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.
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.