kingchenc
53941b7b07
## 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
103 lines
1.9 KiB
TOML
103 lines
1.9 KiB
TOML
[package]
|
|
name = "wickra-fuzz"
|
|
version = "0.0.0"
|
|
publish = false
|
|
edition = "2021"
|
|
|
|
[package.metadata]
|
|
cargo-fuzz = true
|
|
|
|
[dependencies]
|
|
libfuzzer-sys = "0.4"
|
|
serde_json = "1"
|
|
wickra-core = { path = "../crates/wickra-core" }
|
|
wickra-data = { path = "../crates/wickra-data", features = ["live-binance"] }
|
|
|
|
# Detach this crate from the parent workspace — cargo-fuzz builds it on its
|
|
# own with sanitizer flags.
|
|
[workspace]
|
|
|
|
[[bin]]
|
|
name = "csv_reader"
|
|
path = "fuzz_targets/csv_reader.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "binance_envelope"
|
|
path = "fuzz_targets/binance_envelope.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update"
|
|
path = "fuzz_targets/indicator_update.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update_candle"
|
|
path = "fuzz_targets/indicator_update_candle.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update_pair"
|
|
path = "fuzz_targets/indicator_update_pair.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update_orderbook"
|
|
path = "fuzz_targets/indicator_update_orderbook.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update_trade"
|
|
path = "fuzz_targets/indicator_update_trade.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update_tradequote"
|
|
path = "fuzz_targets/indicator_update_tradequote.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update_derivatives"
|
|
path = "fuzz_targets/indicator_update_derivatives.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "indicator_update_crosssection"
|
|
path = "fuzz_targets/indicator_update_crosssection.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "tick_aggregator"
|
|
path = "fuzz_targets/tick_aggregator.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|
|
|
|
[[bin]]
|
|
name = "bar_builder_update_candle"
|
|
path = "fuzz_targets/bar_builder_update_candle.rs"
|
|
test = false
|
|
doc = false
|
|
bench = false
|