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