kingchenc
5867f71450
* feat(core): add 3 trade-flow microstructure indicators SignedVolume (per-trade size signed by aggressor), CumulativeVolumeDelta (running signed-volume total), and TradeImbalance (rolling buy/sell volume imbalance over a trade window). All consume the Trade type, with full unit coverage. Extends the Microstructure family. * feat(bindings): expose trade-flow microstructure indicators Python, Node and WASM bindings for SignedVolume, CumulativeVolumeDelta and TradeImbalance. Each takes a trade via update(price, size, is_buy); Python and Node expose a batch over three parallel arrays, WASM exposes per-trade update. Regenerates node index.d.ts/.js. * test(bindings,fuzz,bench): cover trade-flow microstructure indicators Python and Node: reference values, streaming-vs-batch, lifecycle/repr and input validation (zero window, negative size, non-positive price, mismatched batch lengths). New indicator_update_trade fuzz target. Synthetic trade-tape benches (signed_volume cheapest, trade_imbalance windowed/expensive). * docs: add trade-flow indicators + bump counter to 227 README Microstructure family row gains signed volume / CVD / trade imbalance and the counter goes 224 -> 227; CHANGELOG records the trade-flow indicators.
519 lines
9.3 KiB
Python
519 lines
9.3 KiB
Python
"""Wickra: streaming-first technical indicators.
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Every indicator is available both in streaming mode (call ``update(value)`` per
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new data point) and batch mode (call ``batch(numpy_array)`` over a full series).
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Warmup positions in batch output are returned as ``NaN`` so the shape always
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matches the input.
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Example::
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import numpy as np
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import wickra as ta
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prices = np.linspace(100, 200, 1000)
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rsi = ta.RSI(14)
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values = rsi.batch(prices) # numpy array, NaN during warmup
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# Or streaming:
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rsi = ta.RSI(14)
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for p in prices:
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v = rsi.update(p) # None during warmup, then float
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"""
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from __future__ import annotations
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from ._wickra import (
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__version__,
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# Trend
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SMA,
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EMA,
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WMA,
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DEMA,
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TEMA,
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HMA,
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KAMA,
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SMMA,
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TRIMA,
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ZLEMA,
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T3,
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VWMA,
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ALMA,
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McGinleyDynamic,
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FRAMA,
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VIDYA,
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JMA,
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Alligator,
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EVWMA,
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# Momentum
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RSI,
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MACD,
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Stochastic,
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CCI,
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ROC,
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WilliamsR,
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ADX,
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ADXR,
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MFI,
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TRIX,
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AwesomeOscillator,
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Aroon,
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MOM,
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CMO,
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TSI,
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PMO,
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TII,
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KST,
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StochRSI,
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UltimateOscillator,
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RVI,
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PGO,
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KST,
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SMI,
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LaguerreRSI,
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ConnorsRSI,
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Inertia,
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APO,
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AwesomeOscillatorHistogram,
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CFO,
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ZeroLagMACD,
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ElderImpulse,
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STC,
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PPO,
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DPO,
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Coppock,
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AroonOscillator,
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Vortex,
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RWI,
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WaveTrend,
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MassIndex,
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AcceleratorOscillator,
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BalanceOfPower,
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ChoppinessIndex,
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VerticalHorizontalFilter,
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# Volatility
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BollingerBands,
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ATR,
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Keltner,
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Donchian,
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PSAR,
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NATR,
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StdDev,
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UlcerIndex,
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HistoricalVolatility,
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BollingerBandwidth,
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PercentB,
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SuperTrend,
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ChandelierExit,
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ChandeKrollStop,
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AtrTrailingStop,
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HiLoActivator,
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VoltyStop,
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YoyoExit,
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DonchianStop,
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PercentageTrailingStop,
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StepTrailingStop,
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RenkoTrailingStop,
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TrueRange,
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ChaikinVolatility,
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RVIVolatility,
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ParkinsonVolatility,
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GarmanKlassVolatility,
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RogersSatchellVolatility,
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YangZhangVolatility,
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# Volume
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OBV,
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VWAP,
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RollingVWAP,
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ADL,
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VolumePriceTrend,
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ChaikinMoneyFlow,
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ChaikinOscillator,
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ForceIndex,
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KVO,
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VolumeOscillator,
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NVI,
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PVI,
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WilliamsAD,
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AnchoredVWAP,
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DemandIndex,
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TSV,
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VZO,
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MarketFacilitationIndex,
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EaseOfMovement,
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# Statistics
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TypicalPrice,
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MedianPrice,
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WeightedClose,
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LinearRegression,
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LinRegSlope,
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ZScore,
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LinRegAngle,
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Variance,
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CoefficientOfVariation,
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Skewness,
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Kurtosis,
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StandardError,
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DetrendedStdDev,
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RSquared,
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Autocorrelation,
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MedianAbsoluteDeviation,
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HurstExponent,
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PearsonCorrelation,
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Beta,
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PairwiseBeta,
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PairSpreadZScore,
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LeadLagCrossCorrelation,
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Cointegration,
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RelativeStrengthAB,
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SpearmanCorrelation,
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# Ehlers / Cycle
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SuperSmoother,
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FisherTransform,
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InverseFisherTransform,
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Decycler,
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DecyclerOscillator,
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RoofingFilter,
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CenterOfGravity,
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CyberneticCycle,
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InstantaneousTrendline,
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EhlersStochastic,
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EmpiricalModeDecomposition,
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HilbertDominantCycle,
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AdaptiveCycle,
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SineWave,
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MAMA,
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FAMA,
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# Bands & Channels
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MaEnvelope,
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AccelerationBands,
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StarcBands,
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AtrBands,
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HurstChannel,
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LinRegChannel,
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StandardErrorBands,
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DoubleBollinger,
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TtmSqueeze,
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FractalChaosBands,
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VwapStdDevBands,
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# Pivots & S/R
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ClassicPivots,
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FibonacciPivots,
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Camarilla,
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WoodiePivots,
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DemarkPivots,
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WilliamsFractals,
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ZigZag,
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# DeMark
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TDSetup,
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TDSequential,
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TDDeMarker,
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TDREI,
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TDPressure,
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TDCombo,
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TDCountdown,
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TDLines,
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TDRangeProjection,
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TDDifferential,
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TDOpen,
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TDRiskLevel,
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# Ichimoku & alternative charts
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Ichimoku,
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HeikinAshi,
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# Market Profile
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ValueArea,
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InitialBalance,
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OpeningRange,
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# Candlestick patterns
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Doji,
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Hammer,
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InvertedHammer,
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HangingMan,
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ShootingStar,
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Engulfing,
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Harami,
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MorningEveningStar,
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ThreeSoldiersOrCrows,
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PiercingDarkCloud,
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Marubozu,
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Tweezer,
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SpinningTop,
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ThreeInside,
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ThreeOutside,
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# Microstructure: order book
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OrderBookImbalanceTop1,
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OrderBookImbalanceTopN,
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OrderBookImbalanceFull,
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Microprice,
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QuotedSpread,
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# Microstructure: trade flow
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SignedVolume,
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CumulativeVolumeDelta,
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TradeImbalance,
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# Risk / Performance
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SharpeRatio,
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SortinoRatio,
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CalmarRatio,
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OmegaRatio,
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MaxDrawdown,
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AverageDrawdown,
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DrawdownDuration,
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PainIndex,
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ValueAtRisk,
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ConditionalValueAtRisk,
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ProfitFactor,
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GainLossRatio,
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RecoveryFactor,
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KellyCriterion,
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TreynorRatio,
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InformationRatio,
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Alpha,
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)
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__all__ = [
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"__version__",
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# Trend
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"SMA",
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"EMA",
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"WMA",
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"DEMA",
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"TEMA",
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"HMA",
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"KAMA",
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"SMMA",
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"TRIMA",
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"ZLEMA",
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"T3",
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"VWMA",
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"ALMA",
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"McGinleyDynamic",
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"FRAMA",
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"VIDYA",
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"JMA",
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"Alligator",
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"EVWMA",
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# Momentum
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"RSI",
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"MACD",
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"Stochastic",
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"CCI",
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"ROC",
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"WilliamsR",
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"ADX",
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"ADXR",
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"MFI",
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"TRIX",
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"AwesomeOscillator",
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"Aroon",
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"MOM",
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"CMO",
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"TSI",
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"PMO",
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"TII",
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"KST",
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"StochRSI",
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"UltimateOscillator",
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"RVI",
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"PGO",
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"KST",
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"SMI",
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"LaguerreRSI",
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"ConnorsRSI",
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"Inertia",
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"APO",
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"AwesomeOscillatorHistogram",
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"CFO",
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"ZeroLagMACD",
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"ElderImpulse",
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"STC",
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"PPO",
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"DPO",
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"Coppock",
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"AroonOscillator",
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"Vortex",
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"RWI",
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"WaveTrend",
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"MassIndex",
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"AcceleratorOscillator",
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"BalanceOfPower",
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"ChoppinessIndex",
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"VerticalHorizontalFilter",
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# Volatility
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"BollingerBands",
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"ATR",
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"Keltner",
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"Donchian",
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"PSAR",
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"NATR",
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"StdDev",
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"UlcerIndex",
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"HistoricalVolatility",
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"BollingerBandwidth",
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"PercentB",
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"SuperTrend",
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"ChandelierExit",
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"ChandeKrollStop",
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"AtrTrailingStop",
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"HiLoActivator",
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"VoltyStop",
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"YoyoExit",
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"DonchianStop",
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"PercentageTrailingStop",
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"StepTrailingStop",
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"RenkoTrailingStop",
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"TrueRange",
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"ChaikinVolatility",
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"RVIVolatility",
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"ParkinsonVolatility",
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"GarmanKlassVolatility",
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"RogersSatchellVolatility",
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"YangZhangVolatility",
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# Volume
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"OBV",
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"VWAP",
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"RollingVWAP",
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"ADL",
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"VolumePriceTrend",
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"ChaikinMoneyFlow",
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"ChaikinOscillator",
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"ForceIndex",
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"KVO",
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"VolumeOscillator",
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"NVI",
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"PVI",
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"WilliamsAD",
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"AnchoredVWAP",
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"DemandIndex",
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"TSV",
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"VZO",
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"MarketFacilitationIndex",
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"EaseOfMovement",
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# Statistics
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"TypicalPrice",
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"MedianPrice",
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"WeightedClose",
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"LinearRegression",
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"LinRegSlope",
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"ZScore",
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"LinRegAngle",
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"Variance",
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"CoefficientOfVariation",
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"Skewness",
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"Kurtosis",
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"StandardError",
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"DetrendedStdDev",
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"RSquared",
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"Autocorrelation",
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"MedianAbsoluteDeviation",
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"HurstExponent",
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"PearsonCorrelation",
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"Beta",
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"PairwiseBeta",
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"PairSpreadZScore",
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"LeadLagCrossCorrelation",
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"Cointegration",
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"RelativeStrengthAB",
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"SpearmanCorrelation",
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# Ehlers / Cycle
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"SuperSmoother",
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"FisherTransform",
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"InverseFisherTransform",
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"Decycler",
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"DecyclerOscillator",
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"RoofingFilter",
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"CenterOfGravity",
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"CyberneticCycle",
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"InstantaneousTrendline",
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"EhlersStochastic",
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"EmpiricalModeDecomposition",
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"HilbertDominantCycle",
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"AdaptiveCycle",
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"SineWave",
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"MAMA",
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"FAMA",
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# Bands & Channels
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"MaEnvelope",
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"AccelerationBands",
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"StarcBands",
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"AtrBands",
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"HurstChannel",
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"LinRegChannel",
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"StandardErrorBands",
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"DoubleBollinger",
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"TtmSqueeze",
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"FractalChaosBands",
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"VwapStdDevBands",
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# Pivots & S/R
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"ClassicPivots",
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"FibonacciPivots",
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"Camarilla",
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"WoodiePivots",
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"DemarkPivots",
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"WilliamsFractals",
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"ZigZag",
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# DeMark
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"TDSetup",
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"TDSequential",
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"TDDeMarker",
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"TDREI",
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"TDPressure",
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"TDCombo",
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"TDCountdown",
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"TDLines",
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"TDRangeProjection",
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"TDDifferential",
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"TDOpen",
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"TDRiskLevel",
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# Ichimoku & alternative charts
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"Ichimoku",
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"HeikinAshi",
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# Market Profile
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"ValueArea",
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"InitialBalance",
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"OpeningRange",
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# Candlestick patterns
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"Doji",
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"Hammer",
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"InvertedHammer",
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"HangingMan",
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"ShootingStar",
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"Engulfing",
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"Harami",
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"MorningEveningStar",
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"ThreeSoldiersOrCrows",
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"PiercingDarkCloud",
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"Marubozu",
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"Tweezer",
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"SpinningTop",
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"ThreeInside",
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"ThreeOutside",
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# Microstructure: order book
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"OrderBookImbalanceTop1",
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"OrderBookImbalanceTopN",
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"OrderBookImbalanceFull",
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"Microprice",
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"QuotedSpread",
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# Microstructure: trade flow
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"SignedVolume",
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"CumulativeVolumeDelta",
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"TradeImbalance",
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# Risk / Performance
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"SharpeRatio",
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"SortinoRatio",
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"CalmarRatio",
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"OmegaRatio",
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"MaxDrawdown",
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"AverageDrawdown",
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"DrawdownDuration",
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"PainIndex",
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"ValueAtRisk",
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"ConditionalValueAtRisk",
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"ProfitFactor",
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"GainLossRatio",
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"RecoveryFactor",
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"KellyCriterion",
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"TreynorRatio",
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"InformationRatio",
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"Alpha",
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]
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