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.
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@@ -332,6 +332,45 @@ def test_obv_cumulative_known_sequence():
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np.testing.assert_allclose(out, [0.0, 20.0, -10.0, -10.0, 0.0])
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def test_value_area_concentrated_volume_locates_poc():
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# Bars 0..3 sit at price 100 with low volume; bar 4 dumps massive volume
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# at price 110. POC must fall inside the high-volume bar's [low, high]
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# range; ties resolve to the lowest-index bin, so the POC may sit on the
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# left edge of bar 4's range rather than at its midpoint.
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high = np.array([100.5, 100.5, 100.5, 100.5, 110.5])
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low = np.array([99.5, 99.5, 99.5, 99.5, 109.5])
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volume = np.array([1.0, 1.0, 1.0, 1.0, 1000.0])
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out = ta.ValueArea(5, 50, 0.70).batch(high, low, volume)
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poc = out[-1, 0]
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assert 109.5 <= poc <= 110.5
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# VAH >= POC >= VAL.
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assert out[-1, 1] >= poc >= out[-1, 2]
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def test_initial_balance_locks_after_period():
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# First two bars set IB = [99, 103]. Third bar (extreme) must be ignored.
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high = np.array([102.0, 103.0, 200.0])
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low = np.array([100.0, 99.0, 50.0])
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out = ta.InitialBalance(2).batch(high, low)
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# Bar 0: IB = [100, 102]; Bar 1: IB locked at [99, 103]; Bar 2: unchanged.
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np.testing.assert_allclose(out[0], [102.0, 100.0])
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np.testing.assert_allclose(out[1], [103.0, 99.0])
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np.testing.assert_allclose(out[2], [103.0, 99.0])
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def test_opening_range_breakout_distance_signed():
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# OR locks after 2 bars at high 103 / low 100; mid 101.5. Third bar
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# closes at 105 -> breakout +3.5; fourth bar closes at 95 -> -6.5.
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high = np.array([102.0, 103.0, 110.0, 110.0])
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low = np.array([100.0, 101.0, 102.0, 90.0])
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close = np.array([101.0, 102.0, 105.0, 95.0])
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out = ta.OpeningRange(2).batch(high, low, close)
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assert math.isclose(out[2, 0], 103.0)
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assert math.isclose(out[2, 1], 100.0)
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assert math.isclose(out[2, 2], 105.0 - 101.5)
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assert math.isclose(out[3, 2], 95.0 - 101.5)
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# --- Family 10 — Ehlers / Cycle reference values ---
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