ta-indicators

Warmup-exact Rust port of TA-Lib batch indicators. Outputs use Option<f64> with None on warmup bars, matching TA-Lib's emitted-value semantics bar for bar (not just post-warmup tails).

Designed as a standalone library: zero runtime dependencies, deterministic parity tests against committed TA-Lib reference fixtures.

The crates.io package is ta-indicators; the Rust library import name is ta_indicators.

Status

• Publish target: crates.io package ta-indicators, Rust crate import ta_indicators.
• Runtime dependencies: none.
• License: MIT plus BSD-3-Clause notice for adapted rolling-window techniques.
• Parity gate: 121 checked-in TA-Lib reference series.
• Package dry run: 15 files, about 254 KiB compressed.

Install

[dependencies]
ta-indicators = "0.1"

use ta_indicators::{cdl_engulfing, ht_dcperiod, macd, rsi};

let rsi_14 = rsi(&closes, 14);
let macd_out = macd(&closes, 12, 26, 9);
let patterns = cdl_engulfing(&opens, &highs, &lows, &closes);
let dominant_cycle = ht_dcperiod(&closes);

Layout

src/lib.rs       Overlap, momentum, volatility, volume, stats, Hilbert transforms
src/candles.rs   Shared candle-settings framework + 61 CDL pattern functions
tests/           Warmup-exact parity harness (121 fixture keys, two test files)
scripts/         Fixture regeneration via Python TA-Lib (dev-only)

src/lib.rs

Single-crate API for non-pattern indicators: moving averages, MACD family, RSI, Bollinger bands, ADX family, Aroon, SAR/SAREXT, linear regression, BETA/CORREL, Hilbert stack (ht_*, mama), and Sabertooth-adjacent helpers (price_context, bop, etc.).

Multi-output functions return small structs (Macd, AdxFamily, BollingerBands, …) or tuples (ht_phasor, ht_sine, mama).

src/candles.rs

TA-Lib-compatible candle pattern recognition:

• CandleSetting / RangeType — shared body/shadow thresholds (TA-Lib defaults).
• Candles — OHLCV wrapper with real_body, shadows, color, range, average.
• cdl_* — 61 pattern detectors returning Vec<i32> (0, ±100, ±200).

Validation

Policy: warmup-exact — Rust must match TA-Lib wherever the fixture has a non-null reference value, including the warmup region.

Regenerate fixtures (requires Python TA-Lib):

python3 -m venv artifacts/venv-talib
artifacts/venv-talib/bin/pip install TA-Lib numpy
artifacts/venv-talib/bin/python scripts/gen_parity_fixtures.py
cargo test

Release gate:

cargo fmt --all -- --check
cargo clippy --all-targets --all-features -- -D warnings
RUSTDOCFLAGS="-D warnings" cargo doc --no-deps
cargo test
cargo publish --dry-run

Performance comparison against talib-rs:

cargo test --release --test upstream_talib_compare \
  compare_upstream_performance_on_repeated_fixture_data -- --ignored --nocapture

Performance

The release perf probe expands the parity fixture to 409,600 bars and compares ta-indicators against talib-rs 0.1.2 with default features disabled. Ratio is upstream / ta-indicators, so values above 1.0x mean this crate is faster. Numbers below are from the publication-prep run on the local release build.

Known slower cases in the same probe:

Performance work is intentionally conservative: optimized paths preserve TA-Lib fixture parity and fall back to scan-based logic where non-finite data would change behavior.

Coverage

The checked-in parity suite currently covers 121 TA-Lib reference series:

• 50 numeric indicator outputs across overlap, momentum, volatility, volume, price transforms, statistics, SAR/SAREXT, MACD/MACDEXT-SMA, and linear regression.
• 10 Hilbert/MAMA outputs.
• 61 CDL* candle pattern outputs.

Remaining gaps are mostly non-SMA matype variants, generic binary operators, and combined min/max exports.

Scope

• Batch API only; this is not a streaming indicator engine.
• Pure Rust implementation; Python TA-Lib is used only to regenerate parity fixtures.
• Candle patterns use TA-Lib's default candle settings and return TA-Lib-style integer signals (0, ±100, ±200).

Publication Checklist

Before publishing:

cargo fmt --all -- --check
cargo test
cargo clippy --all-targets --all-features -- -D warnings
RUSTDOCFLAGS="-D warnings" cargo doc --no-deps
cargo publish --dry-run

Secret scan used for release preparation:

rg -n "(AKIA[0-9A-Z]{16}|gh[pousr]_[A-Za-z0-9_]{20,}|github_pat_[A-Za-z0-9_]+|sk-[A-Za-z0-9_-]{20,}|xox[baprs]-[A-Za-z0-9-]+|BEGIN (RSA|DSA|EC|OPENSSH|PGP|PRIVATE) KEY|api[_-]?key\s*[:=]|token\s*[:=]|password\s*[:=]|secret\s*[:=])" -S . --glob '!target/**' --glob '!.git/**'

The crate does not require credentials, tokens, network services, or runtime configuration.

License

MIT and BSD-3-Clause. See LICENSE and THIRD_PARTY_NOTICES.md.