feat: Family 05 Bands & Channels - 11 new price-envelope indicators (#43)
* feat(bands-channels): add Family 05 with 11 indicators
Eleven price-envelope overlays organised into a new "Bands & Channels"
family, exposed across all four bindings (Rust core, Python, Node, WASM)
plus fuzz/test/bench/docs coverage:
- MaEnvelope - SMA centerline with fixed-percent envelope (the oldest
band overlay still in regular use).
- AccelerationBands (Price Headley) - momentum-biased bands that widen
with the bar's relative range (H - L) / (H + L).
- StarcBands (Stoller Average Range Channel) - SMA(close) +/- k*ATR;
Keltner's SMA-centerline sibling.
- AtrBands - close-anchored envelope of width k*ATR; the standard
volatility-targeting stop/target band.
- HurstChannel - SMA centerline wrapped by the rolling high-low range
(Brian Millard / Hurst-cycle channel).
- LinRegChannel - rolling OLS endpoint +/- k * population stddev of the
residuals; dispersion about the trend rather than the mean.
- StandardErrorBands - regression line +/- k * OLS standard error
(denominator n - 2) for prediction-interval bands.
- DoubleBollinger (Kathy Lien) - two concentric BB envelopes
(typically +/- 1 sigma and +/- 2 sigma) for the zone-partition setup.
- TtmSqueeze (John Carter) - BB-inside-KC squeeze flag paired with a
detrended-close linear-regression momentum reading.
- FractalChaosBands - Bill Williams 5-bar fractal high/low envelope.
- VwapStdDevBands - cumulative VWAP with volume-weighted population
standard deviation bands.
Each indicator ships:
- Core impl with the full Indicator trait, classic() where applicable,
and unit tests (rejects_zero_period / multiplier, accessors, flat
market, monotonic ordering, batch == streaming, reset, plus
algebraically verifiable reference values).
- Python PyO3 binding with multi-column NumPy batch (PyArray2).
- Node napi binding with #[napi(object)] struct + interleaved flat
batch.
- WASM wasm-bindgen binding via Object/Reflect for update +
Float64Array for batch.
- Fuzz coverage in fuzz_targets/indicator_update{,_candle}.rs.
- Python streaming-vs-batch parametric test + reference test.
- Node streaming-vs-interleaved-batch test + reference test.
- Criterion microbench under crates/wickra/benches/indicators.rs.
README family table, README indicator-count line, and CHANGELOG
Unreleased entry updated: indicator total rises from 71 to 82 across
nine families. Wiki pages are updated in a separate commit in the
wickra.wiki repo.
* test(acceleration-bands): cover sum_hl==0 zero-price guard
Exercises line 104 (`0.0` branch of the `sum_hl == 0.0` guard) which
was the last patch-coverage miss on the family-05 PR. `Candle::new`
accepts a fully-zero bar so the branch is reachable in principle —
add a degenerate-candle unit test to hit it.
This commit is contained in:
@@ -2686,6 +2686,672 @@ impl WasmAroon {
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}
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}
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// ============================== Family 05: Bands & Channels ==============================
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// Every indicator below is multi-output (2-5 bands), so they bypass the
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// `wasm_scalar_indicator!` macro and follow the hand-rolled pattern used by
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// Bollinger Bands, Keltner Channels, etc. above: `update` returns a JS object
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// via `Object::new` + `Reflect::set`; `batch` returns a flat interleaved
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// `Float64Array`.
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// ---------- MA Envelope (scalar input, 3 outputs) ----------
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#[wasm_bindgen(js_name = MaEnvelope)]
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pub struct WasmMaEnvelope {
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inner: wc::MaEnvelope,
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}
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#[wasm_bindgen(js_class = MaEnvelope)]
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impl WasmMaEnvelope {
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#[wasm_bindgen(constructor)]
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pub fn new(period: usize, percent: f64) -> Result<WasmMaEnvelope, JsError> {
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Ok(Self {
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inner: wc::MaEnvelope::new(period, percent).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, value: f64) -> JsValue {
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match self.inner.update(value) {
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Some(o) => {
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let obj = Object::new();
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Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
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Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
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Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
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obj.into()
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}
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None => JsValue::NULL,
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}
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}
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/// Flat `[upper0, middle0, lower0, upper1, ...]`, length `3 * n`.
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pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
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let n = prices.len();
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let mut out = vec![f64::NAN; n * 3];
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for (i, p) in prices.iter().enumerate() {
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if let Some(o) = self.inner.update(*p) {
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out[i * 3] = o.upper;
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out[i * 3 + 1] = o.middle;
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out[i * 3 + 2] = o.lower;
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}
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}
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Float64Array::from(out.as_slice())
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[wasm_bindgen(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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#[wasm_bindgen(js_name = warmupPeriod)]
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pub fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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}
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// ---------- Acceleration Bands ----------
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#[wasm_bindgen(js_name = AccelerationBands)]
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pub struct WasmAccelerationBands {
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inner: wc::AccelerationBands,
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}
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#[wasm_bindgen(js_class = AccelerationBands)]
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impl WasmAccelerationBands {
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#[wasm_bindgen(constructor)]
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pub fn new(period: usize, factor: f64) -> Result<WasmAccelerationBands, JsError> {
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Ok(Self {
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inner: wc::AccelerationBands::new(period, factor).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
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let c = make_candle(high, low, close, 0.0)?;
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Ok(match self.inner.update(c) {
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Some(o) => {
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let obj = Object::new();
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Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
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Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
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Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
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obj.into()
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}
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None => JsValue::NULL,
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})
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}
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/// Returns `[u0, m0, l0, u1, m1, l1, ...]`, length `3 * n`.
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pub fn batch(
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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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) -> Result<Float64Array, JsError> {
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let n = high.len();
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if low.len() != n || close.len() != n {
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return Err(JsError::new("high, low, close must be equal length"));
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}
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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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let c = make_candle(high[i], low[i], close[i], 0.0)?;
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if let Some(o) = self.inner.update(c) {
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out[i * 3] = o.upper;
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out[i * 3 + 1] = o.middle;
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out[i * 3 + 2] = o.lower;
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}
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}
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Ok(Float64Array::from(out.as_slice()))
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[wasm_bindgen(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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#[wasm_bindgen(js_name = warmupPeriod)]
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pub fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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}
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// ---------- STARC Bands ----------
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#[wasm_bindgen(js_name = StarcBands)]
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pub struct WasmStarcBands {
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inner: wc::StarcBands,
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}
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#[wasm_bindgen(js_class = StarcBands)]
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impl WasmStarcBands {
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#[wasm_bindgen(constructor)]
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pub fn new(
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sma_period: usize,
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atr_period: usize,
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multiplier: f64,
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) -> Result<WasmStarcBands, JsError> {
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Ok(Self {
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inner: wc::StarcBands::new(sma_period, atr_period, multiplier).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
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let c = make_candle(high, low, close, 0.0)?;
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Ok(match self.inner.update(c) {
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Some(o) => {
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let obj = Object::new();
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Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
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Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
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Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
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obj.into()
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}
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None => JsValue::NULL,
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})
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}
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pub fn batch(
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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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) -> Result<Float64Array, JsError> {
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let n = high.len();
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if low.len() != n || close.len() != n {
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return Err(JsError::new("high, low, close must be equal length"));
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}
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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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let c = make_candle(high[i], low[i], close[i], 0.0)?;
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if let Some(o) = self.inner.update(c) {
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out[i * 3] = o.upper;
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out[i * 3 + 1] = o.middle;
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out[i * 3 + 2] = o.lower;
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}
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}
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Ok(Float64Array::from(out.as_slice()))
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[wasm_bindgen(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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#[wasm_bindgen(js_name = warmupPeriod)]
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pub fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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}
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// ---------- ATR Bands ----------
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#[wasm_bindgen(js_name = AtrBands)]
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pub struct WasmAtrBands {
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inner: wc::AtrBands,
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}
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#[wasm_bindgen(js_class = AtrBands)]
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impl WasmAtrBands {
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#[wasm_bindgen(constructor)]
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pub fn new(period: usize, multiplier: f64) -> Result<WasmAtrBands, JsError> {
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Ok(Self {
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inner: wc::AtrBands::new(period, multiplier).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
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let c = make_candle(high, low, close, 0.0)?;
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Ok(match self.inner.update(c) {
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Some(o) => {
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let obj = Object::new();
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Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
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Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
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Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
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obj.into()
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}
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None => JsValue::NULL,
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})
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}
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pub fn batch(
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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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) -> Result<Float64Array, JsError> {
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let n = high.len();
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if low.len() != n || close.len() != n {
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return Err(JsError::new("high, low, close must be equal length"));
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}
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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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let c = make_candle(high[i], low[i], close[i], 0.0)?;
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if let Some(o) = self.inner.update(c) {
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out[i * 3] = o.upper;
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out[i * 3 + 1] = o.middle;
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out[i * 3 + 2] = o.lower;
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}
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}
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Ok(Float64Array::from(out.as_slice()))
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[wasm_bindgen(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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#[wasm_bindgen(js_name = warmupPeriod)]
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pub fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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}
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// ---------- Hurst Channel ----------
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#[wasm_bindgen(js_name = HurstChannel)]
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pub struct WasmHurstChannel {
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inner: wc::HurstChannel,
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}
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#[wasm_bindgen(js_class = HurstChannel)]
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impl WasmHurstChannel {
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#[wasm_bindgen(constructor)]
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pub fn new(period: usize, multiplier: f64) -> Result<WasmHurstChannel, JsError> {
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Ok(Self {
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inner: wc::HurstChannel::new(period, multiplier).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
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let c = make_candle(high, low, close, 0.0)?;
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Ok(match self.inner.update(c) {
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Some(o) => {
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let obj = Object::new();
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Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
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Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
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Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
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obj.into()
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}
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None => JsValue::NULL,
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})
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}
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pub fn batch(
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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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) -> Result<Float64Array, JsError> {
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let n = high.len();
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if low.len() != n || close.len() != n {
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return Err(JsError::new("high, low, close must be equal length"));
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}
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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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let c = make_candle(high[i], low[i], close[i], 0.0)?;
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if let Some(o) = self.inner.update(c) {
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out[i * 3] = o.upper;
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out[i * 3 + 1] = o.middle;
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out[i * 3 + 2] = o.lower;
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}
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}
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Ok(Float64Array::from(out.as_slice()))
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[wasm_bindgen(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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#[wasm_bindgen(js_name = warmupPeriod)]
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pub fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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}
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// ---------- LinReg Channel (scalar input) ----------
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#[wasm_bindgen(js_name = LinRegChannel)]
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pub struct WasmLinRegChannel {
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inner: wc::LinRegChannel,
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}
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#[wasm_bindgen(js_class = LinRegChannel)]
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impl WasmLinRegChannel {
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#[wasm_bindgen(constructor)]
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pub fn new(period: usize, multiplier: f64) -> Result<WasmLinRegChannel, JsError> {
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Ok(Self {
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inner: wc::LinRegChannel::new(period, multiplier).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, value: f64) -> JsValue {
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match self.inner.update(value) {
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Some(o) => {
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let obj = Object::new();
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Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
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Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
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Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
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obj.into()
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}
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None => JsValue::NULL,
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}
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}
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pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
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let n = prices.len();
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let mut out = vec![f64::NAN; n * 3];
|
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for (i, p) in prices.iter().enumerate() {
|
||||
if let Some(o) = self.inner.update(*p) {
|
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out[i * 3] = o.upper;
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out[i * 3 + 1] = o.middle;
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out[i * 3 + 2] = o.lower;
|
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}
|
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}
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Float64Array::from(out.as_slice())
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[wasm_bindgen(js_name = isReady)]
|
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pub fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
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#[wasm_bindgen(js_name = warmupPeriod)]
|
||||
pub fn warmup_period(&self) -> usize {
|
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self.inner.warmup_period()
|
||||
}
|
||||
}
|
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|
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// ---------- Standard Error Bands (scalar input) ----------
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#[wasm_bindgen(js_name = StandardErrorBands)]
|
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pub struct WasmStandardErrorBands {
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inner: wc::StandardErrorBands,
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}
|
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|
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#[wasm_bindgen(js_class = StandardErrorBands)]
|
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impl WasmStandardErrorBands {
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#[wasm_bindgen(constructor)]
|
||||
pub fn new(period: usize, multiplier: f64) -> Result<WasmStandardErrorBands, JsError> {
|
||||
Ok(Self {
|
||||
inner: wc::StandardErrorBands::new(period, multiplier).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
pub fn update(&mut self, value: f64) -> JsValue {
|
||||
match self.inner.update(value) {
|
||||
Some(o) => {
|
||||
let obj = Object::new();
|
||||
Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
|
||||
Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
|
||||
Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
|
||||
obj.into()
|
||||
}
|
||||
None => JsValue::NULL,
|
||||
}
|
||||
}
|
||||
pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
|
||||
let n = prices.len();
|
||||
let mut out = vec![f64::NAN; n * 3];
|
||||
for (i, p) in prices.iter().enumerate() {
|
||||
if let Some(o) = self.inner.update(*p) {
|
||||
out[i * 3] = o.upper;
|
||||
out[i * 3 + 1] = o.middle;
|
||||
out[i * 3 + 2] = o.lower;
|
||||
}
|
||||
}
|
||||
Float64Array::from(out.as_slice())
|
||||
}
|
||||
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()
|
||||
}
|
||||
}
|
||||
|
||||
// ---------- Double Bollinger (scalar input, 5 outputs) ----------
|
||||
|
||||
#[wasm_bindgen(js_name = DoubleBollinger)]
|
||||
pub struct WasmDoubleBollinger {
|
||||
inner: wc::DoubleBollinger,
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = DoubleBollinger)]
|
||||
impl WasmDoubleBollinger {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new(period: usize, k_inner: f64, k_outer: f64) -> Result<WasmDoubleBollinger, JsError> {
|
||||
Ok(Self {
|
||||
inner: wc::DoubleBollinger::new(period, k_inner, k_outer).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
pub fn update(&mut self, value: f64) -> JsValue {
|
||||
match self.inner.update(value) {
|
||||
Some(o) => {
|
||||
let obj = Object::new();
|
||||
Reflect::set(&obj, &"upperOuter".into(), &o.upper_outer.into()).ok();
|
||||
Reflect::set(&obj, &"upperInner".into(), &o.upper_inner.into()).ok();
|
||||
Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
|
||||
Reflect::set(&obj, &"lowerInner".into(), &o.lower_inner.into()).ok();
|
||||
Reflect::set(&obj, &"lowerOuter".into(), &o.lower_outer.into()).ok();
|
||||
obj.into()
|
||||
}
|
||||
None => JsValue::NULL,
|
||||
}
|
||||
}
|
||||
/// Flat `[u_o, u_i, m, l_i, l_o, ...]`, length `5 * n`.
|
||||
pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
|
||||
let n = prices.len();
|
||||
let mut out = vec![f64::NAN; n * 5];
|
||||
for (i, p) in prices.iter().enumerate() {
|
||||
if let Some(o) = self.inner.update(*p) {
|
||||
out[i * 5] = o.upper_outer;
|
||||
out[i * 5 + 1] = o.upper_inner;
|
||||
out[i * 5 + 2] = o.middle;
|
||||
out[i * 5 + 3] = o.lower_inner;
|
||||
out[i * 5 + 4] = o.lower_outer;
|
||||
}
|
||||
}
|
||||
Float64Array::from(out.as_slice())
|
||||
}
|
||||
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()
|
||||
}
|
||||
}
|
||||
|
||||
// ---------- TTM Squeeze ----------
|
||||
|
||||
#[wasm_bindgen(js_name = TtmSqueeze)]
|
||||
pub struct WasmTtmSqueeze {
|
||||
inner: wc::TtmSqueeze,
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = TtmSqueeze)]
|
||||
impl WasmTtmSqueeze {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new(period: usize, bb_mult: f64, kc_mult: f64) -> Result<WasmTtmSqueeze, JsError> {
|
||||
Ok(Self {
|
||||
inner: wc::TtmSqueeze::new(period, bb_mult, kc_mult).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
|
||||
let c = make_candle(high, low, close, 0.0)?;
|
||||
Ok(match self.inner.update(c) {
|
||||
Some(o) => {
|
||||
let obj = Object::new();
|
||||
Reflect::set(&obj, &"squeeze".into(), &o.squeeze.into()).ok();
|
||||
Reflect::set(&obj, &"momentum".into(), &o.momentum.into()).ok();
|
||||
obj.into()
|
||||
}
|
||||
None => JsValue::NULL,
|
||||
})
|
||||
}
|
||||
/// Flat `[sq0, mom0, sq1, mom1, ...]`, length `2 * n`.
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
high: &[f64],
|
||||
low: &[f64],
|
||||
close: &[f64],
|
||||
) -> Result<Float64Array, JsError> {
|
||||
let n = high.len();
|
||||
if low.len() != n || close.len() != n {
|
||||
return Err(JsError::new("high, low, close must be equal length"));
|
||||
}
|
||||
let mut out = vec![f64::NAN; n * 2];
|
||||
for i in 0..n {
|
||||
let c = make_candle(high[i], low[i], close[i], 0.0)?;
|
||||
if let Some(o) = self.inner.update(c) {
|
||||
out[i * 2] = o.squeeze;
|
||||
out[i * 2 + 1] = o.momentum;
|
||||
}
|
||||
}
|
||||
Ok(Float64Array::from(out.as_slice()))
|
||||
}
|
||||
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()
|
||||
}
|
||||
}
|
||||
|
||||
// ---------- Fractal Chaos Bands ----------
|
||||
|
||||
#[wasm_bindgen(js_name = FractalChaosBands)]
|
||||
pub struct WasmFractalChaosBands {
|
||||
inner: wc::FractalChaosBands,
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = FractalChaosBands)]
|
||||
impl WasmFractalChaosBands {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new(k: usize) -> Result<WasmFractalChaosBands, JsError> {
|
||||
Ok(Self {
|
||||
inner: wc::FractalChaosBands::new(k).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
pub fn update(&mut self, high: f64, low: f64) -> Result<JsValue, JsError> {
|
||||
let c = make_candle(high, low, low, 0.0)?;
|
||||
Ok(match self.inner.update(c) {
|
||||
Some(o) => {
|
||||
let obj = Object::new();
|
||||
Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
|
||||
Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
|
||||
obj.into()
|
||||
}
|
||||
None => JsValue::NULL,
|
||||
})
|
||||
}
|
||||
/// Flat `[u0, l0, u1, l1, ...]`, length `2 * n`.
|
||||
pub fn batch(&mut self, high: &[f64], low: &[f64]) -> Result<Float64Array, JsError> {
|
||||
let n = high.len();
|
||||
if low.len() != n {
|
||||
return Err(JsError::new("high and low must be equal length"));
|
||||
}
|
||||
let mut out = vec![f64::NAN; n * 2];
|
||||
for i in 0..n {
|
||||
let c = make_candle(high[i], low[i], low[i], 0.0)?;
|
||||
if let Some(o) = self.inner.update(c) {
|
||||
out[i * 2] = o.upper;
|
||||
out[i * 2 + 1] = o.lower;
|
||||
}
|
||||
}
|
||||
Ok(Float64Array::from(out.as_slice()))
|
||||
}
|
||||
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()
|
||||
}
|
||||
}
|
||||
|
||||
// ---------- VWAP StdDev Bands ----------
|
||||
|
||||
#[wasm_bindgen(js_name = VwapStdDevBands)]
|
||||
pub struct WasmVwapStdDevBands {
|
||||
inner: wc::VwapStdDevBands,
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = VwapStdDevBands)]
|
||||
impl WasmVwapStdDevBands {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new(multiplier: f64) -> Result<WasmVwapStdDevBands, JsError> {
|
||||
Ok(Self {
|
||||
inner: wc::VwapStdDevBands::new(multiplier).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
pub fn update(
|
||||
&mut self,
|
||||
high: f64,
|
||||
low: f64,
|
||||
close: f64,
|
||||
volume: f64,
|
||||
) -> Result<JsValue, JsError> {
|
||||
let c = make_candle(high, low, close, volume)?;
|
||||
Ok(match self.inner.update(c) {
|
||||
Some(o) => {
|
||||
let obj = Object::new();
|
||||
Reflect::set(&obj, &"upper".into(), &o.upper.into()).ok();
|
||||
Reflect::set(&obj, &"middle".into(), &o.middle.into()).ok();
|
||||
Reflect::set(&obj, &"lower".into(), &o.lower.into()).ok();
|
||||
Reflect::set(&obj, &"stddev".into(), &o.stddev.into()).ok();
|
||||
obj.into()
|
||||
}
|
||||
None => JsValue::NULL,
|
||||
})
|
||||
}
|
||||
/// Flat `[u0, m0, l0, sd0, ...]`, length `4 * n`.
|
||||
pub fn batch(
|
||||
&mut self,
|
||||
high: &[f64],
|
||||
low: &[f64],
|
||||
close: &[f64],
|
||||
volume: &[f64],
|
||||
) -> Result<Float64Array, JsError> {
|
||||
let n = high.len();
|
||||
if low.len() != n || close.len() != n || volume.len() != n {
|
||||
return Err(JsError::new(
|
||||
"high, low, close, volume must be equal length",
|
||||
));
|
||||
}
|
||||
let mut out = vec![f64::NAN; n * 4];
|
||||
for i in 0..n {
|
||||
let c = make_candle(high[i], low[i], close[i], volume[i])?;
|
||||
if let Some(o) = self.inner.update(c) {
|
||||
out[i * 4] = o.upper;
|
||||
out[i * 4 + 1] = o.middle;
|
||||
out[i * 4 + 2] = o.lower;
|
||||
out[i * 4 + 3] = o.stddev;
|
||||
}
|
||||
}
|
||||
Ok(Float64Array::from(out.as_slice()))
|
||||
}
|
||||
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::*;
|
||||
|
||||
Reference in New Issue
Block a user