feat: derivatives open-interest, flow & liquidation indicators (part 2 of 3) (#127)

* feat(derivatives): OIPriceDivergence indicator (core)

* feat(derivatives): OIWeighted indicator (core)

* feat(derivatives): LongShortRatio indicator (core)

* feat(derivatives): TakerBuySellRatio indicator (core)

* feat(derivatives): LiquidationFeatures multi-output indicator (core)

* feat(derivatives): Python, Node and WASM bindings for OI, flow & liquidation indicators

* test(derivatives): Python and Node tests for OI, flow & liquidation indicators

* fuzz(derivatives): drive OI, flow & liquidation indicators in derivatives target

* docs(derivatives): README row + counter 237->242, CHANGELOG part 2
This commit is contained in:
kingchenc
2026-06-01 21:50:35 +02:00
committed by GitHub
parent 5eb820a9c7
commit 8e5bfd07ce
20 changed files with 2078 additions and 27 deletions
@@ -1136,3 +1136,42 @@ test('derivatives reject bad input', () => {
assert.throws(() => new wickra.FundingRateZScore(0));
assert.throws(() => new wickra.FundingBasis().update(100, 0));
});
test('OI / flow / liquidation indicators reference values', () => {
// OI +10% while price flat -> divergence +0.1.
const div = new wickra.OIPriceDivergence(1);
assert.equal(div.update(1000, 100), null); // warming up
assert.ok(Math.abs(div.update(1100, 100) - 0.1) < 1e-12);
// OI-weighted: (100·10 + 110·30) / 40 = 107.5.
const oiw = new wickra.OIWeighted();
assert.equal(oiw.update(100, 10), 100);
assert.ok(Math.abs(oiw.update(110, 30) - 107.5) < 1e-12);
// Long/short ratio.
assert.ok(Math.abs(new wickra.LongShortRatio().update(600, 400) - 1.5) < 1e-12);
assert.equal(new wickra.LongShortRatio().update(600, 0), 0);
// Taker buy/sell ratio.
assert.ok(Math.abs(new wickra.TakerBuySellRatio().update(60, 40) - 1.5) < 1e-12);
assert.equal(new wickra.TakerBuySellRatio().update(60, 0), 0);
// Liquidation features object.
const liq = new wickra.LiquidationFeatures().update(30, 10);
assert.equal(liq.net, 20);
assert.equal(liq.total, 40);
assert.equal(liq.imbalance, 0.5);
});
test('liquidation features batch is flat n*5', () => {
const longLiq = [10, 0, 30];
const shortLiq = [5, 20, 0];
const batch = new wickra.LiquidationFeatures().batch(longLiq, shortLiq);
assert.equal(batch.length, 15);
// Row 0: long 10, short 5, net 5, total 15.
assert.equal(batch[0], 10);
assert.equal(batch[1], 5);
assert.equal(batch[2], 5);
assert.equal(batch[3], 15);
});
test('OI flow rejects bad input', () => {
assert.throws(() => new wickra.OIPriceDivergence(0));
assert.throws(() => new wickra.OIWeighted().update(0, 100));
});