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
+107
View File
@@ -884,6 +884,11 @@ node_pair_indicator!(
"BetaNeutralSpread",
wc::BetaNeutralSpread
);
node_pair_indicator!(
HasbrouckInformationShareNode,
"HasbrouckInformationShare",
wc::HasbrouckInformationShare
);
// ============================== PairSpreadZScore ==============================
@@ -13739,6 +13744,108 @@ impl TradeImbalanceNode {
}
}
// Trade-sign autocorrelation carries a `period` parameter, so it is hand-written.
#[napi(js_name = "TradeSignAutocorrelation")]
pub struct TradeSignAutocorrelationNode {
inner: wc::TradeSignAutocorrelation,
}
#[napi]
impl TradeSignAutocorrelationNode {
#[napi(constructor)]
pub fn new(period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::TradeSignAutocorrelation::new(period as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, price: f64, size: f64, is_buy: bool) -> napi::Result<Option<f64>> {
Ok(self.inner.update(build_trade(price, size, is_buy)?))
}
#[napi]
pub fn batch(
&mut self,
price: Vec<f64>,
size: Vec<f64>,
is_buy: Vec<bool>,
) -> napi::Result<Vec<f64>> {
if price.len() != size.len() || size.len() != is_buy.len() {
return Err(NapiError::from_reason(
"price, size, is_buy must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(price.len());
for i in 0..price.len() {
let trade = build_trade(price[i], size[i], is_buy[i])?;
out.push(self.inner.update(trade).unwrap_or(f64::NAN));
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// PIN carries a `window` parameter, so it is hand-written.
#[napi(js_name = "Pin")]
pub struct PinNode {
inner: wc::Pin,
}
#[napi]
impl PinNode {
#[napi(constructor)]
pub fn new(window: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::Pin::new(window as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, price: f64, size: f64, is_buy: bool) -> napi::Result<Option<f64>> {
Ok(self.inner.update(build_trade(price, size, is_buy)?))
}
#[napi]
pub fn batch(
&mut self,
price: Vec<f64>,
size: Vec<f64>,
is_buy: Vec<bool>,
) -> napi::Result<Vec<f64>> {
if price.len() != size.len() || size.len() != is_buy.len() {
return Err(NapiError::from_reason(
"price, size, is_buy must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(price.len());
for i in 0..price.len() {
let trade = build_trade(price[i], size[i], is_buy[i])?;
out.push(self.inner.update(trade).unwrap_or(f64::NAN));
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// Order Flow Imbalance: order-book input with a `period` parameter.
#[napi(js_name = "OrderFlowImbalance")]
pub struct OrderFlowImbalanceNode {