rangebar 11.5.0__tar.gz → 11.6.0__tar.gz

{rangebar-11.5.0 → rangebar-11.6.0}/CHANGELOG.md

@@ -1,3 +1,11 @@
+# [11.6.0](https://github.com/terrylica/rangebar-py/compare/v11.5.0...v11.6.0) (2026-02-02)
+
+
+### Features
+
+* **core:** add inter-bar microstructure features (Issue [#59](https://github.com/terrylica/rangebar-py/issues/59) Phase 1) ([dd27556](https://github.com/terrylica/rangebar-py/commit/dd275565fbd093b6d5647e51c72548ef4be1e715))
+* **inter-bar:** add inter-bar feature computation (Issue [#59](https://github.com/terrylica/rangebar-py/issues/59)) ([94dbf64](https://github.com/terrylica/rangebar-py/commit/94dbf647f3ba524fb818b4927080afc2fc9b7ea5))
+
 # [11.5.0](https://github.com/terrylica/rangebar-py/compare/v11.4.0...v11.5.0) (2026-02-02)
 
 

{rangebar-11.5.0 → rangebar-11.6.0}/Cargo.lock

@@ -3430,7 +3430,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "chrono",
  "insta",
@@ -3452,7 +3452,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-batch"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3464,7 +3464,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-cli"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "chrono",
  "clap",
@@ -3489,7 +3489,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-config"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "chrono",
  "config",
@@ -3501,7 +3501,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-core"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "ahash",
  "arrow",
@@ -3518,7 +3518,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-io"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3528,7 +3528,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-providers"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "chrono",
  "csv",
@@ -3548,7 +3548,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-py"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "arrow",
  "arrow-array",
@@ -3567,7 +3567,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-streaming"
-version = "11.5.0"
+version = "11.6.0"
 dependencies = [
  "async-trait",
  "chrono",

{rangebar-11.5.0 → rangebar-11.6.0}/Cargo.toml

@@ -10,7 +10,7 @@ resolver = "2"
 [workspace.package]
 # CRITICAL: Prevent crates.io publishing - this is a PyPI-only project
 publish = false
-version = "11.5.0"
+version = "11.6.0"
 authors = ["Terry Li <terry@eonlabs.com>"]
 categories = ["algorithms", "data-structures", "finance"]
 documentation = "https://docs.rs/rangebar"
@@ -97,7 +97,7 @@ criterion = { version = "0.5", features = ["html_reports"] }
 
 [package]
 name = "rangebar-py"
-version = "11.5.0"
+version = "11.6.0"
 edition = "2021"
 authors = ["Terry Li"]
 license = "MIT"

{rangebar-11.5.0 → rangebar-11.6.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rangebar
-Version: 11.5.0
+Version: 11.6.0
 Classifier: Development Status :: 4 - Beta
 Classifier: Intended Audience :: Financial and Insurance Industry
 Classifier: License :: OSI Approved :: MIT License

{rangebar-11.5.0 → rangebar-11.6.0}/RESUME.md

@@ -1,13 +1,44 @@
 # RESUME.md - Session Context
 
-**Last Updated**: 2026-02-01
+**Last Updated**: 2026-02-02
 **Purpose**: Quick context for continuing work in future sessions
 
 ---
 
-## Current State Summary
+## Current Work: Issue #59 Inter-Bar Features
 
-### Pattern Research: COMPLETE
+### Status: Phase 1 COMPLETE (Rust Core)
+
+**Objective**: Enrich 1000 dbps bars with microstructure features computed from raw aggTrades in a lookback window BEFORE each bar opens.
+
+**Plan**: [docs/plans/issue-59-inter-bar-features.md](/docs/plans/issue-59-inter-bar-features.md)
+
+### Completed (Phase 1)
+
+- Created `crates/rangebar-core/src/interbar.rs` - 16 inter-bar features
+- Added 16 `Option<T>` fields to `RangeBar` struct
+- All 222 workspace tests pass
+- Academic validation: Kyle (1985), Goh-Barabási (2008), Garman-Klass (1980), Bandt-Pompe (2002)
+
+### Remaining Phases
+
+| Phase | Task                                                   | Status |
+| ----- | ------------------------------------------------------ | ------ |
+| 2     | Integrate `TradeHistory` into `RangeBarProcessor`      | TODO   |
+| 3     | Update PyO3 bindings to expose features to Python      | TODO   |
+| 4     | Update Python type hints, constants, ClickHouse schema | TODO   |
+
+### Key Files
+
+| File                                    | Purpose                            |
+| --------------------------------------- | ---------------------------------- |
+| `crates/rangebar-core/src/interbar.rs`  | Core feature computation (NEW)     |
+| `crates/rangebar-core/src/types.rs`     | RangeBar struct with 16 new fields |
+| `crates/rangebar-core/src/processor.rs` | Needs TradeHistory integration     |
+
+---
+
+## Pattern Research: COMPLETE
 
 **Finding**: ZERO ODD robust predictive patterns exist in range bar data.
 
@@ -51,32 +82,12 @@ After exhaustive testing across **10 research approaches**, all were invalidated
 
 ### Documentation
 
-| Document                                         | Lines | Purpose                  |
-| ------------------------------------------------ | ----- | ------------------------ |
-| `docs/research/INDEX.md`                         | 124   | Navigation index         |
-| `docs/research/pattern-research-summary.md`      | 944   | Master findings          |
-| `docs/research/adversarial-audit-methodology.md` | 303   | Reusable audit framework |
-
-### Scripts
-
-42+ research scripts in `scripts/`:
-
-- Pattern analysis: `*_patterns*.py` (INVALIDATED)
-- TDA research: `tda_*.py` (INVALIDATED)
-- Audit scripts: `*_audit*.py` (methodology reference)
-- Cache population: `fill_gaps_*.py`
-
----
-
-## GitHub Issues
-
-| Issue | Title                                       | Status |
-| ----- | ------------------------------------------- | ------ |
-| #57   | Research Complete: ZERO ODD Robust Patterns | CLOSED |
-| #56   | TDA Structural Break Detection              | CLOSED |
-| #52   | Market Regime Filter                        | CLOSED |
-| #54   | Volatility Regime Filter                    | CLOSED |
-| #55   | Multi-Threshold Pattern Confirmation        | CLOSED |
+| Document                                         | Purpose                  |
+| ------------------------------------------------ | ------------------------ |
+| `docs/research/INDEX.md`                         | Navigation index         |
+| `docs/research/pattern-research-summary.md`      | Master findings          |
+| `docs/research/adversarial-audit-methodology.md` | Reusable audit framework |
+| `docs/plans/issue-59-inter-bar-features.md`      | Inter-bar features plan  |
 
 ---
 
@@ -92,19 +103,6 @@ These approaches have been definitively invalidated:
 
 ---
 
-## Unexplored Directions
-
-These remain unexplored but are **operational** (not predictive):
-
-| Direction         | Rationale                                      | Status     |
-| ----------------- | ---------------------------------------------- | ---------- |
-| Execution quality | Bar timing for optimal order placement         | UNEXPLORED |
-| Market making     | Microstructure for spread/inventory management | UNEXPLORED |
-
-**Note**: These are not "ODD robust MULTI-FACTOR patterns" as per the encouraged guidance. They are operational use cases that don't require directional prediction.
-
----
-
 ## Technical Stack
 
 - **Python**: 3.13 (REQUIRED, never downgrade)
@@ -118,23 +116,23 @@ These remain unexplored but are **operational** (not predictive):
 
 ## Session Handoff Notes
 
+If continuing Issue #59:
+
+1. Phase 1 (Rust core) is complete - 73 tests in interbar.rs pass
+2. Next: Integrate `TradeHistory` into `RangeBarProcessor::process_trade()`
+3. Plan file has detailed pseudocode for Phase 2-4
+
 If continuing pattern research:
 
 1. **DO NOT** retry invalidated approaches
 2. The methodology is sound - the finding is genuinely negative
 3. 10 approaches exhausted = research is complete
-4. Focus on operational use cases if any research continues
-
-If working on other features:
-
-1. Range bar generation is production-ready
-2. Microstructure features work correctly
-3. ClickHouse caching is fully operational
 
 ---
 
 ## References
 
 - Root hub: [CLAUDE.md](/CLAUDE.md)
+- Crates: [crates/CLAUDE.md](/crates/CLAUDE.md)
 - Research index: [docs/research/INDEX.md](/docs/research/INDEX.md)
-- Audit methodology: [docs/research/adversarial-audit-methodology.md](/docs/research/adversarial-audit-methodology.md)
+- Inter-bar plan: [docs/plans/issue-59-inter-bar-features.md](/docs/plans/issue-59-inter-bar-features.md)

{rangebar-11.5.0 → rangebar-11.6.0}/crates/CLAUDE.md

@@ -68,6 +68,49 @@ rangebar-cli         rangebar-batch      rangebar-streaming
 
 ---
 
+## Inter-Bar Features (Issue #59)
+
+**Location**: `rangebar-core/src/interbar.rs`
+
+16 features computed from a lookback window of trades BEFORE each bar opens. All fields are `Option<T>` (None when lookback disabled or insufficient data).
+
+### Tier 1: Core (7 features)
+
+| Feature                    | Formula                          | Range      |
+| -------------------------- | -------------------------------- | ---------- |
+| `lookback_trade_count`     | COUNT(trades)                    | [0, ∞)     |
+| `lookback_ofi`             | (buy_vol - sell_vol) / total     | [-1, 1]    |
+| `lookback_duration_us`     | last_ts - first_ts               | [0, ∞)     |
+| `lookback_intensity`       | trade_count / duration_sec       | [0, ∞)     |
+| `lookback_vwap_raw`        | Σ(price×vol) / Σ(vol)            | FixedPoint |
+| `lookback_vwap_position`   | (vwap - low) / (high - low)      | [0, 1]     |
+| `lookback_count_imbalance` | (buy_count - sell_count) / total | [-1, 1]    |
+
+### Tier 2: Statistical (5 features)
+
+| Feature                | Formula                    | Range   |
+| ---------------------- | -------------------------- | ------- |
+| `lookback_kyle_lambda` | (Δp/p) / (imbalance/vol)   | (-∞, ∞) |
+| `lookback_burstiness`  | (σ*τ - μ*τ) / (σ*τ + μ*τ)  | [-1, 1] |
+| `lookback_volume_skew` | E[(V-μ)³] / σ³             | (-∞, ∞) |
+| `lookback_volume_kurt` | E[(V-μ)⁴] / σ⁴ - 3         | [-2, ∞) |
+| `lookback_price_range` | (high - low) / first_price | [0, ∞)  |
+
+### Tier 3: Advanced (4 features)
+
+| Feature                        | Formula                      | Range  | Min Trades |
+| ------------------------------ | ---------------------------- | ------ | ---------- |
+| `lookback_kaufman_er`          | \|net\| / Σ\|changes\|       | [0, 1] | 2          |
+| `lookback_garman_klass_vol`    | OHLC volatility              | [0, ∞) | 1          |
+| `lookback_hurst`               | DFA estimator (soft-clamped) | [0, 1] | 64         |
+| `lookback_permutation_entropy` | Bandt-Pompe m=3              | [0, 1] | 60         |
+
+**Academic backing**: Kyle (1985), Goh-Barabási (2008), Garman-Klass (1980), Bandt-Pompe (2002), Peng (1994).
+
+**Plan**: [/docs/plans/issue-59-inter-bar-features.md](/docs/plans/issue-59-inter-bar-features.md)
+
+---
+
 ## Crate Details
 
 ### Layer 0: Foundation

{rangebar-11.5.0 → rangebar-11.6.0}/crates/rangebar-core/src/arrow_export.rs

@@ -270,6 +270,23 @@ mod tests {
             aggression_ratio: 1.5,
             aggregation_density_f64: 10.0,
             turnover_imbalance: 0.142857,
+            // Inter-bar features (Issue #59) - test defaults
+            lookback_trade_count: None,
+            lookback_ofi: None,
+            lookback_duration_us: None,
+            lookback_intensity: None,
+            lookback_vwap_raw: None,
+            lookback_vwap_position: None,
+            lookback_count_imbalance: None,
+            lookback_kyle_lambda: None,
+            lookback_burstiness: None,
+            lookback_volume_skew: None,
+            lookback_volume_kurt: None,
+            lookback_price_range: None,
+            lookback_kaufman_er: None,
+            lookback_garman_klass_vol: None,
+            lookback_hurst: None,
+            lookback_permutation_entropy: None,
         }
     }