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:
@@ -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");
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user