feat: derivatives funding & open-interest indicators (part 1 of 3) (#126)

* feat(derivatives): DerivativesTick input type + InvalidDerivatives error

* feat(derivatives): FundingRate indicator (core)

* feat(derivatives): FundingRateMean indicator (core)

* feat(derivatives): FundingRateZScore indicator (core)

* feat(derivatives): FundingBasis indicator (core)

* feat(derivatives): OpenInterestDelta indicator (core)

* feat(derivatives): Python, Node and WASM bindings for funding & OI-delta indicators

* test(derivatives): Python and Node tests for funding & OI-delta indicators

* bench(derivatives): synthetic-tick bench + derivatives fuzz target

* docs(derivatives): README family row + counter 232->237, CHANGELOG entry
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kingchenc
2026-06-01 21:26:37 +02:00
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commit 5eb820a9c7
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@@ -7,6 +7,20 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
## [Unreleased]
### Added
- **Derivatives family — funding & open interest (part 1).** A new family of
indicators that consume a perpetual / futures tick (`DerivativesTick`,
bundling funding rate, mark / index / futures price, open interest,
positioning, taker flow and liquidations) rather than OHLCV, exposed in Rust,
Python, Node and WASM:
- **Funding Rate** — the current perpetual funding rate.
- **Funding Rate Mean** — the rolling mean funding rate over a window.
- **Funding Rate Z-Score** — the latest funding rate in standard deviations
from its rolling mean.
- **Funding Basis** — the perpetual's relative premium to spot,
`(markPrice indexPrice) / indexPrice`.
- **Open-Interest Delta** — the tick-over-tick change in open interest.
## [0.4.3] - 2026-06-01
### Added