kingchenc
a3a1ae4dba
Adds ten pairwise `(f64, f64)` indicators to the **Price Statistics** family, completing the A1 stat-arb expansion block.
## Indicators
**Scalar output:**
- **RollingCorrelation** — rolling Pearson correlation of period-over-period *returns* (distinct from level-based `PearsonCorrelation`).
- **RollingCovariance** — rolling covariance of returns.
- **OuHalfLife** — Ornstein–Uhlenbeck half-life of mean reversion of the spread `a − b`.
- **SpreadHurst** — Hurst exponent of the spread (variance-of-lagged-differences fit) for regime detection.
- **DistanceSsd** — Gatev sum-of-squared-deviations between two start-normalised series.
- **BetaNeutralSpread** — rolling OLS regression residual `a − (α + β·b)`.
- **VarianceRatio** — Lo–MacKinlay variance-ratio test on the spread (two params: `period`, `q`).
- **GrangerCausality** — F-statistic for whether `b` predicts `a` (two params: `period`, `lag`).
**Struct output (custom bindings):**
- **KalmanHedgeRatio** — dynamic hedge ratio via a Kalman filter → `{ hedgeRatio, intercept, spread }`.
- **SpreadBollingerBands** — Bollinger bands on the spread → `{ middle, upper, lower, percentB }`.
## Notes
- No new traits or input families: all use the native `Indicator<Input = (f64, f64)>` (precedent `Beta`, `Cointegration`).
- Adds `Error::InvalidParameter` for floating-point constructor parameters (Kalman `delta`/`observation_var`, `num_std`).
- Full Python/Node/WASM bindings; the two struct-output indicators are hand-written, the rest use the pair macros.
- Indicator count 315 → 325; README, family rows, `__init__`, fuzz target, and CHANGELOG updated.
## Verification
- `cargo test --workspace --all-features` — green (2676 core lib + 308 doc).
- `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean.
- Node: `npm run build && npm test` — 410 passing (`index.d.ts`/`index.js` regenerated).
- Python: `pytest` — 684 passing.
74 lines
3.4 KiB
Rust
74 lines
3.4 KiB
Rust
//! Error types used across `wickra-core`.
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use thiserror::Error;
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/// Errors that can occur when constructing or operating on an indicator.
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#[derive(Debug, Clone, PartialEq, Eq, Error)]
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pub enum Error {
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/// A period (window length) must be at least one.
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#[error("period must be greater than zero")]
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PeriodZero,
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/// A specific minimum period requirement was not met (e.g. MACD needs slow > fast).
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#[error("invalid period: {message}")]
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InvalidPeriod { message: &'static str },
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/// A non-finite value (NaN or infinity) was passed where a finite price was expected.
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#[error("input value must be finite (got NaN or infinity)")]
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NonFiniteInput,
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/// A candle whose components do not form a valid bar (e.g. high < low) was provided.
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#[error("invalid candle: {message}")]
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InvalidCandle { message: &'static str },
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/// A tick whose components do not satisfy the tick invariants (e.g. negative
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/// volume) was provided. Ticks are a different concept from candles and
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/// surface as their own variant so consumers of a tick-stream pipeline
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/// can match on a semantically-correct error instead of `InvalidCandle`.
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#[error("invalid tick: {message}")]
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InvalidTick { message: &'static str },
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/// A multiplier or factor must be strictly positive.
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#[error("multiplier must be greater than zero")]
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NonPositiveMultiplier,
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/// An order-book snapshot whose levels do not satisfy the book invariants
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/// (e.g. a crossed book, non-finite price, negative size, or mis-sorted
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/// levels) was provided. Order books are a microstructure input distinct
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/// from candles and ticks, so they surface as their own variant.
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#[error("invalid order book: {message}")]
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InvalidOrderBook { message: &'static str },
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/// A trade whose components do not satisfy the trade invariants (e.g.
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/// non-finite price or negative size) was provided.
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#[error("invalid trade: {message}")]
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InvalidTrade { message: &'static str },
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/// A derivatives tick whose components do not satisfy the tick invariants
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/// (e.g. a non-positive price, a non-finite funding rate, or a negative
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/// size/volume/liquidation) was provided. Derivatives ticks (funding /
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/// open-interest / liquidation feeds) are a perpetual-futures input
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/// distinct from candles, order books and trades, so they surface as their
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/// own variant.
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#[error("invalid derivatives tick: {message}")]
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InvalidDerivatives { message: &'static str },
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/// A market-breadth cross-section whose members do not satisfy the
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/// cross-section invariants (an empty universe, a non-finite change, or a
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/// negative / non-finite volume) was provided. A cross-section is a
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/// breadth input distinct from candles, ticks, order books and trades, so
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/// it surfaces as its own variant.
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#[error("invalid cross-section: {message}")]
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InvalidCrossSection { message: &'static str },
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/// A real-valued configuration parameter was outside its admissible range
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/// (e.g. a non-positive standard-deviation multiplier, or a Kalman filter
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/// covariance that is not strictly positive). This is the floating-point
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/// analogue of [`Error::InvalidPeriod`], which only covers integer windows.
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#[error("invalid parameter: {message}")]
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InvalidParameter { message: &'static str },
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}
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/// Convenience alias for `Result<T, wickra_core::Error>`.
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pub type Result<T> = core::result::Result<T, Error>;
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