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::DollarBar;
59pub use indicators::ImbalanceBar;
60pub use indicators::LineBreakBar;
61pub use indicators::RangeBar;
62pub use indicators::RunBar;
63pub use indicators::TickBar;
64pub use indicators::VolumeBar;
65pub use indicators::{
66    AbandonedBaby, Abcd, AbsoluteBreadthIndex, AccelerationBands, AccelerationBandsOutput,
67    AcceleratorOscillator, AdOscillator, AdVolumeLine, AdaptiveCci, AdaptiveCycle,
68    AdaptiveLaguerreFilter, AdaptiveRsi, Adl, AdvanceBlock, AdvanceDecline, AdvanceDeclineRatio,
69    Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma, Alpha, AmihudIlliquidity, AnchoredRsi,
70    AnchoredVwap, AndrewsPitchfork, AndrewsPitchforkOutput, Apo, Aroon, AroonOscillator,
71    AroonOutput, Atr, AtrBands, AtrBandsOutput, AtrRatchet, AtrRatchetOutput, AtrTrailingStop,
72    AutoFib, AutoFibOutput, Autocorrelation, AutocorrelationPeriodogram, AverageDailyRange,
73    AverageDrawdown, AvgPrice, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower,
74    BandpassFilter, Bat, BeltHold, Beta, BetaNeutralSpread, BetterVolume, BipowerVariation,
75    BodySizePct, BollingerBands, BollingerBandwidth, BollingerOutput, BomarBands, BomarBandsOutput,
76    BreadthThrust, Breakaway, BullishPercentIndex, BurkeRatio, Butterfly, CalendarSpread,
77    CalmarRatio, Camarilla, CamarillaPivotsOutput, CandleVolume, CandleVolumeOutput, Cci,
78    CenterOfGravity, CentralPivotRange, CentralPivotRangeOutput, Cfo, ChaikinMoneyFlow,
79    ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit,
80    ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, CloseVsOpen,
81    ClosingMarubozu, Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput,
82    CommonSenseRatio, CompositeProfile, CompositeProfileOutput, ConcealingBabySwallow,
83    ConditionalValueAtRisk, ConnorsRsi, Coppock, CorrelationTrendIndicator, Counterattack, Crab,
84    CumulativeVolumeDelta, CumulativeVolumeIndex, CupAndHandle, CyberneticCycle, Cypher,
85    DayOfWeekProfile, DayOfWeekProfileOutput, Decycler, DecyclerOscillator, Dema, DemandIndex,
86    DemarkPivots, DemarkPivotsOutput, DepthSlope, DerivativeOscillator, DetrendedStdDev,
87    DisparityIndex, DistanceSsd, Doji, DojiStar, DollarBars, Donchian, DonchianOutput,
88    DonchianStop, DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput, DoubleTopBottom,
89    DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, DumplingTop, Dx,
90    DynamicMomentumIndex, EaseOfMovement, EffectiveSpread, EhlersStochastic, Ehma, ElderImpulse,
91    ElderRay, ElderRayOutput, ElderSafeZone, ElderSafeZoneOutput, Ema, EmpiricalModeDecomposition,
92    Engulfing, Equivolume, EquivolumeOutput, EstimatedLeverageRatio, EvenBetterSinewave,
93    EveningDojiStar, Evwma, EwmaVolatility, Expectancy, FallingThreeMethods, Fama, FibArcs,
94    FibArcsOutput, FibChannel, FibChannelOutput, FibConfluence, FibConfluenceOutput, FibExtension,
95    FibExtensionOutput, FibFan, FibFanOutput, FibProjection, FibProjectionOutput, FibRetracement,
96    FibRetracementOutput, FibTimeZones, FibTimeZonesOutput, FibonacciPivots, FibonacciPivotsOutput,
97    FisherRsi, FisherTransform, FlagPennant, Footprint, FootprintOutput, ForceIndex,
98    FractalChaosBands, FractalChaosBandsOutput, Frama, FryPanBottom, FundingBasis,
99    FundingImpliedApr, FundingRate, FundingRateMean, FundingRateZScore, GainLossRatio,
100    GainToPainRatio, GapSideBySideWhite, Garch11, GarmanKlassVolatility, Gartley, GatorOscillator,
101    GatorOscillatorOutput, GeneralizedDema, GeometricMa, GoldenPocket, GoldenPocketOutput,
102    GrangerCausality, GravestoneDoji, Hammer, HangingMan, Harami, HaramiCross,
103    HasbrouckInformationShare, HeadAndShoulders, HeikinAshi, HeikinAshiOscillator,
104    HeikinAshiOutput, HiLoActivator, HighLowIndex, HighLowRange, HighLowVolumeNodes,
105    HighLowVolumeNodesOutput, HighWave, HighpassFilter, Hikkake, HikkakeModified,
106    HilbertDominantCycle, HistoricalVolatility, Hma, HoltWinters, HomingPigeon, HtDcPhase,
107    HtPhasor, HtPhasorOutput, HtTrendMode, HurstChannel, HurstChannelOutput, HurstExponent,
108    Ichimoku, IchimokuOutput, IdenticalThreeCrows, ImbalanceBars, InNeck, Inertia,
109    InformationRatio, InitialBalance, InitialBalanceOutput, InstantaneousTrendline,
110    IntradayIntensity, IntradayMomentumIndex, IntradayVolatilityProfile,
111    IntradayVolatilityProfileOutput, InverseFisherTransform, InvertedHammer, JarqueBera, Jma,
112    JumpIndicator, KRatio, KagiBars, KalmanHedgeRatio, KalmanHedgeRatioOutput, Kama, KaseDevStop,
113    KaseDevStopOutput, KasePermissionStochastic, KasePermissionStochasticOutput, KellyCriterion,
114    Keltner, KeltnerOutput, KendallTau, Kicking, KickingByLength, Kst, KstOutput, Kurtosis, Kvo,
115    KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput,
116    LinRegAngle, LinRegChannel, LinRegChannelOutput, LinRegIntercept, LinRegSlope,
117    LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput, LogReturn, LongLeggedDoji,
118    LongLine, LongShortRatio, M2Measure, MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix,
119    MacdHistogram, MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex,
120    MartinRatio, Marubozu, MassIndex, MatHold, MatchingLow, MaxDrawdown, McClellanOscillator,
121    McClellanSummationIndex, McGinleyDynamic, MedianAbsoluteDeviation, MedianChannel,
122    MedianChannelOutput, MedianMa, MedianPrice, Mfi, Microprice, MidPoint, MidPrice, MinusDi,
123    MinusDm, ModifiedMaStop, ModifiedMaStopOutput, Mom, MorningDojiStar, MorningEveningStar,
124    MurreyMathLines, MurreyMathLinesOutput, NakedPoc, Natr, NewHighsNewLows, NewPriceLines, Nrtr,
125    NrtrOutput, Nvi, OIPriceDivergence, OIWeighted, Obv, OiToVolumeRatio, OmegaRatio, OnNeck,
126    OpenInterestDelta, OpenInterestMomentum, OpeningMarubozu, OpeningRange, OpeningRangeOutput,
127    OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, OrderFlowImbalance,
128    OuHalfLife, OvernightGap, OvernightIntradayReturn, OvernightIntradayReturnOutput, PainIndex,
129    PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentAboveMa,
130    PercentB, PercentageTrailingStop, PerpetualPremiumIndex, Pgo, PiercingDarkCloud, Pin,
131    PivotReversal, PlusDi, PlusDm, Pmo, PointAndFigureBars, PolarizedFractalEfficiency, Ppo,
132    PpoHistogram, ProfileShape, ProfitFactor, ProjectionBands, ProjectionBandsOutput,
133    ProjectionOscillator, Psar, Pvi, Qqe, QqeOutput, Qstick, QuartileBands, QuartileBandsOutput,
134    QuotedSpread, RSquared, RangeBars, RealizedSpread, RealizedVolatility, RecoveryFactor,
135    RectangleRange, Reflex, RegimeLabel, RelativeStrengthAB, RelativeStrengthOutput, RenkoBars,
136    RenkoTrailingStop, RickshawMan, RisingThreeMethods, Rmi, Roc, Rocp, Rocr, Rocr100,
137    RogersSatchellVolatility, RollMeasure, RollingCorrelation, RollingCovariance, RollingIqr,
138    RollingMinMaxScaler, RollingPercentileRank, RollingQuantile, RollingVwap, RoofingFilter, Rsi,
139    Rsx, RunBars, Rvi, RviVolatility, Rwi, RwiOutput, SampleEntropy, SarExt, SeasonalZScore,
140    SeparatingLines, SessionHighLow, SessionHighLowOutput, SessionRange, SessionRangeOutput,
141    SessionVwap, ShannonEntropy, Shark, SharpeRatio, ShootingStar, ShortLine, SignedVolume,
142    SineWave, SineWeightedMa, SinglePrints, Skewness, Sma, Smi, Smma, SmoothedHeikinAshi,
143    SmoothedHeikinAshiOutput, SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadAr1Coefficient,
144    SpreadBollingerBands, SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError,
145    StandardErrorBands, StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev,
146    StepTrailingStop, SterlingRatio, StickSandwich, StochRsi, Stochastic, StochasticCci,
147    StochasticOutput, SuperSmoother, SuperTrend, SuperTrendOutput, TailRatio, TakerBuySellRatio,
148    Takuri, TasukiGap, TdCamouflage, TdClop, TdClopwin, TdCombo, TdCountdown, TdDWave, TdDeMarker,
149    TdDifferential, TdLines, TdLinesOutput, TdMovingAverage, TdMovingAverageOutput, TdOpen,
150    TdPressure, TdPropulsion, TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel,
151    TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, TdTrap, Tema, TermStructureBasis,
152    ThreeDrives, ThreeInside, ThreeLineBreak, ThreeLineBreakBars, ThreeLineStrike, ThreeOutside,
153    ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickBars, TickIndex, Tii, TimeBasedStop,
154    TimeOfDayReturnProfile, TimeOfDayReturnProfileOutput, TowerTopBottom, TpoProfile,
155    TpoProfileOutput, TradeImbalance, TradeSignAutocorrelation, TradeVolumeIndex, TrendLabel,
156    TrendStrengthIndex, Trendflex, TreynorRatio, Triangle, Trima, Trin, TripleTopBottom, Tristar,
157    Trix, TrueRange, Tsf, TsfOscillator, Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, TtmTrend,
158    TurnOfMonth, Tweezer, TwiggsMoneyFlow, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
159    UniqueThreeRiver, UniversalOscillator, UpDownVolumeRatio, UpsideGapThreeMethods,
160    UpsideGapTwoCrows, UpsidePotentialRatio, ValueArea, ValueAreaOutput, ValueAtRisk, Variance,
161    VarianceRatio, VerticalHorizontalFilter, Vidya, VolatilityCone, VolatilityConeOutput,
162    VolatilityOfVolatility, VolatilityRatio, VoltyStop, VolumeBars, VolumeByTimeProfile,
163    VolumeByTimeProfileOutput, VolumeOscillator, VolumePriceTrend, VolumeProfile,
164    VolumeProfileOutput, VolumeRsi, VolumeWeightedMacd, VolumeWeightedMacdOutput, VolumeWeightedSr,
165    VolumeWeightedSrOutput, Vortex, VortexOutput, Vpin, Vwap, VwapStdDevBands,
166    VwapStdDevBandsOutput, Vwma, Vzo, Wad, WavePm, WaveTrend, WaveTrendOutput, Wedge,
167    WeightedClose, WickRatio, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, WinRate, Wma,
168    WoodiePivots, WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd,
169    ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
170};
171// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
172// line so the indicator-count tooling (which scans the braced block above and
173// strips only `*Output` companions) does not count it as a separate indicator.
174pub use indicators::FootprintLevel;
175// `MaType` is a moving-average selector enum used by `MacdExt`, re-exported on
176// its own line so the indicator-count tooling does not count it as an indicator.
177pub use indicators::MaType;
178// Bar element types for the alt-chart builders, re-exported on their own lines so
179// the indicator-count tooling (which scans only the braced block above) does not
180// count them as separate indicators.
181pub use indicators::KagiBar;
182pub use indicators::PnfColumn;
183pub use indicators::RenkoBrick;
184pub use microstructure::{Level, OrderBook, Side, Trade, TradeQuote};
185pub use ohlcv::{Candle, Tick};
186pub use traits::{BarBuilder, BatchExt, BatchNanExt, Chain, Indicator};
wickra_core/lib.rs

wickra_core/
lib.rs
