F2: add ZLEMA, T3 and VWMA advanced moving averages
Completes the F2 family (Advanced MAs) end to end: - Rust core: zlema.rs (Zero-Lag EMA over the de-lagged series 2·price − price[lag]), t3.rs (Tillson's six-EMA cascade with the volume-factor polynomial), vwma.rs (volume-weighted rolling mean with a zero-volume fallback to the unweighted mean). Each with a full Indicator impl, runnable doctest and reference-value / warmup / reset / batch==streaming / non-finite tests. - Python: PyZlema / PyT3 / PyVwma PyO3 classes + module registration + .pyi stubs (T3 defaults v=0.7). - Node: ZlemaNode via the scalar macro, explicit T3Node and VwmaNode classes; index.d.ts and index.js updated. - WASM: WasmZlema / WasmT3 via the scalar macro, explicit WasmVwma. - Wiki: Indicator-Zlema.md, Indicator-T3.md, Indicator-Vwma.md plus rows in Indicators-Overview.md and entries in Home.md. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 232 core tests, 25 data tests and 33 doctests green.
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//! Volume-Weighted Moving Average.
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use std::collections::VecDeque;
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use crate::error::{Error, Result};
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use crate::ohlcv::Candle;
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use crate::traits::Indicator;
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/// Volume-Weighted Moving Average over a rolling window of `period` candles.
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///
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/// Each close is weighted by its own bar volume:
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///
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/// ```text
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/// VWMA_t = Σ(close_i · volume_i) / Σ(volume_i) over the last `period` bars
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/// ```
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///
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/// High-volume bars pull the average toward their close, so VWMA reacts to
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/// price moves that the market actually participated in and largely ignores
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/// thin, low-conviction bars.
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///
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/// If every candle in the window has zero volume the weighted mean is
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/// undefined; the indicator then falls back to the **unweighted** mean of the
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/// `period` closes, so the output is always finite. The first output lands
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/// after exactly `period` candles.
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///
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/// # Example
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///
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/// ```
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/// use wickra_core::{Candle, Indicator, Vwma};
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///
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/// let mut indicator = Vwma::new(5).unwrap();
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/// let mut last = None;
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/// for i in 0..40 {
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/// let p = 100.0 + f64::from(i);
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/// let candle = Candle::new(p, p + 1.0, p - 1.0, p, 10.0, i64::from(i)).unwrap();
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/// last = indicator.update(candle);
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/// }
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/// assert!(last.is_some());
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/// ```
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#[derive(Debug, Clone)]
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pub struct Vwma {
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period: usize,
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/// Rolling window of `(close, volume)` pairs, oldest at the front.
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window: VecDeque<(f64, f64)>,
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sum_pv: f64,
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sum_v: f64,
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sum_close: f64,
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current: Option<f64>,
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}
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impl Vwma {
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/// Construct a new VWMA with the given period.
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///
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/// # Errors
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///
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/// Returns [`Error::PeriodZero`] if `period == 0`.
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pub fn new(period: usize) -> Result<Self> {
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if period == 0 {
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return Err(Error::PeriodZero);
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}
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Ok(Self {
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period,
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window: VecDeque::with_capacity(period),
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sum_pv: 0.0,
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sum_v: 0.0,
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sum_close: 0.0,
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current: None,
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})
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}
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/// Configured period.
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pub const fn period(&self) -> usize {
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self.period
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}
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/// Current value if available.
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pub const fn value(&self) -> Option<f64> {
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self.current
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}
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}
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impl Indicator for Vwma {
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type Input = Candle;
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type Output = f64;
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fn update(&mut self, candle: Candle) -> Option<f64> {
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let close = candle.close;
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let volume = candle.volume;
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if self.window.len() == self.period {
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let (old_close, old_volume) = self.window.pop_front().expect("window is non-empty");
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self.sum_pv -= old_close * old_volume;
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self.sum_v -= old_volume;
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self.sum_close -= old_close;
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}
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self.window.push_back((close, volume));
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self.sum_pv += close * volume;
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self.sum_v += volume;
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self.sum_close += close;
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if self.window.len() < self.period {
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return None;
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}
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let value = if self.sum_v > 0.0 {
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self.sum_pv / self.sum_v
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} else {
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// Degenerate window: every bar had zero volume. Fall back to the
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// plain mean of the closes so the output stays finite.
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self.sum_close / self.period as f64
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};
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self.current = Some(value);
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Some(value)
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}
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fn reset(&mut self) {
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self.window.clear();
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self.sum_pv = 0.0;
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self.sum_v = 0.0;
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self.sum_close = 0.0;
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self.current = None;
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}
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fn warmup_period(&self) -> usize {
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self.period
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}
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fn is_ready(&self) -> bool {
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self.current.is_some()
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}
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fn name(&self) -> &'static str {
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"VWMA"
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}
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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use crate::traits::BatchExt;
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use approx::assert_relative_eq;
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/// Build a flat candle with a given close and volume.
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fn candle(close: f64, volume: f64, ts: i64) -> Candle {
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Candle::new(close, close, close, close, volume, ts).unwrap()
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}
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#[test]
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fn new_rejects_zero_period() {
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assert!(matches!(Vwma::new(0), Err(Error::PeriodZero)));
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}
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#[test]
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fn reference_value() {
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// VWMA(2): (10·1 + 20·3) / (1 + 3) = 70 / 4 = 17.5.
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let mut vwma = Vwma::new(2).unwrap();
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assert_eq!(vwma.update(candle(10.0, 1.0, 0)), None);
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assert_relative_eq!(
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vwma.update(candle(20.0, 3.0, 1)).unwrap(),
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17.5,
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epsilon = 1e-12
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);
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// Window slides: (20·3 + 30·1) / (3 + 1) = 90 / 4 = 22.5.
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assert_relative_eq!(
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vwma.update(candle(30.0, 1.0, 2)).unwrap(),
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22.5,
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epsilon = 1e-12
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);
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}
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#[test]
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fn zero_volume_window_falls_back_to_unweighted_mean() {
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let mut vwma = Vwma::new(2).unwrap();
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assert_eq!(vwma.update(candle(10.0, 0.0, 0)), None);
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// Both bars have zero volume: fall back to mean(10, 20) = 15.
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assert_relative_eq!(
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vwma.update(candle(20.0, 0.0, 1)).unwrap(),
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15.0,
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epsilon = 1e-12
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);
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}
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#[test]
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fn constant_series_yields_the_constant() {
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let mut vwma = Vwma::new(5).unwrap();
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let candles: Vec<Candle> = (0..30).map(|i| candle(42.0, 3.0, i)).collect();
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let out = vwma.batch(&candles);
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for x in out.iter().skip(4).flatten() {
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assert_relative_eq!(*x, 42.0, epsilon = 1e-12);
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}
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}
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#[test]
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fn high_volume_bar_pulls_the_average() {
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// A heavy bar at a higher close drags VWMA above the simple mean.
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let mut vwma = Vwma::new(3).unwrap();
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vwma.update(candle(10.0, 1.0, 0));
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vwma.update(candle(10.0, 1.0, 1));
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let v = vwma.update(candle(20.0, 100.0, 2)).unwrap();
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let simple_mean = (10.0 + 10.0 + 20.0) / 3.0;
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assert!(
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v > simple_mean,
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"{v} should exceed simple mean {simple_mean}"
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);
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}
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#[test]
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fn first_emission_at_warmup_period() {
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let mut vwma = Vwma::new(4).unwrap();
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assert_eq!(vwma.warmup_period(), 4);
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for i in 0..3 {
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assert_eq!(vwma.update(candle(10.0, 1.0, i)), None);
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}
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assert!(vwma.update(candle(10.0, 1.0, 3)).is_some());
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}
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#[test]
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fn reset_clears_state() {
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let mut vwma = Vwma::new(3).unwrap();
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let candles: Vec<Candle> = (0..10).map(|i| candle(10.0 + i as f64, 2.0, i)).collect();
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vwma.batch(&candles);
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assert!(vwma.is_ready());
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vwma.reset();
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assert!(!vwma.is_ready());
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assert_eq!(vwma.update(candle(10.0, 1.0, 0)), None);
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}
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#[test]
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fn batch_equals_streaming() {
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let candles: Vec<Candle> = (0..50_i64)
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.map(|i| {
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let c = 100.0 + (i as f64 * 0.3).sin() * 8.0;
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candle(c, 1.0 + (i % 7) as f64, i)
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})
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.collect();
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let batch = Vwma::new(8).unwrap().batch(&candles);
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let mut b = Vwma::new(8).unwrap();
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let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
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assert_eq!(batch, streamed);
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}
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}
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