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
This commit is contained in:
kingchenc
@@ -1094,3 +1094,45 @@ test('footprint streaming update matches batch and rejects bad tick', () => {
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}
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assert.throws(() => new wickra.Footprint(0));
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});
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test('derivatives indicators reference values', () => {
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// Funding rate passes through (and may be negative).
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assert.equal(new wickra.FundingRate().update(0.0001), 0.0001);
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assert.equal(new wickra.FundingRate().update(-0.0003), -0.0003);
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// Rolling mean: window [0.001, 0.003] -> 0.002.
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const frm = new wickra.FundingRateMean(2);
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assert.equal(frm.update(0.001), null); // warming up
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assert.ok(Math.abs(frm.update(0.003) - 0.002) < 1e-12);
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// Z-score: window [0.001, 0.003] -> +1.
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const z = new wickra.FundingRateZScore(2);
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assert.equal(z.update(0.001), null); // warming up
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assert.ok(Math.abs(z.update(0.003) - 1.0) < 1e-9);
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// Basis: mark 100.5 vs index 100.0 -> 0.005.
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assert.ok(Math.abs(new wickra.FundingBasis().update(100.5, 100.0) - 0.005) < 1e-12);
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// OI delta: seeds then emits the change.
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const oid = new wickra.OpenInterestDelta();
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assert.equal(oid.update(1000), null);
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assert.equal(oid.update(1250), 250);
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assert.equal(oid.update(1100), -150);
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});
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test('derivatives streaming update matches batch', () => {
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const n = 30;
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const rate = Array.from({ length: n }, (_, i) => 0.0001 * Math.sin(i * 0.3));
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const batch = new wickra.FundingRateMean(5).batch(rate);
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const streamer = new wickra.FundingRateMean(5);
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assert.equal(batch.length, n);
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for (let i = 0; i < n; i++) {
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const s = streamer.update(rate[i]);
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assert.ok(
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(s === null && Number.isNaN(batch[i])) || Math.abs(s - batch[i]) < 1e-12,
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`mismatch at ${i}: ${s} vs ${batch[i]}`,
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);
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}
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});
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test('derivatives reject bad input', () => {
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assert.throws(() => new wickra.FundingRateMean(0));
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assert.throws(() => new wickra.FundingRateZScore(0));
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assert.throws(() => new wickra.FundingBasis().update(100, 0));
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});
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Vendored
+45
@@ -2319,6 +2319,51 @@ export declare class Footprint {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type FundingRateNode = FundingRate
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export declare class FundingRate {
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constructor()
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update(fundingRate: number): number | null
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batch(fundingRate: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type FundingRateMeanNode = FundingRateMean
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export declare class FundingRateMean {
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constructor(window: number)
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update(fundingRate: number): number | null
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batch(fundingRate: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type FundingRateZScoreNode = FundingRateZScore
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export declare class FundingRateZScore {
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constructor(window: number)
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update(fundingRate: number): number | null
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batch(fundingRate: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type FundingBasisNode = FundingBasis
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export declare class FundingBasis {
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constructor()
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update(markPrice: number, indexPrice: number): number | null
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batch(markPrice: Array<number>, indexPrice: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type OpenInterestDeltaNode = OpenInterestDelta
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export declare class OpenInterestDelta {
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constructor()
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update(openInterest: number): number | null
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batch(openInterest: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type SharpeRatioNode = SharpeRatio
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export declare class SharpeRatio {
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constructor(period: number, riskFree: number)
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@@ -310,7 +310,7 @@ if (!nativeBinding) {
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throw new Error(`Failed to load native binding`)
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}
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, McGinleyDynamic, FRAMA, SuperSmoother, FisherTransform, Decycler, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, RVIVolatility, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, Inertia, ConnorsRSI, LaguerreRSI, SMI, KST, PGO, RVI, AwesomeOscillatorHistogram, STC, ElderImpulse, ZeroLagMACD, CFO, APO, KAMA, EVWMA, Alligator, JMA, VIDYA, ALMA, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, NVI, PVI, VolumeOscillator, KVO, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, YangZhangVolatility, RogersSatchellVolatility, GarmanKlassVolatility, ParkinsonVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, WaveTrend, RWI, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, InverseFisherTransform, DecyclerOscillator, RoofingFilter, EmpiricalModeDecomposition, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, McGinleyDynamic, FRAMA, SuperSmoother, FisherTransform, Decycler, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, RVIVolatility, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, Inertia, ConnorsRSI, LaguerreRSI, SMI, KST, PGO, RVI, AwesomeOscillatorHistogram, STC, ElderImpulse, ZeroLagMACD, CFO, APO, KAMA, EVWMA, Alligator, JMA, VIDYA, ALMA, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, NVI, PVI, VolumeOscillator, KVO, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, YangZhangVolatility, RogersSatchellVolatility, GarmanKlassVolatility, ParkinsonVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, WaveTrend, RWI, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, InverseFisherTransform, DecyclerOscillator, RoofingFilter, EmpiricalModeDecomposition, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
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module.exports.version = version
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module.exports.SMA = SMA
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@@ -528,6 +528,11 @@ module.exports.EffectiveSpread = EffectiveSpread
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module.exports.RealizedSpread = RealizedSpread
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module.exports.KylesLambda = KylesLambda
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module.exports.Footprint = Footprint
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module.exports.FundingRate = FundingRate
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module.exports.FundingRateMean = FundingRateMean
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module.exports.FundingRateZScore = FundingRateZScore
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module.exports.FundingBasis = FundingBasis
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module.exports.OpenInterestDelta = OpenInterestDelta
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module.exports.SharpeRatio = SharpeRatio
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module.exports.SortinoRatio = SortinoRatio
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module.exports.CalmarRatio = CalmarRatio
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@@ -9352,6 +9352,289 @@ impl FootprintNode {
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}
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}
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// ============================== Derivatives ==============================
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//
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// Derivatives indicators consume a perpetual / futures tick rather than OHLCV.
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// Each wrapper exposes only the tick fields its indicator reads; the helpers
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// below build a fully-valid `DerivativesTick`, filling the unused fields with
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// neutral defaults (prices `1.0`, sizes / rates `0.0`).
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fn deriv_funding(funding_rate: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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funding_rate,
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1.0,
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1.0,
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1.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0,
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)
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.map_err(map_err)
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}
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fn deriv_basis(mark_price: f64, index_price: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0,
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mark_price,
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index_price,
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1.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0,
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)
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.map_err(map_err)
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}
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fn deriv_oi(open_interest: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0,
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1.0,
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1.0,
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1.0,
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open_interest,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0,
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)
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.map_err(map_err)
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}
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#[napi(js_name = "FundingRate")]
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pub struct FundingRateNode {
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inner: wc::FundingRate,
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}
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impl Default for FundingRateNode {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl FundingRateNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::FundingRate::new(),
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}
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}
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#[napi]
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pub fn update(&mut self, funding_rate: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_funding(funding_rate)?))
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}
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#[napi]
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pub fn batch(&mut self, funding_rate: Vec<f64>) -> napi::Result<Vec<f64>> {
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let mut out = Vec::with_capacity(funding_rate.len());
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for rate in funding_rate {
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out.push(self.inner.update(deriv_funding(rate)?).unwrap_or(f64::NAN));
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "FundingRateMean")]
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pub struct FundingRateMeanNode {
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inner: wc::FundingRateMean,
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}
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#[napi]
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impl FundingRateMeanNode {
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#[napi(constructor)]
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pub fn new(window: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::FundingRateMean::new(window as usize).map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, funding_rate: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_funding(funding_rate)?))
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}
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#[napi]
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pub fn batch(&mut self, funding_rate: Vec<f64>) -> napi::Result<Vec<f64>> {
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let mut out = Vec::with_capacity(funding_rate.len());
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for rate in funding_rate {
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out.push(self.inner.update(deriv_funding(rate)?).unwrap_or(f64::NAN));
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "FundingRateZScore")]
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pub struct FundingRateZScoreNode {
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inner: wc::FundingRateZScore,
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}
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#[napi]
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impl FundingRateZScoreNode {
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#[napi(constructor)]
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pub fn new(window: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::FundingRateZScore::new(window as usize).map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, funding_rate: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_funding(funding_rate)?))
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}
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#[napi]
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pub fn batch(&mut self, funding_rate: Vec<f64>) -> napi::Result<Vec<f64>> {
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let mut out = Vec::with_capacity(funding_rate.len());
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for rate in funding_rate {
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out.push(self.inner.update(deriv_funding(rate)?).unwrap_or(f64::NAN));
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "FundingBasis")]
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pub struct FundingBasisNode {
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inner: wc::FundingBasis,
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}
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impl Default for FundingBasisNode {
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fn default() -> Self {
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Self::new()
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}
|
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}
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|
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#[napi]
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impl FundingBasisNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::FundingBasis::new(),
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}
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}
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#[napi]
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pub fn update(&mut self, mark_price: f64, index_price: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_basis(mark_price, index_price)?))
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}
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#[napi]
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pub fn batch(&mut self, mark_price: Vec<f64>, index_price: Vec<f64>) -> napi::Result<Vec<f64>> {
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if mark_price.len() != index_price.len() {
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return Err(NapiError::from_reason(
|
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"mark_price and index_price must be equal length".to_string(),
|
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));
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}
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let mut out = Vec::with_capacity(mark_price.len());
|
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for i in 0..mark_price.len() {
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out.push(
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self.inner
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.update(deriv_basis(mark_price[i], index_price[i])?)
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.unwrap_or(f64::NAN),
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);
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}
|
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Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
#[napi(js_name = "isReady")]
|
||||
pub fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
#[napi(js_name = "warmupPeriod")]
|
||||
pub fn warmup_period(&self) -> u32 {
|
||||
self.inner.warmup_period() as u32
|
||||
}
|
||||
}
|
||||
|
||||
#[napi(js_name = "OpenInterestDelta")]
|
||||
pub struct OpenInterestDeltaNode {
|
||||
inner: wc::OpenInterestDelta,
|
||||
}
|
||||
|
||||
impl Default for OpenInterestDeltaNode {
|
||||
fn default() -> Self {
|
||||
Self::new()
|
||||
}
|
||||
}
|
||||
|
||||
#[napi]
|
||||
impl OpenInterestDeltaNode {
|
||||
#[napi(constructor)]
|
||||
pub fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::OpenInterestDelta::new(),
|
||||
}
|
||||
}
|
||||
#[napi]
|
||||
pub fn update(&mut self, open_interest: f64) -> napi::Result<Option<f64>> {
|
||||
Ok(self.inner.update(deriv_oi(open_interest)?))
|
||||
}
|
||||
#[napi]
|
||||
pub fn batch(&mut self, open_interest: Vec<f64>) -> napi::Result<Vec<f64>> {
|
||||
let mut out = Vec::with_capacity(open_interest.len());
|
||||
for oi in open_interest {
|
||||
out.push(self.inner.update(deriv_oi(oi)?).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[napi]
|
||||
pub fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
#[napi(js_name = "isReady")]
|
||||
pub fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
#[napi(js_name = "warmupPeriod")]
|
||||
pub fn warmup_period(&self) -> u32 {
|
||||
self.inner.warmup_period() as u32
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Family 15: Risk / Performance ==============================
|
||||
|
||||
// Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper
|
||||
|
||||
@@ -257,6 +257,12 @@ from ._wickra import (
|
||||
KylesLambda,
|
||||
# Microstructure: footprint
|
||||
Footprint,
|
||||
# Derivatives
|
||||
FundingRate,
|
||||
FundingRateMean,
|
||||
FundingRateZScore,
|
||||
FundingBasis,
|
||||
OpenInterestDelta,
|
||||
# Risk / Performance
|
||||
SharpeRatio,
|
||||
SortinoRatio,
|
||||
@@ -511,6 +517,12 @@ __all__ = [
|
||||
"KylesLambda",
|
||||
# Microstructure: footprint
|
||||
"Footprint",
|
||||
# Derivatives
|
||||
"FundingRate",
|
||||
"FundingRateMean",
|
||||
"FundingRateZScore",
|
||||
"FundingBasis",
|
||||
"OpenInterestDelta",
|
||||
# Risk / Performance
|
||||
"SharpeRatio",
|
||||
"SortinoRatio",
|
||||
|
||||
+307
-1
@@ -28,7 +28,8 @@ fn map_err(e: wc::Error) -> PyErr {
|
||||
| wc::Error::InvalidCandle { .. }
|
||||
| wc::Error::InvalidTick { .. }
|
||||
| wc::Error::InvalidOrderBook { .. }
|
||||
| wc::Error::InvalidTrade { .. } => PyValueError::new_err(e.to_string()),
|
||||
| wc::Error::InvalidTrade { .. }
|
||||
| wc::Error::InvalidDerivatives { .. } => PyValueError::new_err(e.to_string()),
|
||||
}
|
||||
}
|
||||
|
||||
@@ -12182,6 +12183,305 @@ impl PyFootprint {
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Derivatives ==============================
|
||||
//
|
||||
// Derivatives indicators consume a perpetual / futures tick rather than OHLCV.
|
||||
// Each wrapper exposes only the tick fields its indicator reads; the helpers
|
||||
// below build a fully-valid `DerivativesTick`, filling the unused fields with
|
||||
// neutral defaults (prices `1.0`, sizes / rates `0.0`).
|
||||
|
||||
fn deriv_funding(funding_rate: f64) -> PyResult<wc::DerivativesTick> {
|
||||
wc::DerivativesTick::new(
|
||||
funding_rate,
|
||||
1.0,
|
||||
1.0,
|
||||
1.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0,
|
||||
)
|
||||
.map_err(map_err)
|
||||
}
|
||||
|
||||
fn deriv_basis(mark_price: f64, index_price: f64) -> PyResult<wc::DerivativesTick> {
|
||||
wc::DerivativesTick::new(
|
||||
0.0,
|
||||
mark_price,
|
||||
index_price,
|
||||
1.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0,
|
||||
)
|
||||
.map_err(map_err)
|
||||
}
|
||||
|
||||
fn deriv_oi(open_interest: f64) -> PyResult<wc::DerivativesTick> {
|
||||
wc::DerivativesTick::new(
|
||||
0.0,
|
||||
1.0,
|
||||
1.0,
|
||||
1.0,
|
||||
open_interest,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0,
|
||||
)
|
||||
.map_err(map_err)
|
||||
}
|
||||
|
||||
// FundingRate takes no parameters; streaming `update(funding_rate)`, `batch`
|
||||
// over one funding-rate array.
|
||||
#[pyclass(name = "FundingRate", module = "wickra._wickra", skip_from_py_object)]
|
||||
#[derive(Clone)]
|
||||
struct PyFundingRate {
|
||||
inner: wc::FundingRate,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyFundingRate {
|
||||
#[new]
|
||||
fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::FundingRate::new(),
|
||||
}
|
||||
}
|
||||
fn update(&mut self, funding_rate: f64) -> PyResult<Option<f64>> {
|
||||
Ok(self.inner.update(deriv_funding(funding_rate)?))
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
funding_rate: Vec<f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let mut out = Vec::with_capacity(funding_rate.len());
|
||||
for rate in funding_rate {
|
||||
out.push(self.inner.update(deriv_funding(rate)?).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
"FundingRate()".to_string()
|
||||
}
|
||||
}
|
||||
|
||||
// FundingRateMean carries a `window` parameter.
|
||||
#[pyclass(
|
||||
name = "FundingRateMean",
|
||||
module = "wickra._wickra",
|
||||
skip_from_py_object
|
||||
)]
|
||||
#[derive(Clone)]
|
||||
struct PyFundingRateMean {
|
||||
inner: wc::FundingRateMean,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyFundingRateMean {
|
||||
#[new]
|
||||
fn new(window: usize) -> PyResult<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::FundingRateMean::new(window).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
fn update(&mut self, funding_rate: f64) -> PyResult<Option<f64>> {
|
||||
Ok(self.inner.update(deriv_funding(funding_rate)?))
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
funding_rate: Vec<f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let mut out = Vec::with_capacity(funding_rate.len());
|
||||
for rate in funding_rate {
|
||||
out.push(self.inner.update(deriv_funding(rate)?).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
format!("FundingRateMean(window={})", self.inner.window())
|
||||
}
|
||||
}
|
||||
|
||||
// FundingRateZScore carries a `window` parameter.
|
||||
#[pyclass(
|
||||
name = "FundingRateZScore",
|
||||
module = "wickra._wickra",
|
||||
skip_from_py_object
|
||||
)]
|
||||
#[derive(Clone)]
|
||||
struct PyFundingRateZScore {
|
||||
inner: wc::FundingRateZScore,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyFundingRateZScore {
|
||||
#[new]
|
||||
fn new(window: usize) -> PyResult<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::FundingRateZScore::new(window).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
fn update(&mut self, funding_rate: f64) -> PyResult<Option<f64>> {
|
||||
Ok(self.inner.update(deriv_funding(funding_rate)?))
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
funding_rate: Vec<f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let mut out = Vec::with_capacity(funding_rate.len());
|
||||
for rate in funding_rate {
|
||||
out.push(self.inner.update(deriv_funding(rate)?).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
format!("FundingRateZScore(window={})", self.inner.window())
|
||||
}
|
||||
}
|
||||
|
||||
// FundingBasis takes no parameters; streaming `update(mark_price, index_price)`.
|
||||
#[pyclass(name = "FundingBasis", module = "wickra._wickra", skip_from_py_object)]
|
||||
#[derive(Clone)]
|
||||
struct PyFundingBasis {
|
||||
inner: wc::FundingBasis,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyFundingBasis {
|
||||
#[new]
|
||||
fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::FundingBasis::new(),
|
||||
}
|
||||
}
|
||||
fn update(&mut self, mark_price: f64, index_price: f64) -> PyResult<Option<f64>> {
|
||||
Ok(self.inner.update(deriv_basis(mark_price, index_price)?))
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
mark_price: Vec<f64>,
|
||||
index_price: Vec<f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
if mark_price.len() != index_price.len() {
|
||||
return Err(PyValueError::new_err(
|
||||
"mark_price and index_price must be equal length",
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(mark_price.len());
|
||||
for i in 0..mark_price.len() {
|
||||
out.push(
|
||||
self.inner
|
||||
.update(deriv_basis(mark_price[i], index_price[i])?)
|
||||
.unwrap_or(f64::NAN),
|
||||
);
|
||||
}
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
"FundingBasis()".to_string()
|
||||
}
|
||||
}
|
||||
|
||||
// OpenInterestDelta takes no parameters; streaming `update(open_interest)`.
|
||||
#[pyclass(
|
||||
name = "OpenInterestDelta",
|
||||
module = "wickra._wickra",
|
||||
skip_from_py_object
|
||||
)]
|
||||
#[derive(Clone)]
|
||||
struct PyOpenInterestDelta {
|
||||
inner: wc::OpenInterestDelta,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyOpenInterestDelta {
|
||||
#[new]
|
||||
fn new() -> Self {
|
||||
Self {
|
||||
inner: wc::OpenInterestDelta::new(),
|
||||
}
|
||||
}
|
||||
fn update(&mut self, open_interest: f64) -> PyResult<Option<f64>> {
|
||||
Ok(self.inner.update(deriv_oi(open_interest)?))
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
open_interest: Vec<f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let mut out = Vec::with_capacity(open_interest.len());
|
||||
for oi in open_interest {
|
||||
out.push(self.inner.update(deriv_oi(oi)?).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
"OpenInterestDelta()".to_string()
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Family 15: Risk / Performance ==============================
|
||||
|
||||
#[pyclass(name = "SharpeRatio", module = "wickra._wickra", skip_from_py_object)]
|
||||
@@ -13304,6 +13604,12 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
|
||||
m.add_class::<PyKylesLambda>()?;
|
||||
// Microstructure: footprint.
|
||||
m.add_class::<PyFootprint>()?;
|
||||
// Derivatives.
|
||||
m.add_class::<PyFundingRate>()?;
|
||||
m.add_class::<PyFundingRateMean>()?;
|
||||
m.add_class::<PyFundingRateZScore>()?;
|
||||
m.add_class::<PyFundingBasis>()?;
|
||||
m.add_class::<PyOpenInterestDelta>()?;
|
||||
// Family 15: Risk / Performance metrics.
|
||||
m.add_class::<PySharpeRatio>()?;
|
||||
m.add_class::<PySortinoRatio>()?;
|
||||
|
||||
@@ -238,3 +238,23 @@ def test_footprint_non_positive_tick_raises():
|
||||
ta.Footprint(0.0)
|
||||
with pytest.raises(ValueError):
|
||||
ta.Footprint(-1.0)
|
||||
|
||||
|
||||
def test_funding_rate_mean_zero_window_raises():
|
||||
with pytest.raises(ValueError):
|
||||
ta.FundingRateMean(0)
|
||||
|
||||
|
||||
def test_funding_rate_zscore_zero_window_raises():
|
||||
with pytest.raises(ValueError):
|
||||
ta.FundingRateZScore(0)
|
||||
|
||||
|
||||
def test_funding_basis_non_positive_index_raises():
|
||||
with pytest.raises(ValueError):
|
||||
ta.FundingBasis().update(100.0, 0.0)
|
||||
|
||||
|
||||
def test_funding_rate_non_finite_raises():
|
||||
with pytest.raises(ValueError):
|
||||
ta.FundingRate().update(float("nan"))
|
||||
|
||||
@@ -946,3 +946,36 @@ def test_kyles_lambda_recovers_constant_impact():
|
||||
mids.append(mid)
|
||||
out = ta.KylesLambda(6).batch(price, size, is_buy, mids)
|
||||
assert out[-1] == pytest.approx(0.5, abs=1e-9)
|
||||
|
||||
|
||||
def test_funding_rate_reference_values():
|
||||
assert ta.FundingRate().update(0.0001) == pytest.approx(0.0001)
|
||||
assert ta.FundingRate().update(-0.0003) == pytest.approx(-0.0003)
|
||||
|
||||
|
||||
def test_funding_rate_mean_reference_value():
|
||||
frm = ta.FundingRateMean(2)
|
||||
assert frm.update(0.001) is None # warming up
|
||||
# Window [0.001, 0.003] -> mean 0.002.
|
||||
assert frm.update(0.003) == pytest.approx(0.002)
|
||||
|
||||
|
||||
def test_funding_rate_zscore_reference_value():
|
||||
z = ta.FundingRateZScore(2)
|
||||
assert z.update(0.001) is None # warming up
|
||||
# Window [0.001, 0.003]: mean 0.002, population stddev 0.001 -> +1.
|
||||
assert z.update(0.003) == pytest.approx(1.0, abs=1e-9)
|
||||
|
||||
|
||||
def test_funding_basis_reference_value():
|
||||
# mark 100.5 vs index 100.0 -> (100.5 - 100.0) / 100.0 = 0.005.
|
||||
assert ta.FundingBasis().update(100.5, 100.0) == pytest.approx(0.005)
|
||||
# A discount reads negative.
|
||||
assert ta.FundingBasis().update(99.5, 100.0) == pytest.approx(-0.005)
|
||||
|
||||
|
||||
def test_open_interest_delta_reference_value():
|
||||
oid = ta.OpenInterestDelta()
|
||||
assert oid.update(1000.0) is None # seeds the previous OI
|
||||
assert oid.update(1250.0) == pytest.approx(250.0)
|
||||
assert oid.update(1100.0) == pytest.approx(-150.0)
|
||||
|
||||
@@ -1952,3 +1952,45 @@ def test_footprint_streaming_equals_batch():
|
||||
for i in range(n):
|
||||
streamed = streamer.update(price[i], size[i], is_buy[i])
|
||||
assert np.array_equal(streamed, batch[i])
|
||||
|
||||
|
||||
def test_funding_indicators_streaming_equals_batch():
|
||||
n = 40
|
||||
rate = np.array([0.0001 * math.sin(i * 0.3) for i in range(n)], dtype=np.float64)
|
||||
for make in (
|
||||
ta.FundingRate,
|
||||
lambda: ta.FundingRateMean(5),
|
||||
lambda: ta.FundingRateZScore(5),
|
||||
):
|
||||
batch = make().batch(rate)
|
||||
streamer = make()
|
||||
streamed = np.array(
|
||||
[streamer.update(rate[i]) for i in range(n)], dtype=np.float64
|
||||
)
|
||||
assert batch.shape == (n,)
|
||||
assert _eq_nan(batch, streamed)
|
||||
|
||||
|
||||
def test_funding_basis_streaming_equals_batch():
|
||||
n = 40
|
||||
index = np.array([100.0 + 0.5 * math.sin(i * 0.2) for i in range(n)], dtype=np.float64)
|
||||
mark = np.array(
|
||||
[index[i] + 0.1 * math.cos(i * 0.3) for i in range(n)], dtype=np.float64
|
||||
)
|
||||
batch = ta.FundingBasis().batch(mark, index)
|
||||
streamer = ta.FundingBasis()
|
||||
streamed = np.array(
|
||||
[streamer.update(mark[i], index[i]) for i in range(n)], dtype=np.float64
|
||||
)
|
||||
assert batch.shape == (n,)
|
||||
assert _eq_nan(batch, streamed)
|
||||
|
||||
|
||||
def test_open_interest_delta_streaming_equals_batch():
|
||||
n = 40
|
||||
oi = np.array([1000.0 + 50.0 * math.sin(i * 0.25) for i in range(n)], dtype=np.float64)
|
||||
batch = ta.OpenInterestDelta().batch(oi)
|
||||
streamer = ta.OpenInterestDelta()
|
||||
streamed = np.array([streamer.update(oi[i]) for i in range(n)], dtype=np.float64)
|
||||
assert batch.shape == (n,)
|
||||
assert _eq_nan(batch, streamed)
|
||||
|
||||
@@ -6747,6 +6747,231 @@ impl WasmFootprint {
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Derivatives ==============================
|
||||
//
|
||||
// Derivatives indicators consume a perpetual / futures tick rather than OHLCV.
|
||||
// Each `update(...)` takes only the tick fields its indicator reads — the
|
||||
// streaming model for a live browser derivatives feed. Batch over a tape is
|
||||
// provided by the Python and Node bindings. The helpers build a fully-valid
|
||||
// `DerivativesTick`, filling unused fields with neutral defaults.
|
||||
|
||||
fn deriv_funding(funding_rate: f64) -> Result<wc::DerivativesTick, JsError> {
|
||||
wc::DerivativesTick::new(
|
||||
funding_rate,
|
||||
1.0,
|
||||
1.0,
|
||||
1.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0,
|
||||
)
|
||||
.map_err(map_err)
|
||||
}
|
||||
|
||||
fn deriv_basis(mark_price: f64, index_price: f64) -> Result<wc::DerivativesTick, JsError> {
|
||||
wc::DerivativesTick::new(
|
||||
0.0,
|
||||
mark_price,
|
||||
index_price,
|
||||
1.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0,
|
||||
)
|
||||
.map_err(map_err)
|
||||
}
|
||||
|
||||
fn deriv_oi(open_interest: f64) -> Result<wc::DerivativesTick, JsError> {
|
||||
wc::DerivativesTick::new(
|
||||
0.0,
|
||||
1.0,
|
||||
1.0,
|
||||
1.0,
|
||||
open_interest,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0.0,
|
||||
0,
|
||||
)
|
||||
.map_err(map_err)
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_name = FundingRate)]
|
||||
pub struct WasmFundingRate {
|
||||
inner: wc::FundingRate,
|
||||
}
|
||||
|
||||
impl Default for WasmFundingRate {
|
||||
fn default() -> Self {
|
||||
Self::new()
|
||||
}
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = FundingRate)]
|
||||
impl WasmFundingRate {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new() -> WasmFundingRate {
|
||||
Self {
|
||||
inner: wc::FundingRate::new(),
|
||||
}
|
||||
}
|
||||
pub fn update(&mut self, funding_rate: f64) -> Result<Option<f64>, JsError> {
|
||||
Ok(self.inner.update(deriv_funding(funding_rate)?))
|
||||
}
|
||||
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_bindgen(js_name = FundingRateMean)]
|
||||
pub struct WasmFundingRateMean {
|
||||
inner: wc::FundingRateMean,
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = FundingRateMean)]
|
||||
impl WasmFundingRateMean {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new(window: usize) -> Result<WasmFundingRateMean, JsError> {
|
||||
Ok(Self {
|
||||
inner: wc::FundingRateMean::new(window).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
pub fn update(&mut self, funding_rate: f64) -> Result<Option<f64>, JsError> {
|
||||
Ok(self.inner.update(deriv_funding(funding_rate)?))
|
||||
}
|
||||
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_bindgen(js_name = FundingRateZScore)]
|
||||
pub struct WasmFundingRateZScore {
|
||||
inner: wc::FundingRateZScore,
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = FundingRateZScore)]
|
||||
impl WasmFundingRateZScore {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new(window: usize) -> Result<WasmFundingRateZScore, JsError> {
|
||||
Ok(Self {
|
||||
inner: wc::FundingRateZScore::new(window).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
pub fn update(&mut self, funding_rate: f64) -> Result<Option<f64>, JsError> {
|
||||
Ok(self.inner.update(deriv_funding(funding_rate)?))
|
||||
}
|
||||
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_bindgen(js_name = FundingBasis)]
|
||||
pub struct WasmFundingBasis {
|
||||
inner: wc::FundingBasis,
|
||||
}
|
||||
|
||||
impl Default for WasmFundingBasis {
|
||||
fn default() -> Self {
|
||||
Self::new()
|
||||
}
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = FundingBasis)]
|
||||
impl WasmFundingBasis {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new() -> WasmFundingBasis {
|
||||
Self {
|
||||
inner: wc::FundingBasis::new(),
|
||||
}
|
||||
}
|
||||
pub fn update(&mut self, mark_price: f64, index_price: f64) -> Result<Option<f64>, JsError> {
|
||||
Ok(self.inner.update(deriv_basis(mark_price, index_price)?))
|
||||
}
|
||||
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_bindgen(js_name = OpenInterestDelta)]
|
||||
pub struct WasmOpenInterestDelta {
|
||||
inner: wc::OpenInterestDelta,
|
||||
}
|
||||
|
||||
impl Default for WasmOpenInterestDelta {
|
||||
fn default() -> Self {
|
||||
Self::new()
|
||||
}
|
||||
}
|
||||
|
||||
#[wasm_bindgen(js_class = OpenInterestDelta)]
|
||||
impl WasmOpenInterestDelta {
|
||||
#[wasm_bindgen(constructor)]
|
||||
pub fn new() -> WasmOpenInterestDelta {
|
||||
Self {
|
||||
inner: wc::OpenInterestDelta::new(),
|
||||
}
|
||||
}
|
||||
pub fn update(&mut self, open_interest: f64) -> Result<Option<f64>, JsError> {
|
||||
Ok(self.inner.update(deriv_oi(open_interest)?))
|
||||
}
|
||||
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::*;
|
||||
|
||||
Reference in New Issue
Block a user