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kingchenc a530f1b4cb perf(ulcer-index): track trailing max with a monotone deque (R1, B-Opus-2) 
`UlcerIndex::update` previously scanned the full `period`-window every
tick via `prices.iter().fold(NEG_INFINITY, f64::max)`, breaking the
`Indicator` trait's O(1) contract. For long windows (e.g. period 50+ on
a live tick stream) this turned a constant-time update into an O(period)
one, and full-history batch replays into O(n · period).

The window of raw prices is replaced with a monotonically-decreasing
deque of `(index, price)` pairs. On every push, all back entries
`<= input` are popped (they can never be the trailing max again, since
they are dominated and at least as old). On every step, the front is
popped if its index is older than `count - period + 1`. The deque's
front is therefore always the trailing max in O(1). `count: u64` is the
1-based input counter that drives expiration; on `reset()` it returns
to zero alongside the deque and the drawdown state.

Behaviour is unchanged: same per-tick values, same warmup
(`2 * period - 1`), same non-finite-input semantics. A new test
`monotone_deque_matches_naive_max_on_adversarial_inputs` compares the
deque output bar-by-bar against an independent O(n) trailing-max scan on
inputs designed to hit every code path: strictly increasing (full tail
pops), strictly decreasing (head expirations only), constants (the
`<= input` pop rule keeps a single newest entry), and a sawtooth.

The doc comment on `warmup_period()` is also corrected (B-Opus-2): the
two windows overlap by one bar, so the formula is `2 * period - 1`, not
`2 * period`.
2026-05-23 01:46:24 +02:00

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# Changelog
All notable changes to Wickra are documented in this file.
The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
## [Unreleased]
### Changed
- `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](https://rustsec.org/advisories/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.
[Unreleased]: https://github.com/kingchenc/wickra/compare/v0.1.4...HEAD
[0.1.4]: https://github.com/kingchenc/wickra/compare/v0.1.3...v0.1.4
[0.1.3]: https://github.com/kingchenc/wickra/compare/v0.1.2...v0.1.3
[0.1.2]: https://github.com/kingchenc/wickra/compare/v0.1.1...v0.1.2
[0.1.1]: https://github.com/kingchenc/wickra/compare/v0.1.0...v0.1.1
[0.1.0]: https://github.com/kingchenc/wickra/releases/tag/v0.1.0
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