kingchenc
fcb221ec03
Adds 19 streaming indicators so an external trading-bot feature extractor can replace its hand-built features with native, batch/streaming-equivalent ones. Each is a real gap (verified against the existing catalogue), production-only, with full Python/Node/WASM bindings, fuzz drivers, and tests. Five commits, one per family group; counter 377 -> 396. ## What's added **Price Statistics (6)** — `LogReturn`, `RealizedVolatility` (raw quadratic variation, the un-annualised counterpart to `HistoricalVolatility`), `RollingQuantile`, `RollingIqr`, `RollingPercentileRank`, `SpreadAr1Coefficient` (pairwise AR(1) rho of the spread; complements `OuHalfLife`). **Price Action (4)** — `CloseVsOpen`, `BodySizePct`, `WickRatio`, `HighLowRange` (stateless per-bar OHLC transforms). **Regime / Trend / Jump labels (3)** — `TrendLabel` (sign of the rolling OLS slope), `JumpIndicator` (return outliers vs trailing volatility, measured as deviation from the trailing mean so steady drift is not flagged), `RegimeLabel` (volatility-quantile regime split). **Risk / Performance (2)** — `WinRate`, `Expectancy` (R-multiple). **Microstructure (4)** — `OrderFlowImbalance` (Cont-Kukanov-Stoikov OFI), `Vpin`, `AmihudIlliquidity`, `RollMeasure`. These reuse the existing `OrderBook` / `Trade` inputs (no new input type). ## Intentionally NOT added (already present, would be duplicates) - **Population skew / kurtosis** — `skewness.rs` / `kurtosis.rs` are already population moments (divisor n). - **Hurst R/S** — `hurst_exponent.rs` already uses rescaled-range (R/S) analysis. - **Queue Imbalance** — exactly `OrderBookImbalanceTop1` ((bidSize - askSize) / (bidSize + askSize)). ## Verification `cargo test -p wickra-core` (lib 3187 + doc 354), `cargo clippy --workspace --all-targets --all-features -D warnings` clean, node `npm run build && npm test` (471), python `pytest` (784). Counter consistent across `mod.rs`, lib block, README, and docs/README at 396.
Fuzzing Wickra
cargo-fuzz harnesses for
the parsing and stateful entry points of Wickra. Fuzzing requires a nightly
Rust toolchain.
Setup
cargo install cargo-fuzz
rustup toolchain install nightly
Targets
| Target | What it exercises |
|---|---|
csv_reader |
CandleReader over arbitrary bytes — headers, cells, BOM, binary noise. |
binance_envelope |
RawWsEnvelope deserialization from arbitrary strings. |
indicator_update |
Every scalar-input indicator (SMA / EMA / WMA / RSI / DEMA / TEMA / HMA / ROC / TRIX / SMMA / TRIMA / ZLEMA / KAMA / T3 / MOM / CMO / TSI / PMO / StochRSI / DPO / PPO / Coppock / StdDev / UlcerIndex / HistoricalVolatility / LinearRegression / LinRegSlope / LinRegAngle / VHF / ZScore / MACD / Bollinger) streamed + batched over arbitrary f64 sequences (NaN, ±inf, jumps). |
indicator_update_candle |
Every candle-input indicator (ATR, NATR, TrueRange, ChaikinVolatility, Keltner, Donchian, PSAR, SuperTrend, ChandelierExit, ChandeKrollStop, ATRTrailingStop, ADX, Aroon, AroonOscillator, Vortex, MassIndex, ChoppinessIndex, CCI, WilliamsR, AwesomeOscillator, AcceleratorOscillator, UltimateOscillator, BalanceOfPower, OBV, MFI, VWAP, RollingVWAP, VWMA, ADL, VPT, CMF, ChaikinOscillator, ForceIndex, EaseOfMovement, TypicalPrice, MedianPrice, WeightedClose, Stochastic) streamed + batched over fuzz-derived OHLCV candles. |
tick_aggregator |
TickAggregator over arbitrary (price, volume, timestamp) triples. |
Run
# From the repository root:
cargo +nightly fuzz run csv_reader
cargo +nightly fuzz run binance_envelope
cargo +nightly fuzz run indicator_update
cargo +nightly fuzz run indicator_update_candle
cargo +nightly fuzz run tick_aggregator
Each run continues until a crash is found or it is interrupted. A short time-boxed smoke run is useful in CI:
cargo +nightly fuzz run csv_reader -- -max_total_time=60
The expectation for every target is that it never panics: malformed or
adversarial input must surface as an Err, never a crash.