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

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* 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
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bindings/node/index.d.ts
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+27
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@@ -2241,6 +2241,33 @@ export declare class OrderBookImbalanceTopN {
isReady(): boolean
warmupPeriod(): number
}
export type SignedVolumeNode = SignedVolume
export declare class SignedVolume {
constructor()
update(price: number, size: number, isBuy: boolean): number | null
batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type CumulativeVolumeDeltaNode = CumulativeVolumeDelta
export declare class CumulativeVolumeDelta {
constructor()
update(price: number, size: number, isBuy: boolean): number | null
batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type TradeImbalanceNode = TradeImbalance
export declare class TradeImbalance {
constructor(window: number)
update(price: number, size: number, isBuy: boolean): number | null
batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type SharpeRatioNode = SharpeRatio
export declare class SharpeRatio {
constructor(period: number, riskFree: number)