feat(family-16): add ValueArea + InitialBalance + OpeningRange (#52)
* feat(family-16): add ValueArea + InitialBalance + OpeningRange Opens family #16 (Market Profile) with the three OHLCV-compatible scalar / multi-output indicators: - ValueArea(period, bin_count, value_area_pct) -> {poc, vah, val}. Rolling bin-approximation volume profile over the last `period` candles. Each candle's volume is spread uniformly across [low, high]; POC is the bin with highest cumulative volume; the value area expands symmetrically from POC and always absorbs the higher-volume neighbour next, until `value_area_pct` (default 0.70) of total volume is enclosed. Defaults (20, 50, 0.70). - InitialBalance(period) -> {high, low}. Tracks session-opening high and low over the first `period` bars, then locks. Default period = 12 (one-hour IB on 5-minute bars for US equities). Callers MUST invoke reset() at every session boundary, otherwise IB stays fixed for the lifetime of the instance. - OpeningRange(period) -> {high, low, breakout_distance}. Same lock-after-N-bars semantics as IB with a shorter default period (6 = 30 min on 5-minute bars) and a third output that tracks close - or_mid (positive above the range mid, negative below). Histogram-output Market Profile variants (Volume Profile, VPVR, Composite Profile) are deferred because they need a new histogram output API layer rather than fixed-arity scalars. Tick-data-only variants (TPO Profile, Single Print, Order Flow Delta, Cumulative Delta, Volume-Weighted Open) are out of scope because `wickra-data` does not currently expose tick / L2 data. All four bindings (Rust core, Python, Node, WASM) ship the new indicators with parity tests; benches added; fuzz target extended. Counter 71 -> 74 across 8 -> 9 families. cargo check --workspace --all-features green. * fix(family-16): cover cold paths in InitialBalance + ValueArea InitialBalance::value() public getter had no test covering the post-update Some(...) branch — extended accessors_and_metadata to call value() after one update. ValueArea single-print bar path (c.high == c.low) was unreachable in existing tests since the only single-print test used a uniform 100-price window which exits early via the span == 0 guard; added a mixed-window test that triggers the c.high <= c.low branch directly. The (None, None) arm of the expansion match was by-construction unreachable (the loop condition already requires at least one neighbour) and has been folded into an if/else.
This commit is contained in:
kingchenc
@@ -10816,6 +10816,244 @@ impl PySpearmanCorrelation {
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}
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}
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// ============================== ValueArea ==============================
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#[pyclass(name = "ValueArea", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyValueArea {
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inner: wc::ValueArea,
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}
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#[pymethods]
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impl PyValueArea {
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#[new]
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#[pyo3(signature = (period=20, bin_count=50, value_area_pct=0.70))]
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fn new(period: usize, bin_count: usize, value_area_pct: f64) -> PyResult<Self> {
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Ok(Self {
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inner: wc::ValueArea::new(period, bin_count, value_area_pct).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c).map(|o| (o.poc, o.vah, o.val)))
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}
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/// Batch over numpy columns high, low, volume. Returns shape `(n, 3)`
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/// with columns `[poc, vah, val]`; warmup rows are `NaN`.
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray2<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let v = volume
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() || l.len() != v.len() {
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return Err(PyValueError::new_err(
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"high, low, volume must be equal length",
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));
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}
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let n = h.len();
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let mut out = vec![f64::NAN; n * 3];
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for i in 0..n {
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// open / close pinned to the midpoint so the candle validates.
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let mid = (h[i] + l[i]) / 2.0;
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let candle = wc::Candle::new(mid, h[i], l[i], mid, v[i], 0).map_err(map_err)?;
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if let Some(o) = self.inner.update(candle) {
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out[i * 3] = o.poc;
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out[i * 3 + 1] = o.vah;
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out[i * 3 + 2] = o.val;
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}
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}
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Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
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.expect("shape consistent")
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.into_pyarray(py))
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}
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#[getter]
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fn params(&self) -> (usize, usize, f64) {
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self.inner.params()
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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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let (period, bin_count, pct) = self.inner.params();
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format!("ValueArea(period={period}, bin_count={bin_count}, value_area_pct={pct})")
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}
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}
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// ============================== InitialBalance ==============================
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#[pyclass(
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name = "InitialBalance",
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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 PyInitialBalance {
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inner: wc::InitialBalance,
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}
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#[pymethods]
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impl PyInitialBalance {
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#[new]
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#[pyo3(signature = (period=12))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::InitialBalance::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c).map(|o| (o.high, o.low)))
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}
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/// Batch over numpy columns high, low. Returns shape `(n, 2)` with
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/// columns `[high, low]`.
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray2<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() {
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return Err(PyValueError::new_err("high and low must be equal length"));
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}
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let n = h.len();
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let mut out = vec![f64::NAN; n * 2];
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for i in 0..n {
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let mid = (h[i] + l[i]) / 2.0;
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let candle = wc::Candle::new(mid, h[i], l[i], mid, 0.0, 0).map_err(map_err)?;
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if let Some(o) = self.inner.update(candle) {
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out[i * 2] = o.high;
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out[i * 2 + 1] = o.low;
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}
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}
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Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
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.expect("shape consistent")
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.into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn is_locked(&self) -> bool {
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self.inner.is_locked()
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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!("InitialBalance(period={})", self.inner.period())
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}
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}
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// ============================== OpeningRange ==============================
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#[pyclass(name = "OpeningRange", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyOpeningRange {
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inner: wc::OpeningRange,
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}
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#[pymethods]
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impl PyOpeningRange {
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#[new]
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#[pyo3(signature = (period=6))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::OpeningRange::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
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let c = extract_candle(candle)?;
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Ok(self
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.inner
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.update(c)
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.map(|o| (o.high, o.low, o.breakout_distance)))
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}
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/// Batch over numpy columns high, low, close. Returns shape `(n, 3)`
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/// with columns `[high, low, breakout_distance]`.
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray2<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() || l.len() != c.len() {
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return Err(PyValueError::new_err(
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"high, low, close must be equal length",
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));
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}
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let n = h.len();
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let mut out = vec![f64::NAN; n * 3];
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for i in 0..n {
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let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
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if let Some(o) = self.inner.update(candle) {
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out[i * 3] = o.high;
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out[i * 3 + 1] = o.low;
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out[i * 3 + 2] = o.breakout_distance;
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}
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}
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Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
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.expect("shape consistent")
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.into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn is_locked(&self) -> bool {
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self.inner.is_locked()
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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!("OpeningRange(period={})", self.inner.period())
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}
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}
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// ============================== Module ==============================
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#[pymodule]
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@@ -11004,5 +11242,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyPearsonCorrelation>()?;
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m.add_class::<PyBeta>()?;
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m.add_class::<PySpearmanCorrelation>()?;
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m.add_class::<PyValueArea>()?;
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m.add_class::<PyInitialBalance>()?;
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m.add_class::<PyOpeningRange>()?;
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Ok(())
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}
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