wickra-wasm 0.4.0 → 0.4.2

package/README.md

@@ -1,5 +1,5 @@
 <p align="center">
-  <a href="https://wickra.org"><img src="https://wickra.org/og-banner.webp" alt="Wickra — streaming-first technical indicators" width="100%"></a>
+  <a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=227" alt="Wickra — streaming-first technical indicators" width="100%"></a>
 </p>
 
 [![CI](https://github.com/wickra-lib/wickra/actions/workflows/ci.yml/badge.svg)](https://github.com/wickra-lib/wickra/actions/workflows/ci.yml)
@@ -12,6 +12,7 @@
 [![License: PolyForm-NC](https://img.shields.io/badge/license-PolyForm--NC--1.0.0-purple)](LICENSE)
 [![OpenSSF Scorecard](https://api.securityscorecards.dev/projects/github.com/wickra-lib/wickra/badge)](https://scorecard.dev/viewer/?uri=github.com/wickra-lib/wickra)
 [![Build provenance](https://img.shields.io/badge/provenance-attested-brightgreen?logo=github)](https://github.com/wickra-lib/wickra/attestations)
+[![Docs](https://img.shields.io/badge/docs-docs.wickra.org-0ea5e9?logo=readthedocs&logoColor=white)](https://docs.wickra.org)
 
 **Streaming-first technical indicators. Install with `pip install wickra` — no system dependencies.**
 
@@ -37,6 +38,25 @@ for price in live_feed:
         print("overbought")
 ```
 
+## Documentation
+
+Full documentation lives at **[docs.wickra.org](https://docs.wickra.org)**:
+
+- **Quickstarts** — [Rust](https://docs.wickra.org/Quickstart-Rust),
+  [Python](https://docs.wickra.org/Quickstart-Python),
+  [Node](https://docs.wickra.org/Quickstart-Node),
+  [WASM](https://docs.wickra.org/Quickstart-WASM).
+- **Indicators** — a per-indicator deep dive (formula, parameters, warmup) for
+  every one of the 227 indicators; start at the
+  [indicators overview](https://docs.wickra.org/Indicators-Overview).
+- **Reference** — [warmup periods](https://docs.wickra.org/Warmup-Periods),
+  [streaming vs batch](https://docs.wickra.org/Streaming-vs-Batch),
+  [indicator chaining](https://docs.wickra.org/Indicator-Chaining), the
+  [data layer](https://docs.wickra.org/Data-Layer).
+- **Guides** — [Cookbook](https://docs.wickra.org/Cookbook),
+  [TA-Lib migration](https://docs.wickra.org/TA-Lib-Migration),
+  [FAQ](https://docs.wickra.org/FAQ).
+
 ## Why Wickra exists
 
 The Python TA ecosystem has plenty of libraries — TA-Lib, pandas-ta, finta,
@@ -115,9 +135,10 @@ python -m benchmarks.compare_libraries
 
 ## Indicators
 
-214 streaming-first indicators across sixteen families. Every one passes the
+227 streaming-first indicators across seventeen families. Every one passes the
 `batch == streaming` equivalence test, reference-value tests, and reset
-semantics tests.
+semantics tests. Each has a per-indicator deep dive (formula, parameters,
+warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
 
 | Family | Indicators |
 |--------|-----------|
@@ -129,15 +150,22 @@ semantics tests.
 | Bands & Channels     | MA Envelope, Acceleration Bands, STARC Bands, ATR Bands, Hurst Channel, LinReg Channel, Standard Error Bands, Double Bollinger Bands, TTM Squeeze, Fractal Chaos Bands, VWAP StdDev Bands |
 | Trailing Stops       | Parabolic SAR, SuperTrend, Chandelier Exit, Chande Kroll Stop, ATR Trailing Stop, HiLo Activator, Volty Stop, Yo-Yo Exit, Donchian Channel Stop, Percentage Trailing Stop, Step Trailing Stop, Renko Trailing Stop |
 | Volume               | OBV, VWAP (cumulative + rolling), ADL, Volume-Price Trend, Chaikin Money Flow, Chaikin Oscillator, Force Index, Ease of Movement, Klinger Volume Oscillator, Volume Oscillator, NVI, PVI, Williams A/D, Anchored VWAP, Demand Index, TSV, VZO, Market Facilitation Index |
-| Price Statistics     | Typical Price, Median Price, Weighted Close, Linear Regression, Linear Regression Slope, Z-Score, Linear Regression Angle, Variance, Coefficient of Variation, Skewness, Kurtosis, Standard Error, Detrended StdDev, R², Median Absolute Deviation, Autocorrelation, Hurst Exponent, Pearson Correlation, Beta, Spearman Correlation |
+| Price Statistics     | Typical Price, Median Price, Weighted Close, Linear Regression, Linear Regression Slope, Z-Score, Linear Regression Angle, Variance, Coefficient of Variation, Skewness, Kurtosis, Standard Error, Detrended StdDev, R², Median Absolute Deviation, Autocorrelation, Hurst Exponent, Pearson Correlation, Beta, Pairwise Beta, Pair Spread Z-Score, Lead-Lag Cross-Correlation, Cointegration, Relative Strength A-vs-B, Spearman Correlation |
 | Ehlers / Cycle (DSP) | MAMA, FAMA, Fisher Transform, Inverse Fisher Transform, SuperSmoother, Hilbert Dominant Cycle, Sine Wave, Decycler, Decycler Oscillator, Roofing Filter, Center of Gravity, Cybernetic Cycle, Adaptive Cycle, Empirical Mode Decomposition, Ehlers Stochastic, Instantaneous Trendline |
 | Pivots & S/R         | Classic Pivots, Fibonacci Pivots, Camarilla, Woodie Pivots, DeMark Pivots, Williams Fractals, ZigZag |
 | DeMark               | TD Setup, TD Sequential, TD DeMarker, TD REI, TD Pressure, TD Combo, TD Countdown, TD Lines, TD Range Projection, TD Differential, TD Open, TD Risk Level |
 | Ichimoku & Charts    | Ichimoku Kinko Hyo (Tenkan, Kijun, Senkou A/B, Chikou), Heikin-Ashi |
 | Candlestick Patterns | Doji, Hammer, Inverted Hammer, Hanging Man, Shooting Star, Engulfing, Harami, Morning/Evening Star, Three White Soldiers/Black Crows, Piercing Line/Dark Cloud Cover, Marubozu, Tweezer, Spinning Top, Three Inside Up/Down, Three Outside Up/Down |
+| Microstructure       | Order-Book Imbalance (Top-1 / Top-N / Full), Microprice, Quoted Spread, Signed Volume, Cumulative Volume Delta, Trade Imbalance |
 | Market Profile       | Value Area (POC / VAH / VAL), Initial Balance, Opening Range |
 | Risk / Performance   | Sharpe Ratio, Sortino Ratio, Calmar Ratio, Omega Ratio, Max Drawdown, Average Drawdown, Drawdown Duration, Pain Index, Value at Risk, Conditional Value at Risk (CVaR), Profit Factor, Gain/Loss Ratio, Recovery Factor, Kelly Criterion, Treynor Ratio, Information Ratio, Alpha (Jensen) |
 
+Every candlestick pattern emits a signed per-bar value — `+1.0` bullish,
+`−1.0` bearish, `0.0` none — so the family drops straight into a feature matrix
+as one column each. `Doji` is direction-less by default (`+1.0` / `0.0`);
+construct it in signed mode (`Doji::new().signed()`, `Doji(signed=True)`,
+`new Doji(true)`) for a dragonfly / gravestone `±1` reading.
+
 Adding a new indicator means implementing one trait in Rust; all four bindings
 inherit it automatically.
 
@@ -209,7 +237,7 @@ A Python live-trading example using the public `websockets` package lives at
 ```
 wickra/
 ├── crates/
-│   ├── wickra-core/         core engine + all 214 indicators
+│   ├── wickra-core/         core engine + all 227 indicators
 │   ├── wickra/              top-level facade crate (publishes on crates.io) + benches/
 │   └── wickra-data/         CSV reader, tick aggregator, live exchange feeds
 ├── bindings/

package/package.json

@@ -5,7 +5,7 @@
     "kingchenc <support@wickra.org>"
   ],
   "description": "WASM bindings for the Wickra streaming-first technical indicators library.",
-  "version": "0.4.0",
+  "version": "0.4.2",
   "license": "PolyForm-Noncommercial-1.0.0",
   "repository": {
     "type": "git",

package/wickra_wasm.d.ts

@@ -432,6 +432,24 @@ export class CoefficientOfVariation {
     warmupPeriod(): number;
 }
 
+export class Cointegration {
+    free(): void;
+    [Symbol.dispose](): void;
+    /**
+     * Flat `Float64Array` of length `3 * n`:
+     * `[hedgeRatio0, spread0, adfStat0, hedgeRatio1, ...]`. Warmup rows are NaN.
+     */
+    batch(a: Float64Array, b: Float64Array): Float64Array;
+    isReady(): boolean;
+    constructor(period: number, adf_lags: number);
+    reset(): void;
+    /**
+     * Returns `{ hedgeRatio, spread, adfStat }`, or `null` during warmup.
+     */
+    update(a: number, b: number): any;
+    warmupPeriod(): number;
+}
+
 export class ConditionalValueAtRisk {
     free(): void;
     [Symbol.dispose](): void;
@@ -465,6 +483,16 @@ export class Coppock {
     warmupPeriod(): number;
 }
 
+export class CumulativeVolumeDelta {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor();
+    reset(): void;
+    update(price: number, size: number, is_buy: boolean): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class CyberneticCycle {
     free(): void;
     [Symbol.dispose](): void;
@@ -556,7 +584,8 @@ export class Doji {
     [Symbol.dispose](): void;
     batch(open: Float64Array, high: Float64Array, low: Float64Array, close: Float64Array): Float64Array;
     isReady(): boolean;
-    constructor();
+    isSigned(): boolean;
+    constructor(signed?: boolean | null);
     reset(): void;
     update(open: number, high: number, low: number, close: number): number | undefined;
     warmupPeriod(): number;
@@ -1075,6 +1104,25 @@ export class LaguerreRSI {
     warmupPeriod(): number;
 }
 
+export class LeadLagCrossCorrelation {
+    free(): void;
+    [Symbol.dispose](): void;
+    /**
+     * Flat `Float64Array` of length `2 * n`: `[lag0, corr0, lag1, corr1, ...]`.
+     * Warmup positions are NaN.
+     */
+    batch(a: Float64Array, b: Float64Array): Float64Array;
+    isReady(): boolean;
+    constructor(window: number, max_lag: number);
+    reset(): void;
+    /**
+     * Returns `{ lag, correlation }`, or `null` during warmup. Positive lag
+     * means `a` leads `b`.
+     */
+    update(a: number, b: number): any;
+    warmupPeriod(): number;
+}
+
 export class LinRegAngle {
     free(): void;
     [Symbol.dispose](): void;
@@ -1254,6 +1302,16 @@ export class MedianPrice {
     update(high: number, low: number): number | undefined;
 }
 
+export class Microprice {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor();
+    reset(): void;
+    update(bid_px: Float64Array, bid_sz: Float64Array, ask_px: Float64Array, ask_sz: Float64Array): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class MorningEveningStar {
     free(): void;
     [Symbol.dispose](): void;
@@ -1320,6 +1378,36 @@ export class OpeningRange {
     warmupPeriod(): number;
 }
 
+export class OrderBookImbalanceFull {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor();
+    reset(): void;
+    update(bid_px: Float64Array, bid_sz: Float64Array, ask_px: Float64Array, ask_sz: Float64Array): number | undefined;
+    warmupPeriod(): number;
+}
+
+export class OrderBookImbalanceTop1 {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor();
+    reset(): void;
+    update(bid_px: Float64Array, bid_sz: Float64Array, ask_px: Float64Array, ask_sz: Float64Array): number | undefined;
+    warmupPeriod(): number;
+}
+
+export class OrderBookImbalanceTopN {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor(levels: number);
+    reset(): void;
+    update(bid_px: Float64Array, bid_sz: Float64Array, ask_px: Float64Array, ask_sz: Float64Array): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class PGO {
     free(): void;
     [Symbol.dispose](): void;
@@ -1384,6 +1472,36 @@ export class PainIndex {
     warmupPeriod(): number;
 }
 
+export class PairSpreadZScore {
+    free(): void;
+    [Symbol.dispose](): void;
+    /**
+     * Batch over two equally-sized arrays of prices. Returns one `f64` per
+     * input position (`NaN` during warmup).
+     */
+    batch(a: Float64Array, b: Float64Array): Float64Array;
+    isReady(): boolean;
+    constructor(beta_period: number, z_period: number);
+    reset(): void;
+    update(a: number, b: number): number | undefined;
+    warmupPeriod(): number;
+}
+
+export class PairwiseBeta {
+    free(): void;
+    [Symbol.dispose](): void;
+    /**
+     * Batch over two equally-sized arrays. Returns one `f64` per
+     * input position (`NaN` during warmup).
+     */
+    batch(x: Float64Array, y: Float64Array): Float64Array;
+    isReady(): boolean;
+    constructor(period: number);
+    reset(): void;
+    update(x: number, y: number): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class ParkinsonVolatility {
     free(): void;
     [Symbol.dispose](): void;
@@ -1452,6 +1570,16 @@ export class ProfitFactor {
     warmupPeriod(): number;
 }
 
+export class QuotedSpread {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor();
+    reset(): void;
+    update(bid_px: Float64Array, bid_sz: Float64Array, ask_px: Float64Array, ask_sz: Float64Array): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class ROC {
     free(): void;
     [Symbol.dispose](): void;
@@ -1530,6 +1658,24 @@ export class RecoveryFactor {
     warmupPeriod(): number;
 }
 
+export class RelativeStrengthAB {
+    free(): void;
+    [Symbol.dispose](): void;
+    /**
+     * Flat `Float64Array` of length `3 * n`:
+     * `[ratio0, ratioMa0, ratioRsi0, ratio1, ...]`. Warmup rows are NaN.
+     */
+    batch(a: Float64Array, b: Float64Array): Float64Array;
+    isReady(): boolean;
+    constructor(ma_period: number, rsi_period: number);
+    reset(): void;
+    /**
+     * Returns `{ ratio, ratioMa, ratioRsi }`, or `null` during warmup.
+     */
+    update(a: number, b: number): any;
+    warmupPeriod(): number;
+}
+
 export class RenkoTrailingStop {
     free(): void;
     [Symbol.dispose](): void;
@@ -1639,6 +1785,16 @@ export class ShootingStar {
     warmupPeriod(): number;
 }
 
+export class SignedVolume {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor();
+    reset(): void;
+    update(price: number, size: number, is_buy: boolean): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class SineWave {
     free(): void;
     [Symbol.dispose](): void;
@@ -2072,6 +2228,16 @@ export class ThreeSoldiersOrCrows {
     warmupPeriod(): number;
 }
 
+export class TradeImbalance {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor(window: number);
+    reset(): void;
+    update(price: number, size: number, is_buy: boolean): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class TreynorRatio {
     free(): void;
     [Symbol.dispose](): void;

package/wickra_wasm.js

@@ -5,5 +5,5 @@ import { __wbg_set_wasm } from "./wickra_wasm_bg.js";
 __wbg_set_wasm(wasm);
 
 export {
-    ADL, ADX, ADXR, ALMA, APO, ATR, AccelerationBands, AcceleratorOscillator, AdaptiveCycle, Alligator, Alpha, AnchoredVWAP, Aroon, AroonOscillator, AtrBands, AtrTrailingStop, Autocorrelation, AverageDrawdown, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, Beta, BollingerBands, BollingerBandwidth, CCI, CFO, CMO, CalmarRatio, Camarilla, CenterOfGravity, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex, ClassicPivots, CoefficientOfVariation, ConditionalValueAtRisk, ConnorsRSI, Coppock, CyberneticCycle, DEMA, DPO, Decycler, DecyclerOscillator, DemandIndex, DemarkPivots, DetrendedStdDev, Doji, Donchian, DonchianStop, DoubleBollinger, DrawdownDuration, EMA, EVWMA, EaseOfMovement, EhlersStochastic, ElderImpulse, EmpiricalModeDecomposition, Engulfing, FAMA, FRAMA, FibonacciPivots, FisherTransform, ForceIndex, FractalChaosBands, GainLossRatio, GarmanKlassVolatility, HMA, Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HilbertDominantCycle, HistoricalVolatility, HurstChannel, HurstExponent, Ichimoku, Inertia, InformationRatio, InitialBalance, InstantaneousTrendline, InverseFisherTransform, InvertedHammer, JMA, KAMA, KST, KVO, KellyCriterion, Keltner, Kurtosis, LaguerreRSI, LinRegAngle, LinRegChannel, LinRegSlope, LinearRegression, MACD, MAMA, MFI, MOM, MaEnvelope, MarketFacilitationIndex, Marubozu, MassIndex, MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, MorningEveningStar, NATR, NVI, OBV, OmegaRatio, OpeningRange, PGO, PMO, PPO, PSAR, PVI, PainIndex, ParkinsonVolatility, PearsonCorrelation, PercentB, PercentageTrailingStop, PiercingDarkCloud, ProfitFactor, ROC, RSI, RSquared, RVI, RVIVolatility, RWI, RecoveryFactor, RenkoTrailingStop, RogersSatchellVolatility, RollingVWAP, RoofingFilter, SMA, SMI, SMMA, STC, SharpeRatio, ShootingStar, SineWave, Skewness, SortinoRatio, SpearmanCorrelation, SpinningTop, StandardError, StandardErrorBands, StarcBands, StdDev, StepTrailingStop, StochRSI, Stochastic, SuperSmoother, SuperTrend, T3, TDCombo, TDCountdown, TDDeMarker, TDDifferential, TDLines, TDOpen, TDPressure, TDREI, TDRangeProjection, TDRiskLevel, TDSequential, TDSetup, TEMA, TII, TRIMA, TRIX, TSI, TSV, ThreeInside, ThreeOutside, ThreeSoldiersOrCrows, TreynorRatio, TrueRange, TtmSqueeze, Tweezer, TypicalPrice, UlcerIndex, UltimateOscillator, VIDYA, VWAP, VWMA, VZO, ValueArea, ValueAtRisk, Variance, VerticalHorizontalFilter, VoltyStop, VolumeOscillator, VolumePriceTrend, Vortex, VwapStdDevBands, WMA, WaveTrend, WeightedClose, WilliamsAD, WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit, ZLEMA, ZScore, ZeroLagMACD, ZigZag, installPanicHook, version
+    ADL, ADX, ADXR, ALMA, APO, ATR, AccelerationBands, AcceleratorOscillator, AdaptiveCycle, Alligator, Alpha, AnchoredVWAP, Aroon, AroonOscillator, AtrBands, AtrTrailingStop, Autocorrelation, AverageDrawdown, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, Beta, BollingerBands, BollingerBandwidth, CCI, CFO, CMO, CalmarRatio, Camarilla, CenterOfGravity, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex, ClassicPivots, CoefficientOfVariation, Cointegration, ConditionalValueAtRisk, ConnorsRSI, Coppock, CumulativeVolumeDelta, CyberneticCycle, DEMA, DPO, Decycler, DecyclerOscillator, DemandIndex, DemarkPivots, DetrendedStdDev, Doji, Donchian, DonchianStop, DoubleBollinger, DrawdownDuration, EMA, EVWMA, EaseOfMovement, EhlersStochastic, ElderImpulse, EmpiricalModeDecomposition, Engulfing, FAMA, FRAMA, FibonacciPivots, FisherTransform, ForceIndex, FractalChaosBands, GainLossRatio, GarmanKlassVolatility, HMA, Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HilbertDominantCycle, HistoricalVolatility, HurstChannel, HurstExponent, Ichimoku, Inertia, InformationRatio, InitialBalance, InstantaneousTrendline, InverseFisherTransform, InvertedHammer, JMA, KAMA, KST, KVO, KellyCriterion, Keltner, Kurtosis, LaguerreRSI, LeadLagCrossCorrelation, LinRegAngle, LinRegChannel, LinRegSlope, LinearRegression, MACD, MAMA, MFI, MOM, MaEnvelope, MarketFacilitationIndex, Marubozu, MassIndex, MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Microprice, MorningEveningStar, NATR, NVI, OBV, OmegaRatio, OpeningRange, OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, PGO, PMO, PPO, PSAR, PVI, PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentB, PercentageTrailingStop, PiercingDarkCloud, ProfitFactor, QuotedSpread, ROC, RSI, RSquared, RVI, RVIVolatility, RWI, RecoveryFactor, RelativeStrengthAB, RenkoTrailingStop, RogersSatchellVolatility, RollingVWAP, RoofingFilter, SMA, SMI, SMMA, STC, SharpeRatio, ShootingStar, SignedVolume, SineWave, Skewness, SortinoRatio, SpearmanCorrelation, SpinningTop, StandardError, StandardErrorBands, StarcBands, StdDev, StepTrailingStop, StochRSI, Stochastic, SuperSmoother, SuperTrend, T3, TDCombo, TDCountdown, TDDeMarker, TDDifferential, TDLines, TDOpen, TDPressure, TDREI, TDRangeProjection, TDRiskLevel, TDSequential, TDSetup, TEMA, TII, TRIMA, TRIX, TSI, TSV, ThreeInside, ThreeOutside, ThreeSoldiersOrCrows, TradeImbalance, TreynorRatio, TrueRange, TtmSqueeze, Tweezer, TypicalPrice, UlcerIndex, UltimateOscillator, VIDYA, VWAP, VWMA, VZO, ValueArea, ValueAtRisk, Variance, VerticalHorizontalFilter, VoltyStop, VolumeOscillator, VolumePriceTrend, Vortex, VwapStdDevBands, WMA, WaveTrend, WeightedClose, WilliamsAD, WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit, ZLEMA, ZScore, ZeroLagMACD, ZigZag, installPanicHook, version
 } from "./wickra_wasm_bg.js";