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
@@ -12244,6 +12244,70 @@ fn deriv_oi(open_interest: f64) -> PyResult<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) -> PyResult<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) -> PyResult<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) -> PyResult<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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) -> PyResult<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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// FundingRate takes no parameters; streaming `update(funding_rate)`, `batch`
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// over one funding-rate array.
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#[pyclass(name = "FundingRate", module = "wickra._wickra", skip_from_py_object)]
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@@ -12482,6 +12546,312 @@ impl PyOpenInterestDelta {
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}
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}
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// OIPriceDivergence carries a `window` parameter; streaming
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// `update(open_interest, mark_price)`.
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#[pyclass(
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name = "OIPriceDivergence",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyOIPriceDivergence {
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inner: wc::OIPriceDivergence,
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}
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#[pymethods]
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impl PyOIPriceDivergence {
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#[new]
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fn new(window: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::OIPriceDivergence::new(window).map_err(map_err)?,
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})
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}
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fn update(&mut self, open_interest: f64, mark_price: f64) -> PyResult<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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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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open_interest: Vec<f64>,
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mark_price: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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if open_interest.len() != mark_price.len() {
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return Err(PyValueError::new_err(
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"open_interest and mark_price must be equal length",
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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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("OIPriceDivergence(window={})", self.inner.window())
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}
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}
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// OIWeighted takes no parameters; streaming `update(mark_price, open_interest)`.
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#[pyclass(name = "OIWeighted", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyOIWeighted {
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inner: wc::OIWeighted,
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}
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#[pymethods]
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impl PyOIWeighted {
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#[new]
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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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fn update(&mut self, mark_price: f64, open_interest: f64) -> PyResult<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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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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mark_price: Vec<f64>,
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open_interest: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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if mark_price.len() != open_interest.len() {
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return Err(PyValueError::new_err(
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"mark_price and open_interest must be equal length",
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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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"OIWeighted()".to_string()
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}
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}
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// LongShortRatio takes no parameters; streaming `update(long_size, short_size)`.
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#[pyclass(
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name = "LongShortRatio",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyLongShortRatio {
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inner: wc::LongShortRatio,
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}
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#[pymethods]
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impl PyLongShortRatio {
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#[new]
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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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fn update(&mut self, long_size: f64, short_size: f64) -> PyResult<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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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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long_size: Vec<f64>,
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short_size: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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if long_size.len() != short_size.len() {
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return Err(PyValueError::new_err(
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"long_size and short_size must be equal length",
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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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"LongShortRatio()".to_string()
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}
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}
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// TakerBuySellRatio takes no parameters; streaming
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// `update(taker_buy_volume, taker_sell_volume)`.
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#[pyclass(
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name = "TakerBuySellRatio",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyTakerBuySellRatio {
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inner: wc::TakerBuySellRatio,
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}
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#[pymethods]
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impl PyTakerBuySellRatio {
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#[new]
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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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fn update(&mut self, taker_buy_volume: f64, taker_sell_volume: f64) -> PyResult<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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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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taker_buy_volume: Vec<f64>,
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taker_sell_volume: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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if taker_buy_volume.len() != taker_sell_volume.len() {
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return Err(PyValueError::new_err(
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"taker_buy_volume and taker_sell_volume must be equal length",
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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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"TakerBuySellRatio()".to_string()
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}
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}
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// LiquidationFeatures is a multi-output indicator: streaming
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// `update(long_liquidation, short_liquidation)` returns a 5-tuple
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// `(long, short, net, total, imbalance)`; `batch` returns an `(n, 5)` array.
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#[pyclass(
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name = "LiquidationFeatures",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyLiquidationFeatures {
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inner: wc::LiquidationFeatures,
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}
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#[pymethods]
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impl PyLiquidationFeatures {
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#[new]
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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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/// Returns `(long, short, net, total, imbalance)` or None during warmup.
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#[allow(clippy::type_complexity)]
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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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) -> PyResult<Option<(f64, f64, f64, f64, f64)>> {
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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| (o.long, o.short, o.net, o.total, o.imbalance)))
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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long_liquidation: Vec<f64>,
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short_liquidation: Vec<f64>,
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) -> PyResult<Bound<'py, PyArray2<f64>>> {
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if long_liquidation.len() != short_liquidation.len() {
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return Err(PyValueError::new_err(
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"long_liquidation and short_liquidation must be equal length",
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));
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}
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let rows = long_liquidation.len();
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let mut data = Vec::with_capacity(rows * 5);
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for i in 0..rows {
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let out = 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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data.push(out.long);
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data.push(out.short);
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data.push(out.net);
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data.push(out.total);
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data.push(out.imbalance);
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}
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Ok(numpy::ndarray::Array2::from_shape_vec((rows, 5), data)
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.expect("shape consistent")
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.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"LiquidationFeatures()".to_string()
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}
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}
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// ============================== Family 15: Risk / Performance ==============================
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#[pyclass(name = "SharpeRatio", module = "wickra._wickra", skip_from_py_object)]
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@@ -13610,6 +13980,11 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyFundingRateZScore>()?;
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m.add_class::<PyFundingBasis>()?;
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m.add_class::<PyOpenInterestDelta>()?;
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m.add_class::<PyOIPriceDivergence>()?;
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m.add_class::<PyOIWeighted>()?;
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m.add_class::<PyLongShortRatio>()?;
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m.add_class::<PyTakerBuySellRatio>()?;
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m.add_class::<PyLiquidationFeatures>()?;
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// Family 15: Risk / Performance metrics.
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m.add_class::<PySharpeRatio>()?;
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m.add_class::<PySortinoRatio>()?;
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Reference in New Issue
Block a user