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
@@ -59,78 +59,80 @@ pub use indicators::{
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AbandonedBaby, Abcd, AbsoluteBreadthIndex, AccelerationBands, AccelerationBandsOutput,
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AcceleratorOscillator, AdOscillator, AdVolumeLine, AdaptiveCycle, Adl, AdvanceBlock,
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AdvanceDecline, AdvanceDeclineRatio, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma,
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Alpha, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator, AroonOutput, Atr, AtrBands,
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AtrBandsOutput, AtrTrailingStop, AutoFib, AutoFibOutput, Autocorrelation, AverageDailyRange,
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AverageDrawdown, AvgPrice, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, Bat,
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BeltHold, Beta, BetaNeutralSpread, BollingerBands, BollingerBandwidth, BollingerOutput,
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BreadthThrust, Breakaway, BullishPercentIndex, Butterfly, CalendarSpread, CalmarRatio,
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Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo, ChaikinMoneyFlow,
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ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit,
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ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, ClosingMarubozu,
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Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput, ConcealingBabySwallow,
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ConditionalValueAtRisk, ConnorsRsi, Coppock, Counterattack, Crab, CumulativeVolumeDelta,
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CumulativeVolumeIndex, CupAndHandle, CyberneticCycle, Cypher, DayOfWeekProfile,
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DayOfWeekProfileOutput, Decycler, DecyclerOscillator, Dema, DemandIndex, DemarkPivots,
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DemarkPivotsOutput, DepthSlope, DetrendedStdDev, DistanceSsd, Doji, DojiStar, Donchian,
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DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput,
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DoubleTopBottom, DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx,
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EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
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EmpiricalModeDecomposition, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, Fama,
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FibArcs, FibArcsOutput, FibChannel, FibChannelOutput, FibConfluence, FibConfluenceOutput,
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Alpha, AmihudIlliquidity, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator, AroonOutput,
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Atr, AtrBands, AtrBandsOutput, AtrTrailingStop, AutoFib, AutoFibOutput, Autocorrelation,
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AverageDailyRange, AverageDrawdown, AvgPrice, AwesomeOscillator, AwesomeOscillatorHistogram,
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BalanceOfPower, Bat, BeltHold, Beta, BetaNeutralSpread, BodySizePct, BollingerBands,
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BollingerBandwidth, BollingerOutput, BreadthThrust, Breakaway, BullishPercentIndex, Butterfly,
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CalendarSpread, CalmarRatio, Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo,
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ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput,
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ChandelierExit, ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput,
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CloseVsOpen, ClosingMarubozu, Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput,
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ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi, Coppock, Counterattack, Crab,
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CumulativeVolumeDelta, CumulativeVolumeIndex, CupAndHandle, CyberneticCycle, Cypher,
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DayOfWeekProfile, DayOfWeekProfileOutput, Decycler, DecyclerOscillator, Dema, DemandIndex,
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DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, DistanceSsd, Doji, DojiStar,
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Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
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DoubleBollingerOutput, DoubleTopBottom, DownsideGapThreeMethods, Dpo, DragonflyDoji,
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DrawdownDuration, Dx, EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
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EmpiricalModeDecomposition, Engulfing, EveningDojiStar, Evwma, Expectancy, FallingThreeMethods,
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Fama, FibArcs, FibArcsOutput, FibChannel, FibChannelOutput, FibConfluence, FibConfluenceOutput,
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FibExtension, FibExtensionOutput, FibFan, FibFanOutput, FibProjection, FibProjectionOutput,
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FibRetracement, FibRetracementOutput, FibTimeZones, FibTimeZonesOutput, FibonacciPivots,
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FibonacciPivotsOutput, FisherTransform, FlagPennant, Footprint, FootprintOutput, ForceIndex,
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FractalChaosBands, FractalChaosBandsOutput, Frama, FundingBasis, FundingRate, FundingRateMean,
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FundingRateZScore, GainLossRatio, GapSideBySideWhite, GarmanKlassVolatility, Gartley,
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GoldenPocket, GoldenPocketOutput, GrangerCausality, GravestoneDoji, Hammer, HangingMan, Harami,
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HeadAndShoulders, HeikinAshi, HeikinAshiOutput, HiLoActivator, HighLowIndex, HighWave, Hikkake,
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HikkakeModified, HilbertDominantCycle, HistoricalVolatility, Hma, HomingPigeon, HtDcPhase,
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HtPhasor, HtPhasorOutput, HtTrendMode, HurstChannel, HurstChannelOutput, HurstExponent,
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Ichimoku, IchimokuOutput, IdenticalThreeCrows, InNeck, Inertia, InformationRatio,
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InitialBalance, InitialBalanceOutput, InstantaneousTrendline, IntradayVolatilityProfile,
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IntradayVolatilityProfileOutput, InverseFisherTransform, InvertedHammer, Jma, KagiBars,
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KalmanHedgeRatio, KalmanHedgeRatioOutput, Kama, KellyCriterion, Keltner, KeltnerOutput,
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Kicking, KickingByLength, Kst, KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom,
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LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput, LinRegAngle,
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LinRegChannel, LinRegChannelOutput, LinRegIntercept, LinRegSlope, LinearRegression,
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LiquidationFeatures, LiquidationFeaturesOutput, LongLeggedDoji, LongLine, LongShortRatio,
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MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix, MacdIndicator, MacdOutput, Mama, MamaOutput,
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MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, MaxDrawdown,
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McClellanOscillator, McClellanSummationIndex, McGinleyDynamic, MedianAbsoluteDeviation,
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MedianPrice, Mfi, Microprice, MidPoint, MidPrice, MinusDi, MinusDm, Mom, MorningDojiStar,
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MorningEveningStar, Natr, NewHighsNewLows, Nvi, OIPriceDivergence, OIWeighted, Obv, OmegaRatio,
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OnNeck, OpenInterestDelta, OpeningMarubozu, OpeningRange, OpeningRangeOutput,
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OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, OuHalfLife,
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OvernightGap, OvernightIntradayReturn, OvernightIntradayReturnOutput, PainIndex,
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PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentAboveMa,
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PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud, PlusDi, PlusDm, Pmo,
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PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi, QuotedSpread, RSquared, RealizedSpread,
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RecoveryFactor, RectangleRange, RelativeStrengthAB, RelativeStrengthOutput, RenkoBars,
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RenkoTrailingStop, RickshawMan, RisingThreeMethods, Roc, Rocp, Rocr, Rocr100,
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RogersSatchellVolatility, RollingCorrelation, RollingCovariance, RollingVwap, RoofingFilter,
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Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SarExt, SeasonalZScore, SeparatingLines,
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SessionHighLow, SessionHighLowOutput, SessionRange, SessionRangeOutput, SessionVwap, Shark,
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SharpeRatio, ShootingStar, ShortLine, SignedVolume, SineWave, Skewness, Sma, Smi, Smma,
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SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadBollingerBands,
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SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError, StandardErrorBands,
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StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
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StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend,
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SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker,
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TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
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HeadAndShoulders, HeikinAshi, HeikinAshiOutput, HiLoActivator, HighLowIndex, HighLowRange,
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HighWave, Hikkake, HikkakeModified, HilbertDominantCycle, HistoricalVolatility, Hma,
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HomingPigeon, HtDcPhase, HtPhasor, HtPhasorOutput, HtTrendMode, HurstChannel,
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HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, IdenticalThreeCrows, InNeck,
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Inertia, InformationRatio, InitialBalance, InitialBalanceOutput, InstantaneousTrendline,
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IntradayVolatilityProfile, IntradayVolatilityProfileOutput, InverseFisherTransform,
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InvertedHammer, Jma, JumpIndicator, KagiBars, KalmanHedgeRatio, KalmanHedgeRatioOutput, Kama,
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KellyCriterion, Keltner, KeltnerOutput, Kicking, KickingByLength, Kst, KstOutput, Kurtosis,
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Kvo, KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation,
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LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel, LinRegChannelOutput,
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LinRegIntercept, LinRegSlope, LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput,
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LogReturn, LongLeggedDoji, LongLine, LongShortRatio, MaEnvelope, MaEnvelopeOutput, MacdExt,
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MacdFix, MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, Marubozu,
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MassIndex, MatHold, MatchingLow, MaxDrawdown, McClellanOscillator, McClellanSummationIndex,
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McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Microprice, MidPoint, MidPrice,
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MinusDi, MinusDm, Mom, MorningDojiStar, MorningEveningStar, Natr, NewHighsNewLows, Nvi,
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OIPriceDivergence, OIWeighted, Obv, OmegaRatio, OnNeck, OpenInterestDelta, OpeningMarubozu,
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OpeningRange, OpeningRangeOutput, OrderBookImbalanceFull, OrderBookImbalanceTop1,
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OrderBookImbalanceTopN, OrderFlowImbalance, OuHalfLife, OvernightGap, OvernightIntradayReturn,
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OvernightIntradayReturnOutput, PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility,
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PearsonCorrelation, PercentAboveMa, PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud,
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PlusDi, PlusDm, Pmo, PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi, QuotedSpread, RSquared,
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RealizedSpread, RealizedVolatility, RecoveryFactor, RectangleRange, RegimeLabel,
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RelativeStrengthAB, RelativeStrengthOutput, RenkoBars, RenkoTrailingStop, RickshawMan,
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RisingThreeMethods, Roc, Rocp, Rocr, Rocr100, RogersSatchellVolatility, RollMeasure,
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RollingCorrelation, RollingCovariance, RollingIqr, RollingPercentileRank, RollingQuantile,
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RollingVwap, RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SarExt, SeasonalZScore,
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SeparatingLines, SessionHighLow, SessionHighLowOutput, SessionRange, SessionRangeOutput,
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SessionVwap, Shark, SharpeRatio, ShootingStar, ShortLine, SignedVolume, SineWave, Skewness,
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Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadAr1Coefficient,
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SpreadBollingerBands, SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError,
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StandardErrorBands, StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev,
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StepTrailingStop, StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother,
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SuperTrend, SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown,
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TdDeMarker, TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
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TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
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TdSequentialOutput, TdSetup, Tema, TermStructureBasis, ThreeDrives, ThreeInside,
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ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickIndex,
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Tii, TimeOfDayReturnProfile, TimeOfDayReturnProfileOutput, TpoProfile, TpoProfileOutput,
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TradeImbalance, TreynorRatio, Triangle, Trima, Trin, TripleTopBottom, Trix, TrueRange, Tsf,
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Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, TurnOfMonth, Tweezer, TwoCrows, TypicalPrice,
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UlcerIndex, UltimateOscillator, UniqueThreeRiver, UpDownVolumeRatio, UpsideGapThreeMethods,
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UpsideGapTwoCrows, ValueArea, ValueAreaOutput, ValueAtRisk, Variance, VarianceRatio,
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VerticalHorizontalFilter, Vidya, VoltyStop, VolumeByTimeProfile, VolumeByTimeProfileOutput,
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VolumeOscillator, VolumePriceTrend, VolumeProfile, VolumeProfileOutput, Vortex, VortexOutput,
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Vwap, VwapStdDevBands, VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput, Wedge,
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WeightedClose, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots,
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WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput,
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ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
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TradeImbalance, TrendLabel, TreynorRatio, Triangle, Trima, Trin, TripleTopBottom, Trix,
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TrueRange, Tsf, Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, TurnOfMonth, Tweezer, TwoCrows,
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TypicalPrice, UlcerIndex, UltimateOscillator, UniqueThreeRiver, UpDownVolumeRatio,
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UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, ValueAreaOutput, ValueAtRisk, Variance,
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VarianceRatio, VerticalHorizontalFilter, Vidya, VoltyStop, VolumeByTimeProfile,
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VolumeByTimeProfileOutput, VolumeOscillator, VolumePriceTrend, VolumeProfile,
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VolumeProfileOutput, Vortex, VortexOutput, Vpin, Vwap, VwapStdDevBands, VwapStdDevBandsOutput,
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Vwma, Vzo, WaveTrend, WaveTrendOutput, Wedge, WeightedClose, WickRatio, WilliamsFractals,
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WilliamsFractalsOutput, WilliamsR, WinRate, Wma, WoodiePivots, WoodiePivotsOutput,
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YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput, ZigZag, ZigZagOutput,
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Zlema, FAMILIES, T3,
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};
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// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
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// line so the indicator-count tooling (which scans the braced block above and
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