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
@@ -22241,6 +22241,500 @@ impl PyVolatilityCone {
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}
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}
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// ============================== Volume RSI ==============================
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#[pyclass(name = "VolumeRsi", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyVolumeRsi {
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inner: wc::VolumeRsi,
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}
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#[pymethods]
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impl PyVolumeRsi {
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#[new]
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#[pyo3(signature = (period=14))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::VolumeRsi::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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/// Batch over numpy close + volume arrays (both 1-D, equal length).
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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close: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let v = volume
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if c.len() != v.len() {
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return Err(PyValueError::new_err(
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"close and volume must be equal length",
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));
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}
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let mut out = Vec::with_capacity(c.len());
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for i in 0..c.len() {
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let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
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}
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Ok(out.into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("VolumeRsi(period={})", self.inner.period())
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}
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}
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// ============================== Williams A/D ==============================
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#[pyclass(name = "Wad", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyWad {
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inner: wc::Wad,
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}
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#[pymethods]
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impl PyWad {
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#[new]
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fn new() -> Self {
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Self {
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inner: wc::Wad::new(),
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}
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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/// Batch over numpy high, low, close arrays (all 1-D, equal length).
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() || l.len() != c.len() {
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return Err(PyValueError::new_err(
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"high, low, close must be equal length",
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));
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}
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let mut out = Vec::with_capacity(c.len());
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for i in 0..c.len() {
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let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
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}
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Ok(out.into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"Wad()".to_string()
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}
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}
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// ============================== Twiggs Money Flow ==============================
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#[pyclass(
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name = "TwiggsMoneyFlow",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyTwiggsMoneyFlow {
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inner: wc::TwiggsMoneyFlow,
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}
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#[pymethods]
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impl PyTwiggsMoneyFlow {
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#[new]
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#[pyo3(signature = (period=21))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::TwiggsMoneyFlow::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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/// Batch over numpy high, low, close, volume arrays (all 1-D, equal length).
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let vol = volume
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() || l.len() != c.len() || c.len() != vol.len() {
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return Err(PyValueError::new_err(
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"high, low, close, volume must be equal length",
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));
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}
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let mut out = Vec::with_capacity(c.len());
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for i in 0..c.len() {
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let candle = wc::Candle::new(c[i], h[i], l[i], c[i], vol[i], 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
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}
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Ok(out.into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("TwiggsMoneyFlow(period={})", self.inner.period())
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}
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}
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// ============================== Trade Volume Index ==============================
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#[pyclass(
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name = "TradeVolumeIndex",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyTradeVolumeIndex {
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inner: wc::TradeVolumeIndex,
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}
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#[pymethods]
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impl PyTradeVolumeIndex {
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#[new]
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#[pyo3(signature = (min_tick=0.25))]
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fn new(min_tick: f64) -> PyResult<Self> {
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Ok(Self {
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inner: wc::TradeVolumeIndex::new(min_tick).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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/// Batch over numpy close + volume arrays (both 1-D, equal length).
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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close: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let v = volume
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if c.len() != v.len() {
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return Err(PyValueError::new_err(
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"close and volume must be equal length",
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));
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}
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let mut out = Vec::with_capacity(c.len());
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for i in 0..c.len() {
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let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
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}
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Ok(out.into_pyarray(py))
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}
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#[getter]
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fn min_tick(&self) -> f64 {
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self.inner.min_tick()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("TradeVolumeIndex(min_tick={})", self.inner.min_tick())
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}
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}
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// ============================== Intraday Intensity ==============================
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#[pyclass(
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name = "IntradayIntensity",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyIntradayIntensity {
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inner: wc::IntradayIntensity,
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}
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#[pymethods]
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impl PyIntradayIntensity {
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#[new]
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fn new() -> Self {
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Self {
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inner: wc::IntradayIntensity::new(),
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}
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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/// Batch over numpy high, low, close, volume arrays (all 1-D, equal length).
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fn batch<'py>(
|
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&mut self,
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py: Python<'py>,
|
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high: PyReadonlyArray1<'py, f64>,
|
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low: PyReadonlyArray1<'py, f64>,
|
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close: PyReadonlyArray1<'py, f64>,
|
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volume: PyReadonlyArray1<'py, f64>,
|
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
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let h = high
|
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let vol = volume
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() || l.len() != c.len() || c.len() != vol.len() {
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return Err(PyValueError::new_err(
|
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"high, low, close, volume must be equal length",
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));
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}
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let mut out = Vec::with_capacity(c.len());
|
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for i in 0..c.len() {
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let candle = wc::Candle::new(c[i], h[i], l[i], c[i], vol[i], 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
||||
}
|
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Ok(out.into_pyarray(py))
|
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}
|
||||
fn reset(&mut self) {
|
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self.inner.reset();
|
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}
|
||||
fn is_ready(&self) -> bool {
|
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self.inner.is_ready()
|
||||
}
|
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fn warmup_period(&self) -> usize {
|
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self.inner.warmup_period()
|
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}
|
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fn __repr__(&self) -> String {
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"IntradayIntensity()".to_string()
|
||||
}
|
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}
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|
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// ============================== Better Volume ==============================
|
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|
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#[pyclass(name = "BetterVolume", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
|
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struct PyBetterVolume {
|
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inner: wc::BetterVolume,
|
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}
|
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|
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#[pymethods]
|
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impl PyBetterVolume {
|
||||
#[new]
|
||||
#[pyo3(signature = (period=14))]
|
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fn new(period: usize) -> PyResult<Self> {
|
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Ok(Self {
|
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inner: wc::BetterVolume::new(period).map_err(map_err)?,
|
||||
})
|
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}
|
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
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let c = extract_candle(candle)?;
|
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Ok(self.inner.update(c))
|
||||
}
|
||||
/// Batch over numpy high, low, close, volume arrays (all 1-D, equal length).
|
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fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
high: PyReadonlyArray1<'py, f64>,
|
||||
low: PyReadonlyArray1<'py, f64>,
|
||||
close: PyReadonlyArray1<'py, f64>,
|
||||
volume: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let h = high
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
let l = low
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
let c = close
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
let vol = volume
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
if h.len() != l.len() || l.len() != c.len() || c.len() != vol.len() {
|
||||
return Err(PyValueError::new_err(
|
||||
"high, low, close, volume must be equal length",
|
||||
));
|
||||
}
|
||||
let mut out = Vec::with_capacity(c.len());
|
||||
for i in 0..c.len() {
|
||||
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], vol[i], 0).map_err(map_err)?;
|
||||
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
||||
}
|
||||
Ok(out.into_pyarray(py))
|
||||
}
|
||||
#[getter]
|
||||
fn period(&self) -> usize {
|
||||
self.inner.period()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
format!("BetterVolume(period={})", self.inner.period())
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Volume-Weighted MACD ==============================
|
||||
|
||||
#[pyclass(
|
||||
name = "VolumeWeightedMacd",
|
||||
module = "wickra._wickra",
|
||||
skip_from_py_object
|
||||
)]
|
||||
#[derive(Clone)]
|
||||
struct PyVolumeWeightedMacd {
|
||||
inner: wc::VolumeWeightedMacd,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyVolumeWeightedMacd {
|
||||
#[new]
|
||||
#[pyo3(signature = (fast=12, slow=26, signal=9))]
|
||||
fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::VolumeWeightedMacd::new(fast, slow, signal).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
||||
let c = extract_candle(candle)?;
|
||||
Ok(self
|
||||
.inner
|
||||
.update(c)
|
||||
.map(|o| (o.macd, o.signal, o.histogram)))
|
||||
}
|
||||
/// Batch over numpy close + volume arrays. Returns shape `(n, 3)` with
|
||||
/// columns `[macd, signal, histogram]`; warmup rows are `NaN`.
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
close: PyReadonlyArray1<'py, f64>,
|
||||
volume: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
||||
let c = close
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
let v = volume
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
if c.len() != v.len() {
|
||||
return Err(PyValueError::new_err(
|
||||
"close and volume must be equal length",
|
||||
));
|
||||
}
|
||||
let n = c.len();
|
||||
let mut out = vec![f64::NAN; n * 3];
|
||||
for i in 0..n {
|
||||
let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
|
||||
if let Some(o) = self.inner.update(candle) {
|
||||
out[i * 3] = o.macd;
|
||||
out[i * 3 + 1] = o.signal;
|
||||
out[i * 3 + 2] = o.histogram;
|
||||
}
|
||||
}
|
||||
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
||||
.expect("shape consistent")
|
||||
.into_pyarray(py))
|
||||
}
|
||||
#[getter]
|
||||
fn periods(&self) -> (usize, usize, usize) {
|
||||
self.inner.periods()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
let (fast, slow, signal) = self.inner.periods();
|
||||
format!("VolumeWeightedMacd(fast={fast}, slow={slow}, signal={signal})")
|
||||
}
|
||||
}
|
||||
|
||||
#[pymodule]
|
||||
#[allow(clippy::too_many_lines)]
|
||||
fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
|
||||
@@ -22697,5 +23191,12 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
|
||||
m.add_class::<PyVolatilityCone>()?;
|
||||
m.add_class::<PyProjectionOscillator>()?;
|
||||
m.add_class::<PyTimeBasedStop>()?;
|
||||
m.add_class::<PyVolumeRsi>()?;
|
||||
m.add_class::<PyWad>()?;
|
||||
m.add_class::<PyTwiggsMoneyFlow>()?;
|
||||
m.add_class::<PyTradeVolumeIndex>()?;
|
||||
m.add_class::<PyIntradayIntensity>()?;
|
||||
m.add_class::<PyBetterVolume>()?;
|
||||
m.add_class::<PyVolumeWeightedMacd>()?;
|
||||
Ok(())
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user