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
2026-06-03 04:11:10 +02:00
committed by GitHub
parent 72ec65bbde
commit 53941b7b07
18 changed files with 881 additions and 66 deletions
@@ -1202,6 +1202,39 @@ test('derivatives reject bad input', () => {
assert.throws(() => new wickra.FundingBasis().update(100, 0));
});
test('market breadth: AdvanceDecline reference values', () => {
// A breadth tick is the universe as parallel arrays; the sign of `change`
// classifies each symbol as advancing / declining / unchanged.
const 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
];
const volume = change.map((row) => row.map(() => 10.0));
const flags = change.map((row) => row.map(() => false));
const ad = new wickra.AdvanceDecline();
// Cumulative line: +2 -> 0 -> 0.
assert.equal(ad.update(change[0], volume[0], flags[0], flags[0]), 2.0);
assert.equal(ad.update(change[1], volume[1], flags[1], flags[1]), 0.0);
assert.equal(ad.update(change[2], volume[2], flags[2], flags[2]), 0.0);
// batch matches streaming.
const batch = new wickra.AdvanceDecline().batch(change, volume, flags, flags);
assert.deepEqual(Array.from(batch), [2.0, 0.0, 0.0]);
});
test('market breadth: AdvanceDecline rejects ragged universe', () => {
assert.throws(() =>
new wickra.AdvanceDecline().update(
[1.0, -1.0],
[10.0],
[false, false],
[false, false],
),
);
});
test('OI / flow / liquidation indicators reference values', () => {
// OI +10% while price flat -> divergence +0.1.
const div = new wickra.OIPriceDivergence(1);