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feat: derivatives funding & open-interest indicators (part 1 of 3) (#126)

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* 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
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crates/wickra-core/src/lib.rs
+19 -17
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@@ -36,6 +36,7 @@
#![cfg_attr(docsrs, feature(doc_cfg))]
mod derivatives;
mod error;
mod microstructure;
mod ohlcv;
@@ -43,6 +44,7 @@ mod traits;
pub mod indicators;
pub use derivatives::DerivativesTick;
pub use error::{Error, Result};
pub use indicators::{
AccelerationBands, AccelerationBandsOutput, AcceleratorOscillator, AdOscillator, AdaptiveCycle,
@@ -60,23 +62,23 @@ pub use indicators::{
DrawdownDuration, EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
EmpiricalModeDecomposition, Engulfing, Evwma, Fama, FibonacciPivots, FibonacciPivotsOutput,
FisherTransform, Footprint, FootprintOutput, ForceIndex, FractalChaosBands,
FractalChaosBandsOutput, Frama, GainLossRatio, GarmanKlassVolatility, Hammer, HangingMan,
Harami, HeikinAshi, HeikinAshiOutput, HiLoActivator, HilbertDominantCycle,
HistoricalVolatility, Hma, HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku,
IchimokuOutput, Inertia, InformationRatio, InitialBalance, InitialBalanceOutput,
InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma, Kama, KellyCriterion,
Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis, Kvo, KylesLambda, LaguerreRsi,
LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel,
LinRegChannelOutput, LinRegSlope, LinearRegression, MaEnvelope, MaEnvelopeOutput,
MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, Marubozu, MassIndex,
MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Microprice, Mom,
MorningEveningStar, Natr, Nvi, Obv, OmegaRatio, OpeningRange, OpeningRangeOutput,
OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, PainIndex,
PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentB,
PercentageTrailingStop, Pgo, PiercingDarkCloud, Pmo, Ppo, ProfitFactor, Psar, Pvi,
QuotedSpread, RSquared, RealizedSpread, RecoveryFactor, RelativeStrengthAB,
RelativeStrengthOutput, RenkoTrailingStop, Roc, RogersSatchellVolatility, RollingVwap,
RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SharpeRatio, ShootingStar,
FractalChaosBandsOutput, Frama, FundingBasis, FundingRate, FundingRateMean, FundingRateZScore,
GainLossRatio, GarmanKlassVolatility, Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput,
HiLoActivator, HilbertDominantCycle, HistoricalVolatility, Hma, HurstChannel,
HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, Inertia, InformationRatio,
InitialBalance, InitialBalanceOutput, InstantaneousTrendline, InverseFisherTransform,
InvertedHammer, Jma, Kama, KellyCriterion, Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis,
Kvo, KylesLambda, LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput,
LinRegAngle, LinRegChannel, LinRegChannelOutput, LinRegSlope, LinearRegression, MaEnvelope,
MaEnvelopeOutput, MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex,
Marubozu, MassIndex, MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi,
Microprice, Mom, MorningEveningStar, Natr, Nvi, Obv, OmegaRatio, OpenInterestDelta,
OpeningRange, OpeningRangeOutput, OrderBookImbalanceFull, OrderBookImbalanceTop1,
OrderBookImbalanceTopN, PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility,
PearsonCorrelation, PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud, Pmo, Ppo,
ProfitFactor, Psar, Pvi, QuotedSpread, RSquared, RealizedSpread, RecoveryFactor,
RelativeStrengthAB, RelativeStrengthOutput, RenkoTrailingStop, Roc, RogersSatchellVolatility,
RollingVwap, RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SharpeRatio, ShootingStar,
SignedVolume, SineWave, Skewness, Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation,
SpinningTop, StandardError, StandardErrorBands, StandardErrorBandsOutput, StarcBands,
StarcBandsOutput, Stc, StdDev, StepTrailingStop, StochRsi, Stochastic, StochasticOutput,