kingchenc
efcd6216c1
The rolling-window VWAP indicator (`wickra_core::RollingVwap`) was only available in the Rust crate, even though the README's Volume-family table already advertised "VWAP (cumulative + rolling)" as a cross- language feature. Users on Python, Node or in the browser had to fall back to the cumulative `VWAP` or re-implement the rolling variant themselves. This commit closes the gap end-to-end: - Python: `wickra.RollingVWAP(period)` — same constructor / `update` / `batch` / `reset` / `is_ready` / `warmup_period` surface as `VWAP`, plus a `period` property and a typed `__repr__`. The `__init__.py` re-exports it and `__all__` lists it; the `.pyi` stub matches. - Node: `RollingVWAP(period)` — napi class with the same lifecycle, exported from `index.js` and declared in `index.d.ts`. - WASM: `RollingVWAP(period)` — wasm-bindgen class with the same `Float64Array` I/O as `VWAP`. Tests added: - Python: `test_rolling_vwap_streaming_matches_batch` — exercises `update == batch` plus the full lifecycle on the shared OHLC fixture. - Node: `RollingVWAP` row in the `candleScalar` parity table — covered by the generic streaming-vs-batch + lifecycle harness. - WASM: dedicated `wasm-bindgen-test` mirrors the Python test. The wiki page `Indicator-Vwap.md` drops the "Rust-only" caveat and gains Python / Node / WASM examples.
Wickra — Python bindings
Streaming-first technical indicators powered by a Rust core.
pip install wickra
Quick start
import numpy as np
import wickra as ta
# Batch — TA-Lib-style usage
prices = np.linspace(100, 200, 1000)
rsi = ta.RSI(14).batch(prices) # NumPy array; NaN during warmup
# Streaming — feed ticks one at a time
rsi = ta.RSI(14)
for price in live_prices:
v = rsi.update(price) # O(1) per tick
if v is not None and v > 70:
...
What's included
71 streaming-first indicators across eight families. Every one passes a
batch == streaming equivalence test and reference-value tests:
- Moving Averages — SMA, EMA, WMA, DEMA, TEMA, HMA, KAMA, SMMA, TRIMA, ZLEMA, T3, VWMA
- Momentum Oscillators — RSI (Wilder), Stochastic, CCI, ROC, Williams %R, MFI, Awesome Oscillator, MOM, CMO, TSI, PMO, StochRSI, Ultimate Oscillator
- Trend & Directional — MACD, ADX (+DI/-DI), Aroon, TRIX, Aroon Oscillator, Vortex, Mass Index, Choppiness Index, Vertical Horizontal Filter
- Price Oscillators — PPO, DPO, Coppock, Accelerator Oscillator, Balance of Power
- Volatility & Bands — ATR, Bollinger Bands, Keltner Channels, Donchian Channels, NATR, StdDev, Ulcer Index, Historical Volatility, Bollinger Bandwidth, %B, True Range, Chaikin Volatility
- Trailing Stops — Parabolic SAR, SuperTrend, Chandelier Exit, Chande Kroll Stop, ATR Trailing Stop
- Volume — OBV, VWAP (cumulative + rolling), ADL, Volume-Price Trend, Chaikin Money Flow, Chaikin Oscillator, Force Index, Ease of Movement
- Price Statistics — Typical Price, Median Price, Weighted Close, Linear Regression, Linear Regression Slope, Z-Score, Linear Regression Angle
Why streaming-first matters
Classic TA libraries are batch-only: every live tick triggers a full recomputation over the entire history. Wickra updates indicator state in O(1) per tick. On a 5K-bar history the streaming RSI gap is ~17× over the nearest peer with a streaming API and 100×+ over batch-only libraries.
Full project
See https://github.com/kingchenc/wickra for benchmarks, the Rust core, Node.js and WebAssembly bindings, examples, and CI.
License
Licensed under the PolyForm Noncommercial License 1.0.0. Personal, research, educational, and non-profit use are all permitted. Commercial sale requires a separate license — contact via the GitHub repo.