feat: trade-flow microstructure indicators (part 2 of 4) (#113)

* feat(core): add 3 trade-flow microstructure indicators

SignedVolume (per-trade size signed by aggressor), CumulativeVolumeDelta
(running signed-volume total), and TradeImbalance (rolling buy/sell volume
imbalance over a trade window). All consume the Trade type, with full unit
coverage. Extends the Microstructure family.

* feat(bindings): expose trade-flow microstructure indicators

Python, Node and WASM bindings for SignedVolume, CumulativeVolumeDelta and
TradeImbalance. Each takes a trade via update(price, size, is_buy); Python and
Node expose a batch over three parallel arrays, WASM exposes per-trade update.
Regenerates node index.d.ts/.js.

* test(bindings,fuzz,bench): cover trade-flow microstructure indicators

Python and Node: reference values, streaming-vs-batch, lifecycle/repr and input
validation (zero window, negative size, non-positive price, mismatched batch
lengths). New indicator_update_trade fuzz target. Synthetic trade-tape benches
(signed_volume cheapest, trade_imbalance windowed/expensive).

* docs: add trade-flow indicators + bump counter to 227

README Microstructure family row gains signed volume / CVD / trade imbalance and
the counter goes 224 -> 227; CHANGELOG records the trade-flow indicators.
This commit is contained in:
kingchenc
2026-06-01 16:38:48 +02:00
committed by GitHub
parent 2be21df803
commit 5867f71450
23 changed files with 1141 additions and 33 deletions
+4 -4
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@@ -47,7 +47,7 @@ Full documentation lives at **[docs.wickra.org](https://docs.wickra.org)**:
[Node](https://docs.wickra.org/Quickstart-Node),
[WASM](https://docs.wickra.org/Quickstart-WASM).
- **Indicators** — a per-indicator deep dive (formula, parameters, warmup) for
every one of the 224 indicators; start at the
every one of the 227 indicators; start at the
[indicators overview](https://docs.wickra.org/Indicators-Overview).
- **Reference** — [warmup periods](https://docs.wickra.org/Warmup-Periods),
[streaming vs batch](https://docs.wickra.org/Streaming-vs-Batch),
@@ -135,7 +135,7 @@ python -m benchmarks.compare_libraries
## Indicators
224 streaming-first indicators across seventeen families. Every one passes the
227 streaming-first indicators across seventeen families. Every one passes the
`batch == streaming` equivalence test, reference-value tests, and reset
semantics tests. Each has a per-indicator deep dive (formula, parameters,
warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
@@ -156,7 +156,7 @@ warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
| DeMark | TD Setup, TD Sequential, TD DeMarker, TD REI, TD Pressure, TD Combo, TD Countdown, TD Lines, TD Range Projection, TD Differential, TD Open, TD Risk Level |
| Ichimoku & Charts | Ichimoku Kinko Hyo (Tenkan, Kijun, Senkou A/B, Chikou), Heikin-Ashi |
| Candlestick Patterns | Doji, Hammer, Inverted Hammer, Hanging Man, Shooting Star, Engulfing, Harami, Morning/Evening Star, Three White Soldiers/Black Crows, Piercing Line/Dark Cloud Cover, Marubozu, Tweezer, Spinning Top, Three Inside Up/Down, Three Outside Up/Down |
| Microstructure | Order-Book Imbalance (Top-1 / Top-N / Full), Microprice, Quoted Spread |
| Microstructure | Order-Book Imbalance (Top-1 / Top-N / Full), Microprice, Quoted Spread, Signed Volume, Cumulative Volume Delta, Trade Imbalance |
| Market Profile | Value Area (POC / VAH / VAL), Initial Balance, Opening Range |
| 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) |
@@ -237,7 +237,7 @@ A Python live-trading example using the public `websockets` package lives at
```
wickra/
├── crates/
│ ├── wickra-core/ core engine + all 224 indicators
│ ├── wickra-core/ core engine + all 227 indicators
│ ├── wickra/ top-level facade crate (publishes on crates.io) + benches/
│ └── wickra-data/ CSV reader, tick aggregator, live exchange feeds
├── bindings/