Add B8 Volume family deepening (7 indicators) (#195)

Deepens the **Volume** family (B8) with seven indicators (440 -> 447):

- **VolumeRsi** — Wilder RSI computed on signed volume flow.
- **WilliamsAd** — Williams Accumulation/Distribution cumulative line (distinct from Chaikin A/D).
- **TwiggsMoneyFlow** — true-range volume accumulation with Wilder smoothing (distinct from CMF).
- **TradeVolumeIndex** — tick-direction volume accumulation past a min-tick threshold (distinct from TSV).
- **IntradayIntensity** — volume weighted by close position within the bar range.
- **BetterVolume** — VSA volume-vs-spread effort/result classifier.
- **VolumeWeightedMacd** — MACD computed on VWMA with signal line and histogram (struct output).

("Up/Down Volume Ratio" already ships from A2.) All Candle input; the six scalar stops emit f64, VolumeWeightedMacd a {macd, signal, histogram} struct. Hand-written Python/Node/WASM bindings for the volume signature. Verified locally: 3620 core lib + 405 doc tests, clippy clean, 522 node tests, 865 pytest, counter 447.
This commit is contained in:
kingchenc
2026-06-07 02:30:56 +02:00
committed by GitHub
parent fc6f3d80c2
commit c78b84e186
21 changed files with 3254 additions and 32 deletions
+427
View File
@@ -17110,3 +17110,430 @@ impl Default for FibTimeZonesNode {
Self::new()
}
}
// ============================== Volume RSI ==============================
#[napi(js_name = "VolumeRsi")]
pub struct VolumeRsiNode {
inner: wc::VolumeRsi,
}
#[napi]
impl VolumeRsiNode {
#[napi(constructor)]
pub fn new(period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::VolumeRsi::new(period as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, close: f64, volume: f64) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(close, close, close, volume)?))
}
#[napi]
pub fn batch(&mut self, close: Vec<f64>, volume: Vec<f64>) -> napi::Result<Vec<f64>> {
if close.len() != volume.len() {
return Err(NapiError::from_reason(
"close and volume must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(close.len());
for i in 0..close.len() {
out.push(
self.inner
.update(cnd(close[i], close[i], close[i], volume[i])?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== Williams A/D ==============================
#[napi(js_name = "Wad")]
pub struct WadNode {
inner: wc::Wad,
}
#[napi]
impl WadNode {
#[napi(constructor)]
pub fn new() -> Self {
Self {
inner: wc::Wad::new(),
}
}
#[napi]
pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(high, low, close, 0.0)?))
}
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(close.len());
for i in 0..close.len() {
out.push(
self.inner
.update(cnd(high[i], low[i], close[i], 0.0)?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
impl Default for WadNode {
fn default() -> Self {
Self::new()
}
}
// ============================== Twiggs Money Flow ==============================
#[napi(js_name = "TwiggsMoneyFlow")]
pub struct TwiggsMoneyFlowNode {
inner: wc::TwiggsMoneyFlow,
}
#[napi]
impl TwiggsMoneyFlowNode {
#[napi(constructor)]
pub fn new(period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::TwiggsMoneyFlow::new(period as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(
&mut self,
high: f64,
low: f64,
close: f64,
volume: f64,
) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(high, low, close, volume)?))
}
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
volume: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() || close.len() != volume.len() {
return Err(NapiError::from_reason(
"high, low, close, volume must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(close.len());
for i in 0..close.len() {
out.push(
self.inner
.update(cnd(high[i], low[i], close[i], volume[i])?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== Trade Volume Index ==============================
#[napi(js_name = "TradeVolumeIndex")]
pub struct TradeVolumeIndexNode {
inner: wc::TradeVolumeIndex,
}
#[napi]
impl TradeVolumeIndexNode {
#[napi(constructor)]
pub fn new(min_tick: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::TradeVolumeIndex::new(min_tick).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, close: f64, volume: f64) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(close, close, close, volume)?))
}
#[napi]
pub fn batch(&mut self, close: Vec<f64>, volume: Vec<f64>) -> napi::Result<Vec<f64>> {
if close.len() != volume.len() {
return Err(NapiError::from_reason(
"close and volume must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(close.len());
for i in 0..close.len() {
out.push(
self.inner
.update(cnd(close[i], close[i], close[i], volume[i])?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== Intraday Intensity ==============================
#[napi(js_name = "IntradayIntensity")]
pub struct IntradayIntensityNode {
inner: wc::IntradayIntensity,
}
#[napi]
impl IntradayIntensityNode {
#[napi(constructor)]
pub fn new() -> Self {
Self {
inner: wc::IntradayIntensity::new(),
}
}
#[napi]
pub fn update(
&mut self,
high: f64,
low: f64,
close: f64,
volume: f64,
) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(high, low, close, volume)?))
}
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
volume: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() || close.len() != volume.len() {
return Err(NapiError::from_reason(
"high, low, close, volume must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(close.len());
for i in 0..close.len() {
out.push(
self.inner
.update(cnd(high[i], low[i], close[i], volume[i])?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
impl Default for IntradayIntensityNode {
fn default() -> Self {
Self::new()
}
}
// ============================== Better Volume ==============================
#[napi(js_name = "BetterVolume")]
pub struct BetterVolumeNode {
inner: wc::BetterVolume,
}
#[napi]
impl BetterVolumeNode {
#[napi(constructor)]
pub fn new(period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::BetterVolume::new(period as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(
&mut self,
high: f64,
low: f64,
close: f64,
volume: f64,
) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(high, low, close, volume)?))
}
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
volume: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() || close.len() != volume.len() {
return Err(NapiError::from_reason(
"high, low, close, volume must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(close.len());
for i in 0..close.len() {
out.push(
self.inner
.update(cnd(high[i], low[i], close[i], volume[i])?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== Volume-Weighted MACD ==============================
#[napi(object)]
pub struct VolumeWeightedMacdValue {
pub macd: f64,
pub signal: f64,
pub histogram: f64,
}
#[napi(js_name = "VolumeWeightedMacd")]
pub struct VolumeWeightedMacdNode {
inner: wc::VolumeWeightedMacd,
}
#[napi]
impl VolumeWeightedMacdNode {
#[napi(constructor)]
pub fn new(fast: u32, slow: u32, signal: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::VolumeWeightedMacd::new(fast as usize, slow as usize, signal as usize)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(
&mut self,
close: f64,
volume: f64,
) -> napi::Result<Option<VolumeWeightedMacdValue>> {
Ok(self
.inner
.update(cnd(close, close, close, volume)?)
.map(|o| VolumeWeightedMacdValue {
macd: o.macd,
signal: o.signal,
histogram: o.histogram,
}))
}
/// Returns `[macd0, signal0, histogram0, macd1, ...]`, length `3 * n`.
/// Warmup positions are `NaN`.
#[napi]
pub fn batch(&mut self, close: Vec<f64>, volume: Vec<f64>) -> napi::Result<Vec<f64>> {
if close.len() != volume.len() {
return Err(NapiError::from_reason(
"close and volume must be equal length".to_string(),
));
}
let mut out = vec![f64::NAN; close.len() * 3];
for i in 0..close.len() {
if let Some(o) = self
.inner
.update(cnd(close[i], close[i], close[i], volume[i])?)
{
out[i * 3] = o.macd;
out[i * 3 + 1] = o.signal;
out[i * 3 + 2] = o.histogram;
}
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}