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:
@@ -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])
|
||||
|
||||
Reference in New Issue
Block a user