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
+6
View File
@@ -75,6 +75,7 @@ mod hurst_channel;
mod hurst_exponent;
mod ichimoku;
mod inertia;
mod initial_balance;
mod instantaneous_trendline;
mod inverse_fisher_transform;
mod jma;
@@ -101,6 +102,7 @@ mod mom;
mod natr;
mod nvi;
mod obv;
mod opening_range;
mod parkinson;
mod pearson_correlation;
mod percent_b;
@@ -159,6 +161,7 @@ mod ttm_squeeze;
mod typical_price;
mod ulcer_index;
mod ultimate_oscillator;
mod value_area;
mod variance;
mod vertical_horizontal_filter;
mod vidya;
@@ -254,6 +257,7 @@ pub use hurst_channel::{HurstChannel, HurstChannelOutput};
pub use hurst_exponent::HurstExponent;
pub use ichimoku::{Ichimoku, IchimokuOutput};
pub use inertia::Inertia;
pub use initial_balance::{InitialBalance, InitialBalanceOutput};
pub use instantaneous_trendline::InstantaneousTrendline;
pub use inverse_fisher_transform::InverseFisherTransform;
pub use jma::Jma;
@@ -280,6 +284,7 @@ pub use mom::Mom;
pub use natr::Natr;
pub use nvi::Nvi;
pub use obv::Obv;
pub use opening_range::{OpeningRange, OpeningRangeOutput};
pub use parkinson::ParkinsonVolatility;
pub use pearson_correlation::PearsonCorrelation;
pub use percent_b::PercentB;
@@ -338,6 +343,7 @@ pub use ttm_squeeze::{TtmSqueeze, TtmSqueezeOutput};
pub use typical_price::TypicalPrice;
pub use ulcer_index::UlcerIndex;
pub use ultimate_oscillator::UltimateOscillator;
pub use value_area::{ValueArea, ValueAreaOutput};
pub use variance::Variance;
pub use vertical_horizontal_filter::VerticalHorizontalFilter;
pub use vidya::Vidya;