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
@@ -191,3 +191,23 @@ def test_orderbook_misordered_levels_raise():
# Bids must be strictly descending in price.
with pytest.raises(ValueError):
ta.OrderBookImbalanceFull().update([99.0, 100.0], [1.0, 1.0], [101.0], [1.0])
def test_trade_imbalance_zero_window_raises():
with pytest.raises(ValueError):
ta.TradeImbalance(0)
def test_trade_negative_size_raises():
with pytest.raises(ValueError):
ta.SignedVolume().update(100.0, -1.0, True)
def test_trade_non_positive_price_raises():
with pytest.raises(ValueError):
ta.CumulativeVolumeDelta().update(0.0, 1.0, True)
def test_trade_batch_unequal_lengths_raise():
with pytest.raises(ValueError):
ta.SignedVolume().batch([100.0, 100.0], [1.0], [True, False])