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//!   Batch kernels that profit from AVX2 and FMA run through the small
20//!   `wickra-simd` crate, which holds the one `unsafe` runtime dispatch; the
21//!   kernels stay safe code here and return the same bits on every path.
22//!
23//! # Quick start
24//!
25//! ```
26//! use wickra_core::{BatchExt, Indicator, Sma};
27//!
28//! // Streaming:
29//! let mut sma = Sma::new(3).unwrap();
30//! assert_eq!(sma.update(1.0), None);
31//! assert_eq!(sma.update(2.0), None);
32//! assert_eq!(sma.update(3.0), Some(2.0));
33//!
34//! // Batch (replays `update` internally):
35//! let mut sma = Sma::new(3).unwrap();
36//! let out = sma.batch(&[1.0, 2.0, 3.0, 4.0]);
37//! assert_eq!(out, vec![None, None, Some(2.0), Some(3.0)]);
38//! ```
39
40#![cfg_attr(docsrs, feature(doc_cfg))]
41// The libtest harness collects every `#[test]` into a compiler-generated array
42// of test references. With 2000+ unit tests that array exceeds clippy's 16 KB
43// `large_stack_arrays` threshold; the diagnostic is spanless libtest scaffolding,
44// not our code, so it cannot be silenced at a call site. Suppress it only in test
45// builds — library code is still linted for genuinely large stack arrays.
46#![cfg_attr(test, allow(clippy::large_stack_arrays))]
47
48mod calendar;
49mod cross_section;
50mod derivatives;
51mod error;
52mod fast;
53mod microstructure;
54mod ohlcv;
55mod traits;
56
57pub mod indicators;
58
59pub use cross_section::{CrossSection, Member};
60pub use derivatives::DerivativesTick;
61pub use error::{Error, Result, MAX_PERIOD};
62pub use indicators::DollarBar;
63pub use indicators::ImbalanceBar;
64pub use indicators::LineBreakBar;
65pub use indicators::RangeBar;
66pub use indicators::RunBar;
67pub use indicators::TickBar;
68pub use indicators::VolumeBar;
69pub use indicators::{
70    AbandonedBaby, Abcd, AbsoluteBreadthIndex, AccelerationBands, AccelerationBandsOutput,
71    AcceleratorOscillator, AdOscillator, AdVolumeLine, AdaptiveCci, AdaptiveCycle,
72    AdaptiveLaguerreFilter, AdaptiveRsi, Adl, AdvanceBlock, AdvanceDecline, AdvanceDeclineRatio,
73    Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma, Alpha, AmihudIlliquidity, AnchoredRsi,
74    AnchoredVwap, AndrewsPitchfork, AndrewsPitchforkOutput, Apo, Aroon, AroonOscillator,
75    AroonOutput, Atr, AtrBands, AtrBandsOutput, AtrRatchet, AtrRatchetOutput, AtrTrailingStop,
76    AutoFib, AutoFibOutput, Autocorrelation, AutocorrelationPeriodogram, AverageDailyRange,
77    AverageDrawdown, AvgPrice, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower,
78    BandpassFilter, Bat, BeltHold, Beta, BetaNeutralSpread, BetterVolume, BipowerVariation,
79    BodySizePct, BollingerBands, BollingerBandwidth, BollingerOutput, BomarBands, BomarBandsOutput,
80    BreadthThrust, Breakaway, BullishPercentIndex, BurkeRatio, Butterfly, CalendarSpread,
81    CalmarRatio, Camarilla, CamarillaPivotsOutput, CandleVolume, CandleVolumeOutput, Cci,
82    CenterOfGravity, CentralPivotRange, CentralPivotRangeOutput, Cfo, ChaikinMoneyFlow,
83    ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit,
84    ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, CloseVsOpen,
85    ClosingMarubozu, Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput,
86    CommonSenseRatio, CompositeProfile, CompositeProfileOutput, ConcealingBabySwallow,
87    ConditionalValueAtRisk, ConnorsRsi, Coppock, CorrelationTrendIndicator, Counterattack, Crab,
88    CumulativeVolumeDelta, CumulativeVolumeIndex, CupAndHandle, CyberneticCycle, Cypher,
89    DayOfWeekProfile, DayOfWeekProfileOutput, Decycler, DecyclerOscillator, Dema, DemandIndex,
90    DemarkPivots, DemarkPivotsOutput, DepthSlope, DerivativeOscillator, DetrendedStdDev,
91    DisparityIndex, DistanceSsd, Doji, DojiStar, DollarBars, Donchian, DonchianOutput,
92    DonchianStop, DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput, DoubleTopBottom,
93    DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, DumplingTop, Dx,
94    DynamicMomentumIndex, EaseOfMovement, EffectiveSpread, EhlersStochastic, Ehma, ElderImpulse,
95    ElderRay, ElderRayOutput, ElderSafeZone, ElderSafeZoneOutput, Ema, EmpiricalModeDecomposition,
96    Engulfing, Equivolume, EquivolumeOutput, EstimatedLeverageRatio, EvenBetterSinewave,
97    EveningDojiStar, Evwma, EwmaVolatility, Expectancy, FallingThreeMethods, Fama, FibArcs,
98    FibArcsOutput, FibChannel, FibChannelOutput, FibConfluence, FibConfluenceOutput, FibExtension,
99    FibExtensionOutput, FibFan, FibFanOutput, FibProjection, FibProjectionOutput, FibRetracement,
100    FibRetracementOutput, FibTimeZones, FibTimeZonesOutput, FibonacciPivots, FibonacciPivotsOutput,
101    FisherRsi, FisherTransform, FlagPennant, Footprint, FootprintOutput, ForceIndex,
102    FractalChaosBands, FractalChaosBandsOutput, Frama, FryPanBottom, FundingBasis,
103    FundingImpliedApr, FundingRate, FundingRateMean, FundingRateZScore, GainLossRatio,
104    GainToPainRatio, GapSideBySideWhite, Garch11, GarmanKlassVolatility, Gartley, GatorOscillator,
105    GatorOscillatorOutput, GeneralizedDema, GeometricMa, GoldenPocket, GoldenPocketOutput,
106    GrangerCausality, GravestoneDoji, Hammer, HangingMan, Harami, HaramiCross,
107    HasbrouckInformationShare, HeadAndShoulders, HeikinAshi, HeikinAshiOscillator,
108    HeikinAshiOutput, HiLoActivator, HighLowIndex, HighLowRange, HighLowVolumeNodes,
109    HighLowVolumeNodesOutput, HighWave, HighpassFilter, Hikkake, HikkakeModified,
110    HilbertDominantCycle, HistoricalVolatility, Hma, HoltWinters, HomingPigeon, HtDcPhase,
111    HtPhasor, HtPhasorOutput, HtTrendMode, HurstChannel, HurstChannelOutput, HurstExponent,
112    Ichimoku, IchimokuOutput, IdenticalThreeCrows, ImbalanceBars, InNeck, Inertia,
113    InformationRatio, InitialBalance, InitialBalanceOutput, InstantaneousTrendline,
114    IntradayIntensity, IntradayMomentumIndex, IntradayVolatilityProfile,
115    IntradayVolatilityProfileOutput, InverseFisherTransform, InvertedHammer, JarqueBera, Jma,
116    JumpIndicator, KRatio, KagiBars, KalmanHedgeRatio, KalmanHedgeRatioOutput, Kama, KaseDevStop,
117    KaseDevStopOutput, KasePermissionStochastic, KasePermissionStochasticOutput, KellyCriterion,
118    Keltner, KeltnerOutput, KendallTau, Kicking, KickingByLength, Kst, KstOutput, Kurtosis, Kvo,
119    KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation, LeadLagCrossCorrelationOutput,
120    LinRegAngle, LinRegChannel, LinRegChannelOutput, LinRegIntercept, LinRegSlope,
121    LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput, LogReturn, LongLeggedDoji,
122    LongLine, LongShortRatio, M2Measure, MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix,
123    MacdHistogram, MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex,
124    MartinRatio, Marubozu, MassIndex, MatHold, MatchingLow, MaxDrawdown, McClellanOscillator,
125    McClellanSummationIndex, McGinleyDynamic, MedianAbsoluteDeviation, MedianChannel,
126    MedianChannelOutput, MedianMa, MedianPrice, Mfi, Microprice, MidPoint, MidPrice, MinusDi,
127    MinusDm, ModifiedMaStop, ModifiedMaStopOutput, Mom, MorningDojiStar, MorningEveningStar,
128    MurreyMathLines, MurreyMathLinesOutput, NakedPoc, Natr, NewHighsNewLows, NewPriceLines, Nrtr,
129    NrtrOutput, Nvi, OIPriceDivergence, OIWeighted, Obv, OiToVolumeRatio, OmegaRatio, OnNeck,
130    OpenInterestDelta, OpenInterestMomentum, OpeningMarubozu, OpeningRange, OpeningRangeOutput,
131    OrderBookImbalanceFull, OrderBookImbalanceTop1, OrderBookImbalanceTopN, OrderFlowImbalance,
132    OuHalfLife, OvernightGap, OvernightIntradayReturn, OvernightIntradayReturnOutput, PainIndex,
133    PairSpreadZScore, PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentAboveMa,
134    PercentB, PercentageTrailingStop, PerpetualPremiumIndex, Pgo, PiercingDarkCloud, Pin,
135    PivotReversal, PlusDi, PlusDm, Pmo, PointAndFigureBars, PolarizedFractalEfficiency, Ppo,
136    PpoHistogram, ProfileShape, ProfitFactor, ProjectionBands, ProjectionBandsOutput,
137    ProjectionOscillator, Psar, Pvi, Qqe, QqeOutput, Qstick, QuartileBands, QuartileBandsOutput,
138    QuotedSpread, RSquared, RangeBars, RealizedSpread, RealizedVolatility, RecoveryFactor,
139    RectangleRange, Reflex, RegimeLabel, RelativeStrengthAB, RelativeStrengthOutput, RenkoBars,
140    RenkoTrailingStop, RickshawMan, RisingThreeMethods, Rmi, Roc, Rocp, Rocr, Rocr100,
141    RogersSatchellVolatility, RollMeasure, RollingCorrelation, RollingCovariance, RollingIqr,
142    RollingMinMaxScaler, RollingPercentileRank, RollingQuantile, RollingVwap, RoofingFilter, Rsi,
143    Rsx, RunBars, Rvi, RviVolatility, Rwi, RwiOutput, SampleEntropy, SarExt, SeasonalZScore,
144    SeparatingLines, SessionHighLow, SessionHighLowOutput, SessionRange, SessionRangeOutput,
145    SessionVwap, ShannonEntropy, Shark, SharpeRatio, ShootingStar, ShortLine, SignedVolume,
146    SineWave, SineWeightedMa, SinglePrints, Skewness, Sma, Smi, Smma, SmoothedHeikinAshi,
147    SmoothedHeikinAshiOutput, SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadAr1Coefficient,
148    SpreadBollingerBands, SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError,
149    StandardErrorBands, StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev,
150    StepTrailingStop, SterlingRatio, StickSandwich, StochRsi, Stochastic, StochasticCci,
151    StochasticOutput, SuperSmoother, SuperTrend, SuperTrendOutput, TailRatio, TakerBuySellRatio,
152    Takuri, TasukiGap, TdCamouflage, TdClop, TdClopwin, TdCombo, TdCountdown, TdDWave, TdDeMarker,
153    TdDifferential, TdLines, TdLinesOutput, TdMovingAverage, TdMovingAverageOutput, TdOpen,
154    TdPressure, TdPropulsion, TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel,
155    TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, TdTrap, Tema, TermStructureBasis,
156    ThreeDrives, ThreeInside, ThreeLineBreak, ThreeLineBreakBars, ThreeLineStrike, ThreeOutside,
157    ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TickBars, TickIndex, Tii, TimeBasedStop,
158    TimeOfDayReturnProfile, TimeOfDayReturnProfileOutput, TowerTopBottom, TpoProfile,
159    TpoProfileOutput, TradeImbalance, TradeSignAutocorrelation, TradeVolumeIndex, TrendLabel,
160    TrendStrengthIndex, Trendflex, TreynorRatio, Triangle, Trima, Trin, TripleTopBottom, Tristar,
161    Trix, TrueRange, Tsf, TsfOscillator, Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, TtmTrend,
162    TurnOfMonth, Tweezer, TwiggsMoneyFlow, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
163    UniqueThreeRiver, UniversalOscillator, UpDownVolumeRatio, UpsideGapThreeMethods,
164    UpsideGapTwoCrows, UpsidePotentialRatio, ValueArea, ValueAreaOutput, ValueAtRisk, Variance,
165    VarianceRatio, VerticalHorizontalFilter, Vidya, VolatilityCone, VolatilityConeOutput,
166    VolatilityOfVolatility, VolatilityRatio, VoltyStop, VolumeBars, VolumeByTimeProfile,
167    VolumeByTimeProfileOutput, VolumeOscillator, VolumePriceTrend, VolumeProfile,
168    VolumeProfileOutput, VolumeRsi, VolumeWeightedMacd, VolumeWeightedMacdOutput, VolumeWeightedSr,
169    VolumeWeightedSrOutput, Vortex, VortexOutput, Vpin, Vwap, VwapStdDevBands,
170    VwapStdDevBandsOutput, Vwma, Vzo, Wad, WavePm, WaveTrend, WaveTrendOutput, Wedge,
171    WeightedClose, WickRatio, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, WinRate, Wma,
172    WoodiePivots, WoodiePivotsOutput, YangZhangVolatility, YoyoExit, ZScore, ZeroLagMacd,
173    ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
174};
175// `FootprintLevel` is a row element of `FootprintOutput`, re-exported on its own
176// line so the indicator-count tooling (which scans the braced block above and
177// strips only `*Output` companions) does not count it as a separate indicator.
178pub use indicators::FootprintLevel;
179// `MaType` is a moving-average selector enum used by `MacdExt`, re-exported on
180// its own line so the indicator-count tooling does not count it as an indicator.
181pub use indicators::MaType;
182// Bar element types for the alt-chart builders, re-exported on their own lines so
183// the indicator-count tooling (which scans only the braced block above) does not
184// count them as separate indicators.
185pub use indicators::KagiBar;
186pub use indicators::PnfColumn;
187pub use indicators::RenkoBrick;
188pub use microstructure::{Level, OrderBook, Side, Trade, TradeQuote};
189pub use ohlcv::{Candle, Tick};
190pub use traits::{BarBuilder, BatchExt, BatchNanExt, Chain, Indicator};
wickra_core/lib.rs

wickra_core/
lib.rs
