kingchenc
9b8e1346ed
* feat(family-16): add ValueArea + InitialBalance + OpeningRange Opens family #16 (Market Profile) with the three OHLCV-compatible scalar / multi-output indicators: - ValueArea(period, bin_count, value_area_pct) -> {poc, vah, val}. Rolling bin-approximation volume profile over the last `period` candles. Each candle's volume is spread uniformly across [low, high]; POC is the bin with highest cumulative volume; the value area expands symmetrically from POC and always absorbs the higher-volume neighbour next, until `value_area_pct` (default 0.70) of total volume is enclosed. Defaults (20, 50, 0.70). - InitialBalance(period) -> {high, low}. Tracks session-opening high and low over the first `period` bars, then locks. Default period = 12 (one-hour IB on 5-minute bars for US equities). Callers MUST invoke reset() at every session boundary, otherwise IB stays fixed for the lifetime of the instance. - OpeningRange(period) -> {high, low, breakout_distance}. Same lock-after-N-bars semantics as IB with a shorter default period (6 = 30 min on 5-minute bars) and a third output that tracks close - or_mid (positive above the range mid, negative below). Histogram-output Market Profile variants (Volume Profile, VPVR, Composite Profile) are deferred because they need a new histogram output API layer rather than fixed-arity scalars. Tick-data-only variants (TPO Profile, Single Print, Order Flow Delta, Cumulative Delta, Volume-Weighted Open) are out of scope because `wickra-data` does not currently expose tick / L2 data. All four bindings (Rust core, Python, Node, WASM) ship the new indicators with parity tests; benches added; fuzz target extended. Counter 71 -> 74 across 8 -> 9 families. cargo check --workspace --all-features green. * fix(family-16): cover cold paths in InitialBalance + ValueArea InitialBalance::value() public getter had no test covering the post-update Some(...) branch — extended accessors_and_metadata to call value() after one update. ValueArea single-print bar path (c.high == c.low) was unreachable in existing tests since the only single-print test used a uniform 100-price window which exits early via the span == 0 guard; added a mixed-window test that triggers the c.high <= c.low branch directly. The (None, None) arm of the expansion match was by-construction unreachable (the loop condition already requires at least one neighbour) and has been folded into an if/else.
103 lines
3.0 KiB
Python
103 lines
3.0 KiB
Python
"""Input-validation tests: malformed NumPy inputs raise ValueError, not panics."""
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from __future__ import annotations
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import numpy as np
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import pytest
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import wickra as ta
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def test_non_contiguous_array_raises_value_error():
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# A strided view is not C-contiguous; batch() must reject it cleanly.
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base = np.linspace(1.0, 100.0, 60)
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non_contiguous = base[::2]
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assert not non_contiguous.flags["C_CONTIGUOUS"]
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with pytest.raises(ValueError):
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ta.SMA(5).batch(non_contiguous)
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def test_ascontiguousarray_recovers():
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base = np.linspace(1.0, 100.0, 60)
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fixed = np.ascontiguousarray(base[::2])
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out = ta.SMA(5).batch(fixed)
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assert out.shape == fixed.shape
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def test_unequal_length_candle_batch_raises(ohlc_series):
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high, low, close = ohlc_series
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short = low[:-1]
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with pytest.raises(ValueError):
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ta.ATR(14).batch(high, short, close)
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with pytest.raises(ValueError):
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ta.WilliamsR(14).batch(high, short, close)
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with pytest.raises(ValueError):
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ta.Aroon(14).batch(high, short)
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def test_roc_and_trix_have_default_periods():
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# ROC/TRIX gained constructor defaults matching the TA-Lib convention.
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assert ta.ROC().period == 10
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assert ta.TRIX() is not None
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def test_value_area_rejects_zero_period():
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with pytest.raises(ValueError):
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ta.ValueArea(0, 50, 0.7)
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with pytest.raises(ValueError):
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ta.ValueArea(20, 0, 0.7)
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def test_value_area_rejects_invalid_pct():
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with pytest.raises(ValueError):
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ta.ValueArea(20, 50, 0.0)
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with pytest.raises(ValueError):
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ta.ValueArea(20, 50, 1.5)
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def test_initial_balance_rejects_zero_period():
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with pytest.raises(ValueError):
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ta.InitialBalance(0)
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def test_opening_range_rejects_zero_period():
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with pytest.raises(ValueError):
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ta.OpeningRange(0)
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def test_value_area_unequal_length_raises():
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high = np.array([1.0, 2.0, 3.0])
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low = np.array([0.5, 1.5])
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volume = np.array([10.0, 10.0, 10.0])
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with pytest.raises(ValueError):
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ta.ValueArea(2, 10, 0.7).batch(high, low, volume)
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def test_ichimoku_rejects_zero_and_non_increasing_periods():
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with pytest.raises(ValueError):
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ta.Ichimoku(0, 26, 52, 26)
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with pytest.raises(ValueError):
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ta.Ichimoku(9, 26, 52, 0)
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# Periods must satisfy tenkan < kijun < senkou_b.
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with pytest.raises(ValueError):
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ta.Ichimoku(26, 9, 52, 26)
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with pytest.raises(ValueError):
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ta.Ichimoku(9, 52, 52, 26)
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def test_family_10_ehlers_rejects_invalid_parameters():
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with pytest.raises(ValueError):
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ta.SuperSmoother(0)
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with pytest.raises(ValueError):
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ta.FisherTransform(0)
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with pytest.raises(ValueError):
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ta.InverseFisherTransform(0.0)
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with pytest.raises(ValueError):
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ta.DecyclerOscillator(30, 10)
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with pytest.raises(ValueError):
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ta.RoofingFilter(48, 10)
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with pytest.raises(ValueError):
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ta.MAMA(0.05, 0.5)
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with pytest.raises(ValueError):
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ta.EmpiricalModeDecomposition(20, 0.0)
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