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
+96
View File
@@ -6459,6 +6459,102 @@ impl WasmOrderBookImbalanceTopN {
}
}
// ============================== Microstructure: Trade Flow ==============================
//
// Trade-flow indicators consume a trade tape rather than OHLCV. Each
// `update(price, size, isBuy)` takes one trade (`isBuy=true` for a
// buyer-initiated trade) — the streaming model for a live browser trade feed.
fn build_trade(price: f64, size: f64, is_buy: bool) -> Result<wc::Trade, JsError> {
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! wasm_trade_indicator {
($wasm:ident, $inner:ty, $js:ident) => {
#[wasm_bindgen(js_name = $js)]
pub struct $wasm {
inner: $inner,
}
impl Default for $wasm {
fn default() -> Self {
Self::new()
}
}
#[wasm_bindgen(js_class = $js)]
impl $wasm {
#[wasm_bindgen(constructor)]
pub fn new() -> $wasm {
Self {
inner: <$inner>::new(),
}
}
pub fn update(
&mut self,
price: f64,
size: f64,
is_buy: bool,
) -> Result<Option<f64>, JsError> {
Ok(self.inner.update(build_trade(price, size, is_buy)?))
}
pub fn reset(&mut self) {
self.inner.reset();
}
#[wasm_bindgen(js_name = isReady)]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[wasm_bindgen(js_name = warmupPeriod)]
pub fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
}
};
}
wasm_trade_indicator!(WasmSignedVolume, wc::SignedVolume, SignedVolume);
wasm_trade_indicator!(
WasmCumulativeVolumeDelta,
wc::CumulativeVolumeDelta,
CumulativeVolumeDelta
);
// Trade imbalance carries a `window` parameter, so it is hand-written.
#[wasm_bindgen(js_name = TradeImbalance)]
pub struct WasmTradeImbalance {
inner: wc::TradeImbalance,
}
#[wasm_bindgen(js_class = TradeImbalance)]
impl WasmTradeImbalance {
#[wasm_bindgen(constructor)]
pub fn new(window: usize) -> Result<WasmTradeImbalance, JsError> {
Ok(Self {
inner: wc::TradeImbalance::new(window).map_err(map_err)?,
})
}
pub fn update(&mut self, price: f64, size: f64, is_buy: bool) -> Result<Option<f64>, JsError> {
Ok(self.inner.update(build_trade(price, size, is_buy)?))
}
pub fn reset(&mut self) {
self.inner.reset();
}
#[wasm_bindgen(js_name = isReady)]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[wasm_bindgen(js_name = warmupPeriod)]
pub fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
}
#[cfg(test)]
mod tests {
use super::*;