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
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Vendored
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@@ -1449,6 +1449,19 @@ export declare class BetaNeutralSpread {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type HasbrouckInformationShareNode = HasbrouckInformationShare
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export declare class HasbrouckInformationShare {
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constructor(period: number)
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update(x: number, y: number): number | null
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/**
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* Batch over two equally-sized arrays. Returns a length-`n` array
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* with `NaN` for warmup positions.
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*/
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batch(x: Array<number>, y: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type PairSpreadZScoreNode = PairSpreadZScore
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/**
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* Pair spread z-score: two ctor params (`betaPeriod`, `zPeriod`), one `(a, b)`
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@@ -4333,6 +4346,24 @@ export declare class TradeImbalance {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type TradeSignAutocorrelationNode = TradeSignAutocorrelation
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export declare class TradeSignAutocorrelation {
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constructor(period: number)
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update(price: number, size: number, isBuy: boolean): number | null
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batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type PinNode = Pin
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export declare class Pin {
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constructor(window: number)
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update(price: number, size: number, isBuy: boolean): number | null
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batch(price: Array<number>, size: Array<number>, isBuy: Array<boolean>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type OrderFlowImbalanceNode = OrderFlowImbalance
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export declare class OrderFlowImbalance {
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constructor(period: number)
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