kingchenc
2be21df803
* 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.
68 lines
1.2 KiB
TOML
68 lines
1.2 KiB
TOML
[package]
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name = "wickra-fuzz"
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version = "0.0.0"
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publish = false
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edition = "2021"
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[package.metadata]
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cargo-fuzz = true
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[dependencies]
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libfuzzer-sys = "0.4"
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serde_json = "1"
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wickra-core = { path = "../crates/wickra-core" }
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wickra-data = { path = "../crates/wickra-data", features = ["live-binance"] }
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# Detach this crate from the parent workspace — cargo-fuzz builds it on its
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# own with sanitizer flags.
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[workspace]
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[[bin]]
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name = "csv_reader"
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path = "fuzz_targets/csv_reader.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "binance_envelope"
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path = "fuzz_targets/binance_envelope.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update"
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path = "fuzz_targets/indicator_update.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_candle"
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path = "fuzz_targets/indicator_update_candle.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_pair"
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path = "fuzz_targets/indicator_update_pair.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_orderbook"
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path = "fuzz_targets/indicator_update_orderbook.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "tick_aggregator"
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path = "fuzz_targets/tick_aggregator.rs"
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test = false
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doc = false
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bench = false
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