feat(bindings): expose RollingVWAP in Python, Node and WASM (R4)
The rolling-window VWAP indicator (`wickra_core::RollingVwap`) was only available in the Rust crate, even though the README's Volume-family table already advertised "VWAP (cumulative + rolling)" as a cross- language feature. Users on Python, Node or in the browser had to fall back to the cumulative `VWAP` or re-implement the rolling variant themselves. This commit closes the gap end-to-end: - Python: `wickra.RollingVWAP(period)` — same constructor / `update` / `batch` / `reset` / `is_ready` / `warmup_period` surface as `VWAP`, plus a `period` property and a typed `__repr__`. The `__init__.py` re-exports it and `__all__` lists it; the `.pyi` stub matches. - Node: `RollingVWAP(period)` — napi class with the same lifecycle, exported from `index.js` and declared in `index.d.ts`. - WASM: `RollingVWAP(period)` — wasm-bindgen class with the same `Float64Array` I/O as `VWAP`. Tests added: - Python: `test_rolling_vwap_streaming_matches_batch` — exercises `update == batch` plus the full lifecycle on the shared OHLC fixture. - Node: `RollingVWAP` row in the `candleScalar` parity table — covered by the generic streaming-vs-batch + lifecycle harness. - WASM: dedicated `wasm-bindgen-test` mirrors the Python test. The wiki page `Indicator-Vwap.md` drops the "Rust-only" caveat and gains Python / Node / WASM examples.
This commit is contained in:
@@ -87,6 +87,7 @@ from ._wickra import (
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# Volume
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OBV,
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VWAP,
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RollingVWAP,
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ADL,
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VolumePriceTrend,
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ChaikinMoneyFlow,
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@@ -167,6 +168,7 @@ __all__ = [
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# Volume
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"OBV",
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"VWAP",
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"RollingVWAP",
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"ADL",
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"VolumePriceTrend",
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"ChaikinMoneyFlow",
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@@ -945,6 +945,22 @@ class VWAP:
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def is_ready(self) -> bool: ...
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def warmup_period(self) -> int: ...
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class RollingVWAP:
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def __init__(self, period: int) -> None: ...
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def update(self, candle: CandleLike) -> Optional[float]: ...
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def batch(
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self,
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high: NDArray[np.float64],
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low: NDArray[np.float64],
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close: NDArray[np.float64],
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volume: NDArray[np.float64],
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) -> NDArray[np.float64]: ...
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@property
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def period(self) -> int: ...
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def reset(self) -> None: ...
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def is_ready(self) -> bool: ...
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def warmup_period(self) -> int: ...
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class AwesomeOscillator:
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def __init__(self, fast: int = 5, slow: int = 34) -> None: ...
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def update(self, candle: CandleLike) -> Optional[float]: ...
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@@ -1413,6 +1413,76 @@ impl PyVwap {
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}
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}
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// ============================== Rolling VWAP ==============================
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#[pyclass(name = "RollingVWAP", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyRollingVwap {
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inner: wc::RollingVwap,
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}
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#[pymethods]
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impl PyRollingVwap {
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#[new]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::RollingVwap::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let v = volume
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
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return Err(PyValueError::new_err(
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"high, low, close, volume must be equal length",
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));
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}
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let mut out = Vec::with_capacity(h.len());
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for i in 0..h.len() {
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let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
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}
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Ok(out.into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("RollingVWAP(period={})", self.inner.period())
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}
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}
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// ============================== Awesome Oscillator ==============================
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#[pyclass(
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@@ -4433,6 +4503,7 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyKeltner>()?;
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m.add_class::<PyDonchian>()?;
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m.add_class::<PyVwap>()?;
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m.add_class::<PyRollingVwap>()?;
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m.add_class::<PyAo>()?;
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m.add_class::<PyAroon>()?;
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m.add_class::<PySmma>()?;
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@@ -115,3 +115,23 @@ def test_obv_streaming_matches_batch(ohlc_series):
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rows.append(streamer.update((float(c), float(c), float(c), float(c), float(v), 0)))
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streamed = np.array([math.nan if x is None else x for x in rows], dtype=np.float64)
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assert _equal_with_nan(batch, streamed)
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def test_rolling_vwap_streaming_matches_batch(ohlc_series):
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# RollingVWAP(20) on the shared OHLC series. Provides finite-memory VWAP
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# parity coverage now that the indicator is exposed across all bindings.
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high, low, close = ohlc_series
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volume = np.linspace(100.0, 200.0, num=close.size, dtype=np.float64)
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batch = ta.RollingVWAP(20).batch(high, low, close, volume)
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streamer = ta.RollingVWAP(20)
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rows = []
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for h, l, c, v in zip(high, low, close, volume):
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rows.append(streamer.update((float(c), float(h), float(l), float(c), float(v), 0)))
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streamed = np.array([math.nan if x is None else x for x in rows], dtype=np.float64)
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assert _equal_with_nan(batch, streamed)
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assert streamer.period == 20
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assert streamer.warmup_period() == 20
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assert streamer.is_ready()
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streamer.reset()
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assert not streamer.is_ready()
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