fix(core): reject non-finite input in 16 pairwise indicators (#251)

## Problem

16 of the 24 pairwise indicators (`type Input = (f64, f64)`) accepted non-finite input unchecked. A single NaN/Inf tick produced a NaN reading, contradicting the streaming-robustness guarantee that *a single bad tick cannot silently poison state* (README, `ARCHITECTURE.md`).

The other 8 pairwise indicators (`Alpha`, `InformationRatio`, `KalmanHedgeRatio`, `PairSpreadZScore`, `PairwiseBeta`, `RelativeStrengthAb`, `SpreadBollingerBands`, `TreynorRatio`) already guard finite input and are untouched. Scalar (169 files) and candle (`Candle::new`) inputs were already protected.

## Severity split

- **7 running-sum indicators** \(permanent corruption — NaN entered `Σ` and stayed until `reset()`\): `Beta`, `BetaNeutralSpread`, `Cointegration`, `HasbrouckInformationShare`, `PearsonCorrelation`, `RollingCorrelation`, `RollingCovariance`.
- **9 buffer-recompute indicators** \(transient — NaN cleared once evicted, but still surfaced in the reading\): `DistanceSsd`, `GrangerCausality`, `KendallTau`, `LeadLagCrossCorrelation`, `OuHalfLife`, `SpearmanCorrelation`, `SpreadAr1Coefficient`, `SpreadHurst`, `VarianceRatio`.

## Fix

Add the established finite-input guard (the same pattern `Alpha` already uses) as the first step of `update()`, before any window or sum mutation. Signature unchanged → bindings re-export unchanged, no binding regen needed; core-only.

Each indicator gains a `non_finite_input_returns_none` test that exercises the guard (NaN and Inf, covering both `||` operands) and proves a clean warmup is unaffected by the rejected ticks.

Split into two commits by severity class.

## Verification

- `cargo fmt --all` clean
- `cargo test --workspace --all-features` — 4225 core tests pass (+16 new)
- `cargo clippy --workspace --all-targets --all-features -- -D warnings` clean
This commit is contained in:
kingchenc
2026-06-11 03:01:24 +02:00
committed by GitHub
parent 7e51f31f02
commit 99497eb062
16 changed files with 230 additions and 0 deletions
@@ -116,6 +116,9 @@ impl Indicator for Cointegration {
fn update(&mut self, input: (f64, f64)) -> Option<CointegrationOutput> {
let (a, b) = input;
if !a.is_finite() || !b.is_finite() {
return None;
}
if self.window.len() == self.period {
let (oa, ob) = self.window.pop_front().expect("non-empty");
self.sum_a -= oa;
@@ -443,4 +446,16 @@ mod tests {
let streamed: Vec<_> = pairs.iter().map(|p| c.update(*p)).collect();
assert_eq!(batch, streamed);
}
#[test]
fn non_finite_input_returns_none() {
let mut c = Cointegration::new(4, 0).unwrap();
assert_eq!(c.update((f64::NAN, 1.0)), None);
assert_eq!(c.update((1.0, f64::INFINITY)), None);
// The rejected ticks leave no trace: a fresh window still warms up.
assert_eq!(c.update((1.0, 2.0)), None);
assert_eq!(c.update((2.0, 5.0)), None);
assert_eq!(c.update((3.0, 7.0)), None);
assert!(c.update((4.0, 11.0)).is_some());
}
}