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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@@ -1952,3 +1952,45 @@ def test_footprint_streaming_equals_batch():
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for i in range(n):
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streamed = streamer.update(price[i], size[i], is_buy[i])
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assert np.array_equal(streamed, batch[i])
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def test_funding_indicators_streaming_equals_batch():
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n = 40
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rate = np.array([0.0001 * math.sin(i * 0.3) for i in range(n)], dtype=np.float64)
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for make in (
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ta.FundingRate,
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lambda: ta.FundingRateMean(5),
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lambda: ta.FundingRateZScore(5),
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):
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batch = make().batch(rate)
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streamer = make()
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streamed = np.array(
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[streamer.update(rate[i]) for i in range(n)], dtype=np.float64
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)
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assert batch.shape == (n,)
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assert _eq_nan(batch, streamed)
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def test_funding_basis_streaming_equals_batch():
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n = 40
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index = np.array([100.0 + 0.5 * math.sin(i * 0.2) for i in range(n)], dtype=np.float64)
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mark = np.array(
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[index[i] + 0.1 * math.cos(i * 0.3) for i in range(n)], dtype=np.float64
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)
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batch = ta.FundingBasis().batch(mark, index)
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streamer = ta.FundingBasis()
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streamed = np.array(
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[streamer.update(mark[i], index[i]) for i in range(n)], dtype=np.float64
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)
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assert batch.shape == (n,)
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assert _eq_nan(batch, streamed)
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def test_open_interest_delta_streaming_equals_batch():
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n = 40
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oi = np.array([1000.0 + 50.0 * math.sin(i * 0.25) for i in range(n)], dtype=np.float64)
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batch = ta.OpenInterestDelta().batch(oi)
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streamer = ta.OpenInterestDelta()
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streamed = np.array([streamer.update(oi[i]) for i in range(n)], dtype=np.float64)
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assert batch.shape == (n,)
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assert _eq_nan(batch, streamed)
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