gavindiaz/wickra
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat: add 19 indicators for external feature-extractor coverage (377 -> 396) (#175)

Browse Source 
Adds 19 streaming indicators so an external trading-bot feature extractor can replace its hand-built features with native, batch/streaming-equivalent ones. Each is a real gap (verified against the existing catalogue), production-only, with full Python/Node/WASM bindings, fuzz drivers, and tests. Five commits, one per family group; counter 377 -> 396.

## What's added

**Price Statistics (6)** — `LogReturn`, `RealizedVolatility` (raw quadratic variation, the un-annualised counterpart to `HistoricalVolatility`), `RollingQuantile`, `RollingIqr`, `RollingPercentileRank`, `SpreadAr1Coefficient` (pairwise AR(1) rho of the spread; complements `OuHalfLife`).

**Price Action (4)** — `CloseVsOpen`, `BodySizePct`, `WickRatio`, `HighLowRange` (stateless per-bar OHLC transforms).

**Regime / Trend / Jump labels (3)** — `TrendLabel` (sign of the rolling OLS slope), `JumpIndicator` (return outliers vs trailing volatility, measured as deviation from the trailing mean so steady drift is not flagged), `RegimeLabel` (volatility-quantile regime split).

**Risk / Performance (2)** — `WinRate`, `Expectancy` (R-multiple).

**Microstructure (4)** — `OrderFlowImbalance` (Cont-Kukanov-Stoikov OFI), `Vpin`, `AmihudIlliquidity`, `RollMeasure`. These reuse the existing `OrderBook` / `Trade` inputs (no new input type).

## Intentionally NOT added (already present, would be duplicates)

- **Population skew / kurtosis** — `skewness.rs` / `kurtosis.rs` are already population moments (divisor n).
- **Hurst R/S** — `hurst_exponent.rs` already uses rescaled-range (R/S) analysis.
- **Queue Imbalance** — exactly `OrderBookImbalanceTop1` ((bidSize - askSize) / (bidSize + askSize)).

## Verification

`cargo test -p wickra-core` (lib 3187 + doc 354), `cargo clippy --workspace --all-targets --all-features -D warnings` clean, node `npm run build && npm test` (471), python `pytest` (784). Counter consistent across `mod.rs`, lib block, README, and docs/README at 396.
This commit is contained in:
kingchenc
2026-06-04 12:00:35 +02:00
committed by GitHub
parent a93af60796
commit fcb221ec03
37 changed files with 6697 additions and 84 deletions
Download Patch File Download Diff File Expand all files Collapse all files
CHANGELOG.md
+19
View File
@@ -6,6 +6,25 @@ The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
## [Unreleased]
- **Roll Measure** — effective spread implied by the negative serial covariance of trade-price changes (Roll 1984) (`RollMeasure`).
- **Amihud Illiquidity** — average absolute log return per unit of traded value (price-impact liquidity proxy, Amihud 2002) (`AmihudIlliquidity`).
- **VPIN** — volume-synchronised probability of informed trading (volume-bucketed order-flow toxicity) (`Vpin`).
- **Order Flow Imbalance** — rolling sum of best-level order-flow events (Cont-Kukanov-Stoikov OFI) (`OrderFlowImbalance`).
- **Expectancy** — expected return per unit of average loss (R-multiple) over a rolling window of returns (`Expectancy`).
- **Win Rate** — fraction of strictly-positive returns over a rolling window (`WinRate`).
- **Regime Label** — volatility-quantile regime classification: −1 calm / 0 normal / +1 stressed, by where the rolling volatility sits in its own recent distribution (`RegimeLabel`).
- **Jump Indicator** — flags return outliers beyond `threshold ×` trailing return volatility (−1 down / 0 / +1 up) (`JumpIndicator`).
- **Trend Label** — discrete trend state from the sign of the rolling least-squares slope (−1 / 0 / +1) (`TrendLabel`).
- **High-Low Range** — bar high-low range as a fraction of close (scale-free per-bar volatility) (`HighLowRange`).
- **Wick Ratio** — signed upper-vs-lower shadow imbalance as a fraction of the range (`WickRatio`).
- **Body Size Percent** — absolute candle body as a fraction of the bar range (`BodySizePct`).
- **Close vs Open** — signed body as a fraction of the open price, `(close − open) / open` (`CloseVsOpen`).
- **Spread AR(1) Coefficient** — first-order autoregression coefficient of the spread `a − b` (direct cointegration / mean-reversion strength) (`SpreadAr1Coefficient`).
- **Rolling Quantile** — interpolated q-th quantile over a trailing window (type-7 / NumPy default) (`RollingQuantile`).
- **Rolling Percentile Rank** — percentile rank of the latest value within its trailing window (`RollingPercentileRank`).
- **Rolling IQR** — interquartile range (Q3 − Q1) over a trailing window (robust dispersion) (`RollingIqr`).
- **Realized Volatility** — square root of the summed squared log returns (raw, un-annualised quadratic variation) (`RealizedVolatility`).
- **Log Return** — logarithmic return over a fixed lag, `ln(price_t / price_{t−period})` (`LogReturn`).
## [0.5.3] - 2026-06-04
- **Fibonacci Time Zones** — vertical markers at Fibonacci bar-distances (1/2/3/5/8/...) from the latest swing pivot (`FIB_TIME_ZONES`).