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
2026-05-26 00:14:30 +02:00
committed by GitHub
parent 05fcdd9a5e
commit 9b8e1346ed
20 changed files with 1946 additions and 35 deletions
@@ -332,6 +332,45 @@ def test_obv_cumulative_known_sequence():
np.testing.assert_allclose(out, [0.0, 20.0, -10.0, -10.0, 0.0])
def test_value_area_concentrated_volume_locates_poc():
# Bars 0..3 sit at price 100 with low volume; bar 4 dumps massive volume
# at price 110. POC must fall inside the high-volume bar's [low, high]
# range; ties resolve to the lowest-index bin, so the POC may sit on the
# left edge of bar 4's range rather than at its midpoint.
high = np.array([100.5, 100.5, 100.5, 100.5, 110.5])
low = np.array([99.5, 99.5, 99.5, 99.5, 109.5])
volume = np.array([1.0, 1.0, 1.0, 1.0, 1000.0])
out = ta.ValueArea(5, 50, 0.70).batch(high, low, volume)
poc = out[-1, 0]
assert 109.5 <= poc <= 110.5
# VAH >= POC >= VAL.
assert out[-1, 1] >= poc >= out[-1, 2]
def test_initial_balance_locks_after_period():
# First two bars set IB = [99, 103]. Third bar (extreme) must be ignored.
high = np.array([102.0, 103.0, 200.0])
low = np.array([100.0, 99.0, 50.0])
out = ta.InitialBalance(2).batch(high, low)
# Bar 0: IB = [100, 102]; Bar 1: IB locked at [99, 103]; Bar 2: unchanged.
np.testing.assert_allclose(out[0], [102.0, 100.0])
np.testing.assert_allclose(out[1], [103.0, 99.0])
np.testing.assert_allclose(out[2], [103.0, 99.0])
def test_opening_range_breakout_distance_signed():
# OR locks after 2 bars at high 103 / low 100; mid 101.5. Third bar
# closes at 105 -> breakout +3.5; fourth bar closes at 95 -> -6.5.
high = np.array([102.0, 103.0, 110.0, 110.0])
low = np.array([100.0, 101.0, 102.0, 90.0])
close = np.array([101.0, 102.0, 105.0, 95.0])
out = ta.OpeningRange(2).batch(high, low, close)
assert math.isclose(out[2, 0], 103.0)
assert math.isclose(out[2, 1], 100.0)
assert math.isclose(out[2, 2], 105.0 - 101.5)
assert math.isclose(out[3, 2], 95.0 - 101.5)
# --- Family 10 — Ehlers / Cycle reference values ---