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
+307
-1
@@ -28,7 +28,8 @@ fn map_err(e: wc::Error) -> PyErr {
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| wc::Error::InvalidCandle { .. }
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| wc::Error::InvalidTick { .. }
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| wc::Error::InvalidOrderBook { .. }
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| wc::Error::InvalidTrade { .. } => PyValueError::new_err(e.to_string()),
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| wc::Error::InvalidTrade { .. }
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| wc::Error::InvalidDerivatives { .. } => PyValueError::new_err(e.to_string()),
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}
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}
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@@ -12182,6 +12183,305 @@ impl PyFootprint {
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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) -> PyResult<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) -> PyResult<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) -> PyResult<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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// FundingRate takes no parameters; streaming `update(funding_rate)`, `batch`
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// over one funding-rate array.
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#[pyclass(name = "FundingRate", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyFundingRate {
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inner: wc::FundingRate,
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}
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#[pymethods]
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impl PyFundingRate {
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#[new]
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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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fn update(&mut self, funding_rate: f64) -> PyResult<Option<f64>> {
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Ok(self.inner.update(deriv_funding(funding_rate)?))
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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funding_rate: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"FundingRate()".to_string()
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}
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}
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// FundingRateMean carries a `window` parameter.
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#[pyclass(
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name = "FundingRateMean",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyFundingRateMean {
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inner: wc::FundingRateMean,
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}
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#[pymethods]
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impl PyFundingRateMean {
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#[new]
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fn new(window: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::FundingRateMean::new(window).map_err(map_err)?,
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})
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}
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fn update(&mut self, funding_rate: f64) -> PyResult<Option<f64>> {
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Ok(self.inner.update(deriv_funding(funding_rate)?))
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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funding_rate: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("FundingRateMean(window={})", self.inner.window())
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}
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}
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// FundingRateZScore carries a `window` parameter.
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#[pyclass(
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name = "FundingRateZScore",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyFundingRateZScore {
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inner: wc::FundingRateZScore,
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}
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#[pymethods]
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impl PyFundingRateZScore {
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#[new]
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fn new(window: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::FundingRateZScore::new(window).map_err(map_err)?,
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})
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}
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fn update(&mut self, funding_rate: f64) -> PyResult<Option<f64>> {
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Ok(self.inner.update(deriv_funding(funding_rate)?))
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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funding_rate: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("FundingRateZScore(window={})", self.inner.window())
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}
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}
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// FundingBasis takes no parameters; streaming `update(mark_price, index_price)`.
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#[pyclass(name = "FundingBasis", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyFundingBasis {
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inner: wc::FundingBasis,
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}
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#[pymethods]
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impl PyFundingBasis {
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#[new]
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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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fn update(&mut self, mark_price: f64, index_price: f64) -> PyResult<Option<f64>> {
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Ok(self.inner.update(deriv_basis(mark_price, index_price)?))
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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mark_price: Vec<f64>,
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index_price: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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if mark_price.len() != index_price.len() {
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return Err(PyValueError::new_err(
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"mark_price and index_price must be equal length",
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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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"FundingBasis()".to_string()
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}
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}
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// OpenInterestDelta takes no parameters; streaming `update(open_interest)`.
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#[pyclass(
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name = "OpenInterestDelta",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyOpenInterestDelta {
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inner: wc::OpenInterestDelta,
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}
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#[pymethods]
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impl PyOpenInterestDelta {
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#[new]
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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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fn update(&mut self, open_interest: f64) -> PyResult<Option<f64>> {
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Ok(self.inner.update(deriv_oi(open_interest)?))
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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open_interest: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"OpenInterestDelta()".to_string()
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}
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}
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// ============================== Family 15: Risk / Performance ==============================
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#[pyclass(name = "SharpeRatio", module = "wickra._wickra", skip_from_py_object)]
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@@ -13304,6 +13604,12 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyKylesLambda>()?;
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// Microstructure: footprint.
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m.add_class::<PyFootprint>()?;
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// Derivatives.
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m.add_class::<PyFundingRate>()?;
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m.add_class::<PyFundingRateMean>()?;
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m.add_class::<PyFundingRateZScore>()?;
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m.add_class::<PyFundingBasis>()?;
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m.add_class::<PyOpenInterestDelta>()?;
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// Family 15: Risk / Performance metrics.
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m.add_class::<PySharpeRatio>()?;
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m.add_class::<PySortinoRatio>()?;
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