kingchenc
3f9429dd2c
The first MSRV bump to 1.80 fixed the rayon-core floor but ran into a
second transitive-dep floor on the same CI run:
error: failed to parse manifest at clap_lex-1.1.0/Cargo.toml
Caused by: feature `edition2024` is required
The package requires the Cargo feature called `edition2024`, but
that feature is not stabilized in this version of Cargo (1.80.1).
clap_lex 1.1.0 is pulled in by criterion (dev-dep on the wickra crate)
via clap 4.6 -> clap_builder 4.6 -> clap_lex 1.1. edition2024 was
stabilized in Rust 1.85, so lift the workspace MSRV one more step. The
1.85 floor subsumes the rayon-core 1.80 requirement; bindings/node
stays at 1.88 (napi-build) which already covers everything below it.
Also fix the fuzz job: cargo-fuzz defaulted to building for
x86_64-unknown-linux-musl, which is not installed on the GitHub-hosted
ubuntu runner. Pass --target x86_64-unknown-linux-gnu explicitly on
every cargo fuzz run invocation so it builds for the actual host
target.
271 lines
15 KiB
Markdown
271 lines
15 KiB
Markdown
# Changelog
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All notable changes to Wickra are documented in this file.
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The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
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and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
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## [Unreleased]
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### Changed
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- **MSRV bumped.** Workspace minimum supported Rust version is now **1.85**
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(was 1.75) and the Node binding (`wickra-node`) is now **1.88** (was 1.77).
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The bumps are driven by transitive-dependency floors that were lifted in
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recent updates: `clap_lex >= 1.1.0` (pulled in via the criterion dev-dep)
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requires the stabilized `edition2024` feature (stable since Rust 1.85),
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and `napi-build >= 2.3.2` requires Rust 1.88. Pinning the deps to the
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older versions would have frozen us out of future security fixes from
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those upstreams, so lifting the MSRV is the cleaner path for a young 0.x
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library. Downstream consumers on older Rust toolchains can stay on
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Wickra 0.2.0.
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## [0.2.0] - 2026-05-23
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### Fixed
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- `HistoricalVolatility::update` no longer substitutes a `0.0` log-return on
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non-positive prices (audit finding R13). Negative or zero prices are
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semantically invalid for a log-return calculation; silently treating them as
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"no movement" underreported realised volatility. They are now skipped — the
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previous valid value is returned and the indicator's state (`prev_price`,
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window, sums) is left untouched — matching how every other indicator handles
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invalid inputs.
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- `Tick::new` now returns the new `Error::InvalidTick` variant for negative
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volume instead of `Error::InvalidCandle` (audit finding R14). A tick is not
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a candle, and downstream tick-stream pipelines should be able to match on a
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semantically-correct error. The Python binding's `map_err` was extended to
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forward the new variant as a `ValueError`; the Node and WASM bindings format
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via `Error::to_string()` and pick the new variant up automatically.
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- `Psar::is_ready` now matches the convention shared by every other indicator:
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`is_ready() == true` iff a real value has been produced (audit finding R6).
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The previous implementation returned `self.initialised`, which flipped to
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`true` after the seed candle even though the seed candle itself returns
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`None`. A streaming consumer that wrote
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`if ind.is_ready() { use(ind.update(c)?) }` would hit an unexpected `None`
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on the first post-seed update. The fix introduces a `has_emitted` gate set
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when the first `Some` value is returned.
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- `Psar::reset` now restores the compute fields (`prev_high`, `prev_low`,
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`sar`, `ep`) to `f64::NAN` sentinels instead of `0.0` (audit Opus-Bonus 1).
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The fields are gated by `initialised` today, so the `0.0` sentinel never
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leaked into output — but a future refactor that read them pre-init would
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have silently treated `0.0` as a real price. A `debug_assert!` at the read
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site makes the invariant explicit.
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### Changed
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- `Sma` and `BollingerBands` now reseed their incremental `sum` (and `sum_sq`
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for Bollinger) from the live window every `16 · period` finite updates,
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capping floating-point drift on long-running streams (audit findings R7 and
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L2-Rust). Previously the incremental single-subtract `sum -= old` could
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accumulate catastrophic-cancellation error on streams with alternating
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large/small magnitudes; the misleading `sma.rs` comment that claimed the
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drift was already bounded "by recomputing the sum after each pop" is
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replaced with an accurate description of the new reseed strategy. Amortised
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cost stays at O(1) (`O(period)` work amortised over `O(period)` updates),
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values are bit-identical on inputs that did not drift to begin with, and
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two new `long_stream_drift_stays_bounded` tests stress the recompute by
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alternating `1e9` / `1.0` (SMA) and `1e6` / `1.0` (Bollinger) for several
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recompute cycles and verify the reported values track a fresh from-scratch
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computation over the live window.
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- `LinearRegression`, `LinRegSlope` and `LinRegAngle` (via composition over
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`LinRegSlope`) now run their rolling ordinary-least-squares fit
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**incrementally** in O(1) per update (audit finding R2). Previously every
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tick refit the line from scratch in O(period). The OLS denominators (`Σx`
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and `Σxx`) depend only on `period`, so they were already precomputed; this
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release adds running `Σy` and `Σxy` accumulators and slides them in closed
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form via the identity
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`new_Σxy = old_Σxy − old_Σy + popped_y₀` (then `Σxy += (n − 1) · new_value`
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and `Σy += new_value`). New per-bar equivalence tests compare the O(1)
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output against a fresh O(n) refit on noisy ramps, step functions, and
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constants — values agree to within 1e-9.
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- Fuzz suite expanded from 2 indicators to the full catalogue (audit finding
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R9). The existing `indicator_update` target now exercises every scalar-input
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indicator (~33 classes including MACD and Bollinger Bands); a new
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`indicator_update_candle` target exercises every candle-input indicator (~37
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classes, including ATR, ADX, Stochastic, PSAR, Keltner, SuperTrend,
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ChandelierExit, AwesomeOscillator, OBV, MFI, VWAP, RollingVWAP, and the rest
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of the volume / volatility / trailing-stop / price-statistics families). Each
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iteration sweeps every indicator through both the streaming `update` loop
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and a full `batch` call so any state-mutation bug surfaces on either path.
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CI gains a `fuzz-smoke` job that runs each of the five targets for 30 s on
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every push and pull-request.
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- `UlcerIndex::update` now tracks the trailing maximum with a monotonically-
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decreasing deque of `(index, price)` pairs instead of scanning the whole
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trailing window on every tick. The indicator now honours the `Indicator`
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trait's O(1)-per-tick contract; values and warmup semantics are unchanged
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(verified by a new adversarial-input test that compares the deque output
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bar-by-bar against a naive O(n) trailing-max scan on strictly increasing,
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strictly decreasing, constant, and sawtooth inputs). The doc comment on
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`warmup_period()` is also corrected: the two windows overlap by one bar, so
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the formula is `2 * period - 1`.
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### Added
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- `RollingVWAP` is now exposed in Python, Node and WASM under that name
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(previously the rolling-window VWAP existed only in the Rust core, even
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though the README's volume-family table already advertised
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`VWAP (cumulative + rolling)`). All four bindings now ship the same
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cumulative `VWAP` plus the finite-window `RollingVWAP(period)`. The wiki page
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`Indicator-Vwap.md` adds Python, Node and WASM examples and drops the
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"Rust-only" caveat.
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- WASM binding now exposes the streaming `update()` method on every candle-input
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indicator: `Adx`, `WilliamsR`, `Cci`, `Mfi`, `Psar`, `Keltner`, `Donchian`,
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`Vwap`, `AwesomeOscillator`, `Aroon`, `Stochastic`, and `Obv`. Multi-output
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indicators (`Adx`, `Keltner`, `Donchian`, `Aroon`, `Stochastic`) return a
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named JS object (`{ plusDi, minusDi, adx }`, `{ upper, middle, lower }`,
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`{ up, down }`, `{ k, d }`) once warm, or `null` during warmup — matching the
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existing `SuperTrend` convention. Each class also gains `reset()`, `isReady()`
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and `warmupPeriod()`, bringing the WASM surface to full parity with Python
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and Node so browser-side streaming code no longer has to replay `batch()`
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on every tick. `WasmKama` gains the previously missing `warmupPeriod()`.
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- New `wasm-bindgen` integration test exercises `update == batch` plus the full
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lifecycle (`reset` / `isReady` / `warmupPeriod`) for all twelve newly wired
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classes against a deterministic 40-bar synthetic OHLCV stream.
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### Security
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- Upgrade `pyo3` (0.22 → 0.28) and `numpy` (0.22 → 0.28) in the Python binding.
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Fixes [RUSTSEC-2025-0020](https://rustsec.org/advisories/RUSTSEC-2025-0020) —
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a buffer overflow in `PyString::from_object` that affected the published
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Python wheels. The `cargo-deny` ignore entry that previously suppressed the
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advisory has been removed; `cargo deny check` is now clean without
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suppression. Migrated `into_pyarray_bound` to `into_pyarray`,
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`downcast::<PyDict>` to `cast::<PyDict>`, and opted every `#[pyclass]` out of
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the deprecated automatic `FromPyObject` derive via `skip_from_py_object`.
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### Added
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- 46 new technical indicators, taking the library from 25 to 71 and
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reorganising the catalogue into **eight families**, each with at least five
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members. Every indicator is implemented once in the Rust core and wired
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through the Python, Node and WASM bindings, with reference-value tests and a
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dedicated wiki page:
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- Moving Averages: `Smma`, `Trima`, `Zlema`, `T3`, `Vwma`.
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- Momentum Oscillators: `Mom`, `Cmo`, `Tsi`, `Pmo`, `StochRsi`,
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`UltimateOscillator`.
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- Trend & Directional: `AroonOscillator`, `Vortex`, `MassIndex`,
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`ChoppinessIndex`, `VerticalHorizontalFilter`.
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- Price Oscillators: `Ppo`, `Dpo`, `Coppock`, `AcceleratorOscillator`,
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`BalanceOfPower`.
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- Volatility & Bands: `Natr`, `StdDev`, `UlcerIndex`,
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`HistoricalVolatility`, `BollingerBandwidth`, `PercentB`, `TrueRange`,
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`ChaikinVolatility`.
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- Trailing Stops: `SuperTrend`, `ChandelierExit`, `ChandeKrollStop`,
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`AtrTrailingStop`.
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- Volume: `Adl`, `VolumePriceTrend`, `ChaikinMoneyFlow`,
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`ChaikinOscillator`, `ForceIndex`, `EaseOfMovement`.
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- Price Statistics: `TypicalPrice`, `MedianPrice`, `WeightedClose`,
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`LinearRegression`, `LinRegSlope`, `ZScore`, `LinRegAngle`.
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- `TickAggregator::with_gap_fill` — opt-in mode that emits a flat placeholder
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candle for every empty bucket between two ticks, keeping the candle series
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evenly spaced for downstream indicators.
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- CSV reader: a leading UTF-8 byte-order mark is stripped, fields are trimmed,
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and the header is validated against the required OHLCV columns.
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- CI: an `msrv` job that builds and tests the workspace on Rust 1.75 and the
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node binding on Rust 1.77.
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- Community health files: `CONTRIBUTING.md`, `SECURITY.md`,
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`CODE_OF_CONDUCT.md`, issue / pull-request templates, `CODEOWNERS`, and a
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Dependabot configuration.
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- Seven example OHLCV datasets under `examples/data/`, one per timeframe
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(1m / 5m / 15m / 1h / 12h / 1d / 1month), holding real BTCUSDT spot klines,
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alongside the `fetch_btcusdt` example that regenerates them from the
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Binance REST API.
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- `Timeframe::minutes`, `Timeframe::hours` and `Timeframe::days` convenience
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constructors, each building on seconds with a checked-multiplication
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overflow guard.
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### Changed
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- The indicator wiki is reorganised into eight family folders under
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`docs/wiki/indicators/` (`moving-averages/`, `momentum-oscillators/`,
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`trend-directional/`, `price-oscillators/`, `volatility-bands/`,
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`trailing-stops/`, `volume/`, `price-statistics/`); `Indicators-Overview.md`,
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`Home.md` and the README indicator table follow the same eight families.
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- `TickAggregator::push` returns `Result<Vec<Candle>>` (was
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`Result<Option<Candle>>`) so a single tick can yield a closed bar plus gap
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fillers.
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- `Resampler::push` returns `Result<Option<Candle>>`: a candle in a bucket
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earlier than the open bar is now rejected as out of order.
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- Aggregated candles are finalised through the validating `Candle::new`, so a
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volume that overflows to a non-finite value is surfaced as an error instead
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of producing a poisoned candle.
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- All GitHub Actions are pinned to commit SHAs; the four publish jobs run in a
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protected `release` environment.
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- The indicator benchmarks (`crates/wickra/benches/indicators.rs`) now run
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against the checked-in real BTCUSDT 1-minute dataset instead of a synthetic
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price series.
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- Every language's examples now live under a uniform `examples/<lang>/`
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tree: Rust moved into a new `examples/rust/` workspace member crate
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(`wickra-examples`, run via `cargo run -p wickra-examples --bin <name>`),
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Node into `examples/node/` with its own `package.json` linking `wickra` via
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`file:../../bindings/node`, and the WASM browser demos into
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`examples/wasm/`. The bundled BTCUSDT datasets move alongside them at
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`examples/data/`. Six new examples close the cross-language parity matrix:
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streaming demos for Python and Rust; multi-timeframe and parallel-assets
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demos for both Rust and Node.
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- Cross-language data-generator parity: `examples/python/fetch_btcusdt.py`
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(stdlib only: `urllib` + `json` + `csv`) and `examples/node/fetch_btcusdt.js`
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(Node 18+ built-in `fetch`) mirror the Rust `fetch_btcusdt` binary —
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byte-for-byte identical CSV output on the same Binance snapshot.
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- Four additional WebAssembly browser demos under `examples/wasm/`
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alongside the original `index.html`: `backtest.html` (fetch + basket of
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indicators), `live_trading.html` (browser-native `WebSocket` to
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Binance), `multi_timeframe.html` (in-page resample) and
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`parallel_assets.html` + `parallel_worker.js` (module-Worker pool with
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serial-vs-parallel speedup). The cross-language matrix is now closed
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for every cell where the pattern makes sense.
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- Three new wiki pages: `TA-Lib-Migration.md` (full mapping table from
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`talib.X(...)` calls to Wickra), `Cookbook.md` (seven concrete
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strategy recipes — RSI mean reversion, MACD crossover, Bollinger
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breakout, ADX-gated trend, multi-timeframe confirmation, SuperTrend,
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chained indicators) and `FAQ.md`. All three linked from `Home.md`.
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### Fixed
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- `Timeframe::floor` no longer overflows for timestamps near `i64::MIN`.
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- The aggregator rejects same-bucket ticks that arrive out of order instead of
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silently overwriting the bar's close with a stale price.
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- The Binance live stream reconnects with exponential backoff, skips non-kline
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frames, applies a read timeout and message-size limits, and tracks a closed
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flag.
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- Example scripts: `live_trading.py` skips non-kline frames and validates the
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symbol/interval; `backtest.py` and `multi_timeframe.py` report clear errors
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for malformed CSV input.
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## [0.1.4] - 2026-05-21
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### Added
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- GitHub Release runs now attach every built artefact (wheels, sdist, native
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Node binaries, npm-pack tarballs, cargo `.crate` files) to the tag's
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release page.
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## [0.1.3] - 2026-05-21
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### Fixed
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- npm package ships the napi-generated loader and is built with `--platform`
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so the per-platform binary is resolved correctly.
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## [0.1.2] - 2026-05-21
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### Fixed
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- Release pipeline: per-platform idempotent npm publishing with a spam-filter
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retry, and committed `npm/<platform>/` package templates.
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## [0.1.1] - 2026-05-21
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### Fixed
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- Node publish step and coordinated version bump across all bindings.
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## [0.1.0] - 2026-05-21
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### Added
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- Initial release: a streaming-first technical-analysis library with 25
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indicators (SMA, EMA, WMA, DEMA, TEMA, HMA, KAMA, RSI, MACD, ROC, Stochastic,
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CCI, Williams %R, ADX, MFI, TRIX, Aroon, Awesome Oscillator, Bollinger Bands,
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ATR, Keltner Channels, Donchian Channels, Parabolic SAR, OBV, VWAP).
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- Rust core (`wickra-core`), umbrella crate (`wickra`), and a data layer
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(`wickra-data`) with a CSV reader, tick aggregator, resampler, and an
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optional Binance live feed.
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- Bindings for Python, Node.js, and WebAssembly.
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[Unreleased]: https://github.com/kingchenc/wickra/compare/v0.2.0...HEAD
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[0.2.0]: https://github.com/kingchenc/wickra/compare/v0.1.4...v0.2.0
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[0.1.4]: https://github.com/kingchenc/wickra/compare/v0.1.3...v0.1.4
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[0.1.3]: https://github.com/kingchenc/wickra/compare/v0.1.2...v0.1.3
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[0.1.2]: https://github.com/kingchenc/wickra/compare/v0.1.1...v0.1.2
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[0.1.1]: https://github.com/kingchenc/wickra/compare/v0.1.0...v0.1.1
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[0.1.0]: https://github.com/kingchenc/wickra/releases/tag/v0.1.0
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