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

									
										fuzz/Cargo.toml
									
		+7
		
												View File
												
				@@ -59,6 +59,13 @@ test = false

				doc = false

				bench = false

				[[bin]]

				name = "indicator_update_trade"

				path = "fuzz_targets/indicator_update_trade.rs"

				test = false

				doc = false

				bench = false

				[[bin]]

				name = "tick_aggregator"

				path = "fuzz_targets/tick_aggregator.rs"