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
+9
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@@ -43,6 +43,15 @@ pub enum Error {
/// non-finite price or negative size) was provided.
#[error("invalid trade: {message}")]
InvalidTrade { message: &'static str },
/// A derivatives tick whose components do not satisfy the tick invariants
/// (e.g. a non-positive price, a non-finite funding rate, or a negative
/// size/volume/liquidation) was provided. Derivatives ticks (funding /
/// open-interest / liquidation feeds) are a perpetual-futures input
/// distinct from candles, order books and trades, so they surface as their
/// own variant.
#[error("invalid derivatives tick: {message}")]
InvalidDerivatives { message: &'static str },
}
/// Convenience alias for `Result<T, wickra_core::Error>`.