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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@@ -581,6 +581,57 @@ def test_multi_scalar_streaming_matches_batch(name, ohlcv):
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assert _eq_nan(batch, np.array(rows, dtype=np.float64)), f"{name} mismatch"
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# --- Market Profile (multi-output with variable shapes) ------------------
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def test_value_area_shape_and_streaming(ohlcv):
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high, low, _close, volume = ohlcv
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batch = ta.ValueArea(20, 50, 0.70).batch(high, low, volume)
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assert batch.shape == (high.size, 3)
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streamer = ta.ValueArea(20, 50, 0.70)
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rows = []
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for i in range(high.size):
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mid = float((high[i] + low[i]) / 2.0)
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candle = (mid, float(high[i]), float(low[i]), mid, float(volume[i]), i)
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v = streamer.update(candle)
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rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
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assert _eq_nan(batch, np.array(rows, dtype=np.float64))
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def test_initial_balance_shape_and_streaming(ohlcv):
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high, low, _close, _volume = ohlcv
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batch = ta.InitialBalance(12).batch(high, low)
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assert batch.shape == (high.size, 2)
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streamer = ta.InitialBalance(12)
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rows = []
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for i in range(high.size):
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mid = float((high[i] + low[i]) / 2.0)
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candle = (mid, float(high[i]), float(low[i]), mid, 0.0, i)
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v = streamer.update(candle)
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rows.append([math.nan, math.nan] if v is None else list(v))
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assert _eq_nan(batch, np.array(rows, dtype=np.float64))
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def test_opening_range_shape_and_streaming(ohlcv):
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high, low, close, _volume = ohlcv
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batch = ta.OpeningRange(6).batch(high, low, close)
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assert batch.shape == (high.size, 3)
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streamer = ta.OpeningRange(6)
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rows = []
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for i in range(high.size):
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candle = (
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float(close[i]),
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float(high[i]),
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float(low[i]),
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float(close[i]),
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0.0,
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i,
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)
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v = streamer.update(candle)
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rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
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assert _eq_nan(batch, np.array(rows, dtype=np.float64))
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# --- TD Pressure (OHLCV-input) -------------------------------------------
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