kingchencandGitHub
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.
46 lines
1.5 KiB
Rust
46 lines
1.5 KiB
Rust
#![no_main]
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//! Fuzz trade-flow `Indicator<Input = Trade>` implementations with arbitrary
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//! trade tapes.
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//!
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//! Each iteration consumes a byte stream, interprets it as a sequence of `f64`
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//! values (8 bytes each), and packs consecutive values into `(price, size)`
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//! trades whose aggressor side alternates with the sign of the size field.
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//! Trades are built with `Trade::new_unchecked` so the fuzzer can explore
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//! degenerate values (non-finite, negative) that the validating constructor
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//! would reject — the indicators must never panic, streaming or batched.
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use libfuzzer_sys::fuzz_target;
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use wickra_core::{
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BatchExt, CumulativeVolumeDelta, Indicator, Side, SignedVolume, Trade, TradeImbalance,
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};
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#[inline(never)]
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fn drive<I>(make: impl Fn() -> I, trades: &[Trade])
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where
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I: Indicator<Input = Trade, Output = f64> + BatchExt,
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{
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let mut streaming = make();
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for &trade in trades {
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let _ = streaming.update(trade);
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}
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let _ = make().batch(trades);
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}
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fuzz_target!(|data: &[u8]| {
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let floats: Vec<f64> = data
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.chunks_exact(8)
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.map(|c| f64::from_le_bytes(c.try_into().expect("8 bytes")))
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.collect();
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let trades: Vec<Trade> = floats
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.chunks_exact(2)
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.map(|c| {
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let side = if c[1] >= 0.0 { Side::Buy } else { Side::Sell };
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Trade::new_unchecked(c[0], c[1], side, 0)
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})
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.collect();
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drive(SignedVolume::new, &trades);
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drive(CumulativeVolumeDelta::new, &trades);
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drive(|| TradeImbalance::new(5).unwrap(), &trades);
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});
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