kingchenc
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.
75 lines
1.4 KiB
TOML
75 lines
1.4 KiB
TOML
[package]
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name = "wickra-fuzz"
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version = "0.0.0"
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publish = false
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edition = "2021"
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[package.metadata]
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cargo-fuzz = true
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[dependencies]
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libfuzzer-sys = "0.4"
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serde_json = "1"
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wickra-core = { path = "../crates/wickra-core" }
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wickra-data = { path = "../crates/wickra-data", features = ["live-binance"] }
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# Detach this crate from the parent workspace — cargo-fuzz builds it on its
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# own with sanitizer flags.
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[workspace]
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[[bin]]
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name = "csv_reader"
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path = "fuzz_targets/csv_reader.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "binance_envelope"
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path = "fuzz_targets/binance_envelope.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update"
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path = "fuzz_targets/indicator_update.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_candle"
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path = "fuzz_targets/indicator_update_candle.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_pair"
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path = "fuzz_targets/indicator_update_pair.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_orderbook"
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path = "fuzz_targets/indicator_update_orderbook.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_trade"
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path = "fuzz_targets/indicator_update_trade.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "tick_aggregator"
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path = "fuzz_targets/tick_aggregator.rs"
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test = false
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doc = false
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bench = false
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