rangebar 12.1.0__tar.gz → 12.1.1__tar.gz

{rangebar-12.1.0 → rangebar-12.1.1}/CHANGELOG.md

@@ -1,3 +1,10 @@
+## [12.1.1](https://github.com/terrylica/rangebar-py/compare/v12.1.0...v12.1.1) (2026-02-03)
+
+
+### Bug Fixes
+
+* **microstructure:** auto-enable v12 features when include_microstructure=True ([9288e2f](https://github.com/terrylica/rangebar-py/commit/9288e2f5bc2f412d81d1954d308cea938d027b48)), closes [#68](https://github.com/terrylica/rangebar-py/issues/68)
+
 # [12.1.0](https://github.com/terrylica/rangebar-py/compare/v12.0.2...v12.1.0) (2026-02-03)
 
 

{rangebar-12.1.0 → rangebar-12.1.1}/Cargo.lock

@@ -3337,7 +3337,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "chrono",
  "insta",
@@ -3359,7 +3359,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-batch"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3371,7 +3371,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-cli"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "chrono",
  "clap",
@@ -3396,7 +3396,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-config"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "chrono",
  "config",
@@ -3408,7 +3408,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-core"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "ahash",
  "arrow",
@@ -3425,7 +3425,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-io"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "polars",
  "rangebar-core",
@@ -3435,7 +3435,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-providers"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "chrono",
  "csv",
@@ -3455,7 +3455,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-py"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "arrow",
  "arrow-array",
@@ -3474,7 +3474,7 @@ dependencies = [
 
 [[package]]
 name = "rangebar-streaming"
-version = "12.1.0"
+version = "12.1.1"
 dependencies = [
  "async-trait",
  "chrono",

{rangebar-12.1.0 → rangebar-12.1.1}/Cargo.toml

@@ -10,7 +10,7 @@ resolver = "2"
 [workspace.package]
 # CRITICAL: Prevent crates.io publishing - this is a PyPI-only project
 publish = false
-version = "12.1.0"
+version = "12.1.1"
 authors = ["Terry Li <terry@eonlabs.com>"]
 categories = ["algorithms", "data-structures", "finance"]
 documentation = "https://docs.rs/rangebar"

{rangebar-12.1.0 → rangebar-12.1.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: rangebar
-Version: 12.1.0
+Version: 12.1.1
 Classifier: Development Status :: 4 - Beta
 Classifier: Intended Audience :: Financial and Insurance Industry
 Classifier: License :: OSI Approved :: MIT License

{rangebar-12.1.0 → rangebar-12.1.1}/python/rangebar/orchestration/helpers.py

@@ -94,12 +94,18 @@ def _stream_range_bars_binance(
         "cm": MarketType.FuturesCM,
     }[market]
 
+    # Issue #68: Auto-enable v12 features when include_microstructure=True
+    effective_lookback = inter_bar_lookback_count
+    if include_microstructure and effective_lookback is None:
+        effective_lookback = 200  # Sensible default for inter-bar features
+
     # Create processor with symbol for checkpoint support
     processor = RangeBarProcessor(
         threshold_decimal_bps,
         symbol=symbol,
         prevent_same_timestamp_close=prevent_same_timestamp_close,
-        inter_bar_lookback_count=inter_bar_lookback_count,
+        inter_bar_lookback_count=effective_lookback,
+        include_intra_bar_features=include_microstructure,  # Auto-enable
     )
     bar_buffer: list[dict] = []
 
@@ -285,6 +291,7 @@ def _process_binance_trades(
     symbol: str | None = None,
     prevent_same_timestamp_close: bool = True,
     inter_bar_lookback_count: int | None = None,
+    include_intra_bar_features: bool = False,
 ) -> tuple[pd.DataFrame, RangeBarProcessor]:
     """Process Binance trades to range bars (internal).
 
@@ -307,6 +314,8 @@ def _process_binance_trades(
         Timestamp gating for flash crash prevention
     inter_bar_lookback_count : int, optional
         Lookback trade count for inter-bar features (Issue #59)
+    include_intra_bar_features : bool, default=False
+        Enable intra-bar features (Issue #59)
 
     Returns
     -------
@@ -353,6 +362,7 @@ def _process_binance_trades(
             symbol=symbol,
             prevent_same_timestamp_close=prevent_same_timestamp_close,
             inter_bar_lookback_count=inter_bar_lookback_count,
+            include_intra_bar_features=include_intra_bar_features,
         )
 
     # MEM-012: Stream bars in batches instead of accumulating all in memory

{rangebar-12.1.0 → rangebar-12.1.1}/python/rangebar/orchestration/range_bars.py

@@ -544,6 +544,13 @@ def get_range_bars(
         any_data_found = True
 
         # Process segment (reuse processor for state continuity within segment)
+        # Issue #68: Auto-enable v12 features when include_microstructure=True
+        # - inter_bar_lookback_count defaults to 200 (recommended range: 100-500)
+        # - include_intra_bar_features enabled for ITH and statistical features
+        effective_lookback = inter_bar_lookback_count
+        if include_microstructure and effective_lookback is None:
+            effective_lookback = 200  # Sensible default for inter-bar features
+
         segment_bars, processor = _process_binance_trades(
             segment_ticks,
             threshold_decimal_bps,
@@ -552,7 +559,8 @@ def get_range_bars(
             processor=processor,
             symbol=symbol,
             prevent_same_timestamp_close=prevent_same_timestamp_close,
-            inter_bar_lookback_count=inter_bar_lookback_count,
+            inter_bar_lookback_count=effective_lookback,
+            include_intra_bar_features=include_microstructure,  # Auto-enable
         )
 
         if segment_bars is not None and not segment_bars.empty:

{rangebar-12.1.0 → rangebar-12.1.1}/python/rangebar/processors/core.py

@@ -100,6 +100,7 @@ class RangeBarProcessor:
         *,
         prevent_same_timestamp_close: bool = True,
         inter_bar_lookback_count: int | None = None,
+        include_intra_bar_features: bool = False,
     ) -> None:
         """Initialize processor with given threshold.
 
@@ -112,7 +113,11 @@ class RangeBarProcessor:
         prevent_same_timestamp_close : bool, default=True
             Timestamp gating for flash crash prevention (Issue #36)
         inter_bar_lookback_count : int, optional
-            Lookback trade count for inter-bar features (Issue #59)
+            Lookback trade count for inter-bar features (Issue #59).
+            Enables 16 lookback_* features computed from trades BEFORE bar opens.
+        include_intra_bar_features : bool, default=False
+            Enable intra-bar features (Issue #59). When True, computes 22 intra_*
+            features from trades WITHIN each bar, including ITH metrics.
 
         Raises
         ------
@@ -134,11 +139,13 @@ class RangeBarProcessor:
             symbol,
             prevent_same_timestamp_close,
             inter_bar_lookback_count,
+            include_intra_bar_features,
         )
         self.threshold_decimal_bps = threshold_decimal_bps
         self.symbol = symbol
         self.prevent_same_timestamp_close = prevent_same_timestamp_close
         self.inter_bar_lookback_count = inter_bar_lookback_count
+        self.include_intra_bar_features = include_intra_bar_features
 
     @classmethod
     def from_checkpoint(cls, checkpoint: dict) -> RangeBarProcessor: