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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@@ -8914,6 +8914,144 @@ impl OrderBookImbalanceTopNNode {
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}
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}
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// ============================== Microstructure: Trade Flow ==============================
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//
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// Trade-flow indicators consume a trade tape rather than OHLCV. Streaming
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// `update(price, size, isBuy)` takes one trade (`isBuy=true` for a
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// buyer-initiated trade); `batch` takes three equal-length arrays.
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fn build_trade(price: f64, size: f64, is_buy: bool) -> napi::Result<wc::Trade> {
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let side = if is_buy {
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wc::Side::Buy
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} else {
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wc::Side::Sell
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};
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wc::Trade::new(price, size, side, 0).map_err(map_err)
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}
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macro_rules! node_trade_indicator {
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($node:ident, $inner:ty, $js:literal) => {
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#[napi(js_name = $js)]
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pub struct $node {
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inner: $inner,
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}
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impl Default for $node {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl $node {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: <$inner>::new(),
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}
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}
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#[napi]
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pub fn update(
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&mut self,
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price: f64,
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size: f64,
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is_buy: bool,
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) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(build_trade(price, size, is_buy)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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price: Vec<f64>,
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size: Vec<f64>,
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is_buy: Vec<bool>,
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) -> napi::Result<Vec<f64>> {
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if price.len() != size.len() || size.len() != is_buy.len() {
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return Err(NapiError::from_reason(
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"price, size, is_buy must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(price.len());
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for i in 0..price.len() {
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let trade = build_trade(price[i], size[i], is_buy[i])?;
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out.push(self.inner.update(trade).unwrap_or(f64::NAN));
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(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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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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};
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}
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node_trade_indicator!(SignedVolumeNode, wc::SignedVolume, "SignedVolume");
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node_trade_indicator!(
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CumulativeVolumeDeltaNode,
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wc::CumulativeVolumeDelta,
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"CumulativeVolumeDelta"
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);
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// Trade imbalance carries a `window` parameter, so it is hand-written.
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#[napi(js_name = "TradeImbalance")]
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pub struct TradeImbalanceNode {
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inner: wc::TradeImbalance,
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}
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#[napi]
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impl TradeImbalanceNode {
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#[napi(constructor)]
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pub fn new(window: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::TradeImbalance::new(window as usize).map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, price: f64, size: f64, is_buy: bool) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(build_trade(price, size, is_buy)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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price: Vec<f64>,
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size: Vec<f64>,
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is_buy: Vec<bool>,
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) -> napi::Result<Vec<f64>> {
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if price.len() != size.len() || size.len() != is_buy.len() {
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return Err(NapiError::from_reason(
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"price, size, is_buy must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(price.len());
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for i in 0..price.len() {
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let trade = build_trade(price[i], size[i], is_buy[i])?;
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out.push(self.inner.update(trade).unwrap_or(f64::NAN));
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(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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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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// ============================== Family 15: Risk / Performance ==============================
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// Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper
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