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
+10 -1
View File
@@ -174,6 +174,7 @@ mod hammer;
mod hanging_man;
mod harami;
mod harami_cross;
mod hasbrouck_information_share;
mod head_and_shoulders;
mod heikin_ashi;
mod heikin_ashi_oscillator;
@@ -296,6 +297,7 @@ mod percent_b;
mod percentage_trailing_stop;
mod pgo;
mod piercing_dark_cloud;
mod pin;
mod pivot_reversal;
mod plus_di;
mod plus_dm;
@@ -423,6 +425,7 @@ mod time_of_day_return_profile;
mod tower_top_bottom;
mod tpo_profile;
mod trade_imbalance;
mod trade_sign_autocorrelation;
mod trade_volume_index;
mod trend_label;
mod trend_strength_index;
@@ -659,6 +662,7 @@ pub use hammer::Hammer;
pub use hanging_man::HangingMan;
pub use harami::Harami;
pub use harami_cross::HaramiCross;
pub use hasbrouck_information_share::HasbrouckInformationShare;
pub use head_and_shoulders::HeadAndShoulders;
pub use heikin_ashi::{HeikinAshi, HeikinAshiOutput};
pub use heikin_ashi_oscillator::HeikinAshiOscillator;
@@ -781,6 +785,7 @@ pub use percent_b::PercentB;
pub use percentage_trailing_stop::PercentageTrailingStop;
pub use pgo::Pgo;
pub use piercing_dark_cloud::PiercingDarkCloud;
pub use pin::Pin;
pub use pivot_reversal::PivotReversal;
pub use plus_di::PlusDi;
pub use plus_dm::PlusDm;
@@ -908,6 +913,7 @@ pub use time_of_day_return_profile::{TimeOfDayReturnProfile, TimeOfDayReturnProf
pub use tower_top_bottom::TowerTopBottom;
pub use tpo_profile::{TpoProfile, TpoProfileOutput};
pub use trade_imbalance::TradeImbalance;
pub use trade_sign_autocorrelation::TradeSignAutocorrelation;
pub use trade_volume_index::TradeVolumeIndex;
pub use trend_label::TrendLabel;
pub use trend_strength_index::TrendStrengthIndex;
@@ -1452,6 +1458,9 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
"Vpin",
"AmihudIlliquidity",
"RollMeasure",
"TradeSignAutocorrelation",
"Pin",
"HasbrouckInformationShare",
],
),
(
@@ -1615,6 +1624,6 @@ mod family_tests {
// the actual indicator count is the early-warning signal that an
// indicator was added without being assigned a family.
let total: usize = FAMILIES.iter().map(|(_, ns)| ns.len()).sum();
assert_eq!(total, 485, "FAMILIES total drifted from indicator count");
assert_eq!(total, 488, "FAMILIES total drifted from indicator count");
}
}