wickra-wasm 0.4.2 → 0.4.3

package/README.md

@@ -1,5 +1,5 @@
 <p align="center">
-  <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>
+  <a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=232" 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)
@@ -47,7 +47,7 @@ Full documentation lives at **[docs.wickra.org](https://docs.wickra.org)**:
   [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
+  every one of the 232 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),
@@ -135,7 +135,7 @@ python -m benchmarks.compare_libraries
 
 ## Indicators
 
-227 streaming-first indicators across seventeen families. Every one passes the
+232 streaming-first indicators across seventeen families. Every one passes the
 `batch == streaming` equivalence test, reference-value tests, and reset
 semantics tests. Each has a per-indicator deep dive (formula, parameters,
 warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
@@ -156,7 +156,7 @@ warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
 | 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 |
+| Microstructure       | Order-Book Imbalance (Top-1 / Top-N / Full), Microprice, Quoted Spread, Depth Slope, Signed Volume, Cumulative Volume Delta, Trade Imbalance, Effective Spread, Realized Spread, Kyle's Lambda, Footprint |
 | 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) |
 
@@ -237,7 +237,7 @@ A Python live-trading example using the public `websockets` package lives at
 ```
 wickra/
 ├── crates/
-│   ├── wickra-core/         core engine + all 227 indicators
+│   ├── wickra-core/         core engine + all 232 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": "0.4.2",
+  "version": "0.4.3",
   "license": "PolyForm-Noncommercial-1.0.0",
   "repository": {
     "type": "git",

package/wickra_wasm.d.ts

@@ -568,6 +568,16 @@ export class DemarkPivots {
     warmupPeriod(): number;
 }
 
+export class DepthSlope {
+    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 DetrendedStdDev {
     free(): void;
     [Symbol.dispose](): void;
@@ -676,6 +686,16 @@ export class EaseOfMovement {
     update(high: number, low: number, volume: number): number | undefined;
 }
 
+export class EffectiveSpread {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor();
+    reset(): void;
+    update(price: number, size: number, is_buy: boolean, mid: number): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class EhlersStochastic {
     free(): void;
     [Symbol.dispose](): void;
@@ -764,6 +784,16 @@ export class FisherTransform {
     warmupPeriod(): number;
 }
 
+export class Footprint {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor(tick_size: number);
+    reset(): void;
+    update(price: number, size: number, is_buy: boolean): any;
+    warmupPeriod(): number;
+}
+
 export class ForceIndex {
     free(): void;
     [Symbol.dispose](): void;
@@ -1093,6 +1123,16 @@ export class Kurtosis {
     warmupPeriod(): number;
 }
 
+export class KylesLambda {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor(window: number);
+    reset(): void;
+    update(price: number, size: number, is_buy: boolean, mid: number): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class LaguerreRSI {
     free(): void;
     [Symbol.dispose](): void;
@@ -1647,6 +1687,16 @@ export class RWI {
     update(high: number, low: number, close: number): any;
 }
 
+export class RealizedSpread {
+    free(): void;
+    [Symbol.dispose](): void;
+    isReady(): boolean;
+    constructor(horizon: number);
+    reset(): void;
+    update(price: number, size: number, is_buy: boolean, mid: number): number | undefined;
+    warmupPeriod(): number;
+}
+
 export class RecoveryFactor {
     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, 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
+    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, DepthSlope, DetrendedStdDev, Doji, Donchian, DonchianStop, DoubleBollinger, DrawdownDuration, EMA, EVWMA, EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, EmpiricalModeDecomposition, Engulfing, FAMA, FRAMA, FibonacciPivots, FisherTransform, Footprint, 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, KylesLambda, 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, RealizedSpread, 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";

package/wickra_wasm_bg.js

@@ -4167,6 +4167,74 @@ export class DemarkPivots {
 }
 if (Symbol.dispose) DemarkPivots.prototype[Symbol.dispose] = DemarkPivots.prototype.free;
 
+export class DepthSlope {
+    __destroy_into_raw() {
+        const ptr = this.__wbg_ptr;
+        this.__wbg_ptr = 0;
+        DepthSlopeFinalization.unregister(this);
+        return ptr;
+    }
+    free() {
+        const ptr = this.__destroy_into_raw();
+        wasm.__wbg_depthslope_free(ptr, 0);
+    }
+    /**
+     * @returns {boolean}
+     */
+    isReady() {
+        const ret = wasm.depthslope_isReady(this.__wbg_ptr);
+        return ret !== 0;
+    }
+    constructor() {
+        const ret = wasm.depthslope_new();
+        this.__wbg_ptr = ret;
+        DepthSlopeFinalization.register(this, this.__wbg_ptr, this);
+        return this;
+    }
+    reset() {
+        wasm.depthslope_reset(this.__wbg_ptr);
+    }
+    /**
+     * @param {Float64Array} bid_px
+     * @param {Float64Array} bid_sz
+     * @param {Float64Array} ask_px
+     * @param {Float64Array} ask_sz
+     * @returns {number | undefined}
+     */
+    update(bid_px, bid_sz, ask_px, ask_sz) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-32);
+            const ptr0 = passArrayF64ToWasm0(bid_px, wasm.__wbindgen_export3);
+            const len0 = WASM_VECTOR_LEN;
+            const ptr1 = passArrayF64ToWasm0(bid_sz, wasm.__wbindgen_export3);
+            const len1 = WASM_VECTOR_LEN;
+            const ptr2 = passArrayF64ToWasm0(ask_px, wasm.__wbindgen_export3);
+            const len2 = WASM_VECTOR_LEN;
+            const ptr3 = passArrayF64ToWasm0(ask_sz, wasm.__wbindgen_export3);
+            const len3 = WASM_VECTOR_LEN;
+            wasm.depthslope_update(retptr, this.__wbg_ptr, ptr0, len0, ptr1, len1, ptr2, len2, ptr3, len3);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r2 = getDataViewMemory0().getFloat64(retptr + 8 * 1, true);
+            var r4 = getDataViewMemory0().getInt32(retptr + 4 * 4, true);
+            var r5 = getDataViewMemory0().getInt32(retptr + 4 * 5, true);
+            if (r5) {
+                throw takeObject(r4);
+            }
+            return r0 === 0 ? undefined : r2;
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(32);
+        }
+    }
+    /**
+     * @returns {number}
+     */
+    warmupPeriod() {
+        const ret = wasm.depthslope_warmupPeriod(this.__wbg_ptr);
+        return ret >>> 0;
+    }
+}
+if (Symbol.dispose) DepthSlope.prototype[Symbol.dispose] = DepthSlope.prototype.free;
+
 export class DetrendedStdDev {
     __destroy_into_raw() {
         const ptr = this.__wbg_ptr;
@@ -4908,6 +4976,66 @@ export class EaseOfMovement {
 }
 if (Symbol.dispose) EaseOfMovement.prototype[Symbol.dispose] = EaseOfMovement.prototype.free;
 
+export class EffectiveSpread {
+    __destroy_into_raw() {
+        const ptr = this.__wbg_ptr;
+        this.__wbg_ptr = 0;
+        EffectiveSpreadFinalization.unregister(this);
+        return ptr;
+    }
+    free() {
+        const ptr = this.__destroy_into_raw();
+        wasm.__wbg_effectivespread_free(ptr, 0);
+    }
+    /**
+     * @returns {boolean}
+     */
+    isReady() {
+        const ret = wasm.effectivespread_isReady(this.__wbg_ptr);
+        return ret !== 0;
+    }
+    constructor() {
+        const ret = wasm.effectivespread_new();
+        this.__wbg_ptr = ret;
+        EffectiveSpreadFinalization.register(this, this.__wbg_ptr, this);
+        return this;
+    }
+    reset() {
+        wasm.effectivespread_reset(this.__wbg_ptr);
+    }
+    /**
+     * @param {number} price
+     * @param {number} size
+     * @param {boolean} is_buy
+     * @param {number} mid
+     * @returns {number | undefined}
+     */
+    update(price, size, is_buy, mid) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-32);
+            wasm.effectivespread_update(retptr, this.__wbg_ptr, price, size, is_buy, mid);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r2 = getDataViewMemory0().getFloat64(retptr + 8 * 1, true);
+            var r4 = getDataViewMemory0().getInt32(retptr + 4 * 4, true);
+            var r5 = getDataViewMemory0().getInt32(retptr + 4 * 5, true);
+            if (r5) {
+                throw takeObject(r4);
+            }
+            return r0 === 0 ? undefined : r2;
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(32);
+        }
+    }
+    /**
+     * @returns {number}
+     */
+    warmupPeriod() {
+        const ret = wasm.effectivespread_warmupPeriod(this.__wbg_ptr);
+        return ret >>> 0;
+    }
+}
+if (Symbol.dispose) EffectiveSpread.prototype[Symbol.dispose] = EffectiveSpread.prototype.free;
+
 export class EhlersStochastic {
     __destroy_into_raw() {
         const ptr = this.__wbg_ptr;
@@ -5544,6 +5672,78 @@ export class FisherTransform {
 }
 if (Symbol.dispose) FisherTransform.prototype[Symbol.dispose] = FisherTransform.prototype.free;
 
+export class Footprint {
+    __destroy_into_raw() {
+        const ptr = this.__wbg_ptr;
+        this.__wbg_ptr = 0;
+        FootprintFinalization.unregister(this);
+        return ptr;
+    }
+    free() {
+        const ptr = this.__destroy_into_raw();
+        wasm.__wbg_footprint_free(ptr, 0);
+    }
+    /**
+     * @returns {boolean}
+     */
+    isReady() {
+        const ret = wasm.footprint_isReady(this.__wbg_ptr);
+        return ret !== 0;
+    }
+    /**
+     * @param {number} tick_size
+     */
+    constructor(tick_size) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-16);
+            wasm.footprint_new(retptr, tick_size);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r1 = getDataViewMemory0().getInt32(retptr + 4 * 1, true);
+            var r2 = getDataViewMemory0().getInt32(retptr + 4 * 2, true);
+            if (r2) {
+                throw takeObject(r1);
+            }
+            this.__wbg_ptr = r0;
+            FootprintFinalization.register(this, this.__wbg_ptr, this);
+            return this;
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(16);
+        }
+    }
+    reset() {
+        wasm.footprint_reset(this.__wbg_ptr);
+    }
+    /**
+     * @param {number} price
+     * @param {number} size
+     * @param {boolean} is_buy
+     * @returns {any}
+     */
+    update(price, size, is_buy) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-16);
+            wasm.footprint_update(retptr, this.__wbg_ptr, price, size, is_buy);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r1 = getDataViewMemory0().getInt32(retptr + 4 * 1, true);
+            var r2 = getDataViewMemory0().getInt32(retptr + 4 * 2, true);
+            if (r2) {
+                throw takeObject(r1);
+            }
+            return takeObject(r0);
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(16);
+        }
+    }
+    /**
+     * @returns {number}
+     */
+    warmupPeriod() {
+        const ret = wasm.footprint_warmupPeriod(this.__wbg_ptr);
+        return ret >>> 0;
+    }
+}
+if (Symbol.dispose) Footprint.prototype[Symbol.dispose] = Footprint.prototype.free;
+
 export class ForceIndex {
     __destroy_into_raw() {
         const ptr = this.__wbg_ptr;
@@ -7968,6 +8168,80 @@ export class Kurtosis {
 }
 if (Symbol.dispose) Kurtosis.prototype[Symbol.dispose] = Kurtosis.prototype.free;
 
+export class KylesLambda {
+    __destroy_into_raw() {
+        const ptr = this.__wbg_ptr;
+        this.__wbg_ptr = 0;
+        KylesLambdaFinalization.unregister(this);
+        return ptr;
+    }
+    free() {
+        const ptr = this.__destroy_into_raw();
+        wasm.__wbg_kyleslambda_free(ptr, 0);
+    }
+    /**
+     * @returns {boolean}
+     */
+    isReady() {
+        const ret = wasm.kyleslambda_isReady(this.__wbg_ptr);
+        return ret !== 0;
+    }
+    /**
+     * @param {number} window
+     */
+    constructor(window) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-16);
+            wasm.kyleslambda_new(retptr, window);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r1 = getDataViewMemory0().getInt32(retptr + 4 * 1, true);
+            var r2 = getDataViewMemory0().getInt32(retptr + 4 * 2, true);
+            if (r2) {
+                throw takeObject(r1);
+            }
+            this.__wbg_ptr = r0;
+            KylesLambdaFinalization.register(this, this.__wbg_ptr, this);
+            return this;
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(16);
+        }
+    }
+    reset() {
+        wasm.kyleslambda_reset(this.__wbg_ptr);
+    }
+    /**
+     * @param {number} price
+     * @param {number} size
+     * @param {boolean} is_buy
+     * @param {number} mid
+     * @returns {number | undefined}
+     */
+    update(price, size, is_buy, mid) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-32);
+            wasm.kyleslambda_update(retptr, this.__wbg_ptr, price, size, is_buy, mid);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r2 = getDataViewMemory0().getFloat64(retptr + 8 * 1, true);
+            var r4 = getDataViewMemory0().getInt32(retptr + 4 * 4, true);
+            var r5 = getDataViewMemory0().getInt32(retptr + 4 * 5, true);
+            if (r5) {
+                throw takeObject(r4);
+            }
+            return r0 === 0 ? undefined : r2;
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(32);
+        }
+    }
+    /**
+     * @returns {number}
+     */
+    warmupPeriod() {
+        const ret = wasm.kyleslambda_warmupPeriod(this.__wbg_ptr);
+        return ret >>> 0;
+    }
+}
+if (Symbol.dispose) KylesLambda.prototype[Symbol.dispose] = KylesLambda.prototype.free;
+
 export class LaguerreRSI {
     __destroy_into_raw() {
         const ptr = this.__wbg_ptr;
@@ -11906,6 +12180,80 @@ export class RWI {
 }
 if (Symbol.dispose) RWI.prototype[Symbol.dispose] = RWI.prototype.free;
 
+export class RealizedSpread {
+    __destroy_into_raw() {
+        const ptr = this.__wbg_ptr;
+        this.__wbg_ptr = 0;
+        RealizedSpreadFinalization.unregister(this);
+        return ptr;
+    }
+    free() {
+        const ptr = this.__destroy_into_raw();
+        wasm.__wbg_realizedspread_free(ptr, 0);
+    }
+    /**
+     * @returns {boolean}
+     */
+    isReady() {
+        const ret = wasm.realizedspread_isReady(this.__wbg_ptr);
+        return ret !== 0;
+    }
+    /**
+     * @param {number} horizon
+     */
+    constructor(horizon) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-16);
+            wasm.realizedspread_new(retptr, horizon);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r1 = getDataViewMemory0().getInt32(retptr + 4 * 1, true);
+            var r2 = getDataViewMemory0().getInt32(retptr + 4 * 2, true);
+            if (r2) {
+                throw takeObject(r1);
+            }
+            this.__wbg_ptr = r0;
+            RealizedSpreadFinalization.register(this, this.__wbg_ptr, this);
+            return this;
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(16);
+        }
+    }
+    reset() {
+        wasm.realizedspread_reset(this.__wbg_ptr);
+    }
+    /**
+     * @param {number} price
+     * @param {number} size
+     * @param {boolean} is_buy
+     * @param {number} mid
+     * @returns {number | undefined}
+     */
+    update(price, size, is_buy, mid) {
+        try {
+            const retptr = wasm.__wbindgen_add_to_stack_pointer(-32);
+            wasm.realizedspread_update(retptr, this.__wbg_ptr, price, size, is_buy, mid);
+            var r0 = getDataViewMemory0().getInt32(retptr + 4 * 0, true);
+            var r2 = getDataViewMemory0().getFloat64(retptr + 8 * 1, true);
+            var r4 = getDataViewMemory0().getInt32(retptr + 4 * 4, true);
+            var r5 = getDataViewMemory0().getInt32(retptr + 4 * 5, true);
+            if (r5) {
+                throw takeObject(r4);
+            }
+            return r0 === 0 ? undefined : r2;
+        } finally {
+            wasm.__wbindgen_add_to_stack_pointer(32);
+        }
+    }
+    /**
+     * @returns {number}
+     */
+    warmupPeriod() {
+        const ret = wasm.realizedspread_warmupPeriod(this.__wbg_ptr);
+        return ret >>> 0;
+    }
+}
+if (Symbol.dispose) RealizedSpread.prototype[Symbol.dispose] = RealizedSpread.prototype.free;
+
 export class RecoveryFactor {
     __destroy_into_raw() {
         const ptr = this.__wbg_ptr;
@@ -19028,10 +19376,18 @@ export function __wbg_new_227d7c05414eb861() {
     const ret = new Error();
     return addHeapObject(ret);
 }
+export function __wbg_new_310879b66b6e95e1() {
+    const ret = new Array();
+    return addHeapObject(ret);
+}
 export function __wbg_new_from_slice_02962bf7778cf945(arg0, arg1) {
     const ret = new Float64Array(getArrayF64FromWasm0(arg0, arg1));
     return addHeapObject(ret);
 }
+export function __wbg_push_b77c476b01548d0a(arg0, arg1) {
+    const ret = getObject(arg0).push(getObject(arg1));
+    return ret;
+}
 export function __wbg_set_a0e911be3da02782() { return handleError(function (arg0, arg1, arg2) {
     const ret = Reflect.set(getObject(arg0), getObject(arg1), getObject(arg2));
     return ret;
@@ -19206,6 +19562,9 @@ const DemandIndexFinalization = (typeof FinalizationRegistry === 'undefined')
 const DemarkPivotsFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_demarkpivots_free(ptr, 1));
+const DepthSlopeFinalization = (typeof FinalizationRegistry === 'undefined')
+    ? { register: () => {}, unregister: () => {} }
+    : new FinalizationRegistry(ptr => wasm.__wbg_depthslope_free(ptr, 1));
 const DetrendedStdDevFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_detrendedstddev_free(ptr, 1));
@@ -19230,6 +19589,9 @@ const DrawdownDurationFinalization = (typeof FinalizationRegistry === 'undefined
 const EaseOfMovementFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_easeofmovement_free(ptr, 1));
+const EffectiveSpreadFinalization = (typeof FinalizationRegistry === 'undefined')
+    ? { register: () => {}, unregister: () => {} }
+    : new FinalizationRegistry(ptr => wasm.__wbg_effectivespread_free(ptr, 1));
 const EhlersStochasticFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_ehlersstochastic_free(ptr, 1));
@@ -19257,6 +19619,9 @@ const FibonacciPivotsFinalization = (typeof FinalizationRegistry === 'undefined'
 const FisherTransformFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_fishertransform_free(ptr, 1));
+const FootprintFinalization = (typeof FinalizationRegistry === 'undefined')
+    ? { register: () => {}, unregister: () => {} }
+    : new FinalizationRegistry(ptr => wasm.__wbg_footprint_free(ptr, 1));
 const ForceIndexFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_forceindex_free(ptr, 1));
@@ -19344,6 +19709,9 @@ const KurtosisFinalization = (typeof FinalizationRegistry === 'undefined')
 const KVOFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_kvo_free(ptr, 1));
+const KylesLambdaFinalization = (typeof FinalizationRegistry === 'undefined')
+    ? { register: () => {}, unregister: () => {} }
+    : new FinalizationRegistry(ptr => wasm.__wbg_kyleslambda_free(ptr, 1));
 const LaguerreRSIFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_laguerrersi_free(ptr, 1));
@@ -19476,6 +19844,9 @@ const QuotedSpreadFinalization = (typeof FinalizationRegistry === 'undefined')
 const RSquaredFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_rsquared_free(ptr, 1));
+const RealizedSpreadFinalization = (typeof FinalizationRegistry === 'undefined')
+    ? { register: () => {}, unregister: () => {} }
+    : new FinalizationRegistry(ptr => wasm.__wbg_realizedspread_free(ptr, 1));
 const RecoveryFactorFinalization = (typeof FinalizationRegistry === 'undefined')
     ? { register: () => {}, unregister: () => {} }
     : new FinalizationRegistry(ptr => wasm.__wbg_recoveryfactor_free(ptr, 1));