wickra_core/
lib.rs

1//! `wickra-core`: streaming-first technical indicators.
2//!
3//! The core engine of Wickra. Every indicator is implemented as a state machine
4//! that consumes inputs one at a time via [`Indicator::update`] in constant time.
5//! Batch evaluation is provided as a blanket extension trait so the same code
6//! path serves both online (tick-by-tick) and offline (historical) workloads.
7//!
8//! # Design
9//!
10//! - **Streaming-first.** State is held by the indicator instance, so a new value
11//!   only re-computes deltas, not the whole series.
12//! - **Batch is free.** [`BatchExt::batch`] is a blanket implementation that
13//!   simply replays `update` over a slice. Writing one implementation gives both
14//!   APIs.
15//! - **Composable.** Indicators implement [`Indicator<Input = f64, Output = f64>`]
16//!   wherever they conceptually take a price, so they can be chained via
17//!   [`Chain`].
18//! - **No `unsafe`.** The crate forbids `unsafe_code` in the workspace lints.
19//!
20//! # Quick start
21//!
22//! ```
23//! use wickra_core::{BatchExt, Indicator, Sma};
24//!
25//! // Streaming:
26//! let mut sma = Sma::new(3).unwrap();
27//! assert_eq!(sma.update(1.0), None);
28//! assert_eq!(sma.update(2.0), None);
29//! assert_eq!(sma.update(3.0), Some(2.0));
30//!
31//! // Batch (replays `update` internally):
32//! let mut sma = Sma::new(3).unwrap();
33//! let out = sma.batch(&[1.0, 2.0, 3.0, 4.0]);
34//! assert_eq!(out, vec![None, None, Some(2.0), Some(3.0)]);
35//! ```
36
37#![cfg_attr(docsrs, feature(doc_cfg))]
38// The libtest harness collects every `#[test]` into a compiler-generated array
39// of test references. With 2000+ unit tests that array exceeds clippy's 16 KB
40// `large_stack_arrays` threshold; the diagnostic is spanless libtest scaffolding,
41// not our code, so it cannot be silenced at a call site. Suppress it only in test
42// builds — library code is still linted for genuinely large stack arrays.
43#![cfg_attr(test, allow(clippy::large_stack_arrays))]
44
45mod calendar;
46mod cross_section;
47mod derivatives;
48mod error;
49mod microstructure;
50mod ohlcv;
51mod traits;
52
53pub mod indicators;
54
55pub use cross_section::{CrossSection, Member};
56pub use derivatives::DerivativesTick;
57pub use error::{Error, Result};
58pub use indicators::{
59    AbandonedBaby, AbsoluteBreadthIndex, AccelerationBands, AccelerationBandsOutput,
60    AcceleratorOscillator, AdOscillator, AdVolumeLine, AdaptiveCycle, Adl, AdvanceBlock,
61    AdvanceDecline, AdvanceDeclineRatio, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma,
62    Alpha, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator, AroonOutput, Atr, AtrBands,
63    AtrBandsOutput, AtrTrailingStop, Autocorrelation, AverageDailyRange, AverageDrawdown, AvgPrice,
64    AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BeltHold, Beta,
65    BetaNeutralSpread, BollingerBands, BollingerBandwidth, BollingerOutput, BreadthThrust,
66    Breakaway, BullishPercentIndex, CalendarSpread, CalmarRatio, Camarilla, CamarillaPivotsOutput,
67    Cci, CenterOfGravity, Cfo, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility,
68    ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit, ChandelierExitOutput, ChoppinessIndex,
69    ClassicPivots, ClassicPivotsOutput, ClosingMarubozu, Cmo, CoefficientOfVariation,
70    Cointegration, CointegrationOutput, ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi,
71    Coppock, Counterattack, CumulativeVolumeDelta, CumulativeVolumeIndex, CyberneticCycle,
72    DayOfWeekProfile, DayOfWeekProfileOutput, Decycler, DecyclerOscillator, Dema, DemandIndex,
73    DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, DistanceSsd, Doji, DojiStar,
74    Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
75    DoubleBollingerOutput, DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx,
76    EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
77    EmpiricalModeDecomposition, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, Fama,
78    FibonacciPivots, FibonacciPivotsOutput, FisherTransform, Footprint, FootprintOutput,
79    ForceIndex, FractalChaosBands, FractalChaosBandsOutput, Frama, FundingBasis, FundingRate,
80    FundingRateMean, FundingRateZScore, GainLossRatio, GapSideBySideWhite, GarmanKlassVolatility,
81    GrangerCausality, GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput,
82    HiLoActivator, HighLowIndex, HighWave, Hikkake, HikkakeModified, HilbertDominantCycle,
83    HistoricalVolatility, Hma, HomingPigeon, HtDcPhase, HtPhasor, HtPhasorOutput, HtTrendMode,
84    HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, IdenticalThreeCrows,
85    InNeck, Inertia, InformationRatio, InitialBalance, InitialBalanceOutput,
86    InstantaneousTrendline, IntradayVolatilityProfile, IntradayVolatilityProfileOutput,
87    InverseFisherTransform, InvertedHammer, Jma, KagiBars, KalmanHedgeRatio,
88    KalmanHedgeRatioOutput, Kama, KellyCriterion, Keltner, KeltnerOutput, Kicking, KickingByLength,
89    Kst, KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation,
90    LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel, LinRegChannelOutput,
91    LinRegIntercept, LinRegSlope, LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput,
92    LongLeggedDoji, LongLine, LongShortRatio, MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix,
93    MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, Marubozu, MassIndex,
94    MatHold, MatchingLow, MaxDrawdown, McClellanOscillator, McClellanSummationIndex,
95    McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Microprice, MidPoint, MidPrice,
96    MinusDi, MinusDm, Mom, MorningDojiStar, MorningEveningStar, Natr, NewHighsNewLows, Nvi,
97    OIPriceDivergence, OIWeighted, Obv, OmegaRatio, OnNeck, OpenInterestDelta, OpeningMarubozu,
98    OpeningRange, OpeningRangeOutput, OrderBookImbalanceFull, OrderBookImbalanceTop1,
99    OrderBookImbalanceTopN, OuHalfLife, OvernightGap, OvernightIntradayReturn,
100    OvernightIntradayReturnOutput, PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility,
101    PearsonCorrelation, PercentAboveMa, PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud,
102    PlusDi, PlusDm, Pmo, PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi, QuotedSpread, RSquared,
103    RealizedSpread, RecoveryFactor, RelativeStrengthAB, RelativeStrengthOutput, RenkoBars,
104    RenkoTrailingStop, RickshawMan, RisingThreeMethods, Roc, Rocp, Rocr, Rocr100,
105    RogersSatchellVolatility, RollingCorrelation, RollingCovariance, RollingVwap, RoofingFilter,
106    Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SarExt, SeasonalZScore, SeparatingLines,
107    SessionHighLow, SessionHighLowOutput, SessionRange, SessionRangeOutput, SessionVwap,
108    SharpeRatio, ShootingStar, ShortLine, SignedVolume, SineWave, Skewness, Sma, Smi, Smma,
109    SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadBollingerBands,
110    SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError, StandardErrorBands,
111    StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
112    StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend,
113    SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker,
114    TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
115    TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
116    TdSequentialOutput, TdSetup, Tema, TermStructureBasis, ThreeInside, ThreeLineStrike,
117    ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickIndex, Tii,
118    TimeOfDayReturnProfile, TimeOfDayReturnProfileOutput, TpoProfile, TpoProfileOutput,
119    TradeImbalance, TreynorRatio, Trima, Trin, Trix, TrueRange, Tsf, Tsi, Tsv, TtmSqueeze,
120    TtmSqueezeOutput, TurnOfMonth, Tweezer, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
121    UniqueThreeRiver, UpDownVolumeRatio, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea,
122    ValueAreaOutput, ValueAtRisk, Variance, VarianceRatio, VerticalHorizontalFilter, Vidya,
123    VoltyStop, VolumeByTimeProfile, VolumeByTimeProfileOutput, VolumeOscillator, VolumePriceTrend,
124    VolumeProfile, VolumeProfileOutput, Vortex, VortexOutput, Vwap, VwapStdDevBands,
125    VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput, WeightedClose, WilliamsFractals,
126    WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots, WoodiePivotsOutput, YangZhangVolatility,
127    YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
128};
129// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
130// line so the indicator-count tooling (which scans the braced block above and
131// strips only `*Output` companions) does not count it as a separate indicator.
132pub use indicators::FootprintLevel;
133// `MaType` is a moving-average selector enum used by `MacdExt`, re-exported on
134// its own line so the indicator-count tooling does not count it as an indicator.
135pub use indicators::MaType;
136// Bar element types for the alt-chart builders, re-exported on their own lines so
137// the indicator-count tooling (which scans only the braced block above) does not
138// count them as separate indicators.
139pub use indicators::KagiBar;
140pub use indicators::PnfColumn;
141pub use indicators::RenkoBrick;
142pub use microstructure::{Level, OrderBook, Side, Trade, TradeQuote};
143pub use ohlcv::{Candle, Tick};
144pub use traits::{BarBuilder, BatchExt, Chain, Indicator};
wickra_core/lib.rs

wickra_core/
lib.rs
