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, Abcd, AbsoluteBreadthIndex, AccelerationBands, AccelerationBandsOutput,
60    AcceleratorOscillator, AdOscillator, AdVolumeLine, AdaptiveCci, AdaptiveCycle,
61    AdaptiveLaguerreFilter, AdaptiveRsi, Adl, AdvanceBlock, AdvanceDecline, AdvanceDeclineRatio,
62    Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma, Alpha, AmihudIlliquidity, AnchoredRsi,
63    AnchoredVwap, AndrewsPitchfork, AndrewsPitchforkOutput, Apo, Aroon, AroonOscillator,
64    AroonOutput, Atr, AtrBands, AtrBandsOutput, AtrRatchet, AtrRatchetOutput, AtrTrailingStop,
65    AutoFib, AutoFibOutput, Autocorrelation, AutocorrelationPeriodogram, AverageDailyRange,
66    AverageDrawdown, AvgPrice, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower,
67    BandpassFilter, Bat, BeltHold, Beta, BetaNeutralSpread, BetterVolume, BipowerVariation,
68    BodySizePct, BollingerBands, BollingerBandwidth, BollingerOutput, BomarBands, BomarBandsOutput,
69    BreadthThrust, Breakaway, BullishPercentIndex, Butterfly, CalendarSpread, CalmarRatio,
70    Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, CentralPivotRange,
71    CentralPivotRangeOutput, Cfo, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility,
72    ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit, ChandelierExitOutput, ChoppinessIndex,
73    ClassicPivots, ClassicPivotsOutput, CloseVsOpen, ClosingMarubozu, Cmo, CoefficientOfVariation,
74    Cointegration, CointegrationOutput, ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi,
75    Coppock, CorrelationTrendIndicator, Counterattack, Crab, CumulativeVolumeDelta,
76    CumulativeVolumeIndex, CupAndHandle, CyberneticCycle, Cypher, DayOfWeekProfile,
77    DayOfWeekProfileOutput, Decycler, DecyclerOscillator, Dema, DemandIndex, DemarkPivots,
78    DemarkPivotsOutput, DepthSlope, DerivativeOscillator, DetrendedStdDev, DisparityIndex,
79    DistanceSsd, Doji, DojiStar, Donchian, DonchianOutput, DonchianStop, DonchianStopOutput,
80    DoubleBollinger, DoubleBollingerOutput, DoubleTopBottom, DownsideGapThreeMethods, Dpo,
81    DragonflyDoji, DrawdownDuration, Dx, DynamicMomentumIndex, EaseOfMovement, EffectiveSpread,
82    EhlersStochastic, Ehma, ElderImpulse, ElderRay, ElderRayOutput, ElderSafeZone,
83    ElderSafeZoneOutput, Ema, EmpiricalModeDecomposition, Engulfing, EvenBetterSinewave,
84    EveningDojiStar, Evwma, EwmaVolatility, Expectancy, FallingThreeMethods, Fama, FibArcs,
85    FibArcsOutput, FibChannel, FibChannelOutput, FibConfluence, FibConfluenceOutput, FibExtension,
86    FibExtensionOutput, FibFan, FibFanOutput, FibProjection, FibProjectionOutput, FibRetracement,
87    FibRetracementOutput, FibTimeZones, FibTimeZonesOutput, FibonacciPivots, FibonacciPivotsOutput,
88    FisherRsi, FisherTransform, FlagPennant, Footprint, FootprintOutput, ForceIndex,
89    FractalChaosBands, FractalChaosBandsOutput, Frama, FundingBasis, FundingRate, FundingRateMean,
90    FundingRateZScore, GainLossRatio, GapSideBySideWhite, Garch11, GarmanKlassVolatility, Gartley,
91    GatorOscillator, GatorOscillatorOutput, GeneralizedDema, GeometricMa, GoldenPocket,
92    GoldenPocketOutput, GrangerCausality, GravestoneDoji, Hammer, HangingMan, Harami,
93    HeadAndShoulders, HeikinAshi, HeikinAshiOutput, HiLoActivator, HighLowIndex, HighLowRange,
94    HighWave, HighpassFilter, Hikkake, HikkakeModified, HilbertDominantCycle, HistoricalVolatility,
95    Hma, HoltWinters, HomingPigeon, HtDcPhase, HtPhasor, HtPhasorOutput, HtTrendMode, HurstChannel,
96    HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, IdenticalThreeCrows, InNeck,
97    Inertia, InformationRatio, InitialBalance, InitialBalanceOutput, InstantaneousTrendline,
98    IntradayIntensity, IntradayMomentumIndex, IntradayVolatilityProfile,
99    IntradayVolatilityProfileOutput, InverseFisherTransform, InvertedHammer, JarqueBera, Jma,
100    JumpIndicator, KagiBars, KalmanHedgeRatio, KalmanHedgeRatioOutput, Kama, KaseDevStop,
101    KaseDevStopOutput, KasePermissionStochastic, KasePermissionStochasticOutput, KellyCriterion,
102    Keltner, KeltnerOutput, KendallTau, Kicking, KickingByLength, Kst, KstOutput, Kurtosis, Kvo,
103    KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput,
104    LinRegAngle, LinRegChannel, LinRegChannelOutput, LinRegIntercept, LinRegSlope,
105    LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput, LogReturn, LongLeggedDoji,
106    LongLine, LongShortRatio, MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix, MacdHistogram,
107    MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex, Marubozu, MassIndex,
108    MatHold, MatchingLow, MaxDrawdown, McClellanOscillator, McClellanSummationIndex,
109    McGinleyDynamic, MedianAbsoluteDeviation, MedianChannel, MedianChannelOutput, MedianMa,
110    MedianPrice, Mfi, Microprice, MidPoint, MidPrice, MinusDi, MinusDm, ModifiedMaStop,
111    ModifiedMaStopOutput, Mom, MorningDojiStar, MorningEveningStar, MurreyMathLines,
112    MurreyMathLinesOutput, Natr, NewHighsNewLows, Nrtr, NrtrOutput, Nvi, OIPriceDivergence,
113    OIWeighted, Obv, OmegaRatio, OnNeck, OpenInterestDelta, OpeningMarubozu, OpeningRange,
114    OpeningRangeOutput, OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN,
115    OrderFlowImbalance, OuHalfLife, OvernightGap, OvernightIntradayReturn,
116    OvernightIntradayReturnOutput, PainIndex, PairSpreadZScore, PairwiseBeta, ParkinsonVolatility,
117    PearsonCorrelation, PercentAboveMa, PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud,
118    PivotReversal, PlusDi, PlusDm, Pmo, PointAndFigureBars, PolarizedFractalEfficiency, Ppo,
119    PpoHistogram, ProfitFactor, ProjectionBands, ProjectionBandsOutput, ProjectionOscillator, Psar,
120    Pvi, Qqe, QqeOutput, Qstick, QuartileBands, QuartileBandsOutput, QuotedSpread, RSquared,
121    RealizedSpread, RealizedVolatility, RecoveryFactor, RectangleRange, Reflex, RegimeLabel,
122    RelativeStrengthAB, RelativeStrengthOutput, RenkoBars, RenkoTrailingStop, RickshawMan,
123    RisingThreeMethods, Rmi, Roc, Rocp, Rocr, Rocr100, RogersSatchellVolatility, RollMeasure,
124    RollingCorrelation, RollingCovariance, RollingIqr, RollingMinMaxScaler, RollingPercentileRank,
125    RollingQuantile, RollingVwap, RoofingFilter, Rsi, Rsx, Rvi, RviVolatility, Rwi, RwiOutput,
126    SampleEntropy, SarExt, SeasonalZScore, SeparatingLines, SessionHighLow, SessionHighLowOutput,
127    SessionRange, SessionRangeOutput, SessionVwap, ShannonEntropy, Shark, SharpeRatio,
128    ShootingStar, ShortLine, SignedVolume, SineWave, SineWeightedMa, Skewness, Sma, Smi, Smma,
129    SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadAr1Coefficient, SpreadBollingerBands,
130    SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError, StandardErrorBands,
131    StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
132    StickSandwich, StochRsi, Stochastic, StochasticCci, StochasticOutput, SuperSmoother,
133    SuperTrend, SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCamouflage, TdClop,
134    TdClopwin, TdCombo, TdCountdown, TdDWave, TdDeMarker, TdDifferential, TdLines, TdLinesOutput,
135    TdMovingAverage, TdMovingAverageOutput, TdOpen, TdPressure, TdPropulsion, TdRangeProjection,
136    TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
137    TdSequentialOutput, TdSetup, TdTrap, Tema, TermStructureBasis, ThreeDrives, ThreeInside,
138    ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickIndex,
139    Tii, TimeBasedStop, TimeOfDayReturnProfile, TimeOfDayReturnProfileOutput, TpoProfile,
140    TpoProfileOutput, TradeImbalance, TradeVolumeIndex, TrendLabel, TrendStrengthIndex, Trendflex,
141    TreynorRatio, Triangle, Trima, Trin, TripleTopBottom, Trix, TrueRange, Tsf, TsfOscillator, Tsi,
142    Tsv, TtmSqueeze, TtmSqueezeOutput, TtmTrend, TurnOfMonth, Tweezer, TwiggsMoneyFlow, TwoCrows,
143    TypicalPrice, UlcerIndex, UltimateOscillator, UniqueThreeRiver, UniversalOscillator,
144    UpDownVolumeRatio, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, ValueAreaOutput,
145    ValueAtRisk, Variance, VarianceRatio, VerticalHorizontalFilter, Vidya, VolatilityCone,
146    VolatilityConeOutput, VolatilityOfVolatility, VolatilityRatio, VoltyStop, VolumeByTimeProfile,
147    VolumeByTimeProfileOutput, VolumeOscillator, VolumePriceTrend, VolumeProfile,
148    VolumeProfileOutput, VolumeRsi, VolumeWeightedMacd, VolumeWeightedMacdOutput, VolumeWeightedSr,
149    VolumeWeightedSrOutput, Vortex, VortexOutput, Vpin, Vwap, VwapStdDevBands,
150    VwapStdDevBandsOutput, Vwma, Vzo, Wad, WavePm, WaveTrend, WaveTrendOutput, Wedge,
151    WeightedClose, WickRatio, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, WinRate, Wma,
152    WoodiePivots, WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd,
153    ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
154};
155// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
156// line so the indicator-count tooling (which scans the braced block above and
157// strips only `*Output` companions) does not count it as a separate indicator.
158pub use indicators::FootprintLevel;
159// `MaType` is a moving-average selector enum used by `MacdExt`, re-exported on
160// its own line so the indicator-count tooling does not count it as an indicator.
161pub use indicators::MaType;
162// Bar element types for the alt-chart builders, re-exported on their own lines so
163// the indicator-count tooling (which scans only the braced block above) does not
164// count them as separate indicators.
165pub use indicators::KagiBar;
166pub use indicators::PnfColumn;
167pub use indicators::RenkoBrick;
168pub use microstructure::{Level, OrderBook, Side, Trade, TradeQuote};
169pub use ohlcv::{Candle, Tick};
170pub use traits::{BarBuilder, BatchExt, BatchNanExt, Chain, Indicator};
wickra_core/lib.rs

wickra_core/
lib.rs
