feat(family-08): Pivots & Support/Resistance (7 indicators) (#47)

* feat(family-08): add Classic, Fibonacci, Camarilla, Woodie and DeMark pivots + Williams Fractals + ZigZag Seven new indicators land the previously empty Pivots & S/R family (family 08), each implemented in wickra-core with the full Indicator trait surface (update / reset / warmup_period / is_ready / name), exposed across Python (PyO3), Node (napi-rs) and WASM (wasm-bindgen) with the standard streaming + batch APIs, and covered by Rust unit tests, Python streaming-vs-batch + reference-value tests, Node streaming-vs-batch tests, the candle-input fuzz target and Rust microbenchmarks. - ClassicPivots (7 levels): PP = (H+L+C)/3, three R/S tiers per the floor-trader formulas. - FibonacciPivots (7 levels): PP plus R/S spaced by 0.382 / 0.618 / 1.000 of the prior range. - Camarilla (9 levels): Nick Stott's four-tier `C +/- (H - L) * 1.1 / {12, 6, 4, 2}` levels. - WoodiePivots (5 levels): close-weighted PP = (H + L + 2*C) / 4 plus two R/S tiers. - DemarkPivots (3 levels): conditional X sum based on the previous bar's open-vs-close relationship. - WilliamsFractals: five-bar swing detector emitting optional up/down fractal prices at the centre of each window. - ZigZag: percent-threshold swing tracker, non-repainting; emits the just-completed extreme and direction on confirmed reversals only. README family table updated to nine families / 78 indicators; CHANGELOG records the family-08 addition under [Unreleased]. * fix(family-08 tests): unify MULTI dict to 3-tuple (factory, batch_call, k) The HEAD-side family-08 test parametrised MULTI[name] as `(factory, batch_call, output_arity)` so that pivots with arity 3/5/7/9 fit the same harness. Main's entries arrived as 2-tuples; convert them all to the 3-tuple shape so `make, batch_call, k = MULTI[name]` unpacks cleanly. Lifecycle test now indexes the tuple instead of destructuring. * test(zig_zag): tighten flat-oscillation test (drop dead counter branch) The previous version of `small_oscillations_yield_no_swings` counted emitted swings, but the assertion proves the counter never increments so codecov flagged `emitted += 1` as uncovered. Switch to a per-bar `assert!(...is_none())` — same coverage of the no-swing path, no dead branch.
2026-05-25 20:06:46 +02:00
parent f10b8c2e2d
commit 7e1e988596
19 changed files with 3379 additions and 45 deletions
@@ -4152,6 +4152,499 @@ impl WasmVwapStdDevBands {
    }
 }

+// ============================== Pivots & S/R ==============================
+
+#[wasm_bindgen(js_name = ClassicPivots)]
+pub struct WasmClassicPivots {
+    inner: wc::ClassicPivots,
+}
+
+impl Default for WasmClassicPivots {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = ClassicPivots)]
+impl WasmClassicPivots {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmClassicPivots {
+        Self {
+            inner: wc::ClassicPivots::new(),
+        }
+    }
+    pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
+        let c = make_candle(high, low, close, 0.0)?;
+        Ok(match self.inner.update(c) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"pp".into(), &o.pp.into()).ok();
+                Reflect::set(&obj, &"r1".into(), &o.r1.into()).ok();
+                Reflect::set(&obj, &"r2".into(), &o.r2.into()).ok();
+                Reflect::set(&obj, &"r3".into(), &o.r3.into()).ok();
+                Reflect::set(&obj, &"s1".into(), &o.s1.into()).ok();
+                Reflect::set(&obj, &"s2".into(), &o.s2.into()).ok();
+                Reflect::set(&obj, &"s3".into(), &o.s3.into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        })
+    }
+    pub fn batch(
+        &mut self,
+        high: &[f64],
+        low: &[f64],
+        close: &[f64],
+    ) -> Result<Float64Array, JsError> {
+        if high.len() != low.len() || low.len() != close.len() {
+            return Err(JsError::new("high, low, close must be equal length"));
+        }
+        let n = high.len();
+        let mut out = vec![f64::NAN; n * 7];
+        for i in 0..n {
+            let c = make_candle(high[i], low[i], close[i], 0.0)?;
+            if let Some(o) = self.inner.update(c) {
+                out[i * 7] = o.pp;
+                out[i * 7 + 1] = o.r1;
+                out[i * 7 + 2] = o.r2;
+                out[i * 7 + 3] = o.r3;
+                out[i * 7 + 4] = o.s1;
+                out[i * 7 + 5] = o.s2;
+                out[i * 7 + 6] = o.s3;
+            }
+        }
+        Ok(Float64Array::from(out.as_slice()))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = FibonacciPivots)]
+pub struct WasmFibonacciPivots {
+    inner: wc::FibonacciPivots,
+}
+
+impl Default for WasmFibonacciPivots {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = FibonacciPivots)]
+impl WasmFibonacciPivots {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmFibonacciPivots {
+        Self {
+            inner: wc::FibonacciPivots::new(),
+        }
+    }
+    pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
+        let c = make_candle(high, low, close, 0.0)?;
+        Ok(match self.inner.update(c) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"pp".into(), &o.pp.into()).ok();
+                Reflect::set(&obj, &"r1".into(), &o.r1.into()).ok();
+                Reflect::set(&obj, &"r2".into(), &o.r2.into()).ok();
+                Reflect::set(&obj, &"r3".into(), &o.r3.into()).ok();
+                Reflect::set(&obj, &"s1".into(), &o.s1.into()).ok();
+                Reflect::set(&obj, &"s2".into(), &o.s2.into()).ok();
+                Reflect::set(&obj, &"s3".into(), &o.s3.into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        })
+    }
+    pub fn batch(
+        &mut self,
+        high: &[f64],
+        low: &[f64],
+        close: &[f64],
+    ) -> Result<Float64Array, JsError> {
+        if high.len() != low.len() || low.len() != close.len() {
+            return Err(JsError::new("high, low, close must be equal length"));
+        }
+        let n = high.len();
+        let mut out = vec![f64::NAN; n * 7];
+        for i in 0..n {
+            let c = make_candle(high[i], low[i], close[i], 0.0)?;
+            if let Some(o) = self.inner.update(c) {
+                out[i * 7] = o.pp;
+                out[i * 7 + 1] = o.r1;
+                out[i * 7 + 2] = o.r2;
+                out[i * 7 + 3] = o.r3;
+                out[i * 7 + 4] = o.s1;
+                out[i * 7 + 5] = o.s2;
+                out[i * 7 + 6] = o.s3;
+            }
+        }
+        Ok(Float64Array::from(out.as_slice()))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = Camarilla)]
+pub struct WasmCamarilla {
+    inner: wc::Camarilla,
+}
+
+impl Default for WasmCamarilla {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = Camarilla)]
+impl WasmCamarilla {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmCamarilla {
+        Self {
+            inner: wc::Camarilla::new(),
+        }
+    }
+    pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
+        let c = make_candle(high, low, close, 0.0)?;
+        Ok(match self.inner.update(c) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"pp".into(), &o.pp.into()).ok();
+                Reflect::set(&obj, &"r1".into(), &o.r1.into()).ok();
+                Reflect::set(&obj, &"r2".into(), &o.r2.into()).ok();
+                Reflect::set(&obj, &"r3".into(), &o.r3.into()).ok();
+                Reflect::set(&obj, &"r4".into(), &o.r4.into()).ok();
+                Reflect::set(&obj, &"s1".into(), &o.s1.into()).ok();
+                Reflect::set(&obj, &"s2".into(), &o.s2.into()).ok();
+                Reflect::set(&obj, &"s3".into(), &o.s3.into()).ok();
+                Reflect::set(&obj, &"s4".into(), &o.s4.into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        })
+    }
+    pub fn batch(
+        &mut self,
+        high: &[f64],
+        low: &[f64],
+        close: &[f64],
+    ) -> Result<Float64Array, JsError> {
+        if high.len() != low.len() || low.len() != close.len() {
+            return Err(JsError::new("high, low, close must be equal length"));
+        }
+        let n = high.len();
+        let mut out = vec![f64::NAN; n * 9];
+        for i in 0..n {
+            let c = make_candle(high[i], low[i], close[i], 0.0)?;
+            if let Some(o) = self.inner.update(c) {
+                out[i * 9] = o.pp;
+                out[i * 9 + 1] = o.r1;
+                out[i * 9 + 2] = o.r2;
+                out[i * 9 + 3] = o.r3;
+                out[i * 9 + 4] = o.r4;
+                out[i * 9 + 5] = o.s1;
+                out[i * 9 + 6] = o.s2;
+                out[i * 9 + 7] = o.s3;
+                out[i * 9 + 8] = o.s4;
+            }
+        }
+        Ok(Float64Array::from(out.as_slice()))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = WoodiePivots)]
+pub struct WasmWoodiePivots {
+    inner: wc::WoodiePivots,
+}
+
+impl Default for WasmWoodiePivots {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = WoodiePivots)]
+impl WasmWoodiePivots {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmWoodiePivots {
+        Self {
+            inner: wc::WoodiePivots::new(),
+        }
+    }
+    pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
+        let c = make_candle(high, low, close, 0.0)?;
+        Ok(match self.inner.update(c) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"pp".into(), &o.pp.into()).ok();
+                Reflect::set(&obj, &"r1".into(), &o.r1.into()).ok();
+                Reflect::set(&obj, &"r2".into(), &o.r2.into()).ok();
+                Reflect::set(&obj, &"s1".into(), &o.s1.into()).ok();
+                Reflect::set(&obj, &"s2".into(), &o.s2.into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        })
+    }
+    pub fn batch(
+        &mut self,
+        high: &[f64],
+        low: &[f64],
+        close: &[f64],
+    ) -> Result<Float64Array, JsError> {
+        if high.len() != low.len() || low.len() != close.len() {
+            return Err(JsError::new("high, low, close must be equal length"));
+        }
+        let n = high.len();
+        let mut out = vec![f64::NAN; n * 5];
+        for i in 0..n {
+            let c = make_candle(high[i], low[i], close[i], 0.0)?;
+            if let Some(o) = self.inner.update(c) {
+                out[i * 5] = o.pp;
+                out[i * 5 + 1] = o.r1;
+                out[i * 5 + 2] = o.r2;
+                out[i * 5 + 3] = o.s1;
+                out[i * 5 + 4] = o.s2;
+            }
+        }
+        Ok(Float64Array::from(out.as_slice()))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = DemarkPivots)]
+pub struct WasmDemarkPivots {
+    inner: wc::DemarkPivots,
+}
+
+impl Default for WasmDemarkPivots {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = DemarkPivots)]
+impl WasmDemarkPivots {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmDemarkPivots {
+        Self {
+            inner: wc::DemarkPivots::new(),
+        }
+    }
+    pub fn update(
+        &mut self,
+        open: f64,
+        high: f64,
+        low: f64,
+        close: f64,
+    ) -> Result<JsValue, JsError> {
+        let c = wc::Candle::new(open, high, low, close, 0.0, 0).map_err(map_err)?;
+        Ok(match self.inner.update(c) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"pp".into(), &o.pp.into()).ok();
+                Reflect::set(&obj, &"r1".into(), &o.r1.into()).ok();
+                Reflect::set(&obj, &"s1".into(), &o.s1.into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        })
+    }
+    pub fn batch(
+        &mut self,
+        open: &[f64],
+        high: &[f64],
+        low: &[f64],
+        close: &[f64],
+    ) -> Result<Float64Array, JsError> {
+        if open.len() != high.len() || high.len() != low.len() || low.len() != close.len() {
+            return Err(JsError::new("open, high, low, close must be equal length"));
+        }
+        let n = open.len();
+        let mut out = vec![f64::NAN; n * 3];
+        for i in 0..n {
+            let c = wc::Candle::new(open[i], high[i], low[i], close[i], 0.0, 0).map_err(map_err)?;
+            if let Some(o) = self.inner.update(c) {
+                out[i * 3] = o.pp;
+                out[i * 3 + 1] = o.r1;
+                out[i * 3 + 2] = o.s1;
+            }
+        }
+        Ok(Float64Array::from(out.as_slice()))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = WilliamsFractals)]
+pub struct WasmWilliamsFractals {
+    inner: wc::WilliamsFractals,
+}
+
+impl Default for WasmWilliamsFractals {
+    fn default() -> Self {
+        Self::new()
+    }
+}
+
+#[wasm_bindgen(js_class = WilliamsFractals)]
+impl WasmWilliamsFractals {
+    #[wasm_bindgen(constructor)]
+    pub fn new() -> WasmWilliamsFractals {
+        Self {
+            inner: wc::WilliamsFractals::new(),
+        }
+    }
+    /// Returns `{ up, down }` where each is the fractal price or `NaN` when no
+    /// fractal was confirmed at the centre of the most recent 5-bar window.
+    /// Returns `null` during the four-bar warmup.
+    pub fn update(&mut self, high: f64, low: f64) -> Result<JsValue, JsError> {
+        let c = make_candle(high, low, low, 0.0)?;
+        Ok(match self.inner.update(c) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"up".into(), &o.up.unwrap_or(f64::NAN).into()).ok();
+                Reflect::set(&obj, &"down".into(), &o.down.unwrap_or(f64::NAN).into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        })
+    }
+    pub fn batch(&mut self, high: &[f64], low: &[f64]) -> Result<Float64Array, JsError> {
+        if high.len() != low.len() {
+            return Err(JsError::new("high and low must be equal length"));
+        }
+        let n = high.len();
+        let mut out = vec![f64::NAN; n * 2];
+        for i in 0..n {
+            let c = make_candle(high[i], low[i], low[i], 0.0)?;
+            if let Some(o) = self.inner.update(c) {
+                if let Some(v) = o.up {
+                    out[i * 2] = v;
+                }
+                if let Some(v) = o.down {
+                    out[i * 2 + 1] = v;
+                }
+            }
+        }
+        Ok(Float64Array::from(out.as_slice()))
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = ZigZag)]
+pub struct WasmZigZag {
+    inner: wc::ZigZag,
+}
+
+#[wasm_bindgen(js_class = ZigZag)]
+impl WasmZigZag {
+    #[wasm_bindgen(constructor)]
+    pub fn new(threshold: f64) -> Result<WasmZigZag, JsError> {
+        Ok(Self {
+            inner: wc::ZigZag::new(threshold).map_err(map_err)?,
+        })
+    }
+    pub fn update(&mut self, high: f64, low: f64) -> Result<JsValue, JsError> {
+        let c = make_candle(high, low, low, 0.0)?;
+        Ok(match self.inner.update(c) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"swing".into(), &o.swing.into()).ok();
+                Reflect::set(&obj, &"direction".into(), &o.direction.into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        })
+    }
+    pub fn batch(&mut self, high: &[f64], low: &[f64]) -> Result<Float64Array, JsError> {
+        if high.len() != low.len() {
+            return Err(JsError::new("high and low must be equal length"));
+        }
+        let n = high.len();
+        let mut out = vec![f64::NAN; n * 2];
+        for i in 0..n {
+            let c = make_candle(high[i], low[i], low[i], 0.0)?;
+            if let Some(o) = self.inner.update(c) {
+                out[i * 2] = o.swing;
+                out[i * 2 + 1] = o.direction;
+            }
+        }
+        Ok(Float64Array::from(out.as_slice()))
+    }
+    #[wasm_bindgen(js_name = threshold)]
+    pub fn threshold(&self) -> f64 {
+        self.inner.threshold()
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
 #[cfg(test)]
 mod tests {
    use super::*;