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
@@ -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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#[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)
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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 = "OpenInterestDelta")]
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pub struct OpenInterestDeltaNode {
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inner: wc::OpenInterestDelta,
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}
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impl Default for OpenInterestDeltaNode {
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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 OpenInterestDeltaNode {
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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::OpenInterestDelta::new(),
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}
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}
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#[napi]
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pub fn update(&mut self, open_interest: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_oi(open_interest)?))
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}
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#[napi]
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pub fn batch(&mut self, open_interest: Vec<f64>) -> napi::Result<Vec<f64>> {
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let mut out = Vec::with_capacity(open_interest.len());
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for oi in open_interest {
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out.push(self.inner.update(deriv_oi(oi)?).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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// ============================== Family 15: Risk / Performance ==============================
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// Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper
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