kingchencandGitHub
c096943bdf
Completes expansion-roadmap block **A2 — Market Breadth**: the 14 indicators that remained after the `AdvanceDecline` bootstrap, all built on the existing `CrossSection` input. ## Indicators (all scalar `Indicator<Input = CrossSection, Output = f64>`) | Indicator | Reading | |-----------|---------| | `AdvanceDeclineRatio` | advancers / decliners | | `AdVolumeLine` | cumulative net advancing volume | | `McClellanOscillator` | 19/39 EMAs of ratio-adjusted net advances | | `McClellanSummationIndex` | running total of the oscillator | | `Trin` (Arms Index) | A/D ratio over up/down volume ratio | | `BreadthThrust` (Zweig) | SMA of the advancing-issues share | | `NewHighsNewLows` | new highs − new lows | | `HighLowIndex` | SMA of the record-high percent | | `PercentAboveMa` | % of the universe above its MA | | `UpDownVolumeRatio` | advancing / declining volume | | `BullishPercentIndex` | % on a point-and-figure buy signal | | `CumulativeVolumeIndex` | volume-normalised cumulative net advancing volume | | `AbsoluteBreadthIndex` | \|advancers − decliners\| | | `TickIndex` | instantaneous net advancers − decliners | ## Input model `AdVolumeLine` and `CumulativeVolumeIndex` are kept distinct (the latter normalises each tick's net advancing volume by total volume, so it stays comparable across volume regimes). `PercentAboveMa` and `BullishPercentIndex` need a per-symbol state signal that `Member` did not carry, so `Member` gains two additive flags (`above_ma`, `on_buy_signal`) via a new `Member::with_signals` constructor; the 4-arg `Member::new` leaves both cleared, so every existing caller and binding is unchanged. `CrossSection` gains volume / new-extreme / state aggregation helpers. ## Wiring Fully wired across the Rust core, the python/node/wasm bindings, the cross-section fuzz target, the README + docs indicator counters (325 → 339), and dedicated python/node streaming-vs-batch tests. `fmt` / `test --workspace --all-features` / `clippy --workspace -D warnings` / node build+test / pytest all green locally.
139 lines
8.8 KiB
Rust
139 lines
8.8 KiB
Rust
//! `wickra-core`: streaming-first technical indicators.
|
|
//!
|
|
//! The core engine of Wickra. Every indicator is implemented as a state machine
|
|
//! that consumes inputs one at a time via [`Indicator::update`] in constant time.
|
|
//! Batch evaluation is provided as a blanket extension trait so the same code
|
|
//! path serves both online (tick-by-tick) and offline (historical) workloads.
|
|
//!
|
|
//! # Design
|
|
//!
|
|
//! - **Streaming-first.** State is held by the indicator instance, so a new value
|
|
//! only re-computes deltas, not the whole series.
|
|
//! - **Batch is free.** [`BatchExt::batch`] is a blanket implementation that
|
|
//! simply replays `update` over a slice. Writing one implementation gives both
|
|
//! APIs.
|
|
//! - **Composable.** Indicators implement [`Indicator<Input = f64, Output = f64>`]
|
|
//! wherever they conceptually take a price, so they can be chained via
|
|
//! [`Chain`].
|
|
//! - **No `unsafe`.** The crate forbids `unsafe_code` in the workspace lints.
|
|
//!
|
|
//! # Quick start
|
|
//!
|
|
//! ```
|
|
//! use wickra_core::{BatchExt, Indicator, Sma};
|
|
//!
|
|
//! // Streaming:
|
|
//! let mut sma = Sma::new(3).unwrap();
|
|
//! assert_eq!(sma.update(1.0), None);
|
|
//! assert_eq!(sma.update(2.0), None);
|
|
//! assert_eq!(sma.update(3.0), Some(2.0));
|
|
//!
|
|
//! // Batch (replays `update` internally):
|
|
//! let mut sma = Sma::new(3).unwrap();
|
|
//! let out = sma.batch(&[1.0, 2.0, 3.0, 4.0]);
|
|
//! assert_eq!(out, vec![None, None, Some(2.0), Some(3.0)]);
|
|
//! ```
|
|
|
|
#![cfg_attr(docsrs, feature(doc_cfg))]
|
|
// The libtest harness collects every `#[test]` into a compiler-generated array
|
|
// of test references. With 2000+ unit tests that array exceeds clippy's 16 KB
|
|
// `large_stack_arrays` threshold; the diagnostic is spanless libtest scaffolding,
|
|
// not our code, so it cannot be silenced at a call site. Suppress it only in test
|
|
// builds — library code is still linted for genuinely large stack arrays.
|
|
#![cfg_attr(test, allow(clippy::large_stack_arrays))]
|
|
|
|
mod cross_section;
|
|
mod derivatives;
|
|
mod error;
|
|
mod microstructure;
|
|
mod ohlcv;
|
|
mod traits;
|
|
|
|
pub mod indicators;
|
|
|
|
pub use cross_section::{CrossSection, Member};
|
|
pub use derivatives::DerivativesTick;
|
|
pub use error::{Error, Result};
|
|
pub use indicators::{
|
|
AbandonedBaby, AbsoluteBreadthIndex, AccelerationBands, AccelerationBandsOutput,
|
|
AcceleratorOscillator, AdOscillator, AdVolumeLine, AdaptiveCycle, Adl, AdvanceBlock,
|
|
AdvanceDecline, AdvanceDeclineRatio, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma,
|
|
Alpha, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator, AroonOutput, Atr, AtrBands,
|
|
AtrBandsOutput, AtrTrailingStop, Autocorrelation, AverageDrawdown, AvgPrice, AwesomeOscillator,
|
|
AwesomeOscillatorHistogram, BalanceOfPower, BeltHold, Beta, BetaNeutralSpread, BollingerBands,
|
|
BollingerBandwidth, BollingerOutput, BreadthThrust, Breakaway, BullishPercentIndex,
|
|
CalendarSpread, CalmarRatio, Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo,
|
|
ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput,
|
|
ChandelierExit, ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput,
|
|
ClosingMarubozu, Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput,
|
|
ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi, Coppock, Counterattack,
|
|
CumulativeVolumeDelta, CumulativeVolumeIndex, CyberneticCycle, Decycler, DecyclerOscillator,
|
|
Dema, DemandIndex, DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, DistanceSsd,
|
|
Doji, DojiStar, Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
|
|
DoubleBollingerOutput, DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx,
|
|
EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
|
|
EmpiricalModeDecomposition, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, Fama,
|
|
FibonacciPivots, FibonacciPivotsOutput, FisherTransform, Footprint, FootprintOutput,
|
|
ForceIndex, FractalChaosBands, FractalChaosBandsOutput, Frama, FundingBasis, FundingRate,
|
|
FundingRateMean, FundingRateZScore, GainLossRatio, GapSideBySideWhite, GarmanKlassVolatility,
|
|
GrangerCausality, GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput,
|
|
HiLoActivator, HighLowIndex, HighWave, Hikkake, HikkakeModified, HilbertDominantCycle,
|
|
HistoricalVolatility, Hma, HomingPigeon, HtDcPhase, HtPhasor, HtPhasorOutput, HtTrendMode,
|
|
HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, IdenticalThreeCrows,
|
|
InNeck, Inertia, InformationRatio, InitialBalance, InitialBalanceOutput,
|
|
InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma, KagiBars,
|
|
KalmanHedgeRatio, KalmanHedgeRatioOutput, Kama, KellyCriterion, Keltner, KeltnerOutput,
|
|
Kicking, KickingByLength, Kst, KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom,
|
|
LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput, LinRegAngle,
|
|
LinRegChannel, LinRegChannelOutput, LinRegIntercept, LinRegSlope, LinearRegression,
|
|
LiquidationFeatures, LiquidationFeaturesOutput, LongLeggedDoji, LongLine, LongShortRatio,
|
|
MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix, MacdIndicator, MacdOutput, Mama, MamaOutput,
|
|
MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, MaxDrawdown,
|
|
McClellanOscillator, McClellanSummationIndex, McGinleyDynamic, MedianAbsoluteDeviation,
|
|
MedianPrice, Mfi, Microprice, MidPoint, MidPrice, MinusDi, MinusDm, Mom, MorningDojiStar,
|
|
MorningEveningStar, Natr, NewHighsNewLows, Nvi, OIPriceDivergence, OIWeighted, Obv, OmegaRatio,
|
|
OnNeck, OpenInterestDelta, OpeningMarubozu, OpeningRange, OpeningRangeOutput,
|
|
OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, OuHalfLife, PainIndex,
|
|
PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentAboveMa,
|
|
PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud, PlusDi, PlusDm, Pmo,
|
|
PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi, QuotedSpread, RSquared, RealizedSpread,
|
|
RecoveryFactor, RelativeStrengthAB, RelativeStrengthOutput, RenkoBars, RenkoTrailingStop,
|
|
RickshawMan, RisingThreeMethods, Roc, Rocp, Rocr, Rocr100, RogersSatchellVolatility,
|
|
RollingCorrelation, RollingCovariance, RollingVwap, RoofingFilter, Rsi, Rvi, RviVolatility,
|
|
Rwi, RwiOutput, SarExt, SeparatingLines, SharpeRatio, ShootingStar, ShortLine, SignedVolume,
|
|
SineWave, Skewness, Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation, SpinningTop,
|
|
SpreadBollingerBands, SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError,
|
|
StandardErrorBands, StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev,
|
|
StepTrailingStop, StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother,
|
|
SuperTrend, SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown,
|
|
TdDeMarker, TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
|
|
TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
|
|
TdSequentialOutput, TdSetup, Tema, TermStructureBasis, ThreeInside, ThreeLineStrike,
|
|
ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickIndex, Tii, TpoProfile,
|
|
TpoProfileOutput, TradeImbalance, TreynorRatio, Trima, Trin, Trix, TrueRange, Tsf, Tsi, Tsv,
|
|
TtmSqueeze, TtmSqueezeOutput, Tweezer, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
|
|
UniqueThreeRiver, UpDownVolumeRatio, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea,
|
|
ValueAreaOutput, ValueAtRisk, Variance, VarianceRatio, VerticalHorizontalFilter, Vidya,
|
|
VoltyStop, VolumeOscillator, VolumePriceTrend, VolumeProfile, VolumeProfileOutput, Vortex,
|
|
VortexOutput, Vwap, VwapStdDevBands, VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend,
|
|
WaveTrendOutput, WeightedClose, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, Wma,
|
|
WoodiePivots, WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd,
|
|
ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
|
|
};
|
|
// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
|
|
// line so the indicator-count tooling (which scans the braced block above and
|
|
// strips only `*Output` companions) does not count it as a separate indicator.
|
|
pub use indicators::FootprintLevel;
|
|
// `MaType` is a moving-average selector enum used by `MacdExt`, re-exported on
|
|
// its own line so the indicator-count tooling does not count it as an indicator.
|
|
pub use indicators::MaType;
|
|
// Bar element types for the alt-chart builders, re-exported on their own lines so
|
|
// the indicator-count tooling (which scans only the braced block above) does not
|
|
// count them as separate indicators.
|
|
pub use indicators::KagiBar;
|
|
pub use indicators::PnfColumn;
|
|
pub use indicators::RenkoBrick;
|
|
pub use microstructure::{Level, OrderBook, Side, Trade, TradeQuote};
|
|
pub use ohlcv::{Candle, Tick};
|
|
pub use traits::{BarBuilder, BatchExt, Chain, Indicator};
|