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
+16 -15
View File
@@ -59,21 +59,22 @@ pub use indicators::{
FisherTransform, ForceIndex, FractalChaosBands, FractalChaosBandsOutput, Frama,
GarmanKlassVolatility, HeikinAshi, HeikinAshiOutput, HiLoActivator, HilbertDominantCycle,
HistoricalVolatility, Hma, HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku,
IchimokuOutput, Inertia, InstantaneousTrendline, InverseFisherTransform, Jma, Kama, Keltner,
KeltnerOutput, Kst, KstOutput, Kurtosis, Kvo, LaguerreRsi, LinRegAngle, LinRegChannel,
LinRegChannelOutput, LinRegSlope, LinearRegression, MaEnvelope, MaEnvelopeOutput,
MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, MassIndex,
McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Mom, Natr, Nvi, Obv,
ParkinsonVolatility, PearsonCorrelation, PercentB, PercentageTrailingStop, Pgo, Pmo, Ppo, Psar,
Pvi, RSquared, RenkoTrailingStop, Roc, RogersSatchellVolatility, RollingVwap, RoofingFilter,
Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SineWave, Skewness, Sma, Smi, Smma,
SpearmanCorrelation, StandardError, StandardErrorBands, StandardErrorBandsOutput, StarcBands,
StarcBandsOutput, Stc, StdDev, StepTrailingStop, StochRsi, Stochastic, StochasticOutput,
SuperSmoother, SuperTrend, SuperTrendOutput, TdCombo, TdCountdown, TdDeMarker, TdDifferential,
TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection, TdRangeProjectionOutput, TdRei,
TdRiskLevel, TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, Tema, Tii, Trima,
Trix, TrueRange, Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, TypicalPrice, UlcerIndex,
UltimateOscillator, Variance, VerticalHorizontalFilter, Vidya, VoltyStop, VolumeOscillator,
IchimokuOutput, Inertia, InitialBalance, InitialBalanceOutput, InstantaneousTrendline,
InverseFisherTransform, Jma, Kama, Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis, Kvo,
LaguerreRsi, LinRegAngle, LinRegChannel, LinRegChannelOutput, LinRegSlope, LinearRegression,
MaEnvelope, MaEnvelopeOutput, MacdIndicator, MacdOutput, Mama, MamaOutput,
MarketFacilitationIndex, MassIndex, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi,
Mom, Natr, Nvi, Obv, OpeningRange, OpeningRangeOutput, ParkinsonVolatility, PearsonCorrelation,
PercentB, PercentageTrailingStop, Pgo, Pmo, Ppo, Psar, Pvi, RSquared, RenkoTrailingStop, Roc,
RogersSatchellVolatility, RollingVwap, RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput,
SineWave, Skewness, Sma, Smi, Smma, SpearmanCorrelation, StandardError, StandardErrorBands,
StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend, SuperTrendOutput, TdCombo,
TdCountdown, TdDeMarker, TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure,
TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput,
TdSequential, TdSequentialOutput, TdSetup, Tema, Tii, Trima, Trix, TrueRange, Tsi, Tsv,
TtmSqueeze, TtmSqueezeOutput, TypicalPrice, UlcerIndex, UltimateOscillator, ValueArea,
ValueAreaOutput, Variance, VerticalHorizontalFilter, Vidya, VoltyStop, VolumeOscillator,
VolumePriceTrend, Vortex, VortexOutput, Vwap, VwapStdDevBands, VwapStdDevBandsOutput, Vwma,
Vzo, WaveTrend, WaveTrendOutput, WeightedClose, WilliamsFractals, WilliamsFractalsOutput,
WilliamsR, Wma, WoodiePivots, WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore,