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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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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