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
+14 -8
View File
@@ -28,15 +28,16 @@ use wickra_core::{
AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, Camarilla, Candle, Cci,
ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit,
ChoppinessIndex, ClassicPivots, DemandIndex, DemarkPivots, Donchian, DonchianStop,
EaseOfMovement, Evwma, FibonacciPivots, ForceIndex, FractalChaosBands,
GarmanKlassVolatility, HeikinAshi, HiLoActivator, HurstChannel, Ichimoku, Indicator,
Inertia, Keltner, Kvo, MarketFacilitationIndex, MassIndex, MedianPrice, Mfi, Natr, Nvi,
Obv, ParkinsonVolatility, Pgo, Psar, Pvi, RogersSatchellVolatility, RollingVwap, Rvi, Rwi,
Smi, StarcBands, Stochastic, SuperTrend, TdCombo, TdCountdown, TdDeMarker, TdDifferential,
EaseOfMovement, Evwma, FibonacciPivots, ForceIndex, FractalChaosBands, GarmanKlassVolatility,
HeikinAshi, HiLoActivator, HurstChannel, Ichimoku, Indicator, Inertia, InitialBalance,
Keltner, Kvo, MarketFacilitationIndex, MassIndex, MedianPrice, Mfi, Natr, Nvi, Obv,
OpeningRange, ParkinsonVolatility, Pgo, Psar, Pvi, RogersSatchellVolatility, RollingVwap, Rvi,
Rwi, Smi, StarcBands, Stochastic, SuperTrend, TdCombo, TdCountdown, TdDeMarker, TdDifferential,
TdLines, TdOpen, TdPressure, TdRangeProjection, TdRei, TdRiskLevel, TdSequential, TdSetup,
TrueRange, Tsv, TtmSqueeze, TypicalPrice, UltimateOscillator, VoltyStop, VolumeOscillator,
VolumePriceTrend, Vortex, Vwap, VwapStdDevBands, Vwma, Vzo, WaveTrend, WeightedClose,
WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit, ZigZag,
TrueRange, Tsv, TtmSqueeze, TypicalPrice, UltimateOscillator, ValueArea, VoltyStop,
VolumeOscillator, VolumePriceTrend, Vortex, Vwap, VwapStdDevBands, Vwma, Vzo, WaveTrend,
WeightedClose, WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit,
ZigZag,
};
/// Convert a flat `f64` stream into a `Vec<Candle>` by chunking it into
@@ -166,6 +167,11 @@ fuzz_target!(|data: Vec<f64>| {
let _ = Stochastic::new(14, 3).unwrap().batch(&candles);
}
// --- Market Profile (multi-output) ---
drive(|| ValueArea::new(20, 50, 0.70).unwrap(), &candles);
drive(|| InitialBalance::new(12).unwrap(), &candles);
drive(|| OpeningRange::new(6).unwrap(), &candles);
// --- Ichimoku (5 lines, hand-rolled because of multi-Option output) ---
{
let mut ichi = Ichimoku::classic();