feat: add Alt-Chart Bars (Renko, Kagi, Point & Figure) via a BarBuilder trait (#146)
Introduces a BarBuilder trait for price-driven chart constructors that emit a variable number of bars per candle (deliberately not Indicator). Adds Renko (box-size bricks, 2-box reversal), Kagi (reversal-amount segments) and Point & Figure (box-size X/O columns, N-box reversal) in a new Alt-Chart Bars family, with custom Python/Node/WASM bindings, a dedicated fuzz target, tests and docs. Indicator count 292 -> 295.
This commit is contained in:
kingchenc
+203
-1
@@ -17,7 +17,7 @@ use pyo3::exceptions::{PyTypeError, PyValueError};
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use pyo3::prelude::*;
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use pyo3::types::PyDict;
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use wickra_core as wc;
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use wickra_core::{BatchExt, Indicator};
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use wickra_core::{BarBuilder, BatchExt, Indicator};
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fn map_err(e: wc::Error) -> PyErr {
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match e {
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@@ -14210,6 +14210,205 @@ impl PyAlpha {
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}
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}
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// ============================== Alt-Chart Bars ==============================
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//
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// Bar builders consume close prices and emit a variable number of completed bars
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// per input. `update(close)` returns the bars finished on that close; `batch`
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// returns a `(k, 3)` array of all completed bars concatenated.
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#[pyclass(name = "RenkoBars", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyRenkoBars {
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inner: wc::RenkoBars,
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}
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#[pymethods]
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impl PyRenkoBars {
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#[new]
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fn new(box_size: f64) -> PyResult<Self> {
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Ok(Self {
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inner: wc::RenkoBars::new(box_size).map_err(map_err)?,
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})
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}
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/// Feed one close; returns bricks completed on it as `(open, close, direction)`.
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fn update(&mut self, close: f64) -> PyResult<Vec<(f64, f64, i64)>> {
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let candle = wc::Candle::new(close, close, close, close, 1.0, 0).map_err(map_err)?;
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Ok(self
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.inner
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.update(candle)
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.into_iter()
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.map(|b| (b.open, b.close, i64::from(b.direction)))
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.collect())
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}
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/// Batch over a close column. Returns shape `(k, 3)` of `[open, close, direction]`.
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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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) -> PyResult<Bound<'py, PyArray2<f64>>> {
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let prices = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let mut rows: Vec<f64> = Vec::new();
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let mut k = 0usize;
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for &price in prices {
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let candle = wc::Candle::new(price, price, price, price, 1.0, 0).map_err(map_err)?;
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for b in self.inner.update(candle) {
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rows.push(b.open);
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rows.push(b.close);
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rows.push(f64::from(b.direction));
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k += 1;
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}
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}
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Ok(numpy::ndarray::Array2::from_shape_vec((k, 3), rows)
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.expect("shape consistent")
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.into_pyarray(py))
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}
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#[getter]
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fn box_size(&self) -> f64 {
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self.inner.box_size()
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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 __repr__(&self) -> String {
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format!("RenkoBars(box_size={})", self.inner.box_size())
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}
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}
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#[pyclass(name = "KagiBars", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyKagiBars {
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inner: wc::KagiBars,
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}
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#[pymethods]
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impl PyKagiBars {
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#[new]
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fn new(reversal: f64) -> PyResult<Self> {
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Ok(Self {
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inner: wc::KagiBars::new(reversal).map_err(map_err)?,
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})
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}
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/// Feed one close; returns completed segments as `(start, end, direction)`.
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fn update(&mut self, close: f64) -> PyResult<Vec<(f64, f64, i64)>> {
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let candle = wc::Candle::new(close, close, close, close, 1.0, 0).map_err(map_err)?;
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Ok(self
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.inner
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.update(candle)
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.into_iter()
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.map(|b| (b.start, b.end, i64::from(b.direction)))
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.collect())
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}
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/// Batch over a close column. Returns shape `(k, 3)` of `[start, end, direction]`.
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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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) -> PyResult<Bound<'py, PyArray2<f64>>> {
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let prices = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let mut rows: Vec<f64> = Vec::new();
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let mut k = 0usize;
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for &price in prices {
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let candle = wc::Candle::new(price, price, price, price, 1.0, 0).map_err(map_err)?;
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for b in self.inner.update(candle) {
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rows.push(b.start);
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rows.push(b.end);
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rows.push(f64::from(b.direction));
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k += 1;
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}
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}
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Ok(numpy::ndarray::Array2::from_shape_vec((k, 3), rows)
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.expect("shape consistent")
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.into_pyarray(py))
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}
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#[getter]
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fn reversal(&self) -> f64 {
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self.inner.reversal()
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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 __repr__(&self) -> String {
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format!("KagiBars(reversal={})", self.inner.reversal())
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}
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}
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#[pyclass(
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name = "PointAndFigureBars",
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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 PyPointAndFigureBars {
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inner: wc::PointAndFigureBars,
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}
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#[pymethods]
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impl PyPointAndFigureBars {
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#[new]
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#[pyo3(signature = (box_size, reversal=3))]
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fn new(box_size: f64, reversal: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::PointAndFigureBars::new(box_size, reversal).map_err(map_err)?,
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})
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}
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/// Feed one close; returns completed columns as `(direction, high, low)`.
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fn update(&mut self, close: f64) -> PyResult<Vec<(i64, f64, f64)>> {
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let candle = wc::Candle::new(close, close, close, close, 1.0, 0).map_err(map_err)?;
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Ok(self
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.inner
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.update(candle)
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.into_iter()
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.map(|c| (i64::from(c.direction), c.high, c.low))
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.collect())
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}
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/// Batch over a close column. Returns shape `(k, 3)` of `[direction, high, low]`.
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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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) -> PyResult<Bound<'py, PyArray2<f64>>> {
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let prices = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let mut rows: Vec<f64> = Vec::new();
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let mut k = 0usize;
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for &price in prices {
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let candle = wc::Candle::new(price, price, price, price, 1.0, 0).map_err(map_err)?;
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for col in self.inner.update(candle) {
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rows.push(f64::from(col.direction));
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rows.push(col.high);
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rows.push(col.low);
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k += 1;
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}
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}
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Ok(numpy::ndarray::Array2::from_shape_vec((k, 3), rows)
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.expect("shape consistent")
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.into_pyarray(py))
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}
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#[getter]
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fn box_size(&self) -> f64 {
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self.inner.box_size()
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}
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#[getter]
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fn reversal(&self) -> usize {
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self.inner.reversal()
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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 __repr__(&self) -> String {
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format!(
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"PointAndFigureBars(box_size={}, reversal={})",
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self.inner.box_size(),
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self.inner.reversal()
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)
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}
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}
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// ============================== Module ==============================
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#[pymodule]
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@@ -14407,6 +14606,9 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyValueArea>()?;
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m.add_class::<PyVolumeProfile>()?;
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m.add_class::<PyTpoProfile>()?;
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m.add_class::<PyRenkoBars>()?;
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m.add_class::<PyKagiBars>()?;
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m.add_class::<PyPointAndFigureBars>()?;
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m.add_class::<PyInitialBalance>()?;
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m.add_class::<PyOpeningRange>()?;
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// Candlestick patterns.
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