F4: add StochRSI and Ultimate Oscillator
Completes the F4 family (Stochastic oscillators) end to end: - Rust core: stoch_rsi.rs (Stochastic Oscillator applied to the RSI series, bounded [0,100]) and ultimate_oscillator.rs (Larry Williams' weighted three-timeframe buying-pressure oscillator). Each with a full Indicator impl, runnable doctest and reference / saturation / bounds / warmup / reset / batch==streaming tests. - Python: PyStochRsi / PyUltimateOscillator PyO3 classes + module registration + .pyi stubs (defaults StochRSI=(14,14), UO=(7,14,28)). - Node: explicit StochRsiNode and UltimateOscillatorNode; index.d.ts and index.js updated. - WASM: WasmStochRsi via the scalar macro, explicit WasmUltimateOscillator. - Wiki: Indicator-StochRsi.md and Indicator-UltimateOscillator.md plus rows in Indicators-Overview.md and entries in Home.md. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 278 core tests, 25 data tests and 39 doctests green.
This commit is contained in:
@@ -310,7 +310,7 @@ if (!nativeBinding) {
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throw new Error(`Failed to load native binding`)
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}
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, T3, VWMA, MOM, CMO, TSI, PMO, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, AwesomeOscillator, Aroon, KAMA } = nativeBinding
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, T3, VWMA, MOM, CMO, TSI, PMO, StochRSI, UltimateOscillator, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, AwesomeOscillator, Aroon, KAMA } = nativeBinding
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module.exports.version = version
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module.exports.SMA = SMA
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@@ -331,6 +331,8 @@ module.exports.MOM = MOM
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module.exports.CMO = CMO
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module.exports.TSI = TSI
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module.exports.PMO = PMO
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module.exports.StochRSI = StochRSI
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module.exports.UltimateOscillator = UltimateOscillator
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module.exports.MACD = MACD
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module.exports.BollingerBands = BollingerBands
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module.exports.ATR = ATR
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@@ -1144,6 +1144,100 @@ impl PmoNode {
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// ============================== VWMA ==============================
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// ============================== StochRSI ==============================
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#[napi(js_name = "StochRSI")]
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pub struct StochRsiNode {
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inner: wc::StochRsi,
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}
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#[napi]
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impl StochRsiNode {
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#[napi(constructor)]
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pub fn new(rsi_period: u32, stoch_period: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::StochRsi::new(rsi_period as usize, stoch_period as usize)
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.map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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#[napi]
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pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
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flatten(self.inner.batch(&prices))
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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// ============================== Ultimate Oscillator ==============================
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#[napi(js_name = "UltimateOscillator")]
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pub struct UltimateOscillatorNode {
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inner: wc::UltimateOscillator,
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}
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#[napi]
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impl UltimateOscillatorNode {
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#[napi(constructor)]
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pub fn new(short: u32, mid: u32, long: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::UltimateOscillator::new(short as usize, mid as usize, long as usize)
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.map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(cnd(high, low, close, 0.0)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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high: Vec<f64>,
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low: Vec<f64>,
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close: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if high.len() != low.len() || low.len() != close.len() {
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return Err(NapiError::from_reason(
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"high, low, close must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(high.len());
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for i in 0..high.len() {
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out.push(
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self.inner
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.update(cnd(high[i], low[i], close[i], 0.0)?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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#[napi(js_name = "VWMA")]
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pub struct VwmaNode {
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inner: wc::Vwma,
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@@ -76,6 +76,35 @@ class TRIMA:
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@property
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def value(self) -> Optional[float]: ...
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class StochRSI:
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def __init__(self, rsi_period: int = 14, stoch_period: int = 14) -> None: ...
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def update(self, value: float) -> Optional[float]: ...
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def batch(self, prices: NDArray[np.float64]) -> NDArray[np.float64]: ...
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def reset(self) -> None: ...
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def is_ready(self) -> bool: ...
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def warmup_period(self) -> int: ...
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@property
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def periods(self) -> Tuple[int, int]: ...
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@property
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def value(self) -> Optional[float]: ...
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class UltimateOscillator:
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def __init__(self, short: int = 7, mid: int = 14, long: int = 28) -> None: ...
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def update(self, candle: CandleLike) -> Optional[float]: ...
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def batch(
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self,
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high: NDArray[np.float64],
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low: NDArray[np.float64],
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close: NDArray[np.float64],
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) -> NDArray[np.float64]: ...
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def reset(self) -> None: ...
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def is_ready(self) -> bool: ...
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def warmup_period(self) -> int: ...
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@property
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def periods(self) -> Tuple[int, int, int]: ...
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@property
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def value(self) -> Optional[float]: ...
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class MOM:
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def __init__(self, period: int = 10) -> None: ...
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def update(self, value: float) -> Optional[float]: ...
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@@ -1519,6 +1519,132 @@ impl PyAroon {
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}
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}
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// ============================== StochRSI ==============================
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#[pyclass(name = "StochRSI", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyStochRsi {
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inner: wc::StochRsi,
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}
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#[pymethods]
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impl PyStochRsi {
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#[new]
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#[pyo3(signature = (rsi_period=14, stoch_period=14))]
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fn new(rsi_period: usize, stoch_period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::StochRsi::new(rsi_period, stoch_period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let slice = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
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}
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#[getter]
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fn periods(&self) -> (usize, usize) {
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self.inner.periods()
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}
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#[getter]
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fn value(&self) -> Option<f64> {
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self.inner.value()
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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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let (r, s) = self.inner.periods();
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format!("StochRSI(rsi_period={r}, stoch_period={s})")
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}
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}
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// ============================== Ultimate Oscillator ==============================
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#[pyclass(name = "UltimateOscillator", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyUltimateOscillator {
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inner: wc::UltimateOscillator,
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}
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#[pymethods]
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impl PyUltimateOscillator {
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#[new]
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#[pyo3(signature = (short=7, mid=14, long=28))]
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fn new(short: usize, mid: usize, long: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::UltimateOscillator::new(short, mid, long).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 columns: high, low, close (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(h.len());
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for i in 0..h.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_bound(py))
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}
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#[getter]
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fn periods(&self) -> (usize, usize, usize) {
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self.inner.periods()
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}
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#[getter]
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fn value(&self) -> Option<f64> {
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self.inner.value()
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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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let (s, m, l) = self.inner.periods();
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format!("UltimateOscillator(short={s}, mid={m}, long={l})")
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}
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}
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// ============================== MOM ==============================
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#[pyclass(name = "MOM", module = "wickra._wickra")]
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@@ -2052,5 +2178,7 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyCmo>()?;
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m.add_class::<PyTsi>()?;
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m.add_class::<PyPmo>()?;
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m.add_class::<PyStochRsi>()?;
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m.add_class::<PyUltimateOscillator>()?;
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Ok(())
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}
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@@ -83,6 +83,7 @@ wasm_scalar_indicator!(WasmMom, "MOM", wc::Mom, period: usize);
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wasm_scalar_indicator!(WasmCmo, "CMO", wc::Cmo, period: usize);
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wasm_scalar_indicator!(WasmTsi, "TSI", wc::Tsi, long: usize, short: usize);
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wasm_scalar_indicator!(WasmPmo, "PMO", wc::Pmo, smoothing1: usize, smoothing2: usize);
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wasm_scalar_indicator!(WasmStochRsi, "StochRSI", wc::StochRsi, rsi_period: usize, stoch_period: usize);
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// ---------- KAMA (three params) ----------
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@@ -330,6 +331,44 @@ impl WasmObv {
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}
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}
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#[wasm_bindgen(js_name = UltimateOscillator)]
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pub struct WasmUltimateOscillator {
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inner: wc::UltimateOscillator,
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}
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#[wasm_bindgen(js_class = UltimateOscillator)]
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impl WasmUltimateOscillator {
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#[wasm_bindgen(constructor)]
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pub fn new(short: usize, mid: usize, long: usize) -> Result<WasmUltimateOscillator, JsError> {
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Ok(Self {
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inner: wc::UltimateOscillator::new(short, mid, long).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<Option<f64>, JsError> {
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let c = make_candle(high, low, close, 0.0)?;
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Ok(self.inner.update(c))
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}
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pub fn batch(
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&mut self,
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high: &[f64],
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low: &[f64],
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close: &[f64],
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) -> Result<Float64Array, JsError> {
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if high.len() != low.len() || low.len() != close.len() {
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return Err(JsError::new("high, low, close must be equal length"));
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}
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let mut out = Vec::with_capacity(high.len());
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for i in 0..high.len() {
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let c = make_candle(high[i], low[i], close[i], 0.0)?;
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out.push(self.inner.update(c).unwrap_or(f64::NAN));
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}
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Ok(Float64Array::from(out.as_slice()))
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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}
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#[wasm_bindgen(js_name = VWMA)]
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pub struct WasmVwma {
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inner: wc::Vwma,
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Reference in New Issue
Block a user