feat: add 19 indicators for external feature-extractor coverage (377 -> 396) (#175)
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
@@ -26,6 +26,7 @@ mod adxr;
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mod alligator;
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mod alma;
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mod alpha;
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mod amihud_illiquidity;
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mod anchored_rsi;
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mod anchored_vwap;
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mod apo;
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@@ -46,6 +47,7 @@ mod bat;
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mod belt_hold;
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mod beta;
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mod beta_neutral_spread;
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mod body_size_pct;
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mod bollinger;
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mod bollinger_bandwidth;
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mod breadth_thrust;
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@@ -64,6 +66,7 @@ mod chande_kroll_stop;
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mod chandelier_exit;
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mod choppiness_index;
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mod classic_pivots;
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mod close_vs_open;
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mod closing_marubozu;
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mod cmf;
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mod cmo;
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@@ -109,6 +112,7 @@ mod empirical_mode_decomposition;
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mod engulfing;
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mod evening_doji_star;
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mod evwma;
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mod expectancy;
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mod falling_three_methods;
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mod fama;
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mod fib_arcs;
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@@ -143,6 +147,7 @@ mod harami;
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mod head_and_shoulders;
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mod heikin_ashi;
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mod high_low_index;
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mod high_low_range;
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mod high_wave;
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mod hikkake;
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mod hikkake_modified;
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@@ -167,6 +172,7 @@ mod intraday_volatility_profile;
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mod inverse_fisher_transform;
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mod inverted_hammer;
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mod jma;
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mod jump_indicator;
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mod kagi_bars;
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mod kalman_hedge_ratio;
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mod kama;
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@@ -187,6 +193,7 @@ mod linreg_channel;
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mod linreg_intercept;
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mod linreg_slope;
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mod liquidation_features;
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mod log_return;
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mod long_legged_doji;
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mod long_line;
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mod long_short_ratio;
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@@ -229,6 +236,7 @@ mod omega_ratio;
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mod on_neck;
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mod opening_marubozu;
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mod opening_range;
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mod order_flow_imbalance;
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mod ou_half_life;
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mod overnight_gap;
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mod overnight_intraday_return;
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@@ -253,8 +261,10 @@ mod pvi;
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mod quoted_spread;
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mod r_squared;
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mod realized_spread;
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mod realized_volatility;
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mod recovery_factor;
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mod rectangle_range;
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mod regime_label;
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mod relative_strength_ab;
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mod renko_bars;
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mod renko_trailing_stop;
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@@ -265,8 +275,12 @@ mod rocp;
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mod rocr;
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mod rocr100;
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mod rogers_satchell;
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mod roll_measure;
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mod rolling_correlation;
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mod rolling_covariance;
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mod rolling_iqr;
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mod rolling_percentile_rank;
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mod rolling_quantile;
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mod roofing_filter;
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mod rsi;
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mod rvi;
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@@ -291,6 +305,7 @@ mod smma;
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mod sortino_ratio;
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mod spearman_correlation;
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mod spinning_top;
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mod spread_ar1_coefficient;
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mod spread_bollinger_bands;
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mod spread_hurst;
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mod stalled_pattern;
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@@ -335,6 +350,7 @@ mod tii;
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mod time_of_day_return_profile;
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mod tpo_profile;
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mod trade_imbalance;
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mod trend_label;
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mod treynor_ratio;
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mod triangle;
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mod trima;
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@@ -367,6 +383,7 @@ mod volume_by_time_profile;
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mod volume_oscillator;
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mod volume_profile;
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mod vortex;
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mod vpin;
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mod vpt;
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mod vwap;
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mod vwap_stddev_bands;
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@@ -375,8 +392,10 @@ mod vzo;
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mod wave_trend;
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mod wedge;
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mod weighted_close;
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mod wick_ratio;
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mod williams_fractals;
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mod williams_r;
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mod win_rate;
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mod wma;
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mod woodie_pivots;
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mod yang_zhang;
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@@ -403,6 +422,7 @@ pub use adxr::Adxr;
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pub use alligator::{Alligator, AlligatorOutput};
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pub use alma::Alma;
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pub use alpha::Alpha;
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pub use amihud_illiquidity::AmihudIlliquidity;
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pub use anchored_rsi::AnchoredRsi;
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pub use anchored_vwap::AnchoredVwap;
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pub use apo::Apo;
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@@ -423,6 +443,7 @@ pub use bat::Bat;
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pub use belt_hold::BeltHold;
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pub use beta::Beta;
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pub use beta_neutral_spread::BetaNeutralSpread;
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pub use body_size_pct::BodySizePct;
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pub use bollinger::{BollingerBands, BollingerOutput};
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pub use bollinger_bandwidth::BollingerBandwidth;
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pub use breadth_thrust::BreadthThrust;
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@@ -441,6 +462,7 @@ pub use chande_kroll_stop::{ChandeKrollStop, ChandeKrollStopOutput};
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pub use chandelier_exit::{ChandelierExit, ChandelierExitOutput};
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pub use choppiness_index::ChoppinessIndex;
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pub use classic_pivots::{ClassicPivots, ClassicPivotsOutput};
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pub use close_vs_open::CloseVsOpen;
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pub use closing_marubozu::ClosingMarubozu;
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pub use cmf::ChaikinMoneyFlow;
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pub use cmo::Cmo;
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@@ -486,6 +508,7 @@ pub use empirical_mode_decomposition::EmpiricalModeDecomposition;
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pub use engulfing::Engulfing;
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pub use evening_doji_star::EveningDojiStar;
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pub use evwma::Evwma;
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pub use expectancy::Expectancy;
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pub use falling_three_methods::FallingThreeMethods;
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pub use fama::Fama;
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pub use fib_arcs::{FibArcs, FibArcsOutput};
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@@ -520,6 +543,7 @@ pub use harami::Harami;
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pub use head_and_shoulders::HeadAndShoulders;
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pub use heikin_ashi::{HeikinAshi, HeikinAshiOutput};
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pub use high_low_index::HighLowIndex;
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pub use high_low_range::HighLowRange;
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pub use high_wave::HighWave;
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pub use hikkake::Hikkake;
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pub use hikkake_modified::HikkakeModified;
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@@ -544,6 +568,7 @@ pub use intraday_volatility_profile::{IntradayVolatilityProfile, IntradayVolatil
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pub use inverse_fisher_transform::InverseFisherTransform;
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pub use inverted_hammer::InvertedHammer;
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pub use jma::Jma;
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pub use jump_indicator::JumpIndicator;
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pub use kagi_bars::{KagiBar, KagiBars};
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pub use kalman_hedge_ratio::{KalmanHedgeRatio, KalmanHedgeRatioOutput};
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pub use kama::Kama;
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@@ -564,6 +589,7 @@ pub use linreg_channel::{LinRegChannel, LinRegChannelOutput};
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pub use linreg_intercept::LinRegIntercept;
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pub use linreg_slope::LinRegSlope;
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pub use liquidation_features::{LiquidationFeatures, LiquidationFeaturesOutput};
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pub use log_return::LogReturn;
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pub use long_legged_doji::LongLeggedDoji;
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pub use long_line::LongLine;
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pub use long_short_ratio::LongShortRatio;
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@@ -606,6 +632,7 @@ pub use omega_ratio::OmegaRatio;
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pub use on_neck::OnNeck;
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pub use opening_marubozu::OpeningMarubozu;
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pub use opening_range::{OpeningRange, OpeningRangeOutput};
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pub use order_flow_imbalance::OrderFlowImbalance;
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pub use ou_half_life::OuHalfLife;
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pub use overnight_gap::OvernightGap;
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pub use overnight_intraday_return::{OvernightIntradayReturn, OvernightIntradayReturnOutput};
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@@ -630,8 +657,10 @@ pub use pvi::Pvi;
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pub use quoted_spread::QuotedSpread;
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pub use r_squared::RSquared;
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pub use realized_spread::RealizedSpread;
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pub use realized_volatility::RealizedVolatility;
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pub use recovery_factor::RecoveryFactor;
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pub use rectangle_range::RectangleRange;
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pub use regime_label::RegimeLabel;
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pub use relative_strength_ab::{RelativeStrengthAB, RelativeStrengthOutput};
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pub use renko_bars::{RenkoBars, RenkoBrick};
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pub use renko_trailing_stop::RenkoTrailingStop;
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@@ -642,8 +671,12 @@ pub use rocp::Rocp;
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pub use rocr::Rocr;
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pub use rocr100::Rocr100;
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pub use rogers_satchell::RogersSatchellVolatility;
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pub use roll_measure::RollMeasure;
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pub use rolling_correlation::RollingCorrelation;
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pub use rolling_covariance::RollingCovariance;
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pub use rolling_iqr::RollingIqr;
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pub use rolling_percentile_rank::RollingPercentileRank;
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pub use rolling_quantile::RollingQuantile;
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pub use roofing_filter::RoofingFilter;
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pub use rsi::Rsi;
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pub use rvi::Rvi;
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@@ -668,6 +701,7 @@ pub use smma::Smma;
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pub use sortino_ratio::SortinoRatio;
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pub use spearman_correlation::SpearmanCorrelation;
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pub use spinning_top::SpinningTop;
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pub use spread_ar1_coefficient::SpreadAr1Coefficient;
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pub use spread_bollinger_bands::{SpreadBollingerBands, SpreadBollingerBandsOutput};
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pub use spread_hurst::SpreadHurst;
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pub use stalled_pattern::StalledPattern;
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@@ -712,6 +746,7 @@ pub use tii::Tii;
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pub use time_of_day_return_profile::{TimeOfDayReturnProfile, TimeOfDayReturnProfileOutput};
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pub use tpo_profile::{TpoProfile, TpoProfileOutput};
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pub use trade_imbalance::TradeImbalance;
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pub use trend_label::TrendLabel;
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pub use treynor_ratio::TreynorRatio;
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pub use triangle::Triangle;
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pub use trima::Trima;
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@@ -744,6 +779,7 @@ pub use volume_by_time_profile::{VolumeByTimeProfile, VolumeByTimeProfileOutput}
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pub use volume_oscillator::VolumeOscillator;
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pub use volume_profile::{VolumeProfile, VolumeProfileOutput};
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pub use vortex::{Vortex, VortexOutput};
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pub use vpin::Vpin;
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pub use vpt::VolumePriceTrend;
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pub use vwap::{RollingVwap, Vwap};
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pub use vwap_stddev_bands::{VwapStdDevBands, VwapStdDevBandsOutput};
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@@ -752,8 +788,10 @@ pub use vzo::Vzo;
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pub use wave_trend::{WaveTrend, WaveTrendOutput};
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pub use wedge::Wedge;
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pub use weighted_close::WeightedClose;
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pub use wick_ratio::WickRatio;
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pub use williams_fractals::{WilliamsFractals, WilliamsFractalsOutput};
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pub use williams_r::WilliamsR;
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pub use win_rate::WinRate;
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pub use wma::Wma;
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pub use woodie_pivots::{WoodiePivots, WoodiePivotsOutput};
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pub use yang_zhang::YangZhangVolatility;
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@@ -846,6 +884,7 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
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"PlusDi",
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"MinusDi",
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"Dx",
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"TrendLabel",
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],
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),
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(
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@@ -884,6 +923,8 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
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"GarmanKlassVolatility",
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"RogersSatchellVolatility",
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"YangZhangVolatility",
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"JumpIndicator",
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"RegimeLabel",
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],
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),
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(
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@@ -987,6 +1028,16 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
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"GrangerCausality",
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"KalmanHedgeRatio",
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"SpreadBollingerBands",
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"LogReturn",
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"RealizedVolatility",
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"RollingIqr",
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"RollingPercentileRank",
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"RollingQuantile",
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"SpreadAr1Coefficient",
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"CloseVsOpen",
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"BodySizePct",
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"WickRatio",
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"HighLowRange",
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],
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),
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(
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@@ -1124,6 +1175,10 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
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"RealizedSpread",
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"KylesLambda",
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"Footprint",
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"OrderFlowImbalance",
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"Vpin",
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"AmihudIlliquidity",
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"RollMeasure",
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],
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),
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(
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@@ -1173,6 +1228,8 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
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"TreynorRatio",
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"InformationRatio",
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"Alpha",
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"WinRate",
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"Expectancy",
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],
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),
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(
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@@ -1285,6 +1342,6 @@ mod family_tests {
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// the actual indicator count is the early-warning signal that an
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// indicator was added without being assigned a family.
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let total: usize = FAMILIES.iter().map(|(_, ns)| ns.len()).sum();
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assert_eq!(total, 377, "FAMILIES total drifted from indicator count");
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assert_eq!(total, 396, "FAMILIES total drifted from indicator count");
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}
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}
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