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
+138
View File
@@ -8914,6 +8914,144 @@ impl OrderBookImbalanceTopNNode {
}
}
// ============================== Microstructure: Trade Flow ==============================
//
// Trade-flow indicators consume a trade tape rather than OHLCV. Streaming
// `update(price, size, isBuy)` takes one trade (`isBuy=true` for a
// buyer-initiated trade); `batch` takes three equal-length arrays.
fn build_trade(price: f64, size: f64, is_buy: bool) -> napi::Result<wc::Trade> {
let side = if is_buy {
wc::Side::Buy
} else {
wc::Side::Sell
};
wc::Trade::new(price, size, side, 0).map_err(map_err)
}
macro_rules! node_trade_indicator {
($node:ident, $inner:ty, $js:literal) => {
#[napi(js_name = $js)]
pub struct $node {
inner: $inner,
}
impl Default for $node {
fn default() -> Self {
Self::new()
}
}
#[napi]
impl $node {
#[napi(constructor)]
pub fn new() -> Self {
Self {
inner: <$inner>::new(),
}
}
#[napi]
pub fn update(
&mut self,
price: f64,
size: f64,
is_buy: bool,
) -> napi::Result<Option<f64>> {
Ok(self.inner.update(build_trade(price, size, is_buy)?))
}
#[napi]
pub fn batch(
&mut self,
price: Vec<f64>,
size: Vec<f64>,
is_buy: Vec<bool>,
) -> napi::Result<Vec<f64>> {
if price.len() != size.len() || size.len() != is_buy.len() {
return Err(NapiError::from_reason(
"price, size, is_buy must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(price.len());
for i in 0..price.len() {
let trade = build_trade(price[i], size[i], is_buy[i])?;
out.push(self.inner.update(trade).unwrap_or(f64::NAN));
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
};
}
node_trade_indicator!(SignedVolumeNode, wc::SignedVolume, "SignedVolume");
node_trade_indicator!(
CumulativeVolumeDeltaNode,
wc::CumulativeVolumeDelta,
"CumulativeVolumeDelta"
);
// Trade imbalance carries a `window` parameter, so it is hand-written.
#[napi(js_name = "TradeImbalance")]
pub struct TradeImbalanceNode {
inner: wc::TradeImbalance,
}
#[napi]
impl TradeImbalanceNode {
#[napi(constructor)]
pub fn new(window: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::TradeImbalance::new(window as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, price: f64, size: f64, is_buy: bool) -> napi::Result<Option<f64>> {
Ok(self.inner.update(build_trade(price, size, is_buy)?))
}
#[napi]
pub fn batch(
&mut self,
price: Vec<f64>,
size: Vec<f64>,
is_buy: Vec<bool>,
) -> napi::Result<Vec<f64>> {
if price.len() != size.len() || size.len() != is_buy.len() {
return Err(NapiError::from_reason(
"price, size, is_buy must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(price.len());
for i in 0..price.len() {
let trade = build_trade(price[i], size[i], is_buy[i])?;
out.push(self.inner.update(trade).unwrap_or(f64::NAN));
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== Family 15: Risk / Performance ==============================
// Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper