feat(microstructure): trade-sign autocorrelation, PIN, Hasbrouck information share (B15) (#212)

## B15 Microstructure — three new indicators (485 → 488)

| Indicator | Input | Output | Notes |
|-----------|-------|--------|-------|
| `TradeSignAutocorrelation` | `Trade` | `f64` ∈ [-1,1] | lag-1 autocorrelation of the signed aggressor (order-flow persistence) |
| `Pin` | `Trade` | `f64` ∈ [0,1] | probability of informed trading from rolling buy/sell imbalance (EKOP single-window estimator); `name()` = `"PIN"` |
| `HasbrouckInformationShare` | `(f64, f64)` | `f64` ∈ [0,1] | variance-ratio proxy for each venue's share of price discovery |

### Wiring
- Core structs + full unit tests (every branch).
- Hand-written Python/Node/WASM bindings for the two `Trade`-input indicators (precedent `TradeImbalance`); `node_pair_indicator!` / `wasm_pair_indicator!` macro bindings + hand Python pyclass for the pairwise Hasbrouck (precedent `RollingCorrelation`).
- Fuzz drives added to `indicator_update_trade.rs` and `indicator_update_pair.rs`.
- Dedicated Python + Node streaming-vs-batch and reference tests; Hasbrouck in the `PAIR` registry.
- README counter (3 spots) + `docs/README.md` + `FAMILIES` assert bumped to 488.

### Verify (all green, local)
- `cargo test -p wickra-core --lib`: 3991 passed
- `cargo test -p wickra-core --doc`: 438 passed
- `cargo clippy --workspace --all-targets --all-features -- -D warnings`: clean
- node: 561 passed · pytest: 926 passed
This commit is contained in:
kingchenc
2026-06-08 03:07:50 +02:00
committed by GitHub
parent 3a46b210bb
commit e385734275
18 changed files with 1176 additions and 35 deletions
+31
View File
@@ -1449,6 +1449,19 @@ export declare class BetaNeutralSpread {
isReady(): boolean
warmupPeriod(): number
}
export type HasbrouckInformationShareNode = HasbrouckInformationShare
export declare class HasbrouckInformationShare {
constructor(period: number)
update(x: number, y: number): number | null
/**
* Batch over two equally-sized arrays. Returns a length-`n` array
* with `NaN` for warmup positions.
*/
batch(x: Array<number>, y: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type PairSpreadZScoreNode = PairSpreadZScore
/**
* Pair spread z-score: two ctor params (`betaPeriod`, `zPeriod`), one `(a, b)`
@@ -4333,6 +4346,24 @@ export declare class TradeImbalance {
isReady(): boolean
warmupPeriod(): number
}
export type TradeSignAutocorrelationNode = TradeSignAutocorrelation
export declare class TradeSignAutocorrelation {
constructor(period: number)
update(price: number, size: number, isBuy: boolean): number | null
batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type PinNode = Pin
export declare class Pin {
constructor(window: number)
update(price: number, size: number, isBuy: boolean): number | null
batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type OrderFlowImbalanceNode = OrderFlowImbalance
export declare class OrderFlowImbalance {
constructor(period: number)