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
@@ -9413,6 +9413,70 @@ fn deriv_oi(open_interest: f64) -> napi::Result<wc::DerivativesTick> {
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.map_err(map_err)
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}
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fn deriv_oi_mark(open_interest: f64, mark_price: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0,
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mark_price,
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1.0,
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1.0,
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open_interest,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0,
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)
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.map_err(map_err)
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}
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fn deriv_long_short(long_size: f64, short_size: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0, 1.0, 1.0, 1.0, 0.0, long_size, short_size, 0.0, 0.0, 0.0, 0.0, 0,
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)
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.map_err(map_err)
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}
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fn deriv_taker(taker_buy_volume: f64, taker_sell_volume: f64) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0,
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1.0,
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1.0,
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1.0,
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0.0,
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0.0,
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0.0,
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taker_buy_volume,
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taker_sell_volume,
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0.0,
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0.0,
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0,
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)
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.map_err(map_err)
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}
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fn deriv_liquidation(
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long_liquidation: f64,
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short_liquidation: f64,
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) -> napi::Result<wc::DerivativesTick> {
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wc::DerivativesTick::new(
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0.0,
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1.0,
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1.0,
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1.0,
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0.0,
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0.0,
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0.0,
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0.0,
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0.0,
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long_liquidation,
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short_liquidation,
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0,
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)
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.map_err(map_err)
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}
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#[napi(js_name = "FundingRate")]
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pub struct FundingRateNode {
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inner: wc::FundingRate,
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@@ -9635,6 +9699,322 @@ impl OpenInterestDeltaNode {
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}
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}
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#[napi(js_name = "OIPriceDivergence")]
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pub struct OIPriceDivergenceNode {
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inner: wc::OIPriceDivergence,
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}
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#[napi]
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impl OIPriceDivergenceNode {
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#[napi(constructor)]
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pub fn new(window: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::OIPriceDivergence::new(window as usize).map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, open_interest: f64, mark_price: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_oi_mark(open_interest, mark_price)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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open_interest: Vec<f64>,
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mark_price: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if open_interest.len() != mark_price.len() {
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return Err(NapiError::from_reason(
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"open_interest and mark_price must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(open_interest.len());
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for i in 0..open_interest.len() {
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out.push(
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self.inner
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.update(deriv_oi_mark(open_interest[i], mark_price[i])?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "OIWeighted")]
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pub struct OIWeightedNode {
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inner: wc::OIWeighted,
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}
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impl Default for OIWeightedNode {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl OIWeightedNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::OIWeighted::new(),
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}
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}
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#[napi]
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pub fn update(&mut self, mark_price: f64, open_interest: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_oi_mark(open_interest, mark_price)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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mark_price: Vec<f64>,
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open_interest: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if mark_price.len() != open_interest.len() {
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return Err(NapiError::from_reason(
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"mark_price and open_interest must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(mark_price.len());
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for i in 0..mark_price.len() {
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out.push(
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self.inner
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.update(deriv_oi_mark(open_interest[i], mark_price[i])?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "LongShortRatio")]
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pub struct LongShortRatioNode {
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inner: wc::LongShortRatio,
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}
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impl Default for LongShortRatioNode {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl LongShortRatioNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::LongShortRatio::new(),
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}
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}
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#[napi]
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pub fn update(&mut self, long_size: f64, short_size: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(deriv_long_short(long_size, short_size)?))
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}
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#[napi]
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pub fn batch(&mut self, long_size: Vec<f64>, short_size: Vec<f64>) -> napi::Result<Vec<f64>> {
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if long_size.len() != short_size.len() {
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return Err(NapiError::from_reason(
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"long_size and short_size must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(long_size.len());
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for i in 0..long_size.len() {
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out.push(
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self.inner
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.update(deriv_long_short(long_size[i], short_size[i])?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "TakerBuySellRatio")]
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pub struct TakerBuySellRatioNode {
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inner: wc::TakerBuySellRatio,
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}
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impl Default for TakerBuySellRatioNode {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl TakerBuySellRatioNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::TakerBuySellRatio::new(),
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}
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}
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#[napi]
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pub fn update(
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&mut self,
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taker_buy_volume: f64,
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taker_sell_volume: f64,
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) -> napi::Result<Option<f64>> {
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Ok(self
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.inner
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.update(deriv_taker(taker_buy_volume, taker_sell_volume)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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taker_buy_volume: Vec<f64>,
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taker_sell_volume: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if taker_buy_volume.len() != taker_sell_volume.len() {
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return Err(NapiError::from_reason(
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"taker_buy_volume and taker_sell_volume must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(taker_buy_volume.len());
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for i in 0..taker_buy_volume.len() {
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out.push(
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self.inner
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.update(deriv_taker(taker_buy_volume[i], taker_sell_volume[i])?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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/// The liquidation feature vector for one tick.
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#[napi(object)]
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pub struct LiquidationFeaturesValue {
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pub long: f64,
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pub short: f64,
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pub net: f64,
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pub total: f64,
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pub imbalance: f64,
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}
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#[napi(js_name = "LiquidationFeatures")]
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pub struct LiquidationFeaturesNode {
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inner: wc::LiquidationFeatures,
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}
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impl Default for LiquidationFeaturesNode {
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fn default() -> Self {
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Self::new()
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}
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}
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#[napi]
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impl LiquidationFeaturesNode {
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#[napi(constructor)]
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pub fn new() -> Self {
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Self {
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inner: wc::LiquidationFeatures::new(),
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}
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}
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#[napi]
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pub fn update(
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&mut self,
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long_liquidation: f64,
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short_liquidation: f64,
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) -> napi::Result<Option<LiquidationFeaturesValue>> {
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Ok(self
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.inner
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.update(deriv_liquidation(long_liquidation, short_liquidation)?)
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.map(|o| LiquidationFeaturesValue {
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long: o.long,
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short: o.short,
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net: o.net,
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total: o.total,
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imbalance: o.imbalance,
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}))
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}
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#[napi]
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pub fn batch(
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&mut self,
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long_liquidation: Vec<f64>,
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short_liquidation: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if long_liquidation.len() != short_liquidation.len() {
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return Err(NapiError::from_reason(
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"long_liquidation and short_liquidation must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(long_liquidation.len() * 5);
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for i in 0..long_liquidation.len() {
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let o = self
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.inner
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.update(deriv_liquidation(
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long_liquidation[i],
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short_liquidation[i],
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)?)
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.expect("liquidation features emit on every tick");
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out.push(o.long);
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out.push(o.short);
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out.push(o.net);
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out.push(o.total);
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out.push(o.imbalance);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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// ============================== Family 15: Risk / Performance ==============================
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// Risk metrics with fallible `new` (most need `period >= 2`), so each wrapper
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Reference in New Issue
Block a user