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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@@ -946,3 +946,36 @@ def test_kyles_lambda_recovers_constant_impact():
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mids.append(mid)
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out = ta.KylesLambda(6).batch(price, size, is_buy, mids)
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assert out[-1] == pytest.approx(0.5, abs=1e-9)
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def test_funding_rate_reference_values():
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assert ta.FundingRate().update(0.0001) == pytest.approx(0.0001)
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assert ta.FundingRate().update(-0.0003) == pytest.approx(-0.0003)
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def test_funding_rate_mean_reference_value():
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frm = ta.FundingRateMean(2)
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assert frm.update(0.001) is None # warming up
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# Window [0.001, 0.003] -> mean 0.002.
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assert frm.update(0.003) == pytest.approx(0.002)
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def test_funding_rate_zscore_reference_value():
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z = ta.FundingRateZScore(2)
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assert z.update(0.001) is None # warming up
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# Window [0.001, 0.003]: mean 0.002, population stddev 0.001 -> +1.
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assert z.update(0.003) == pytest.approx(1.0, abs=1e-9)
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def test_funding_basis_reference_value():
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# mark 100.5 vs index 100.0 -> (100.5 - 100.0) / 100.0 = 0.005.
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assert ta.FundingBasis().update(100.5, 100.0) == pytest.approx(0.005)
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# A discount reads negative.
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assert ta.FundingBasis().update(99.5, 100.0) == pytest.approx(-0.005)
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def test_open_interest_delta_reference_value():
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oid = ta.OpenInterestDelta()
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assert oid.update(1000.0) is None # seeds the previous OI
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assert oid.update(1250.0) == pytest.approx(250.0)
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assert oid.update(1100.0) == pytest.approx(-150.0)
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