* feat(core): add 3 trade-flow microstructure indicators
SignedVolume (per-trade size signed by aggressor), CumulativeVolumeDelta
(running signed-volume total), and TradeImbalance (rolling buy/sell volume
imbalance over a trade window). All consume the Trade type, with full unit
coverage. Extends the Microstructure family.
* feat(bindings): expose trade-flow microstructure indicators
Python, Node and WASM bindings for SignedVolume, CumulativeVolumeDelta and
TradeImbalance. Each takes a trade via update(price, size, is_buy); Python and
Node expose a batch over three parallel arrays, WASM exposes per-trade update.
Regenerates node index.d.ts/.js.
* test(bindings,fuzz,bench): cover trade-flow microstructure indicators
Python and Node: reference values, streaming-vs-batch, lifecycle/repr and input
validation (zero window, negative size, non-positive price, mismatched batch
lengths). New indicator_update_trade fuzz target. Synthetic trade-tape benches
(signed_volume cheapest, trade_imbalance windowed/expensive).
* docs: add trade-flow indicators + bump counter to 227
README Microstructure family row gains signed volume / CVD / trade imbalance and
the counter goes 224 -> 227; CHANGELOG records the trade-flow indicators.
* feat(core): add microstructure input types (OrderBook, Trade, TradeQuote)
New non-OHLCV value types for the order-book / trade-flow indicator family:
Level, OrderBook (sorted, uncrossed depth snapshot), Side, Trade (with
aggressor side), and TradeQuote (trade paired with prevailing mid). Each has a
validating constructor plus a new_unchecked hot-path constructor, with full
unit coverage. Adds InvalidOrderBook / InvalidTrade error variants.
* feat(core): add 5 order-book microstructure indicators
OrderBookImbalanceTop1/TopN/Full (signed depth imbalance), Microprice
(size-weighted fair value), and QuotedSpread (top-of-book spread in bps). All
consume the OrderBook snapshot type, emit f64, are stateless and ready after
the first snapshot, with full unit coverage. Registers a new Microstructure
family in the taxonomy.
* feat(bindings): expose order-book microstructure indicators
Python, Node, and WASM bindings for OrderBookImbalanceTop1/TopN/Full,
Microprice and QuotedSpread. Each takes a depth snapshot via four equal-length
(bid_px, bid_sz, ask_px, ask_sz) arrays. Python and Node expose a batch over a
list of snapshots; WASM exposes per-snapshot update (the streaming model that
fits a browser book feed). Regenerates node index.d.ts/.js and registers the
new InvalidOrderBook/InvalidTrade arms in the Python error mapping.
* test(bindings,fuzz): cover order-book microstructure indicators
Python: smoke, reference values, streaming-vs-batch, lifecycle/repr and input
validation (mismatched lengths, crossed book, misordered levels, zero levels)
for all five order-book indicators. Node: reference values, streaming-vs-batch,
and rejection cases. Adds an indicator_update_orderbook fuzz target driving
every order-book indicator over arbitrary (incl. degenerate) snapshots.
* bench(microstructure): synthetic order-book benchmarks
Add a bench_orderbook_input harness and synthesise a five-level book around
each candle close (no order-book dataset ships with the repo). Benches the
cheapest (top-of-book imbalance) and most-expensive (full-depth imbalance) plus
microprice, matching the curated cheapest/expensive-per-family approach.
* docs: add Microstructure family + bump indicator counter to 224
README gains the Microstructure family row (order-book imbalance, microprice,
quoted spread) and the indicator counter goes 219 -> 224 across seventeen
families; CHANGELOG records the new order-book indicators and value types.
* feat(family-15): add 17 risk/performance metrics
Implements Family 15 pragmatically as standard `Indicator`s instead of a
separate `wickra-metrics` crate. Input is scalar `f64` per bar — period
return, equity sample, or per-trade P&L depending on the metric.
Scalar `Indicator<f64>` (14):
- SharpeRatio(period, risk_free)
- SortinoRatio(period, mar)
- CalmarRatio(period)
- OmegaRatio(period, threshold)
- MaxDrawdown(period) — rolling, peak-to-trough
- AverageDrawdown(period)
- DrawdownDuration — cumulative, bars under water (u32 output)
- PainIndex(period)
- ValueAtRisk(period, confidence)
- ConditionalValueAtRisk(period, confidence)
- ProfitFactor(period)
- GainLossRatio(period)
- RecoveryFactor — cumulative, net return / max drawdown
- KellyCriterion(period)
Two-series `Indicator<(f64, f64)>` for (asset, benchmark) returns (3):
- TreynorRatio(period, risk_free)
- InformationRatio(period)
- Alpha(period, risk_free) — Jensen / CAPM
Touchpoints:
- 17 new files under `crates/wickra-core/src/indicators/`.
- `mod.rs` + `lib.rs` re-exports.
- Python bindings (`bindings/python/src/lib.rs`, `__init__.py`).
- Node bindings (`bindings/node/src/lib.rs`, `index.js`).
- WASM bindings (`bindings/wasm/src/lib.rs`).
- Fuzz: scalar metrics appended to `indicator_update.rs`; new
`indicator_update_pair.rs` fuzz target for `(f64, f64)` indicators.
- Python tests: SCALAR + new PAIR parameter lists in `test_new_indicators.py`,
reference-value cases in `test_known_values.py`.
- Node tests: scalar factories + new pair-factory block in
`bindings/node/__tests__/indicators.test.js`.
- Benches: 5 Family-15 benches added in `crates/wickra/benches/indicators.rs`.
- Docs: README family-table row + counter (71 -> 88), CHANGELOG entry under
[Unreleased].
Note: Family 12 (statistik-regression, PR #51) introduces
`node_pair_indicator!` and `wasm_pair_indicator!` macros for Pearson /
Beta / Spearman. Family 15 needs the same pair-input pattern but Family 12
is not yet in main, so the three pair wrappers below are written by hand
in this PR. When PR #51 lands, the trivial merge-conflict is resolved by
keeping the macros from Family 12 and re-using them for Treynor / IR /
Alpha (drop the three handwritten wrappers).
cargo check --workspace --all-features: green.
* fix(family-15): satisfy clippy doc_markdown / if_not_else / digit_grouping
* fix(family-15): unused TreynorRatio import, duplicate pairFactories, _eq_nan inf handling
* fix(family-15): node eq() handles matching infinities for ratio indicators
* test(family-15): cover cold paths flagged by codecov patch
The fuzz suite previously covered only `Rsi(14)` and `Ema(20)` — 2 of
71 indicators, no OHLCV coverage at all. Audit finding R9 asked for
ATR/ADX/Stochastic/PSAR as a minimum; this commit goes further and
brings every indicator under fuzz.
- `indicator_update` (rewritten): drives every scalar-input indicator
through one streaming pass + one batch call per iteration. Covers
SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA,
KAMA, T3, MOM, CMO, TSI, PMO, StochRSI, DPO, PPO, Coppock, StdDev,
UlcerIndex, HistoricalVolatility, LinearRegression, LinRegSlope,
LinRegAngle, VHF, ZScore, MACD, BollingerBands. A `drive` helper
marked `#[inline(never)]` keeps each indicator on its own panic
backtrace frame.
- `indicator_update_candle` (new): chunks the fuzz `f64` stream into
`[open, high, low, close, volume]` tuples, builds candles via
`Candle::new` (skipping ones that fail OHLCV validation — that path
is fuzz-tested separately), then drives every candle-input indicator
through streaming + batch. Covers ATR, NATR, TrueRange,
ChaikinVolatility, Keltner, Donchian, PSAR, SuperTrend,
ChandelierExit, ChandeKrollStop, ATRTrailingStop, ADX, Aroon,
AroonOscillator, Vortex, MassIndex, ChoppinessIndex, CCI, WilliamsR,
AwesomeOscillator, AcceleratorOscillator, UltimateOscillator,
BalanceOfPower, OBV, MFI, VWAP, RollingVWAP, VWMA, ADL, VPT, CMF,
ChaikinOscillator, ForceIndex, EaseOfMovement, TypicalPrice,
MedianPrice, WeightedClose, Stochastic.
- `fuzz/Cargo.toml` registers the new target; `fuzz/README.md`
describes both expanded targets.
- A `fuzz-smoke` CI job runs each of the five targets for 30 s on
every push and pull-request — enough to catch a regression in the
harness without slowing CI to a crawl. Long fuzz campaigns belong
on dedicated infrastructure with persistent corpora.
The repository had no fuzzing setup despite several natural targets —
the CSV parser, the Binance envelope deserializer, and the stateful
indicator/aggregator update paths.
Add a fuzz/ cargo-fuzz crate (detached from the workspace via its own
[workspace] table and the parent's exclude) with four targets:
- csv_reader — CandleReader over arbitrary bytes
- binance_envelope — RawWsEnvelope deserialization from arbitrary strings
- indicator_update — RSI/EMA streaming + batch over arbitrary f64 series
- tick_aggregator — TickAggregator over arbitrary tick triples
Each target asserts the no-panic contract: malformed input must surface
as an Err. fuzz/README.md documents running them (nightly + cargo-fuzz).
kingchenc