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
+2 -1
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@@ -8,7 +8,7 @@
//! panic.
use libfuzzer_sys::fuzz_target;
use wickra_core::{Alpha, BatchExt, BetaNeutralSpread, Cointegration, DistanceSsd, GrangerCausality, Indicator, InformationRatio, KalmanHedgeRatio, KendallTau, LeadLagCrossCorrelation, OuHalfLife, PairSpreadZScore, PairwiseBeta, RelativeStrengthAB, RollingCorrelation, RollingCovariance, SpreadAr1Coefficient, SpreadBollingerBands, SpreadHurst, TreynorRatio, VarianceRatio};
use wickra_core::{Alpha, BatchExt, BetaNeutralSpread, Cointegration, DistanceSsd, GrangerCausality, HasbrouckInformationShare, Indicator, InformationRatio, KalmanHedgeRatio, KendallTau, LeadLagCrossCorrelation, OuHalfLife, PairSpreadZScore, PairwiseBeta, RelativeStrengthAB, RollingCorrelation, RollingCovariance, SpreadAr1Coefficient, SpreadBollingerBands, SpreadHurst, TreynorRatio, VarianceRatio};
#[inline(never)]
fn drive<I>(make: impl Fn() -> I, data: &[(f64, f64)])
@@ -48,6 +48,7 @@ fuzz_target!(|data: &[u8]| {
drive(|| GrangerCausality::new(60, 1).unwrap(), &pairs);
drive(|| SpreadAr1Coefficient::new(40).unwrap(), &pairs);
drive(|| KendallTau::new(20).unwrap(), &pairs);
drive(|| HasbrouckInformationShare::new(2).unwrap(), &pairs);
// Struct-output pair indicator: drive update + batch directly (the generic
// `drive` above only covers `Output = f64`).
+3 -1
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@@ -10,7 +10,7 @@
//! would reject — the indicators must never panic, streaming or batched.
use libfuzzer_sys::fuzz_target;
use wickra_core::{AmihudIlliquidity, BatchExt, CumulativeVolumeDelta, Footprint, Indicator, RollMeasure, Side, SignedVolume, Trade, TradeImbalance, Vpin};
use wickra_core::{AmihudIlliquidity, BatchExt, CumulativeVolumeDelta, Footprint, Indicator, Pin, RollMeasure, Side, SignedVolume, Trade, TradeImbalance, TradeSignAutocorrelation, Vpin};
#[inline(never)]
fn drive<I>(make: impl Fn() -> I, trades: &[Trade])
@@ -43,6 +43,8 @@ fuzz_target!(|data: &[u8]| {
drive(|| Vpin::new(8.0, 5).unwrap(), &trades);
drive(|| AmihudIlliquidity::new(20).unwrap(), &trades);
drive(|| RollMeasure::new(20).unwrap(), &trades);
drive(|| TradeSignAutocorrelation::new(20).unwrap(), &trades);
drive(|| Pin::new(20).unwrap(), &trades);
// Footprint emits a variable-length `FootprintOutput` rather than an `f64`,
// so it is driven directly rather than through the scalar-output helper.