wickra/CHANGELOG.md

Changelog

All notable changes to Wickra are documented in this file.

The format is based on Keep a Changelog, and this project adheres to Semantic Versioning.

Unreleased

Changed

• MSRV bumped. Workspace minimum supported Rust version is now 1.85 (was 1.75) and the Node binding (wickra-node) is now 1.88 (was 1.77). The bumps are driven by transitive-dependency floors that were lifted in recent updates: clap_lex >= 1.1.0 (pulled in via the criterion dev-dep) requires the stabilized edition2024 feature (stable since Rust 1.85), and napi-build >= 2.3.2 requires Rust 1.88. Pinning the deps to the older versions would have frozen us out of future security fixes from those upstreams, so lifting the MSRV is the cleaner path for a young 0.x library. Downstream consumers on older Rust toolchains can stay on Wickra 0.2.0.

0.2.0 - 2026-05-23

Fixed

• HistoricalVolatility::update no longer substitutes a 0.0 log-return on non-positive prices (audit finding R13). Negative or zero prices are semantically invalid for a log-return calculation; silently treating them as "no movement" underreported realised volatility. They are now skipped — the previous valid value is returned and the indicator's state (prev_price, window, sums) is left untouched — matching how every other indicator handles invalid inputs.
• Tick::new now returns the new Error::InvalidTick variant for negative volume instead of Error::InvalidCandle (audit finding R14). A tick is not a candle, and downstream tick-stream pipelines should be able to match on a semantically-correct error. The Python binding's map_err was extended to forward the new variant as a ValueError; the Node and WASM bindings format via Error::to_string() and pick the new variant up automatically.
• Psar::is_ready now matches the convention shared by every other indicator: is_ready() == true iff a real value has been produced (audit finding R6). The previous implementation returned self.initialised, which flipped to true after the seed candle even though the seed candle itself returns None. A streaming consumer that wrote if ind.is_ready() { use(ind.update(c)?) } would hit an unexpected None on the first post-seed update. The fix introduces a has_emitted gate set when the first Some value is returned.
• Psar::reset now restores the compute fields (prev_high, prev_low, sar, ep) to f64::NAN sentinels instead of 0.0 (audit Opus-Bonus 1). The fields are gated by initialised today, so the 0.0 sentinel never leaked into output — but a future refactor that read them pre-init would have silently treated 0.0 as a real price. A debug_assert! at the read site makes the invariant explicit.

Changed

• Sma and BollingerBands now reseed their incremental sum (and sum_sq for Bollinger) from the live window every 16 · period finite updates, capping floating-point drift on long-running streams (audit findings R7 and L2-Rust). Previously the incremental single-subtract sum -= old could accumulate catastrophic-cancellation error on streams with alternating large/small magnitudes; the misleading sma.rs comment that claimed the drift was already bounded "by recomputing the sum after each pop" is replaced with an accurate description of the new reseed strategy. Amortised cost stays at O(1) (O(period) work amortised over O(period) updates), values are bit-identical on inputs that did not drift to begin with, and two new long_stream_drift_stays_bounded tests stress the recompute by alternating 1e9 / 1.0 (SMA) and 1e6 / 1.0 (Bollinger) for several recompute cycles and verify the reported values track a fresh from-scratch computation over the live window.
• LinearRegression, LinRegSlope and LinRegAngle (via composition over LinRegSlope) now run their rolling ordinary-least-squares fit incrementally in O(1) per update (audit finding R2). Previously every tick refit the line from scratch in O(period). The OLS denominators (Σx and Σxx) depend only on period, so they were already precomputed; this release adds running Σy and Σxy accumulators and slides them in closed form via the identity new_Σxy = old_Σxy − old_Σy + popped_y₀ (then Σxy += (n − 1) · new_value and Σy += new_value). New per-bar equivalence tests compare the O(1) output against a fresh O(n) refit on noisy ramps, step functions, and constants — values agree to within 1e-9.
• Fuzz suite expanded from 2 indicators to the full catalogue (audit finding R9). The existing indicator_update target now exercises every scalar-input indicator (~33 classes including MACD and Bollinger Bands); a new indicator_update_candle target exercises every candle-input indicator (~37 classes, including ATR, ADX, Stochastic, PSAR, Keltner, SuperTrend, ChandelierExit, AwesomeOscillator, OBV, MFI, VWAP, RollingVWAP, and the rest of the volume / volatility / trailing-stop / price-statistics families). Each iteration sweeps every indicator through both the streaming update loop and a full batch call so any state-mutation bug surfaces on either path. CI gains a fuzz-smoke job that runs each of the five targets for 30 s on every push and pull-request.
• UlcerIndex::update now tracks the trailing maximum with a monotonically- decreasing deque of (index, price) pairs instead of scanning the whole trailing window on every tick. The indicator now honours the Indicator trait's O(1)-per-tick contract; values and warmup semantics are unchanged (verified by a new adversarial-input test that compares the deque output bar-by-bar against a naive O(n) trailing-max scan on strictly increasing, strictly decreasing, constant, and sawtooth inputs). The doc comment on warmup_period() is also corrected: the two windows overlap by one bar, so the formula is 2 * period - 1.

Added

• RollingVWAP is now exposed in Python, Node and WASM under that name (previously the rolling-window VWAP existed only in the Rust core, even though the README's volume-family table already advertised VWAP (cumulative + rolling)). All four bindings now ship the same cumulative VWAP plus the finite-window RollingVWAP(period). The wiki page Indicator-Vwap.md adds Python, Node and WASM examples and drops the "Rust-only" caveat.
• WASM binding now exposes the streaming update() method on every candle-input indicator: Adx, WilliamsR, Cci, Mfi, Psar, Keltner, Donchian, Vwap, AwesomeOscillator, Aroon, Stochastic, and Obv. Multi-output indicators (Adx, Keltner, Donchian, Aroon, Stochastic) return a named JS object ({ plusDi, minusDi, adx }, { upper, middle, lower }, { up, down }, { k, d }) once warm, or null during warmup — matching the existing SuperTrend convention. Each class also gains reset(), isReady() and warmupPeriod(), bringing the WASM surface to full parity with Python and Node so browser-side streaming code no longer has to replay batch() on every tick. WasmKama gains the previously missing warmupPeriod().
• New wasm-bindgen integration test exercises update == batch plus the full lifecycle (reset / isReady / warmupPeriod) for all twelve newly wired classes against a deterministic 40-bar synthetic OHLCV stream.

Security

• Upgrade pyo3 (0.22 → 0.28) and numpy (0.22 → 0.28) in the Python binding. Fixes RUSTSEC-2025-0020 — a buffer overflow in PyString::from_object that affected the published Python wheels. The cargo-deny ignore entry that previously suppressed the advisory has been removed; cargo deny check is now clean without suppression. Migrated into_pyarray_bound to into_pyarray, downcast::<PyDict> to cast::<PyDict>, and opted every #[pyclass] out of the deprecated automatic FromPyObject derive via skip_from_py_object.

Added

• 46 new technical indicators, taking the library from 25 to 71 and reorganising the catalogue into eight families, each with at least five members. Every indicator is implemented once in the Rust core and wired through the Python, Node and WASM bindings, with reference-value tests and a dedicated wiki page:
  • Moving Averages: Smma, Trima, Zlema, T3, Vwma.
  • Momentum Oscillators: Mom, Cmo, Tsi, Pmo, StochRsi, UltimateOscillator.
  • Trend & Directional: AroonOscillator, Vortex, MassIndex, ChoppinessIndex, VerticalHorizontalFilter.
  • Price Oscillators: Ppo, Dpo, Coppock, AcceleratorOscillator, BalanceOfPower.
  • Volatility & Bands: Natr, StdDev, UlcerIndex, HistoricalVolatility, BollingerBandwidth, PercentB, TrueRange, ChaikinVolatility.
  • Trailing Stops: SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop.
  • Volume: Adl, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement.
  • Price Statistics: TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, ZScore, LinRegAngle.
• TickAggregator::with_gap_fill — opt-in mode that emits a flat placeholder candle for every empty bucket between two ticks, keeping the candle series evenly spaced for downstream indicators.
• CSV reader: a leading UTF-8 byte-order mark is stripped, fields are trimmed, and the header is validated against the required OHLCV columns.
• CI: an msrv job that builds and tests the workspace on Rust 1.75 and the node binding on Rust 1.77.
• Community health files: CONTRIBUTING.md, SECURITY.md, CODE_OF_CONDUCT.md, issue / pull-request templates, CODEOWNERS, and a Dependabot configuration.
• Seven example OHLCV datasets under examples/data/, one per timeframe (1m / 5m / 15m / 1h / 12h / 1d / 1month), holding real BTCUSDT spot klines, alongside the fetch_btcusdt example that regenerates them from the Binance REST API.
• Timeframe::minutes, Timeframe::hours and Timeframe::days convenience constructors, each building on seconds with a checked-multiplication overflow guard.

Changed

• The indicator wiki is reorganised into eight family folders under docs/wiki/indicators/ (moving-averages/, momentum-oscillators/, trend-directional/, price-oscillators/, volatility-bands/, trailing-stops/, volume/, price-statistics/); Indicators-Overview.md, Home.md and the README indicator table follow the same eight families.
• TickAggregator::push returns Result<Vec<Candle>> (was Result<Option<Candle>>) so a single tick can yield a closed bar plus gap fillers.
• Resampler::push returns Result<Option<Candle>>: a candle in a bucket earlier than the open bar is now rejected as out of order.
• Aggregated candles are finalised through the validating Candle::new, so a volume that overflows to a non-finite value is surfaced as an error instead of producing a poisoned candle.
• All GitHub Actions are pinned to commit SHAs; the four publish jobs run in a protected release environment.
• The indicator benchmarks (crates/wickra/benches/indicators.rs) now run against the checked-in real BTCUSDT 1-minute dataset instead of a synthetic price series.
• Every language's examples now live under a uniform examples/<lang>/ tree: Rust moved into a new examples/rust/ workspace member crate (wickra-examples, run via cargo run -p wickra-examples --bin <name>), Node into examples/node/ with its own package.json linking wickra via file:../../bindings/node, and the WASM browser demos into examples/wasm/. The bundled BTCUSDT datasets move alongside them at examples/data/. Six new examples close the cross-language parity matrix: streaming demos for Python and Rust; multi-timeframe and parallel-assets demos for both Rust and Node.
• Cross-language data-generator parity: examples/python/fetch_btcusdt.py (stdlib only: urllib + json + csv) and examples/node/fetch_btcusdt.js (Node 18+ built-in fetch) mirror the Rust fetch_btcusdt binary — byte-for-byte identical CSV output on the same Binance snapshot.
• Four additional WebAssembly browser demos under examples/wasm/ alongside the original index.html: backtest.html (fetch + basket of indicators), live_trading.html (browser-native WebSocket to Binance), multi_timeframe.html (in-page resample) and parallel_assets.html + parallel_worker.js (module-Worker pool with serial-vs-parallel speedup). The cross-language matrix is now closed for every cell where the pattern makes sense.
• Three new wiki pages: TA-Lib-Migration.md (full mapping table from talib.X(...) calls to Wickra), Cookbook.md (seven concrete strategy recipes — RSI mean reversion, MACD crossover, Bollinger breakout, ADX-gated trend, multi-timeframe confirmation, SuperTrend, chained indicators) and FAQ.md. All three linked from Home.md.

Fixed

• Timeframe::floor no longer overflows for timestamps near i64::MIN.
• The aggregator rejects same-bucket ticks that arrive out of order instead of silently overwriting the bar's close with a stale price.
• The Binance live stream reconnects with exponential backoff, skips non-kline frames, applies a read timeout and message-size limits, and tracks a closed flag.
• Example scripts: live_trading.py skips non-kline frames and validates the symbol/interval; backtest.py and multi_timeframe.py report clear errors for malformed CSV input.

0.1.4 - 2026-05-21

Added

• GitHub Release runs now attach every built artefact (wheels, sdist, native Node binaries, npm-pack tarballs, cargo .crate files) to the tag's release page.

0.1.3 - 2026-05-21

Fixed

• npm package ships the napi-generated loader and is built with --platform so the per-platform binary is resolved correctly.

0.1.2 - 2026-05-21

Fixed

• Release pipeline: per-platform idempotent npm publishing with a spam-filter retry, and committed npm/<platform>/ package templates.

0.1.1 - 2026-05-21

Fixed

• Node publish step and coordinated version bump across all bindings.

0.1.0 - 2026-05-21

Added

• Initial release: a streaming-first technical-analysis library with 25 indicators (SMA, EMA, WMA, DEMA, TEMA, HMA, KAMA, RSI, MACD, ROC, Stochastic, CCI, Williams %R, ADX, MFI, TRIX, Aroon, Awesome Oscillator, Bollinger Bands, ATR, Keltner Channels, Donchian Channels, Parabolic SAR, OBV, VWAP).
• Rust core (wickra-core), umbrella crate (wickra), and a data layer (wickra-data) with a CSV reader, tick aggregator, resampler, and an optional Binance live feed.
• Bindings for Python, Node.js, and WebAssembly.