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
2026-06-01 21:26:37 +02:00
committed by GitHub
parent fae60e0d54
commit 5eb820a9c7
24 changed files with 2317 additions and 32 deletions
@@ -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"))