Version bump for the 0.5.0 release, which ships the relicense to MIT OR Apache-2.0.
Stacked on #158 (base branch `chore/relicense-mit-apache`) so this PR's diff is the bump only. After #158 merges to main, GitHub retargets this PR to main; merge it, then tag `v0.5.0` to publish.
## Changes
- Bump 0.4.7 -> 0.5.0 across the Cargo workspace, Python `pyproject.toml`, Node `package.json` + 6 platform manifests + 2 lockfiles, and `Cargo.lock`.
- CHANGELOG: cut the [0.5.0] section (the relicense) and add compare URLs.
- SECURITY.md: supported versions 0.4.x -> 0.5.x.
Minor (not patch) bump: a relicense is a significant change. No code changes.
NOTE: do not tag/release until you give the go (irreversible publish to crates.io/PyPI/npm). Suggested merge order: #158 -> this -> tag `v0.5.0` -> then the downstream PRs.
Relicenses Wickra from PolyForm Noncommercial 1.0.0 to the dual, OSI-approved **MIT OR Apache-2.0** (the de-facto Rust convention). Wickra becomes permissive, commercial-use-permitted open source; users may choose either license.
## Changes
- Replace `LICENSE` (PolyForm) with `LICENSE-MIT` + `LICENSE-APACHE` (full texts).
- Cargo: workspace `license = "MIT OR Apache-2.0"` (SPDX) + all 7 sub-crates switched from `license-file.workspace` to `license.workspace`.
- `deny.toml`: drop PolyForm from the allowlist.
- Python: `pyproject.toml` PEP 639 SPDX expression; remove the non-commercial classifier (verified: sdist metadata emits `License-Expression: MIT OR Apache-2.0`).
- Node: `package.json`, the 6 platform manifests and both lockfiles.
- README + Python/Node/WASM binding READMEs, CONTRIBUTING, CITATION.cff, PR template, and the WASM `pkg.license` step in `release.yml`.
- SECURITY.md: refresh supported versions 0.1.x -> 0.4.x.
- CHANGELOG: note the relicense under [Unreleased].
## Notes
- No code changes; metadata/text only. `cargo build` and `cargo deny check licenses` pass locally.
- GitHub will auto-detect "MIT, Apache-2.0" once this lands (currently NOASSERTION).
- Matching downstream changes (org `.github` profile, webpage, docs) are in separate PRs; merge those together with the relicense release so the live sites and org profile do not claim MIT before the packages do.
Completes expansion-roadmap block **A2 — Market Breadth**: the 14 indicators that remained after the `AdvanceDecline` bootstrap, all built on the existing `CrossSection` input.
## Indicators (all scalar `Indicator<Input = CrossSection, Output = f64>`)
| Indicator | Reading |
|-----------|---------|
| `AdvanceDeclineRatio` | advancers / decliners |
| `AdVolumeLine` | cumulative net advancing volume |
| `McClellanOscillator` | 19/39 EMAs of ratio-adjusted net advances |
| `McClellanSummationIndex` | running total of the oscillator |
| `Trin` (Arms Index) | A/D ratio over up/down volume ratio |
| `BreadthThrust` (Zweig) | SMA of the advancing-issues share |
| `NewHighsNewLows` | new highs − new lows |
| `HighLowIndex` | SMA of the record-high percent |
| `PercentAboveMa` | % of the universe above its MA |
| `UpDownVolumeRatio` | advancing / declining volume |
| `BullishPercentIndex` | % on a point-and-figure buy signal |
| `CumulativeVolumeIndex` | volume-normalised cumulative net advancing volume |
| `AbsoluteBreadthIndex` | \|advancers − decliners\| |
| `TickIndex` | instantaneous net advancers − decliners |
## Input model
`AdVolumeLine` and `CumulativeVolumeIndex` are kept distinct (the latter normalises each tick's net advancing volume by total volume, so it stays comparable across volume regimes). `PercentAboveMa` and `BullishPercentIndex` need a per-symbol state signal that `Member` did not carry, so `Member` gains two additive flags (`above_ma`, `on_buy_signal`) via a new `Member::with_signals` constructor; the 4-arg `Member::new` leaves both cleared, so every existing caller and binding is unchanged. `CrossSection` gains volume / new-extreme / state aggregation helpers.
## Wiring
Fully wired across the Rust core, the python/node/wasm bindings, the cross-section fuzz target, the README + docs indicator counters (325 → 339), and dedicated python/node streaming-vs-batch tests. `fmt` / `test --workspace --all-features` / `clippy --workspace -D warnings` / node build+test / pytest all green locally.
## What
Adds a new indicator input type and family for **market-breadth** analysis — indicators that aggregate the state of an entire universe of symbols at each tick, rather than a single instrument's price. This is the last open input-type on the expansion roadmap (S10) and unblocks the remaining breadth indicators (McClellan, TRIN, High-Low Index, ...).
## Core
- **`CrossSection` input type** (`crates/wickra-core/src/cross_section.rs`) — one tick carrying the per-symbol state of the whole universe as a `Vec<Member>` + `timestamp`. Each `Member` precomputes a signed `change` (sign classifies advancing / declining / unchanged), a `volume`, and `new_high` / `new_low` extreme flags, so the breadth indicators stay stateless per tick. Both `Member` and `CrossSection` are `#[non_exhaustive]` for additive field growth. `CrossSection::new` validates the universe (non-empty, finite changes, finite non-negative volumes); `new_unchecked` skips validation for hot paths. `advancers()` / `decliners()` count by sign.
- **`Error::InvalidCrossSection`** variant for the validation failures.
- **`AdvanceDecline`** (`advance_decline.rs`) — the Advance/Decline Line: the running cumulative sum of net advancing-minus-declining issues. `Input = CrossSection`, `Output = f64`, ready after the first tick.
- New **"Market Breadth"** `FAMILIES` group; indicator count **314 → 315**, family count nineteen → twenty.
## Bindings
All custom (CrossSection is non-scalar, so no macros apply). The universe crosses each boundary as parallel arrays (`change`, `volume`, `new_high`, `new_low`):
- **Python / Node** expose `update` + `batch` (one array group per tick). Node satisfies the completeness contract (`update`/`batch`/`reset`/`isReady`/`warmupPeriod`).
- **WASM** exposes only `update` (the universe is ragged across ticks, matching the other multi-input wasm indicators) with numeric high/low flags.
- Python `map_err` gains the new error arm; `__init__.py` gets a `# Market Breadth` section in both the import and `__all__` blocks. `index.d.ts` / `index.js` regenerated.
## Tests / Fuzz
- Dedicated **streaming-vs-batch + reference-value + ragged-rejection** tests in Python (`test_new_indicators.py`) and Node (`indicators.test.js`) — kept out of the scalar/candle parametrize lists.
- Rust unit tests cover every reject branch (empty / non-finite change / negative & non-finite volume) and every indicator branch.
- New fuzz target `indicator_update_crosssection` drives `AdvanceDecline` over bounded ragged universes built with `new_unchecked`.
## Verify
- `cargo fmt --all` clean
- `cargo test -p wickra-core --lib` → 2593 passed; `--doc` → 298 passed
- `cargo clippy --workspace --all-targets --all-features -- -D warnings` clean
- `cd bindings/node && npm run build && npm test` → 398 passed
- `maturin develop --release` + `pytest bindings/python/tests` → all passed
- counter check: mod-count 315 == lib-block 315
Version bump for 0.4.5: ships Anchored RSI, Volume Profile, TPO Profile and the Alt-Chart Bars family (Renko/Kagi/Point & Figure). Indicator count 289 -> 295.
Introduces a BarBuilder trait for price-driven chart constructors that emit a variable number of bars per candle (deliberately not Indicator). Adds Renko (box-size bricks, 2-box reversal), Kagi (reversal-amount segments) and Point & Figure (box-size X/O columns, N-box reversal) in a new Alt-Chart Bars family, with custom Python/Node/WASM bindings, a dedicated fuzz target, tests and docs. Indicator count 292 -> 295.
Volume Profile exposes the full per-bin volume histogram (price bounds plus raw distribution) that Value Area reduces to POC/VAH/VAL. TPO Profile is the volume-agnostic Time-Price-Opportunity letter count over a rolling window. Both candle-input, Vec-output, Market Profile family, with custom Python/Node/WASM bindings, fuzz, benches, tests and docs. Indicator count 290 -> 292.
Cumulative Relative Strength Index whose averaging begins at a runtime-chosen anchor bar (set_anchor), the momentum counterpart to Anchored VWAP. Scalar f64 input, 0..=100 output; wired through core, Python, Node and WASM bindings, fuzz, benches, tests and docs. Indicator count 289 -> 290.
Release 0.4.4.
Version bump only — no code changes. Ships the 40 TA-Lib candlestick patterns
(parts 2–9, #132–#141, 249 → 289 indicators) plus the candlestick rejection-
guard coverage tests (#142) that landed on `main` since 0.4.3.
Bumped: workspace `Cargo.toml` (+ `wickra-core` dep) and `Cargo.lock`,
`bindings/python/pyproject.toml`, `bindings/node/package.json` (+ 6 platform
`optionalDependencies`), the 6 `bindings/node/npm/*/package.json`, both
`package-lock.json` files, and `CHANGELOG.md` ([Unreleased] → [0.4.4]).
The final batch of the TA-Lib candlestick roadmap. Adds five patterns, each a streaming `Indicator<Input = Candle, Output = f64>` emitting the family's uniform `±1.0 / 0.0` sign convention, fully wired across the Rust core, Python / Node / WASM bindings, fuzz target and reference tests.
- **Tasuki Gap** (`CDLTASUKIGAP`) — a 3-bar continuation: two same-coloured candles gap in the trend direction, then an opposite candle opens within the second body and closes back into the gap without filling it; upside +1, downside -1.
- **Unique Three River** (`CDLUNIQUE3RIVER`) — a 3-bar bullish reversal: a long black candle, a black candle probing a new low with its body inside the first, then a small white candle held below it; bullish +1.
- **Closing Marubozu** (`CDLCLOSINGMARUBOZU`) — a single long-bodied candle with no shadow on the close end; +1 (white, closes at the high) or -1 (black, closes at the low).
- **Opening Marubozu** — a single long-bodied candle with no shadow on the open end; +1 (white, opens at the low) or -1 (black, opens at the high). No direct TA-Lib equivalent — completes the pair with the closing marubozu.
- **Concealing Baby Swallow** (`CDLCONCEALBABYSWALL`) — a rare 4-bar bullish capitulation: two black marubozu, a black candle gapping down with an upper shadow into the second, then a large black candle engulfing it entirely; bullish +1.
Body and shadow thresholds follow the geometric house style (fixed fractions of the bar range) rather than TA-Lib's rolling averages.
Counter 284 → 289 (mod-count == lib counted block; FAMILIES total 279 → 284).
Stacked on #140 (`feat/cdl-gap-methods`); base retargets to `main` as the stack merges down.
Adds five TA-Lib candlestick patterns, each a streaming `Indicator<Input = Candle, Output = f64>` emitting the family's uniform `±1.0 / 0.0` sign convention, fully wired across the Rust core, Python / Node / WASM bindings, fuzz target and reference tests.
- **Upside Gap Three Methods** (`CDLXSIDEGAP3METHODS`) — a 3-bar bullish continuation: two white candles gap up, then a black candle opens within the second body and closes within the first; bullish +1.
- **Downside Gap Three Methods** (`CDLXSIDEGAP3METHODS`) — the bearish mirror: two black candles gap down, then a white candle opens within the second body and closes within the first; bearish -1.
- **Stalled Pattern** (`CDLSTALLEDPATTERN`) — a 3-bar bearish reversal warning: two long white candles then a small white candle riding the shoulder, signalling the rally is stalling; bearish -1.
- **Stick Sandwich** (`CDLSTICKSANDWICH`) — a 3-bar bullish reversal: two black candles closing at the same level sandwich a white candle, marking a support floor; bullish +1.
- **Takuri** (`CDLTAKURI`) — a single-bar bullish reversal, a strict Dragonfly Doji with a negligible upper shadow and very long lower shadow; bullish +1.
Body and shadow thresholds follow the geometric house style (fixed fractions of the bar range) rather than TA-Lib's rolling averages. Upside / Downside Gap Three Methods share the `CDLXSIDEGAP3METHODS` code, so the second carries a manual CHANGELOG entry (as with Rising / Falling Three Methods).
Counter 279 → 284 (mod-count == lib counted block; FAMILIES total 274 → 279).
Stacked on #139 (`feat/cdl-lines`); base retargets to `main` once the predecessor merges.
Adds five TA-Lib candlestick patterns, all `Input = Candle`, `Output = f64`
(`+1.0` bullish / `-1.0` bearish / `0.0` no pattern), wired across core,
Python/Node/WASM bindings, fuzz, and tests.
- **Matching Low** (`CDLMATCHINGLOW`) — 2-bar bullish reversal: two black candles in a decline share the same close, signalling selling pressure is exhausting; bullish +1.
- **Long Line** (`CDLLONGLINE`) — a candle whose range beats a rolling average of recent ranges with a body-dominated range; bullish +1 (white) / bearish -1 (black).
- **Short Line** (`CDLSHORTLINE`) — a compact candle whose range falls below the rolling average with a body-dominated range; bullish +1 (white) / bearish -1 (black).
- **Rising Three Methods** (`CDLRISEFALL3METHODS`) — 5-bar bullish continuation: a long white candle, three small bars holding within its range, then a white breakout to new highs; bullish +1.
- **Falling Three Methods** (`CDLRISEFALL3METHODS`) — the bearish mirror: a long black candle, three small bars within its range, then a black breakdown to new lows; bearish -1.
Counter 274 → 279 (mod-count == lib counted block; FAMILIES total 269 → 274).
Stacked on #138 (part 6 of 9); base retargets to `main` as the chain merges.
* feat: add hikkake-modified, homing-pigeon and neck-line candlestick patterns
Five patterns, all `Input = Candle`, `Output = f64`:
- Modified Hikkake (CDLHIKKAKEMOD) — a close-confirmed Hikkake: an inside bar
then a breakout that closes back inside the inside-bar range; bullish +1,
bearish -1.
- Homing Pigeon (CDLHOMINGPIGEON) — two black candles, the second a small body
inside the first, a bullish reversal; +1.
- On-Neck (CDLONNECK) — long black bar then a white bar closing at its low (the
neckline), a bearish continuation; -1.
- In-Neck (CDLINNECK) — long black bar then a white bar closing just into its
body, a bearish continuation; -1.
- Thrusting (CDLTHRUSTING) — long black bar then a white bar closing well into
but below the midpoint of its body, a bearish continuation; -1.
Counter 264 -> 269 (mod-count == lib counted block; FAMILIES total 259 -> 264).
* chore: sync indicator count to 269
---------
Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com>
* feat: add doji-star, gap, high-wave and hikkake candlestick patterns
Five patterns, all `Input = Candle`, `Output = f64`:
- Evening Doji Star (CDLEVENINGDOJISTAR) — bearish top reversal: long white bar,
a doji gapping up, then a black bar closing deep into the first body; -1
(penetration configurable, default 0.3).
- Morning Doji Star (CDLMORNINGDOJISTAR) — bullish bottom reversal mirror; +1.
- Gap Side-by-Side White (CDLGAPSIDESIDEWHITE) — two similar white candles
opening side by side after a gap, a continuation; gap up +1, gap down -1.
- High-Wave (CDLHIGHWAVE) — a small body with very long shadows on both sides,
an extreme indecision flag; +1 on detection.
- Hikkake (CDLHIKKAKE) — an inside bar followed by a failed breakout (a trap);
bullish +1, bearish -1.
Counter 259 -> 264 (mod-count == lib counted block; FAMILIES total 254 -> 259).
* chore: sync indicator count to 264
---------
Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com>
* feat: add Doji-family candlestick patterns
Five single-/two-bar Doji patterns, all `Input = Candle`, `Output = f64`:
- Doji Star (CDLDOJISTAR) — a long body followed by a doji gapping away in the
trend direction; bullish +1 (after a black bar), bearish -1 (after a white bar).
- Dragonfly Doji (CDLDRAGONFLYDOJI) — a doji opening and closing at the high with
a long lower shadow; bullish +1.
- Gravestone Doji (CDLGRAVESTONEDOJI) — a doji opening and closing at the low with
a long upper shadow; bearish -1.
- Long-Legged Doji (CDLLONGLEGGEDDOJI) — a doji with long shadows on both sides; a
non-directional indecision flag, +1 on detection.
- Rickshaw Man (CDLRICKSHAWMAN) — a long-legged doji with the body centred in the
range; a non-directional indecision flag, +1 on detection.
Counter 254 -> 259 (mod-count == lib counted block; FAMILIES total 249 -> 254).
* chore: sync indicator count to 259
---------
Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com>
* feat: add Abandoned Baby candlestick pattern (CDLABANDONEDBABY)
* feat: add Advance Block candlestick pattern (CDLADVANCEBLOCK)
* feat: add Belt Hold candlestick pattern (CDLBELTHOLD)
* feat: add Breakaway and Counterattack candlestick patterns (CDLBREAKAWAY, CDLCOUNTERATTACK)
Breakaway is a 5-bar reversal: a trend gaps away on the second bar, drifts
two more bars, then the fifth bar snaps back and closes inside the bar1/bar2
body gap (bullish +1, bearish -1). Counterattack is a 2-bar reversal where an
opposite-coloured long second bar closes level with the first (the counterattack
line; bullish +1, bearish -1).
Also suppress libtest's spanless `large_stack_arrays` false positive in
wickra-core test builds: the `#[test]` harness collects every test into a
compiler-generated array of references that crosses clippy's 16 KB threshold
once the suite passes ~2048 unit tests. The allow is scoped to `cfg(test)`, so
library code is still linted for genuinely large stack arrays.
* chore: sync indicator count to 254
---------
Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com>
* feat: add Two Crows candlestick pattern (CDL2CROWS)
* feat: add Upside Gap Two Crows candlestick pattern (CDLUPSIDEGAP2CROWS)
* feat: add Identical Three Crows candlestick pattern (CDLIDENTICAL3CROWS)
* feat: add Three Line Strike candlestick pattern (CDL3LINESTRIKE)
* feat: add Three Stars in the South candlestick pattern (CDL3STARSINSOUTH)
* ci: fix webpage count sync crashing on removed public/hero.svg
The webpage indicator-count sync sed'd index.md, .vitepress/config.ts and
public/hero.svg, but hero.svg was removed from wickra-lib/webpage (the count is
now baked into og-banner.webp at build time from index.md). Under 'bash -e' the
missing file made sed exit 2 before the commit/push, so the count never reached
the webpage repo and its OG banner stayed stale — masked green by the step's
continue-on-error. Drops public/hero.svg from the sed and git add; index.md and
.vitepress/config.ts (both still carry the count) remain.
* docs: point README banner at the self-updating org profile image
Switches the top README banner from https://wickra.org/og-banner.webp (baked at
webpage deploy time) to the org profile banner that wickra-lib/.github's
banner.yml regenerates from the indicator count on every sync
(raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp).
The ?v=227 query busts GitHub's Camo image cache; the next commit teaches
sync-about to bump it with the count.
* ci: bump README banner cache-buster alongside the indicator count
Extends the PR-head README counter patch to also rewrite wickra-banner.webp?v=N
to the current count. The banner now points at the org profile image, whose
content changes when .github/banner.yml regenerates it; bumping the ?v query
busts GitHub's Camo cache so the README shows the new banner immediately. Rides
in the existing count-sync commit, so no extra commit lands on main.
* docs: changelog entry for self-updating README banner and sync fix
* ci: use npm ci instead of npm install for reproducible installs
Pins the node binding dependency install to the committed package-lock.json
integrity hashes (OpenSSF Scorecard PinnedDependencies). npm ci installs
strictly from the lockfile; npm install could resolve newer patch versions.
Covers ci.yml and both release.yml node steps.
* ci: hash-pin Python dev tooling in ci.yml (Scorecard #19)
Replaces the unpinned 'pip install maturin pytest numpy hypothesis' with a
hash-locked '--require-hashes -r' install (OpenSSF Scorecard PinnedDependencies).
Two lock files are needed because numpy publishes no single release with wheels
for both cp39 and cp313 (<=2.0.2 has cp39 only, >=2.1 drops cp39):
ci-dev-py39.txt numpy 2.0.2 (Python 3.9, + tomli/exceptiongroup)
ci-dev-py3.txt numpy 2.4.6 (Python 3.10+)
The step selects the file by matrix.python-version under shell: bash. Both are
generated from ci-dev.in via uv (scripts/update-lockfiles.sh, added next).
* ci: hash-pin Python deps in bench.yml (Scorecard #16)
Replaces the unpinned 'pip install maturin numpy pandas talipp finta' with a
hash-locked '--require-hashes -r .github/requirements/bench.txt' install.
bench.yml runs on a single Python version (3.11), so one lock file (generated
from bench.in via uv) is sufficient.
* build: add scripts/update-lockfiles.sh to regenerate all lockfiles
One command refreshes every committed lockfile across languages: Cargo.lock and
fuzz/Cargo.lock (cargo update), the Node binding package-lock.json, and the
hash-pinned Python requirements under .github/requirements/ (uv pip compile
--generate-hashes). Uses uv for the Python locks so a target Python version's
hashed transitive closure can be resolved without that interpreter installed
(needed for the numpy cp39/cp313 split); bootstraps uv if absent.
.gitattributes pins *.sh to LF so the script stays runnable on Linux/macOS.
* ci: split ci-dev requirements per Python version + Dependabot rehash
Splits the single ci-dev.in into ci-dev-py39.in (numpy <2.1, the last series
with cp39 wheels) and ci-dev-py3.in (3.10+), giving a 1:1 .in->.txt layout.
The cap keeps Python 3.9 permanently installable and stops Dependabot from
proposing 3.9-breaking numpy bumps.
Adds a Dependabot pip entry on /.github/requirements so the hash-locked tooling
is kept current automatically; the canonical manual refresh stays
scripts/update-lockfiles.sh. Only the '# via -r' provenance lines in the .txt
change; no package versions or hashes move.
* ci: cache pip and npm downloads in the PR-loop jobs
Adds setup-python cache: pip (ci.yml python matrix + bench.yml, keyed on the
hash-locked requirements) and setup-node cache: npm (ci.yml node job, keyed on
bindings/node/package-lock.json), on both the primary and retry setup steps.
Scoped to jobs that actually install dependencies; the examples-smoke and
clippy-bindings jobs install nothing and are left uncached. release.yml is
intentionally left out: it runs only on tag push (not the PR loop) and is the
publish-critical path, so no caching is added there.
* docs: document hash-pinned requirements and update-lockfiles.sh
Updates the lockfile-policy table: the bindings/python row no longer claims CI
installs tooling unpinned, and a new .github/requirements row documents the
hash-locked CI/bench tooling and the per-Python-version ci-dev split. Adds a
paragraph pointing contributors at scripts/update-lockfiles.sh (uv-based,
self-bootstrapping) as the canonical lockfile refresh.
* docs: changelog entry for hash-pinned CI dependency installs
* 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(core): add signed dragonfly/gravestone encoding to Doji
Doji gains an opt-in `.signed()` mode that classifies a detected Doji by the
position of its body within the bar range: dragonfly (long lower shadow) emits
+1.0 (bullish), gravestone (long upper shadow) emits -1.0 (bearish), and a
long-legged/standard Doji emits 0.0. The default detection-flag behaviour
(+1.0/0.0) is unchanged, so existing callers are unaffected.
The other 14 candlestick patterns already emit the uniform +1 bull / -1 bear /
0 none convention; document that explicitly with a "Signed +-1 encoding"
section on each so the whole family is a consistent drop-in ML feature.
* feat(bindings): expose Doji signed mode in python, node, wasm
Hand-write the Doji binding in all three language bindings (instead of the
shared candle-pattern macro) so it accepts an opt-in `signed` flag and exposes
an `is_signed`/`isSigned` accessor:
- Python: `Doji(signed=False)` keyword argument
- Node: `new Doji(signed?)` optional constructor argument (index.d.ts/.js
regenerated via napi build)
- WASM: `new Doji(signed?)` optional constructor argument
The default construction is unchanged, so existing callers keep the
direction-less +1/0 detection flag.
* test(bindings,fuzz): cover Doji signed dragonfly/gravestone encoding
- python: dragonfly(+1)/gravestone(-1)/neutral(0) and default-flag cases in
test_known_values
- node: equivalent signed/default assertions in indicators.test.js
- fuzz: drive a signed Doji alongside the default in indicator_update_candle
* docs: document signed candlestick convention and Doji signed mode
README gains a candlestick sign-convention note; CHANGELOG records the new
opt-in Doji signed dragonfly/gravestone encoding under [Unreleased].
Releases the cross-asset / pairwise indicator family (PR #109):
PairwiseBeta, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration,
RelativeStrengthAB. Indicator count 214 -> 219.
Bumps workspace + binding versions and the CHANGELOG ([Unreleased] ->
[0.4.1]) with the new compare URL.
* feat(core): add PairwiseBeta cross-asset indicator
Rolling OLS slope of one asset's log-returns on another's. Unlike Beta,
which regresses the raw inputs it is fed, PairwiseBeta differences
consecutive prices into log-returns internally -- the conventional way to
measure cross-asset beta, where a beta on price levels would be dominated
by the shared trend.
Two-series Indicator<Input = (f64, f64)>, exposed in Rust, Python, Node
and WASM, with unit/known-value/streaming tests and a pair fuzz target.
* feat(core): add PairSpreadZScore cross-asset indicator
Standardised log-spread ln(a) - beta*ln(b) of a pair, where beta is a
rolling-OLS hedge ratio and the spread is z-scored over its own look-back.
The canonical mean-reversion / statistical-arbitrage entry signal, with
independent beta_period and z_period windows.
Two-series Indicator<Input = (f64, f64)>, exposed in Rust, Python, Node
and WASM, with sign/known-value/streaming tests and a pair fuzz target.
* feat(core): add LeadLagCrossCorrelation cross-asset indicator
Reports the integer offset k in [-max_lag, max_lag] that maximises
|corr(a[t], b[t+k])|, answering which of two assets leads the other and by
how many bars. A positive lag means a leads b. Fully causal: a's window is
held centred while b's window slides across the buffered history, so every
lag is evaluated only against data already seen.
Struct output { lag, correlation }, exposed in Rust, Python, Node and WASM
with lead-detection/streaming tests and a pair fuzz driver.
* feat(core): add Cointegration (Engle-Granger + ADF) indicator
Rolling pairs-trading screen: an OLS hedge ratio of a on b, the spread
(residual) a - (alpha + beta*b), and an augmented Dickey-Fuller t-statistic
on the spread with configurable lags. A strongly negative statistic flags a
mean-reverting, tradeable spread. Includes a small Gaussian-elimination
solver for the augmented regression.
Struct output { hedge_ratio, spread, adf_stat }, exposed in Rust, Python,
Node and WASM with stationarity/hedge-ratio/streaming tests and a pair fuzz
driver.
* feat(core): add RelativeStrengthAB cross-asset indicator
Comparative relative strength of two assets: the ratio line a/b together
with its moving average and its RSI, the classic asset-vs-asset /
asset-vs-index rotation screen. Composes the existing Sma and Rsi over the
ratio; a zero denominator or non-finite price is skipped.
Struct output { ratio, ratio_ma, ratio_rsi }, exposed in Rust, Python, Node
and WASM with flat/rising-ratio/streaming tests and a pair fuzz driver.
* test(cointegration): cover ADF guard branches
The ADF helper's short-series and degrees-of-freedom guards and the
zero-dispersion (perfect AR) path are unreachable through the public
Cointegration API (period >= 2*adf_lags + 4), so exercise them with direct
unit tests on adf_no_constant. The second linear solve cannot be singular
once the coefficient solve on the same matrix has succeeded, so it now uses
expect() instead of a dead error branch.
Minor release. The headline user-facing change is the Node binding now
rejecting invalid indicator periods instead of silently clamping period 0
to 1 (matches Python/WASM/core); plus per-ecosystem binding READMEs and a
corrected MSRV statement in CONTRIBUTING. See CHANGELOG [0.4.0].
- Cargo.toml (workspace.package + wickra-core dep) + Cargo.lock (6 members)
- bindings/python/pyproject.toml
- bindings/node/package.json (version + 6 optionalDependencies) + package-lock.json
- bindings/node/npm/*/package.json (6 platform subpackages)
- examples/node/package-lock.json (wickra-* platform pins)
- CHANGELOG: [Unreleased] -> [0.4.0] - 2026-05-31 + compare URL
No tag pushed (release publish is a separate, user-confirmed step).
* build(node): track the generated index.d.ts (P5.1)
index.js was committed but index.d.ts was gitignored, an inconsistency that
also contradicts CONTRIBUTING ('regenerate both .d.ts/.js when a binding API
changes'). Track index.d.ts too so the repo carries the TypeScript types as a
matched pair with index.js. Generated by napi build; ~214 indicator classes.
* fix(node): reject invalid periods instead of clamping them (P5.4)
The Node scalar-indicator macro clamped period 0 to 1 (via clamp_period + must)
and the multi-parameter constructors did the same, silently swallowing the
core's PeriodZero validation. The core rejects period 0 (Error::PeriodZero),
and the Python and WASM bindings already propagate it — Node was the outlier,
masking caller mistakes. Make the macro constructor fallible and let every
constructor propagate the core error via map_err, removing clamp_period/must.
Update the smoke test (period 0 now throws, matching core/Python/WASM).
* docs(changelog): note the Node period-validation change (P5.4)
Behavior change per CONTRIBUTING: Node constructors now reject invalid periods
instead of clamping. Add an [Unreleased] Changed entry.
* chore: drop accidentally committed scratch log
* chore: remove ROADMAP.md from the public repo
ROADMAP is kept as a local-only draft (ghost-ignored via
.git/info/exclude); it is not part of the published package surface.
* release: bump 0.3.0 -> 0.3.1
CI-only patch: fixes the release.yml CycloneDX SBOM step (cargo-cyclonedx
has no -p flag, see #79) that skipped the GitHub Release attach-assets job
on 0.3.0. No library changes — republishes the same code with a working
release pipeline.
- Cargo.toml (workspace.package + wickra-core dep) + Cargo.lock
- bindings/python/pyproject.toml
- bindings/node/package.json (version + 6 optionalDependencies) + package-lock.json
- bindings/node/npm/*/package.json (6 platform subpackages)
- CHANGELOG: finalize [0.3.0] (was still under [Unreleased]), add [0.3.1]
* chore: track examples/node/package-lock.json
Since the global package-lock ignore rule was dropped (#68) this file was
left untracked. Commit it for reproducible example installs, consistent
with bindings/node (findings P4.1).
Introduce repo-metadata.toml as single source of truth for repo identity
(org slug, maintainer email, canonical URLs) and add sync-metadata.yml
workflow with a Python audit script that fails CI if any tracked file
drifts back to pre-migration values.
Bulk-replace across 24 tracked files:
- kingchenc/wickra -> wickra-lib/wickra (URL segment)
- kingchencp@gmail.com -> wickra.lib@gmail.com (maintainer email)
- @kingchenc -> @wickra-lib (CODEOWNERS mention only)
Person-name credits are preserved: LICENSE copyright holder, Cargo.toml
authors handle, and CHANGELOG historical @kingchenc reference all remain
unchanged. Crate / PyPI / npm package names also untouched.
Merge this PR only after the kingchenc/wickra -> wickra-lib/wickra org
transfer has happened on the GitHub side, otherwise all badges and
repository links 404 until the transfer is performed.
* 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
* feat(family-16): add ValueArea + InitialBalance + OpeningRange
Opens family #16 (Market Profile) with the three OHLCV-compatible scalar /
multi-output indicators:
- ValueArea(period, bin_count, value_area_pct) -> {poc, vah, val}.
Rolling bin-approximation volume profile over the last `period`
candles. Each candle's volume is spread uniformly across [low, high];
POC is the bin with highest cumulative volume; the value area expands
symmetrically from POC and always absorbs the higher-volume neighbour
next, until `value_area_pct` (default 0.70) of total volume is
enclosed. Defaults (20, 50, 0.70).
- InitialBalance(period) -> {high, low}. Tracks session-opening high
and low over the first `period` bars, then locks. Default period = 12
(one-hour IB on 5-minute bars for US equities). Callers MUST invoke
reset() at every session boundary, otherwise IB stays fixed for the
lifetime of the instance.
- OpeningRange(period) -> {high, low, breakout_distance}. Same
lock-after-N-bars semantics as IB with a shorter default period
(6 = 30 min on 5-minute bars) and a third output that tracks
close - or_mid (positive above the range mid, negative below).
Histogram-output Market Profile variants (Volume Profile, VPVR,
Composite Profile) are deferred because they need a new histogram
output API layer rather than fixed-arity scalars. Tick-data-only
variants (TPO Profile, Single Print, Order Flow Delta, Cumulative
Delta, Volume-Weighted Open) are out of scope because `wickra-data`
does not currently expose tick / L2 data.
All four bindings (Rust core, Python, Node, WASM) ship the new
indicators with parity tests; benches added; fuzz target extended.
Counter 71 -> 74 across 8 -> 9 families. cargo check --workspace
--all-features green.
* fix(family-16): cover cold paths in InitialBalance + ValueArea
InitialBalance::value() public getter had no test covering the post-update
Some(...) branch — extended accessors_and_metadata to call value() after one
update. ValueArea single-print bar path (c.high == c.low) was unreachable in
existing tests since the only single-print test used a uniform 100-price
window which exits early via the span == 0 guard; added a mixed-window test
that triggers the c.high <= c.low branch directly. The (None, None) arm of
the expansion match was by-construction unreachable (the loop condition
already requires at least one neighbour) and has been folded into an
if/else.
* feat(family-12): add 13 Statistik/Regression indicators
Brings the Price Statistics family to 20 indicators (7 → 20) and the
total catalogue to 84 (71 → 84). Every indicator ships in the Rust
core plus Python, Node, and WASM bindings with full streaming ↔ batch
parity, fuzz coverage, and benches.
Scalar (f64 → f64):
- Variance, CoefficientOfVariation: rolling population variance and
its dimensionless ratio with the mean. O(1) updates.
- Skewness, Kurtosis: rolling Pearson skewness and excess kurtosis,
derived from running sums of x, x², x³, x⁴ via the binomial
identities — also O(1) per bar.
- StandardError, DetrendedStdDev: standard error of estimate (n − 2)
and population StdDev (n) of OLS residuals, sharing the LinReg
O(1) sliding sums.
- RSquared: coefficient of determination of the rolling OLS fit; the
trend-quality filter, clamped to [0, 1].
- MedianAbsoluteDeviation: robust dispersion estimator; O(period log
period) per emission via two in-place sorts of a reusable scratch
buffer.
- Autocorrelation(period, lag): rolling lag-k Pearson autocorrelation.
- HurstExponent(period, chunks): R/S-analysis trend-persistence
estimator clamped to [0, 1].
Pair indicators (Input = (f64, f64)):
- PearsonCorrelation: rolling cross-series Pearson, O(1).
- Beta: rolling OLS slope of asset vs. benchmark (CAPM).
- SpearmanCorrelation: rolling rank correlation with mid-rank tie
handling; O(period log period).
Touchpoints:
- crates/wickra-core: 13 new indicator modules + mod.rs / lib.rs
re-exports.
- bindings/python: pyclasses + add_class registration + __init__.py
import & __all__ updates. The pair indicators expose
update(x, y) and batch(x, y) over two equally-sized numpy arrays.
- bindings/node: scalar indicators via node_scalar_indicator! macro;
pair indicators via new node_pair_indicator! macro; explicit
structs for Autocorrelation and HurstExponent (two-arg ctors).
index.js extended with the new exports.
- bindings/wasm: scalar wrappers via wasm_scalar_indicator!; pair
wrappers via new wasm_pair_indicator! macro.
- fuzz: every scalar drove through the generic helper; pair
indicators stress-tested by pairing adjacent samples of the fuzz
input.
- Python tests (test_new_indicators.py): added to SCALAR
parametrisation, plus algebraic reference values
(variance of [2,4,6] = 8/3, MAD ignoring outlier = 0, monotone
non-linear Spearman = 1, two-to-one Beta = 2, etc.) and a
streaming-vs-batch test for the pair indicators.
- Node tests (indicators.test.js): extended the scalar factories
map and added a pair-indicator section with the same algebraic
reference values.
- crates/wickra/benches: bench_scalar entries for all 10 single-
input new indicators.
- README: counter 71 → 84; Price Statistics family-table row
expanded with the 13 new indicators.
- CHANGELOG: Unreleased section documents the family addition.
Wiki drafts (ghost-ignored, manual sync to wickra.wiki at release
time): indicator-ideas/families/wiki/family-12-statistik-regression/
contains 13 deep-dive pages plus _Sidebar / Indicators-Overview /
Warmup-Periods / Home fragments for the curator merge.
cargo check --workspace --all-features: clean.
* fix(family-12): remove unreachable defensive guards in hurst_exponent
The three guards (m < 2 continue, end > buf.len() break, denom == 0.0
return) are by-construction unreachable given the constructor invariant
period >= 2 * chunks: m = period / k for k in 1..=chunks always
satisfies m >= 2 and end = (c+1) * m <= k * m <= period = buf.len(),
and m_1 = period and m_2 = period / 2 are always distinct so the slope
denominator is strictly positive. Removing them brings codecov/patch
back to 100%.
Two new indicators in a brand-new "Ichimoku & alternative charts"
family:
- `Ichimoku` (Ichimoku Kinko Hyo): the full five-line cloud system
(Tenkan-sen, Kijun-sen, Senkou Span A/B, Chikou Span). Classic
(9, 26, 52, 26) defaults; configurable. Forward displacement is
handled in an O(1) ring buffer so the visible Senkou A/B at bar n
are the values computed at bar n-displacement.
- `HeikinAshi`: recursive candle smoothing transform emitting a
four-field synthetic candle. Seeds ha_open from (open+close)/2 on
the first bar.
Touchpoints: core + unit tests, mod.rs/lib.rs re-exports, Python +
Node + WASM bindings (multi-output via PyArray2 / interleaved Vec<f64>
/ Object+Float64Array), Python tests across smoke/new-indicators/
input-validation, Node parity tests, fuzz target (Candle), benches,
README family table + counter (71 -> 73, 8 -> 9 families), CHANGELOG.
Note: Renko, Kagi, and Point & Figure from the family-13 ideas list
are intentionally skipped. They are bar generators (the bar boundary
is defined by price moves, not by a fixed time interval) rather than
indicators that consume a candle stream, and belong in wickra-data
as candle/tick transforms alongside the existing tick-to-candle
aggregator and resampler.
Implements Family 10 (Ehlers / Cycle) end-to-end across Rust core,
Python / Node / WASM bindings, fuzz, tests, benches and docs. This
is an entirely new family covering John Ehlers' digital-signal-
processing school of cycle analytics — a strong differentiator
versus TA-Lib and pandas-ta, which ship only fragments.
Indicators:
- MAMA (Mesa Adaptive MA) — multi-output { mama, fama }
- FAMA (Following Adaptive MA) — scalar wrapper around MAMA's slow line
- Fisher Transform — Gaussian-normalising price transform
- Inverse Fisher Transform — bounded oscillator (tanh-based)
- SuperSmoother — 2-pole Butterworth lowpass
- Roofing Filter — high-pass + SuperSmoother bandpass
- Decycler — price minus 2-pole high-pass (lag-free trend)
- Decycler Oscillator — fast / slow Decycler difference (MACD-like)
- Hilbert Dominant Cycle — phase-derived period estimator [6, 50]
- Sine Wave Indicator — sin(phase) with 45° lead companion
- Adaptive Cycle Indicator — half-period driver for adaptive oscillators
- Center of Gravity Oscillator — weighted-mass momentum
- Cybernetic Cycle Component — EasyLanguage classic
- Empirical Mode Decomposition — bandpass + envelope mean
- Ehlers Stochastic — Stochastic on Roofing Filter input, [-1, +1]
- Instantaneous Trendline — Ehlers 2-pole lag-free trend
Indicator count rises 71 -> 87 across nine families (was eight).
All sixteen pass batch == streaming equivalence, expose the standard
Indicator surface (update / batch / reset / is_ready / warmup_period
/ name), are fuzz-tested, benchmarked against the checked-in BTCUSDT
1-minute dataset and reach across all four bindings.
Wiki deep-dive drafts for every indicator + Sidebar / Overview /
Home / Warmup updates are staged under indicator-ideas/families/
wiki/family-10-ehlers-cycle/ in the main repo (ghost-ignored) for
the maintainer to publish to the wiki repo manually.
