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
@@ -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(&sections),
sections
.iter()
.map(|s| b.update(s.clone()))
.collect::<Vec<_>>()
);
}
}
+4 -1
View File
@@ -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");
}
}