feat(derivatives): leverage, OI/volume, perpetual premium, funding APR, OI momentum (B16) (#214)

## B16 Derivatives — five new indicators (488 → 493)

All consume a `DerivativesTick` and emit `f64`:

| Indicator | Reads | Formula |
|-----------|-------|---------|
| `EstimatedLeverageRatio` | open_interest, long_size, short_size | `OI / (long + short)` |
| `OiToVolumeRatio` | open_interest, taker_buy_volume, taker_sell_volume | `OI / (buy + sell)` |
| `PerpetualPremiumIndex` | mark_price, index_price | `(mark − index) / index` |
| `FundingImpliedApr` | funding_rate | `rate × intervals_per_year` |
| `OpenInterestMomentum` | open_interest | `100 · (OI_t − OI_{t−period}) / OI_{t−period}` |

### Wiring
- Core structs + full unit tests (incl. zero-denominator branches).
- Hand-written Python/Node/WASM tick bindings; two new tick helpers (`deriv_oi_long_short`, `deriv_oi_taker`).
- Fuzz drives in `indicator_update_derivatives.rs`; dedicated reference + streaming-vs-batch tests (Python + Node).
- README counter + `docs/README.md` + `FAMILIES` assert bumped to 493.

### Verify (local, all green)
- `cargo test -p wickra-core --lib`: 4028 · `--doc`: 443
- clippy workspace: clean
- node: 563 · pytest: 928
This commit is contained in:
kingchenc
2026-06-08 03:33:59 +02:00
committed by GitHub
parent dc415a77fd
commit ff5a047078
19 changed files with 1973 additions and 38 deletions
+45
View File
@@ -4544,6 +4544,51 @@ export declare class CalendarSpread {
isReady(): boolean
warmupPeriod(): number
}
export type EstimatedLeverageRatioNode = EstimatedLeverageRatio
export declare class EstimatedLeverageRatio {
constructor()
update(openInterest: number, longSize: number, shortSize: number): number | null
batch(openInterest: Array<number>, longSize: Array<number>, shortSize: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type OiToVolumeRatioNode = OiToVolumeRatio
export declare class OiToVolumeRatio {
constructor()
update(openInterest: number, takerBuyVolume: number, takerSellVolume: number): number | null
batch(openInterest: Array<number>, takerBuyVolume: Array<number>, takerSellVolume: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type PerpetualPremiumIndexNode = PerpetualPremiumIndex
export declare class PerpetualPremiumIndex {
constructor()
update(markPrice: number, indexPrice: number): number | null
batch(markPrice: Array<number>, indexPrice: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type FundingImpliedAprNode = FundingImpliedApr
export declare class FundingImpliedApr {
constructor(intervalsPerYear: number)
update(fundingRate: number): number | null
batch(fundingRate: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type OpenInterestMomentumNode = OpenInterestMomentum
export declare class OpenInterestMomentum {
constructor(period: number)
update(openInterest: number): number | null
batch(openInterest: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type AdvanceDeclineNode = AdvanceDecline
export declare class AdvanceDecline {
constructor()