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.
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@@ -951,3 +951,33 @@ test('order-book TopN rejects zero levels', () => {
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test('order-book update rejects a crossed book', () => {
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assert.throws(() => new wickra.QuotedSpread().update([102], [1], [101], [1]));
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});
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test('trade-flow indicators reference values', () => {
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assert.equal(new wickra.SignedVolume().update(100, 2, true), 2);
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assert.equal(new wickra.SignedVolume().update(100, 3, false), -3);
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const cvd = new wickra.CumulativeVolumeDelta();
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assert.equal(cvd.update(100, 5, true), 5);
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assert.equal(cvd.update(100, 2, false), 3);
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const ti = new wickra.TradeImbalance(2);
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assert.equal(ti.update(100, 3, true), null); // warming up
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assert.equal(ti.update(100, 1, false), 0.5); // (3 - 1) / 4
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});
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test('trade-flow streaming update matches batch', () => {
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const n = 30;
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const price = Array.from({ length: n }, () => 100);
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const size = Array.from({ length: n }, (_, i) => 1 + (i % 4));
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const isBuy = Array.from({ length: n }, (_, i) => i % 3 !== 0);
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const batch = new wickra.CumulativeVolumeDelta().batch(price, size, isBuy);
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const streamer = new wickra.CumulativeVolumeDelta();
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assert.equal(batch.length, n);
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for (let i = 0; i < n; i++) {
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const s = streamer.update(price[i], size[i], isBuy[i]);
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assert.ok(Math.abs(s - batch[i]) < 1e-12, `mismatch at ${i}: ${s} vs ${batch[i]}`);
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}
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});
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test('trade-flow rejects bad input', () => {
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assert.throws(() => new wickra.TradeImbalance(0));
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assert.throws(() => new wickra.SignedVolume().update(100, -1, true));
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});
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