indicators) with numeric high/low flags. - Python `map_err` gains the new error arm; `__init__.py` gets a `# Market Breadth` section in both the import and `__all__` blocks. `index.d.ts` / `index.js` regenerated. ## Tests / Fuzz - Dedicated **streaming-vs-batch + reference-value + ragged-rejection** tests in Python (`test_new_indicators.py`) and Node (`indicators.test.js`) — kept out of the scalar/candle parametrize lists. - Rust unit tests cover every reject branch (empty / non-finite change / negative & non-finite volume) and every indicator branch. - New fuzz target `indicator_update_crosssection` drives `AdvanceDecline` over bounded ragged universes built with `new_unchecked`. ## Verify - `cargo fmt --all` clean - `cargo test -p wickra-core --lib` → 2593 passed; `--doc` → 298 passed - `cargo clippy --workspace --all-targets --all-features -- -D warnings` clean - `cd bindings/node && npm run build && npm test` → 398 passed - `maturin develop --release` + `pytest bindings/python/tests` → all passed - counter check: mod-count 315 == lib-block 315
This commit is contained in:
kingchenc
@@ -7,6 +7,17 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
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## [Unreleased]
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### Added
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- **Market Breadth family** — a new indicator family built on a new
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`CrossSection` input type that carries the per-symbol state of an entire
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universe in one tick (each `Member` holds a signed `change`, a `volume`, and
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`new_high` / `new_low` flags). `CrossSection::new` validates the universe
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(non-empty, finite changes, finite non-negative volumes); `new_unchecked`
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skips validation for hot paths.
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- `AdvanceDecline` (`ADVANCE_DECLINE`) — the Advance/Decline Line, the running
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cumulative sum of net advancing-minus-declining issues across the universe.
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## [0.4.6] - 2026-06-03
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### Added
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@@ -1,5 +1,5 @@
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<p align="center">
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<a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=314" alt="Wickra — streaming-first technical indicators" width="100%"></a>
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<a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=315" alt="Wickra — streaming-first technical indicators" width="100%"></a>
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</p>
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[](https://github.com/wickra-lib/wickra/actions/workflows/ci.yml)
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@@ -47,7 +47,7 @@ Full documentation lives at **[docs.wickra.org](https://docs.wickra.org)**:
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[Node](https://docs.wickra.org/Quickstart-Node),
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[WASM](https://docs.wickra.org/Quickstart-WASM).
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- **Indicators** — a per-indicator deep dive (formula, parameters, warmup) for
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every one of the 314 indicators; start at the
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every one of the 315 indicators; start at the
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[indicators overview](https://docs.wickra.org/Indicators-Overview).
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- **Reference** — [warmup periods](https://docs.wickra.org/Warmup-Periods),
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[streaming vs batch](https://docs.wickra.org/Streaming-vs-Batch),
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@@ -135,7 +135,7 @@ python -m benchmarks.compare_libraries
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## Indicators
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314 streaming-first indicators across nineteen families. Every one passes the
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315 streaming-first indicators across twenty families. Every one passes the
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`batch == streaming` equivalence test, reference-value tests, and reset
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semantics tests. Each has a per-indicator deep dive (formula, parameters,
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warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
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@@ -160,6 +160,7 @@ warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
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| Microstructure | Order-Book Imbalance (Top-1 / Top-N / Full), Microprice, Quoted Spread, Depth Slope, Signed Volume, Cumulative Volume Delta, Trade Imbalance, Effective Spread, Realized Spread, Kyle's Lambda, Footprint |
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| Derivatives | Funding Rate, Funding Rate Mean, Funding Rate Z-Score, Funding Basis, Open-Interest Delta, OI / Price Divergence, OI-Weighted Price, Long/Short Ratio, Taker Buy/Sell Ratio, Liquidation Features, Term-Structure Basis, Calendar Spread |
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| Market Profile | Value Area (POC / VAH / VAL), Volume Profile (histogram), TPO Profile, Initial Balance, Opening Range |
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| Market Breadth | Advance/Decline Line |
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| Risk / Performance | Sharpe Ratio, Sortino Ratio, Calmar Ratio, Omega Ratio, Max Drawdown, Average Drawdown, Drawdown Duration, Pain Index, Value at Risk, Conditional Value at Risk (CVaR), Profit Factor, Gain/Loss Ratio, Recovery Factor, Kelly Criterion, Treynor Ratio, Information Ratio, Alpha (Jensen) |
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Every candlestick pattern emits a signed per-bar value — `+1.0` bullish,
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@@ -239,7 +240,7 @@ A Python live-trading example using the public `websockets` package lives at
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```
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wickra/
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├── crates/
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│ ├── wickra-core/ core engine + all 314 indicators
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│ ├── wickra-core/ core engine + all 315 indicators
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│ ├── wickra/ top-level facade crate (publishes on crates.io) + benches/
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│ └── wickra-data/ CSV reader, tick aggregator, live exchange feeds
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├── bindings/
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@@ -1202,6 +1202,39 @@ test('derivatives reject bad input', () => {
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assert.throws(() => new wickra.FundingBasis().update(100, 0));
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});
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test('market breadth: AdvanceDecline reference values', () => {
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// A breadth tick is the universe as parallel arrays; the sign of `change`
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// classifies each symbol as advancing / declining / unchanged.
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const change = [
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[1.0, 0.5, 2.0, -1.0], // 3 up, 1 down -> net +2
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[-1.0, -0.5, -2.0, 1.0], // 1 up, 3 down -> net -2
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[0.0, 0.0, 1.0, -1.0], // 1 up, 1 down -> net 0
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];
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const volume = change.map((row) => row.map(() => 10.0));
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const flags = change.map((row) => row.map(() => false));
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const ad = new wickra.AdvanceDecline();
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// Cumulative line: +2 -> 0 -> 0.
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assert.equal(ad.update(change[0], volume[0], flags[0], flags[0]), 2.0);
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assert.equal(ad.update(change[1], volume[1], flags[1], flags[1]), 0.0);
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assert.equal(ad.update(change[2], volume[2], flags[2], flags[2]), 0.0);
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// batch matches streaming.
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const batch = new wickra.AdvanceDecline().batch(change, volume, flags, flags);
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assert.deepEqual(Array.from(batch), [2.0, 0.0, 0.0]);
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});
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test('market breadth: AdvanceDecline rejects ragged universe', () => {
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assert.throws(() =>
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new wickra.AdvanceDecline().update(
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[1.0, -1.0],
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[10.0],
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[false, false],
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[false, false],
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),
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);
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});
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test('OI / flow / liquidation indicators reference values', () => {
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// OI +10% while price flat -> divergence +0.1.
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const div = new wickra.OIPriceDivergence(1);
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Vendored
+9
@@ -3084,6 +3084,15 @@ export declare class CalendarSpread {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type AdvanceDeclineNode = AdvanceDecline
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export declare class AdvanceDecline {
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constructor()
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update(change: Array<number>, volume: Array<number>, newHigh: Array<boolean>, newLow: Array<boolean>): number | null
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batch(change: Array<Array<number>>, volume: Array<Array<number>>, newHigh: Array<Array<boolean>>, newLow: Array<Array<boolean>>): 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, MIDPOINT, ROCP, ROCR, ROCR100, LINEARREG_INTERCEPT, TSF, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, MACD, MACDFIX, MACDEXT, BollingerBands, ATR, PLUS_DM, MINUS_DM, PLUS_DI, MINUS_DI, DX, MIDPRICE, AVGPRICE, SAREXT, HT_PHASOR, 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, AnchoredRSI, 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, HT_DCPHASE, HT_TRENDMODE, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, VolumeProfile, TpoProfile, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, TwoCrows, UpsideGapTwoCrows, IdenticalThreeCrows, ThreeLineStrike, ThreeStarsInSouth, AbandonedBaby, AdvanceBlock, BeltHold, Breakaway, Counterattack, DojiStar, DragonflyDoji, GravestoneDoji, LongLeggedDoji, RickshawMan, EveningDojiStar, MorningDojiStar, GapSideBySideWhite, HighWave, Hikkake, HikkakeModified, HomingPigeon, OnNeck, InNeck, Thrusting, SeparatingLines, Kicking, KickingByLength, LadderBottom, MatHold, MatchingLow, LongLine, ShortLine, RisingThreeMethods, FallingThreeMethods, UpsideGapThreeMethods, DownsideGapThreeMethods, StalledPattern, StickSandwich, Takuri, ClosingMarubozu, OpeningMarubozu, TasukiGap, UniqueThreeRiver, ConcealingBabySwallow, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, OIPriceDivergence, OIWeighted, LongShortRatio, TakerBuySellRatio, LiquidationFeatures, TermStructureBasis, CalendarSpread, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, RenkoBars, KagiBars, PointAndFigureBars, 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, MIDPOINT, ROCP, ROCR, ROCR100, LINEARREG_INTERCEPT, TSF, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, MACD, MACDFIX, MACDEXT, BollingerBands, ATR, PLUS_DM, MINUS_DM, PLUS_DI, MINUS_DI, DX, MIDPRICE, AVGPRICE, SAREXT, HT_PHASOR, 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, AnchoredRSI, 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, HT_DCPHASE, HT_TRENDMODE, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, VolumeProfile, TpoProfile, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, TwoCrows, UpsideGapTwoCrows, IdenticalThreeCrows, ThreeLineStrike, ThreeStarsInSouth, AbandonedBaby, AdvanceBlock, BeltHold, Breakaway, Counterattack, DojiStar, DragonflyDoji, GravestoneDoji, LongLeggedDoji, RickshawMan, EveningDojiStar, MorningDojiStar, GapSideBySideWhite, HighWave, Hikkake, HikkakeModified, HomingPigeon, OnNeck, InNeck, Thrusting, SeparatingLines, Kicking, KickingByLength, LadderBottom, MatHold, MatchingLow, LongLine, ShortLine, RisingThreeMethods, FallingThreeMethods, UpsideGapThreeMethods, DownsideGapThreeMethods, StalledPattern, StickSandwich, Takuri, ClosingMarubozu, OpeningMarubozu, TasukiGap, UniqueThreeRiver, ConcealingBabySwallow, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, OIPriceDivergence, OIWeighted, LongShortRatio, TakerBuySellRatio, LiquidationFeatures, TermStructureBasis, CalendarSpread, AdvanceDecline, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, RenkoBars, KagiBars, PointAndFigureBars, Alpha } = nativeBinding
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module.exports.version = version
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module.exports.SMA = SMA
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@@ -607,6 +607,7 @@ module.exports.TakerBuySellRatio = TakerBuySellRatio
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module.exports.LiquidationFeatures = LiquidationFeatures
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module.exports.TermStructureBasis = TermStructureBasis
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module.exports.CalendarSpread = CalendarSpread
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module.exports.AdvanceDecline = AdvanceDecline
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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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@@ -11168,6 +11168,100 @@ impl CalendarSpreadNode {
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}
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}
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// ---------- Market Breadth (CrossSection input) ----------
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//
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// A breadth tick is the per-symbol state of the whole universe, passed as four
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// equal-length parallel arrays (`change`, `volume`, `newHigh`, `newLow`).
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// `batch` takes one such group of arrays per tick.
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fn build_cross_section(
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change: &[f64],
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volume: &[f64],
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new_high: &[bool],
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new_low: &[bool],
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) -> napi::Result<wc::CrossSection> {
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if change.len() != volume.len()
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|| change.len() != new_high.len()
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|| change.len() != new_low.len()
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{
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return Err(NapiError::from_reason(
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"change, volume, newHigh and newLow must be equal length".to_string(),
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));
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}
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let members = (0..change.len())
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.map(|i| wc::Member::new(change[i], volume[i], new_high[i], new_low[i]))
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.collect();
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wc::CrossSection::new(members, 0).map_err(map_err)
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}
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#[napi(js_name = "AdvanceDecline")]
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pub struct AdvanceDeclineNode {
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inner: wc::AdvanceDecline,
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}
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impl Default for AdvanceDeclineNode {
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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 AdvanceDeclineNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::AdvanceDecline::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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change: Vec<f64>,
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volume: Vec<f64>,
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new_high: Vec<bool>,
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new_low: Vec<bool>,
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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_cross_section(&change, &volume, &new_high, &new_low)?))
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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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change: Vec<Vec<f64>>,
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volume: Vec<Vec<f64>>,
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new_high: Vec<Vec<bool>>,
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new_low: Vec<Vec<bool>>,
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) -> napi::Result<Vec<f64>> {
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if change.len() != volume.len()
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|| change.len() != new_high.len()
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|| change.len() != new_low.len()
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{
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return Err(NapiError::from_reason(
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"change, volume, newHigh and newLow must have the same number of ticks".to_string(),
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));
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}
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let mut out = Vec::with_capacity(change.len());
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for i in 0..change.len() {
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let section = build_cross_section(&change[i], &volume[i], &new_high[i], &new_low[i])?;
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out.push(self.inner.update(section).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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}
|
||||
#[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
|
||||
|
||||
@@ -341,6 +341,8 @@ from ._wickra import (
|
||||
LiquidationFeatures,
|
||||
TermStructureBasis,
|
||||
CalendarSpread,
|
||||
# Market Breadth
|
||||
AdvanceDecline,
|
||||
# Risk / Performance
|
||||
SharpeRatio,
|
||||
SortinoRatio,
|
||||
@@ -679,6 +681,8 @@ __all__ = [
|
||||
"LiquidationFeatures",
|
||||
"TermStructureBasis",
|
||||
"CalendarSpread",
|
||||
# Market Breadth
|
||||
"AdvanceDecline",
|
||||
# Risk / Performance
|
||||
"SharpeRatio",
|
||||
"SortinoRatio",
|
||||
|
||||
@@ -29,7 +29,8 @@ fn map_err(e: wc::Error) -> PyErr {
|
||||
| wc::Error::InvalidTick { .. }
|
||||
| wc::Error::InvalidOrderBook { .. }
|
||||
| wc::Error::InvalidTrade { .. }
|
||||
| wc::Error::InvalidDerivatives { .. } => PyValueError::new_err(e.to_string()),
|
||||
| wc::Error::InvalidDerivatives { .. }
|
||||
| wc::Error::InvalidCrossSection { .. } => PyValueError::new_err(e.to_string()),
|
||||
}
|
||||
}
|
||||
|
||||
@@ -14383,6 +14384,101 @@ impl PyCalendarSpread {
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Market Breadth ==============================
|
||||
//
|
||||
// Market-breadth indicators consume a `CrossSection`: one tick carrying the
|
||||
// per-symbol state of the whole universe. The Python convention passes a tick as
|
||||
// four equal-length parallel arrays (`change`, `volume`, `new_high`, `new_low`);
|
||||
// `batch` takes one such group of arrays per tick.
|
||||
|
||||
fn build_cross_section(
|
||||
change: &[f64],
|
||||
volume: &[f64],
|
||||
new_high: &[bool],
|
||||
new_low: &[bool],
|
||||
) -> PyResult<wc::CrossSection> {
|
||||
if change.len() != volume.len()
|
||||
|| change.len() != new_high.len()
|
||||
|| change.len() != new_low.len()
|
||||
{
|
||||
return Err(PyValueError::new_err(
|
||||
"change, volume, new_high and new_low must be equal length",
|
||||
));
|
||||
}
|
||||
let members = (0..change.len())
|
||||
.map(|i| wc::Member::new(change[i], volume[i], new_high[i], new_low[i]))
|
||||
.collect();
|
||||
wc::CrossSection::new(members, 0).map_err(map_err)
|
||||
}
|
||||
|
||||
// AdvanceDecline takes no parameters; streaming `update(change, volume, new_high,
|
||||
// new_low)` over one universe, `batch` over one such array group per tick.
|
||||
#[pyclass(
|
||||
name = "AdvanceDecline",
|
||||
module = "wickra._wickra",
|
||||
skip_from_py_object
|
||||
)]
|
||||
#[derive(Clone)]
|
||||
struct PyAdvanceDecline {
|
||||
inner: wc::AdvanceDecline,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyAdvanceDecline {
|
||||
#[new]
|
||||
fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::AdvanceDecline::new(),
|
||||
}
|
||||
}
|
||||
fn update(
|
||||
&mut self,
|
||||
change: Vec<f64>,
|
||||
volume: Vec<f64>,
|
||||
new_high: Vec<bool>,
|
||||
new_low: Vec<bool>,
|
||||
) -> PyResult<Option<f64>> {
|
||||
Ok(self
|
||||
.inner
|
||||
.update(build_cross_section(&change, &volume, &new_high, &new_low)?))
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
change: Vec<Vec<f64>>,
|
||||
volume: Vec<Vec<f64>>,
|
||||
new_high: Vec<Vec<bool>>,
|
||||
new_low: Vec<Vec<bool>>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
if change.len() != volume.len()
|
||||
|| change.len() != new_high.len()
|
||||
|| change.len() != new_low.len()
|
||||
{
|
||||
return Err(PyValueError::new_err(
|
||||
"change, volume, new_high and new_low must have the same number of ticks",
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(change.len());
|
||||
for i in 0..change.len() {
|
||||
let section = build_cross_section(&change[i], &volume[i], &new_high[i], &new_low[i])?;
|
||||
out.push(self.inner.update(section).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
"AdvanceDecline()".to_string()
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Family 15: Risk / Performance ==============================
|
||||
|
||||
#[pyclass(name = "SharpeRatio", module = "wickra._wickra", skip_from_py_object)]
|
||||
@@ -15776,6 +15872,7 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
|
||||
m.add_class::<PyLiquidationFeatures>()?;
|
||||
m.add_class::<PyTermStructureBasis>()?;
|
||||
m.add_class::<PyCalendarSpread>()?;
|
||||
m.add_class::<PyAdvanceDecline>()?;
|
||||
// Family 15: Risk / Performance metrics.
|
||||
m.add_class::<PySharpeRatio>()?;
|
||||
m.add_class::<PySortinoRatio>()?;
|
||||
|
||||
@@ -2659,6 +2659,38 @@ def test_funding_indicators_streaming_equals_batch():
|
||||
assert _eq_nan(batch, streamed)
|
||||
|
||||
|
||||
def test_advance_decline_streaming_equals_batch():
|
||||
# Three ticks over a universe of four symbols; the sign of `change`
|
||||
# classifies each symbol as advancing / declining / unchanged.
|
||||
change = [
|
||||
[1.0, 0.5, 2.0, -1.0], # 3 up, 1 down -> net +2
|
||||
[-1.0, -0.5, -2.0, 1.0], # 1 up, 3 down -> net -2
|
||||
[0.0, 0.0, 1.0, -1.0], # 1 up, 1 down -> net 0
|
||||
]
|
||||
volume = [[10.0] * 4 for _ in range(3)]
|
||||
new_high = [[False] * 4 for _ in range(3)]
|
||||
new_low = [[False] * 4 for _ in range(3)]
|
||||
batch = ta.AdvanceDecline().batch(change, volume, new_high, new_low)
|
||||
streamer = ta.AdvanceDecline()
|
||||
streamed = np.array(
|
||||
[
|
||||
streamer.update(change[i], volume[i], new_high[i], new_low[i])
|
||||
for i in range(3)
|
||||
],
|
||||
dtype=np.float64,
|
||||
)
|
||||
assert batch.shape == (3,)
|
||||
assert _eq_nan(batch, streamed)
|
||||
# Cumulative line: +2 -> 0 -> 0.
|
||||
assert list(batch) == [2.0, 0.0, 0.0]
|
||||
|
||||
|
||||
def test_advance_decline_rejects_ragged_universe():
|
||||
ad = ta.AdvanceDecline()
|
||||
with pytest.raises(ValueError):
|
||||
ad.update([1.0, -1.0], [10.0], [False, False], [False, False])
|
||||
|
||||
|
||||
def test_funding_basis_streaming_equals_batch():
|
||||
n = 40
|
||||
index = np.array([100.0 + 0.5 * math.sin(i * 0.2) for i in range(n)], dtype=np.float64)
|
||||
|
||||
@@ -8143,6 +8143,78 @@ impl WasmCalendarSpread {
|
||||
}
|
||||
}
|
||||
|
||||
// ---------- Market Breadth (CrossSection input) ----------
|
||||
//
|
||||
// A breadth tick is the per-symbol state of the whole universe, passed as four
|
||||
// equal-length parallel arrays (`change`, `volume`, `newHigh`, `newLow`). The
|
||||
// high/low flag arrays are numeric (non-zero is true) so the whole tick crosses
|
||||
// the wasm boundary as `Float64Array`s. The universe is ragged across ticks, so
|
||||
// only `update` is exposed (no `batch`), matching the other multi-input wasm
|
||||
// indicators.
|
||||
|
||||
fn build_cross_section(
|
||||
change: &[f64],
|
||||
volume: &[f64],
|
||||
new_high: &[f64],
|
||||
new_low: &[f64],
|
||||
) -> Result<wc::CrossSection, JsError> {
|
||||
if change.len() != volume.len()
|
||||
|| change.len() != new_high.len()
|
||||
|| change.len() != new_low.len()
|
||||
{
|
||||
return Err(JsError::new(
|
||||
"change, volume, newHigh and newLow must be equal length",
|
||||
));
|
||||
}
|
||||
let members = (0..change.len())
|
||||
.map(|i| wc::Member::new(change[i], volume[i], new_high[i] != 0.0, new_low[i] != 0.0))
|
||||
.collect();
|
||||
wc::CrossSection::new(members, 0).map_err(map_err)
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_name = AdvanceDecline)]
|
||||
pub struct WasmAdvanceDecline {
|
||||
inner: wc::AdvanceDecline,
|
||||
}
|
||||
|
||||
impl Default for WasmAdvanceDecline {
|
||||
fn default() -> Self {
|
||||
Self::new()
|
||||
}
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = AdvanceDecline)]
|
||||
impl WasmAdvanceDecline {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new() -> WasmAdvanceDecline {
|
||||
Self {
|
||||
inner: wc::AdvanceDecline::new(),
|
||||
}
|
||||
}
|
||||
pub fn update(
|
||||
&mut self,
|
||||
change: Vec<f64>,
|
||||
volume: Vec<f64>,
|
||||
new_high: Vec<f64>,
|
||||
new_low: Vec<f64>,
|
||||
) -> Result<Option<f64>, JsError> {
|
||||
Ok(self
|
||||
.inner
|
||||
.update(build_cross_section(&change, &volume, &new_high, &new_low)?))
|
||||
}
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
#[wasm_bindgen(js_name = isReady)]
|
||||
pub fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
#[wasm_bindgen(js_name = warmupPeriod)]
|
||||
pub fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
}
|
||||
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
|
||||
@@ -0,0 +1,226 @@
|
||||
//! Cross-section value type: a market-breadth snapshot across a whole universe.
|
||||
//!
|
||||
//! A [`CrossSection`] is a single tick that carries the per-symbol state of
|
||||
//! *every* symbol in a universe at one point in time. It is the non-OHLCV input
|
||||
//! consumed by the market-breadth indicator family (advance/decline, `McClellan`,
|
||||
//! the TRIN / Arms index, the high-low index, ...), each of which aggregates the
|
||||
//! whole cross-section into a single breadth reading. This is the same
|
||||
//! one-rich-type-per-family pattern as [`DerivativesTick`] and [`OrderBook`].
|
||||
//!
|
||||
//! Each [`Member`] precomputes the per-symbol signals the breadth indicators
|
||||
//! need — a signed price `change` (whose sign classifies the symbol as
|
||||
//! advancing, declining or unchanged), the period `volume`, and the
|
||||
//! `new_high` / `new_low` extreme flags — so the indicators stay stateless per
|
||||
//! tick and never have to track per-symbol history.
|
||||
//!
|
||||
//! [`DerivativesTick`]: crate::DerivativesTick
|
||||
//! [`OrderBook`]: crate::OrderBook
|
||||
|
||||
use crate::error::{Error, Result};
|
||||
|
||||
/// One symbol's contribution to a [`CrossSection`] tick.
|
||||
///
|
||||
/// Field invariants enforced by [`CrossSection::new`] when the member is placed
|
||||
/// into a tick:
|
||||
///
|
||||
/// - `change` is finite (its sign classifies the symbol — positive is
|
||||
/// advancing, negative is declining, zero is unchanged).
|
||||
/// - `volume` is finite and non-negative.
|
||||
///
|
||||
/// `new_high` / `new_low` are caller-supplied flags marking whether the symbol
|
||||
/// printed a new period extreme; they carry no numeric invariant.
|
||||
#[non_exhaustive]
|
||||
#[derive(Debug, Clone, Copy, PartialEq)]
|
||||
pub struct Member {
|
||||
/// Price change versus the previous close. Sign classifies the symbol:
|
||||
/// positive is advancing, negative is declining, zero is unchanged.
|
||||
pub change: f64,
|
||||
/// Period volume for the symbol (finite, non-negative).
|
||||
pub volume: f64,
|
||||
/// Whether the symbol printed a new period high.
|
||||
pub new_high: bool,
|
||||
/// Whether the symbol printed a new period low.
|
||||
pub new_low: bool,
|
||||
}
|
||||
|
||||
impl Member {
|
||||
/// Assemble a cross-section member.
|
||||
///
|
||||
/// The field invariants documented on [`Member`] are validated centrally by
|
||||
/// [`CrossSection::new`] when the member is placed into a tick; this
|
||||
/// constructor only assembles the value so the `#[non_exhaustive]` struct can
|
||||
/// be built from outside the crate.
|
||||
#[must_use]
|
||||
pub const fn new(change: f64, volume: f64, new_high: bool, new_low: bool) -> Self {
|
||||
Self {
|
||||
change,
|
||||
volume,
|
||||
new_high,
|
||||
new_low,
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// A market-breadth cross-section: the per-symbol state of an entire universe at
|
||||
/// a single point in time.
|
||||
///
|
||||
/// Invariants enforced by [`new`](CrossSection::new):
|
||||
///
|
||||
/// - `members` is non-empty (a breadth reading needs at least one symbol).
|
||||
/// - every member's `change` is finite, and `volume` is finite and non-negative.
|
||||
///
|
||||
/// `timestamp` is a caller-defined epoch / resolution and is not validated.
|
||||
#[non_exhaustive]
|
||||
#[derive(Debug, Clone, PartialEq)]
|
||||
pub struct CrossSection {
|
||||
/// Per-symbol members of the universe for this tick.
|
||||
pub members: Vec<Member>,
|
||||
/// Tick timestamp (caller-defined epoch / resolution).
|
||||
pub timestamp: i64,
|
||||
}
|
||||
|
||||
impl CrossSection {
|
||||
/// Construct a cross-section, validating every member invariant.
|
||||
///
|
||||
/// # Errors
|
||||
///
|
||||
/// Returns [`Error::InvalidCrossSection`] if `members` is empty, if any
|
||||
/// member has a non-finite `change`, or if any member has a `volume` that is
|
||||
/// not a finite non-negative number.
|
||||
pub fn new(members: Vec<Member>, timestamp: i64) -> Result<Self> {
|
||||
if members.is_empty() {
|
||||
return Err(Error::InvalidCrossSection {
|
||||
message: "cross-section must contain at least one member",
|
||||
});
|
||||
}
|
||||
for member in &members {
|
||||
if !member.change.is_finite() {
|
||||
return Err(Error::InvalidCrossSection {
|
||||
message: "member change must be finite",
|
||||
});
|
||||
}
|
||||
if !member.volume.is_finite() || member.volume < 0.0 {
|
||||
return Err(Error::InvalidCrossSection {
|
||||
message: "member volume must be finite and non-negative",
|
||||
});
|
||||
}
|
||||
}
|
||||
Ok(Self { members, timestamp })
|
||||
}
|
||||
|
||||
/// Construct a cross-section without validation. The caller asserts that
|
||||
/// every invariant documented on [`CrossSection`] holds.
|
||||
#[must_use]
|
||||
pub const fn new_unchecked(members: Vec<Member>, timestamp: i64) -> Self {
|
||||
Self { members, timestamp }
|
||||
}
|
||||
|
||||
/// Number of advancing symbols (those with a strictly positive `change`).
|
||||
#[must_use]
|
||||
pub fn advancers(&self) -> usize {
|
||||
self.members.iter().filter(|m| m.change > 0.0).count()
|
||||
}
|
||||
|
||||
/// Number of declining symbols (those with a strictly negative `change`).
|
||||
#[must_use]
|
||||
pub fn decliners(&self) -> usize {
|
||||
self.members.iter().filter(|m| m.change < 0.0).count()
|
||||
}
|
||||
}
|
||||
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
|
||||
fn members() -> Vec<Member> {
|
||||
vec![
|
||||
Member::new(1.5, 100.0, true, false),
|
||||
Member::new(-0.5, 50.0, false, true),
|
||||
Member::new(0.0, 0.0, false, false),
|
||||
]
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn new_accepts_valid() {
|
||||
let cs = CrossSection::new(members(), 42).unwrap();
|
||||
assert_eq!(cs.members.len(), 3);
|
||||
assert_eq!(cs.timestamp, 42);
|
||||
assert_eq!(cs.members[0].change, 1.5);
|
||||
assert_eq!(cs.members[0].volume, 100.0);
|
||||
assert!(cs.members[0].new_high);
|
||||
assert!(cs.members[1].new_low);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn member_new_assembles_fields() {
|
||||
let m = Member::new(2.0, 10.0, true, false);
|
||||
assert_eq!(m.change, 2.0);
|
||||
assert_eq!(m.volume, 10.0);
|
||||
assert!(m.new_high);
|
||||
assert!(!m.new_low);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn new_rejects_empty() {
|
||||
assert!(matches!(
|
||||
CrossSection::new(Vec::new(), 0),
|
||||
Err(Error::InvalidCrossSection { .. })
|
||||
));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn new_rejects_non_finite_change() {
|
||||
assert!(matches!(
|
||||
CrossSection::new(vec![Member::new(f64::NAN, 10.0, false, false)], 0),
|
||||
Err(Error::InvalidCrossSection { .. })
|
||||
));
|
||||
assert!(matches!(
|
||||
CrossSection::new(vec![Member::new(f64::INFINITY, 10.0, false, false)], 0),
|
||||
Err(Error::InvalidCrossSection { .. })
|
||||
));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn new_rejects_negative_volume() {
|
||||
assert!(matches!(
|
||||
CrossSection::new(vec![Member::new(1.0, -1.0, false, false)], 0),
|
||||
Err(Error::InvalidCrossSection { .. })
|
||||
));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn new_rejects_non_finite_volume() {
|
||||
assert!(matches!(
|
||||
CrossSection::new(vec![Member::new(1.0, f64::NAN, false, false)], 0),
|
||||
Err(Error::InvalidCrossSection { .. })
|
||||
));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn new_unchecked_skips_validation() {
|
||||
let cs = CrossSection::new_unchecked(vec![Member::new(f64::NAN, -1.0, false, false)], 7);
|
||||
assert_eq!(cs.members.len(), 1);
|
||||
assert_eq!(cs.timestamp, 7);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn advancers_and_decliners_count_by_sign() {
|
||||
let cs = CrossSection::new(members(), 0).unwrap();
|
||||
assert_eq!(cs.advancers(), 1);
|
||||
assert_eq!(cs.decliners(), 1);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn unchanged_members_count_as_neither() {
|
||||
let cs = CrossSection::new(
|
||||
vec![
|
||||
Member::new(0.0, 1.0, false, false),
|
||||
Member::new(0.0, 1.0, false, false),
|
||||
],
|
||||
0,
|
||||
)
|
||||
.unwrap();
|
||||
assert_eq!(cs.advancers(), 0);
|
||||
assert_eq!(cs.decliners(), 0);
|
||||
}
|
||||
}
|
||||
@@ -52,6 +52,14 @@ pub enum Error {
|
||||
/// own variant.
|
||||
#[error("invalid derivatives tick: {message}")]
|
||||
InvalidDerivatives { message: &'static str },
|
||||
|
||||
/// A market-breadth cross-section whose members do not satisfy the
|
||||
/// cross-section invariants (an empty universe, a non-finite change, or a
|
||||
/// negative / non-finite volume) was provided. A cross-section is a
|
||||
/// breadth input distinct from candles, ticks, order books and trades, so
|
||||
/// it surfaces as its own variant.
|
||||
#[error("invalid cross-section: {message}")]
|
||||
InvalidCrossSection { message: &'static str },
|
||||
}
|
||||
|
||||
/// Convenience alias for `Result<T, wickra_core::Error>`.
|
||||
|
||||
@@ -0,0 +1,168 @@
|
||||
//! Advance/Decline Line — cumulative net advancing-minus-declining issues.
|
||||
|
||||
use crate::cross_section::CrossSection;
|
||||
use crate::traits::Indicator;
|
||||
|
||||
/// Advance/Decline Line (A/D Line) — the running cumulative sum of net advancing
|
||||
/// issues across a universe.
|
||||
///
|
||||
/// On each [`CrossSection`] tick the net breadth is `advancers - decliners`:
|
||||
/// the number of symbols with a positive price change minus the number with a
|
||||
/// negative change (unchanged symbols are ignored). The line accumulates this
|
||||
/// net value over time, so a rising line means advancers have persistently
|
||||
/// outnumbered decliners — broad participation — while a falling line warns that
|
||||
/// a rally is being carried by fewer and fewer names (a breadth divergence when
|
||||
/// the index itself is still rising).
|
||||
///
|
||||
/// `Input = CrossSection`, `Output = f64`. The line is defined from the very
|
||||
/// first tick, so `warmup_period == 1` and the indicator is ready after one
|
||||
/// update.
|
||||
///
|
||||
/// # Example
|
||||
///
|
||||
/// ```
|
||||
/// use wickra_core::{AdvanceDecline, CrossSection, Indicator, Member};
|
||||
///
|
||||
/// let mut ad = AdvanceDecline::new();
|
||||
/// // 3 advancers, 1 decliner -> net +2.
|
||||
/// let tick = CrossSection::new(
|
||||
/// vec![
|
||||
/// Member::new(1.0, 10.0, false, false),
|
||||
/// Member::new(0.5, 10.0, false, false),
|
||||
/// Member::new(2.0, 10.0, false, false),
|
||||
/// Member::new(-1.0, 10.0, false, false),
|
||||
/// ],
|
||||
/// 0,
|
||||
/// )
|
||||
/// .unwrap();
|
||||
/// assert_eq!(ad.update(tick), Some(2.0));
|
||||
/// ```
|
||||
#[derive(Debug, Clone, Default)]
|
||||
pub struct AdvanceDecline {
|
||||
line: f64,
|
||||
has_emitted: bool,
|
||||
}
|
||||
|
||||
impl AdvanceDecline {
|
||||
/// Construct a new Advance/Decline Line indicator.
|
||||
#[must_use]
|
||||
pub const fn new() -> Self {
|
||||
Self {
|
||||
line: 0.0,
|
||||
has_emitted: false,
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
impl Indicator for AdvanceDecline {
|
||||
type Input = CrossSection;
|
||||
type Output = f64;
|
||||
|
||||
fn update(&mut self, section: CrossSection) -> Option<f64> {
|
||||
let net = section.advancers() as f64 - section.decliners() as f64;
|
||||
self.line += net;
|
||||
self.has_emitted = true;
|
||||
Some(self.line)
|
||||
}
|
||||
|
||||
fn reset(&mut self) {
|
||||
self.line = 0.0;
|
||||
self.has_emitted = false;
|
||||
}
|
||||
|
||||
fn warmup_period(&self) -> usize {
|
||||
1
|
||||
}
|
||||
|
||||
fn is_ready(&self) -> bool {
|
||||
self.has_emitted
|
||||
}
|
||||
|
||||
fn name(&self) -> &'static str {
|
||||
"AdvanceDecline"
|
||||
}
|
||||
}
|
||||
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
use crate::cross_section::Member;
|
||||
use crate::traits::BatchExt;
|
||||
|
||||
/// Build a cross-section with `up` advancers, `down` decliners and `flat`
|
||||
/// unchanged symbols.
|
||||
fn section(up: usize, down: usize, flat: usize) -> CrossSection {
|
||||
let mut members = Vec::new();
|
||||
for _ in 0..up {
|
||||
members.push(Member::new(1.0, 10.0, false, false));
|
||||
}
|
||||
for _ in 0..down {
|
||||
members.push(Member::new(-1.0, 10.0, false, false));
|
||||
}
|
||||
for _ in 0..flat {
|
||||
members.push(Member::new(0.0, 10.0, false, false));
|
||||
}
|
||||
CrossSection::new(members, 0).unwrap()
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn accessors_and_metadata() {
|
||||
let ad = AdvanceDecline::new();
|
||||
assert_eq!(ad.name(), "AdvanceDecline");
|
||||
assert_eq!(ad.warmup_period(), 1);
|
||||
assert!(!ad.is_ready());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn first_tick_emits_net_breadth() {
|
||||
let mut ad = AdvanceDecline::new();
|
||||
assert_eq!(ad.update(section(3, 1, 0)), Some(2.0));
|
||||
assert!(ad.is_ready());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn line_accumulates_across_ticks() {
|
||||
let mut ad = AdvanceDecline::new();
|
||||
assert_eq!(ad.update(section(3, 1, 0)), Some(2.0)); // +2 -> 2
|
||||
assert_eq!(ad.update(section(1, 4, 0)), Some(-1.0)); // -3 -> -1
|
||||
assert_eq!(ad.update(section(2, 0, 0)), Some(1.0)); // +2 -> 1
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn unchanged_symbols_are_ignored() {
|
||||
let mut ad = AdvanceDecline::new();
|
||||
// 2 up, 2 down, 5 unchanged -> net 0, line stays flat.
|
||||
assert_eq!(ad.update(section(2, 2, 5)), Some(0.0));
|
||||
assert_eq!(ad.update(section(2, 2, 5)), Some(0.0));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn reset_clears_state() {
|
||||
let mut ad = AdvanceDecline::new();
|
||||
ad.update(section(5, 0, 0));
|
||||
assert!(ad.is_ready());
|
||||
ad.reset();
|
||||
assert!(!ad.is_ready());
|
||||
// Line restarts from zero, not from the pre-reset value.
|
||||
assert_eq!(ad.update(section(1, 0, 0)), Some(1.0));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn batch_equals_streaming() {
|
||||
let sections = vec![
|
||||
section(3, 1, 2),
|
||||
section(1, 4, 0),
|
||||
section(2, 2, 1),
|
||||
section(5, 0, 3),
|
||||
];
|
||||
let mut a = AdvanceDecline::new();
|
||||
let mut b = AdvanceDecline::new();
|
||||
assert_eq!(
|
||||
a.batch(§ions),
|
||||
sections
|
||||
.iter()
|
||||
.map(|s| b.update(s.clone()))
|
||||
.collect::<Vec<_>>()
|
||||
);
|
||||
}
|
||||
}
|
||||
@@ -11,6 +11,7 @@ mod ad_oscillator;
|
||||
mod adaptive_cycle;
|
||||
mod adl;
|
||||
mod advance_block;
|
||||
mod advance_decline;
|
||||
mod adx;
|
||||
mod adxr;
|
||||
mod alligator;
|
||||
@@ -325,6 +326,7 @@ pub use ad_oscillator::AdOscillator;
|
||||
pub use adaptive_cycle::AdaptiveCycle;
|
||||
pub use adl::Adl;
|
||||
pub use advance_block::AdvanceBlock;
|
||||
pub use advance_decline::AdvanceDecline;
|
||||
pub use adx::{Adx, AdxOutput};
|
||||
pub use adxr::Adxr;
|
||||
pub use alligator::{Alligator, AlligatorOutput};
|
||||
@@ -1038,6 +1040,7 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
|
||||
"Alt-Chart Bars",
|
||||
&["RenkoBars", "KagiBars", "PointAndFigureBars"],
|
||||
),
|
||||
("Market Breadth", &["AdvanceDecline"]),
|
||||
];
|
||||
|
||||
#[cfg(test)]
|
||||
@@ -1066,6 +1069,6 @@ mod family_tests {
|
||||
// the actual indicator count is the early-warning signal that an
|
||||
// indicator was added without being assigned a family.
|
||||
let total: usize = FAMILIES.iter().map(|(_, ns)| ns.len()).sum();
|
||||
assert_eq!(total, 314, "FAMILIES total drifted from indicator count");
|
||||
assert_eq!(total, 315, "FAMILIES total drifted from indicator count");
|
||||
}
|
||||
}
|
||||
|
||||
@@ -42,6 +42,7 @@
|
||||
// builds — library code is still linted for genuinely large stack arrays.
|
||||
#![cfg_attr(test, allow(clippy::large_stack_arrays))]
|
||||
|
||||
mod cross_section;
|
||||
mod derivatives;
|
||||
mod error;
|
||||
mod microstructure;
|
||||
@@ -50,68 +51,69 @@ mod traits;
|
||||
|
||||
pub mod indicators;
|
||||
|
||||
pub use cross_section::{CrossSection, Member};
|
||||
pub use derivatives::DerivativesTick;
|
||||
pub use error::{Error, Result};
|
||||
pub use indicators::{
|
||||
AbandonedBaby, AccelerationBands, AccelerationBandsOutput, AcceleratorOscillator, AdOscillator,
|
||||
AdaptiveCycle, Adl, AdvanceBlock, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma,
|
||||
Alpha, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator, AroonOutput, Atr, AtrBands,
|
||||
AtrBandsOutput, AtrTrailingStop, Autocorrelation, AverageDrawdown, AvgPrice, AwesomeOscillator,
|
||||
AwesomeOscillatorHistogram, BalanceOfPower, BeltHold, Beta, BollingerBands, BollingerBandwidth,
|
||||
BollingerOutput, Breakaway, CalendarSpread, CalmarRatio, Camarilla, CamarillaPivotsOutput, Cci,
|
||||
CenterOfGravity, Cfo, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop,
|
||||
ChandeKrollStopOutput, ChandelierExit, ChandelierExitOutput, ChoppinessIndex, ClassicPivots,
|
||||
ClassicPivotsOutput, ClosingMarubozu, Cmo, CoefficientOfVariation, Cointegration,
|
||||
CointegrationOutput, ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi, Coppock,
|
||||
Counterattack, CumulativeVolumeDelta, CyberneticCycle, Decycler, DecyclerOscillator, Dema,
|
||||
DemandIndex, DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, Doji, DojiStar,
|
||||
Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
|
||||
DoubleBollingerOutput, DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx,
|
||||
EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
|
||||
EmpiricalModeDecomposition, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, Fama,
|
||||
FibonacciPivots, FibonacciPivotsOutput, FisherTransform, Footprint, FootprintOutput,
|
||||
ForceIndex, FractalChaosBands, FractalChaosBandsOutput, Frama, FundingBasis, FundingRate,
|
||||
FundingRateMean, FundingRateZScore, GainLossRatio, GapSideBySideWhite, GarmanKlassVolatility,
|
||||
GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput, HiLoActivator,
|
||||
HighWave, Hikkake, HikkakeModified, HilbertDominantCycle, HistoricalVolatility, Hma,
|
||||
HomingPigeon, HtDcPhase, HtPhasor, HtPhasorOutput, HtTrendMode, HurstChannel,
|
||||
HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, IdenticalThreeCrows, InNeck,
|
||||
Inertia, InformationRatio, InitialBalance, InitialBalanceOutput, InstantaneousTrendline,
|
||||
InverseFisherTransform, InvertedHammer, Jma, KagiBars, Kama, KellyCriterion, Keltner,
|
||||
KeltnerOutput, Kicking, KickingByLength, Kst, KstOutput, Kurtosis, Kvo, KylesLambda,
|
||||
LadderBottom, LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput, LinRegAngle,
|
||||
LinRegChannel, LinRegChannelOutput, LinRegIntercept, LinRegSlope, LinearRegression,
|
||||
LiquidationFeatures, LiquidationFeaturesOutput, LongLeggedDoji, LongLine, LongShortRatio,
|
||||
MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix, MacdIndicator, MacdOutput, Mama, MamaOutput,
|
||||
MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, MaxDrawdown,
|
||||
McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Microprice, MidPoint, MidPrice,
|
||||
MinusDi, MinusDm, Mom, MorningDojiStar, MorningEveningStar, Natr, Nvi, OIPriceDivergence,
|
||||
OIWeighted, Obv, OmegaRatio, OnNeck, OpenInterestDelta, OpeningMarubozu, OpeningRange,
|
||||
OpeningRangeOutput, OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN,
|
||||
PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentB,
|
||||
PercentageTrailingStop, Pgo, PiercingDarkCloud, PlusDi, PlusDm, Pmo, PointAndFigureBars, Ppo,
|
||||
ProfitFactor, Psar, Pvi, QuotedSpread, RSquared, RealizedSpread, RecoveryFactor,
|
||||
RelativeStrengthAB, RelativeStrengthOutput, RenkoBars, RenkoTrailingStop, RickshawMan,
|
||||
RisingThreeMethods, Roc, Rocp, Rocr, Rocr100, RogersSatchellVolatility, RollingVwap,
|
||||
RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SarExt, SeparatingLines, SharpeRatio,
|
||||
ShootingStar, ShortLine, SignedVolume, SineWave, Skewness, Sma, Smi, Smma, SortinoRatio,
|
||||
SpearmanCorrelation, SpinningTop, StalledPattern, StandardError, StandardErrorBands,
|
||||
StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
|
||||
StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend,
|
||||
SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker,
|
||||
TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
|
||||
TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
|
||||
TdSequentialOutput, TdSetup, Tema, TermStructureBasis, ThreeInside, ThreeLineStrike,
|
||||
ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, Tii, TpoProfile,
|
||||
TpoProfileOutput, TradeImbalance, TreynorRatio, Trima, Trix, TrueRange, Tsf, Tsi, Tsv,
|
||||
TtmSqueeze, TtmSqueezeOutput, Tweezer, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
|
||||
UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, ValueAreaOutput,
|
||||
ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, VoltyStop, VolumeOscillator,
|
||||
VolumePriceTrend, VolumeProfile, VolumeProfileOutput, Vortex, VortexOutput, Vwap,
|
||||
VwapStdDevBands, VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput, WeightedClose,
|
||||
WilliamsFractals, WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots, WoodiePivotsOutput,
|
||||
YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput, ZigZag, ZigZagOutput,
|
||||
Zlema, FAMILIES, T3,
|
||||
AdaptiveCycle, Adl, AdvanceBlock, AdvanceDecline, Adx, AdxOutput, Adxr, Alligator,
|
||||
AlligatorOutput, Alma, Alpha, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator,
|
||||
AroonOutput, Atr, AtrBands, AtrBandsOutput, AtrTrailingStop, Autocorrelation, AverageDrawdown,
|
||||
AvgPrice, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BeltHold, Beta,
|
||||
BollingerBands, BollingerBandwidth, BollingerOutput, Breakaway, CalendarSpread, CalmarRatio,
|
||||
Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo, ChaikinMoneyFlow,
|
||||
ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit,
|
||||
ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, ClosingMarubozu,
|
||||
Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput, ConcealingBabySwallow,
|
||||
ConditionalValueAtRisk, ConnorsRsi, Coppock, Counterattack, CumulativeVolumeDelta,
|
||||
CyberneticCycle, Decycler, DecyclerOscillator, Dema, DemandIndex, DemarkPivots,
|
||||
DemarkPivotsOutput, DepthSlope, DetrendedStdDev, Doji, DojiStar, Donchian, DonchianOutput,
|
||||
DonchianStop, DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput,
|
||||
DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx, EaseOfMovement,
|
||||
EffectiveSpread, EhlersStochastic, ElderImpulse, Ema, EmpiricalModeDecomposition, Engulfing,
|
||||
EveningDojiStar, Evwma, FallingThreeMethods, Fama, FibonacciPivots, FibonacciPivotsOutput,
|
||||
FisherTransform, Footprint, FootprintOutput, ForceIndex, FractalChaosBands,
|
||||
FractalChaosBandsOutput, Frama, FundingBasis, FundingRate, FundingRateMean, FundingRateZScore,
|
||||
GainLossRatio, GapSideBySideWhite, GarmanKlassVolatility, GravestoneDoji, Hammer, HangingMan,
|
||||
Harami, HeikinAshi, HeikinAshiOutput, HiLoActivator, HighWave, Hikkake, HikkakeModified,
|
||||
HilbertDominantCycle, HistoricalVolatility, Hma, HomingPigeon, HtDcPhase, HtPhasor,
|
||||
HtPhasorOutput, HtTrendMode, HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku,
|
||||
IchimokuOutput, IdenticalThreeCrows, InNeck, Inertia, InformationRatio, InitialBalance,
|
||||
InitialBalanceOutput, InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma,
|
||||
KagiBars, Kama, KellyCriterion, Keltner, KeltnerOutput, Kicking, KickingByLength, Kst,
|
||||
KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation,
|
||||
LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel, LinRegChannelOutput,
|
||||
LinRegIntercept, LinRegSlope, LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput,
|
||||
LongLeggedDoji, LongLine, LongShortRatio, MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix,
|
||||
MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, Marubozu, MassIndex,
|
||||
MatHold, MatchingLow, MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi,
|
||||
Microprice, MidPoint, MidPrice, MinusDi, MinusDm, Mom, MorningDojiStar, MorningEveningStar,
|
||||
Natr, Nvi, OIPriceDivergence, OIWeighted, Obv, OmegaRatio, OnNeck, OpenInterestDelta,
|
||||
OpeningMarubozu, OpeningRange, OpeningRangeOutput, OrderBookImbalanceFull,
|
||||
OrderBookImbalanceTop1, OrderBookImbalanceTopN, PainIndex, PairSpreadZScore, PairwiseBeta,
|
||||
ParkinsonVolatility, PearsonCorrelation, PercentB, PercentageTrailingStop, Pgo,
|
||||
PiercingDarkCloud, PlusDi, PlusDm, Pmo, PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi,
|
||||
QuotedSpread, RSquared, RealizedSpread, RecoveryFactor, RelativeStrengthAB,
|
||||
RelativeStrengthOutput, RenkoBars, RenkoTrailingStop, RickshawMan, RisingThreeMethods, Roc,
|
||||
Rocp, Rocr, Rocr100, RogersSatchellVolatility, RollingVwap, RoofingFilter, Rsi, Rvi,
|
||||
RviVolatility, Rwi, RwiOutput, SarExt, SeparatingLines, SharpeRatio, ShootingStar, ShortLine,
|
||||
SignedVolume, SineWave, Skewness, Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation,
|
||||
SpinningTop, StalledPattern, StandardError, StandardErrorBands, StandardErrorBandsOutput,
|
||||
StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop, StickSandwich, StochRsi,
|
||||
Stochastic, StochasticOutput, SuperSmoother, SuperTrend, SuperTrendOutput, TakerBuySellRatio,
|
||||
Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdLinesOutput,
|
||||
TdOpen, TdPressure, TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel,
|
||||
TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, Tema, TermStructureBasis,
|
||||
ThreeInside, ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting,
|
||||
Tii, TpoProfile, TpoProfileOutput, TradeImbalance, TreynorRatio, Trima, Trix, TrueRange, Tsf,
|
||||
Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, Tweezer, TwoCrows, TypicalPrice, UlcerIndex,
|
||||
UltimateOscillator, UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea,
|
||||
ValueAreaOutput, ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, VoltyStop,
|
||||
VolumeOscillator, VolumePriceTrend, VolumeProfile, VolumeProfileOutput, Vortex, VortexOutput,
|
||||
Vwap, VwapStdDevBands, VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput,
|
||||
WeightedClose, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots,
|
||||
WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput,
|
||||
ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
|
||||
};
|
||||
// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
|
||||
// line so the indicator-count tooling (which scans the braced block above and
|
||||
|
||||
+1
-1
@@ -8,7 +8,7 @@ That includes:
|
||||
[Python](https://docs.wickra.org/Quickstart-Python),
|
||||
[Node](https://docs.wickra.org/Quickstart-Node), and
|
||||
[WASM](https://docs.wickra.org/Quickstart-WASM).
|
||||
- A per-indicator deep dive for every one of the **314 indicators** across
|
||||
- A per-indicator deep dive for every one of the **315 indicators** across
|
||||
the sixteen families (Moving Averages, Momentum Oscillators, Trend &
|
||||
Directional, Price Oscillators, Volatility & Bands, Bands & Channels,
|
||||
Trailing Stops, Volume, Price Statistics, Ehlers / Cycle DSP, Pivots &
|
||||
|
||||
@@ -80,6 +80,13 @@ test = false
|
||||
doc = false
|
||||
bench = false
|
||||
|
||||
[[bin]]
|
||||
name = "indicator_update_crosssection"
|
||||
path = "fuzz_targets/indicator_update_crosssection.rs"
|
||||
test = false
|
||||
doc = false
|
||||
bench = false
|
||||
|
||||
[[bin]]
|
||||
name = "tick_aggregator"
|
||||
path = "fuzz_targets/tick_aggregator.rs"
|
||||
|
||||
@@ -0,0 +1,47 @@
|
||||
#![no_main]
|
||||
//! Fuzz market-breadth `Indicator<Input = CrossSection>` implementations with
|
||||
//! arbitrary cross-section streams.
|
||||
//!
|
||||
//! Each iteration consumes a byte stream, interprets it as a sequence of `f64`
|
||||
//! values (8 bytes each), packs consecutive pairs into [`Member`]s (a `change`
|
||||
//! and a `volume`, with the high/low flags taken from the value bit parity), and
|
||||
//! groups the members into bounded-size [`CrossSection`] ticks. Cross-sections
|
||||
//! are built with `new_unchecked` so the fuzzer can explore degenerate values
|
||||
//! (non-finite changes, negative volumes, empty-adjacent groups) that the
|
||||
//! validating constructor would reject — the indicators must never panic,
|
||||
//! streaming or batched.
|
||||
|
||||
use libfuzzer_sys::fuzz_target;
|
||||
use wickra_core::{AdvanceDecline, BatchExt, CrossSection, Indicator, Member};
|
||||
|
||||
#[inline(never)]
|
||||
fn drive<I>(make: impl Fn() -> I, sections: &[CrossSection])
|
||||
where
|
||||
I: Indicator<Input = CrossSection, Output = f64> + BatchExt,
|
||||
{
|
||||
let mut streaming = make();
|
||||
for section in sections {
|
||||
let _ = streaming.update(section.clone());
|
||||
}
|
||||
let _ = make().batch(sections);
|
||||
}
|
||||
|
||||
fuzz_target!(|data: &[u8]| {
|
||||
let floats: Vec<f64> = data
|
||||
.chunks_exact(8)
|
||||
.map(|c| f64::from_le_bytes(c.try_into().expect("8 bytes")))
|
||||
.collect();
|
||||
let members: Vec<Member> = floats
|
||||
.chunks_exact(2)
|
||||
.map(|c| Member::new(c[0], c[1], c[0].to_bits() & 1 == 1, c[1].to_bits() & 1 == 1))
|
||||
.collect();
|
||||
// Group members into cross-sections of up to eight symbols each so a single
|
||||
// input yields a stream of ragged universes.
|
||||
let sections: Vec<CrossSection> = members
|
||||
.chunks(8)
|
||||
.filter(|chunk| !chunk.is_empty())
|
||||
.map(|chunk| CrossSection::new_unchecked(chunk.to_vec(), 0))
|
||||
.collect();
|
||||
|
||||
drive(AdvanceDecline::new, §ions);
|
||||
});
|
||||
Reference in New Issue
Block a user