Streaming API

The ferro_ta.streaming module provides stateful, bar-by-bar indicator computation for live/real-time trading. Each class maintains an internal buffer and returns NaN during the warmup period.

What’s new: the streaming universe

Besides the 14 hand-written classes (StreamingSMA, StreamingRSI, …) there are now 215 more streams, one for nearly every batch indicator, generated from a single declarative registry. They share the same live-bar, snapshot and non-finite semantics described below and exist in Python, WASM, the C ABI and Go. The full list is the Stream catalog.

Parity contract. On finite input a stream equals the batch function at every bar: identical NaN mask, values within 1e-9 relative, integer outputs exact.

Naming per surface:

from ferro_ta.data.streaming import StreamingKeltnerChannels

kc = StreamingKeltnerChannels(timeperiod=20, atr_period=10, multiplier=2.0)
upper, middle, lower = kc.update(high, low, close)

const kc = new WasmStreamingKeltnerChannels(20, 10, 2.0);
const [upper, middle, lower] = kc.update(high, low, close);  // peek(...) previews

FtStreamWillr *w = NULL;
ft_stream_willr_new(14, &w);              /* _new _update _peek _reset _save _load _free */
double out; ft_stream_willr_update(w, high, low, close, &out);
ft_stream_willr_free(w);

willr, err := ferrota.NewStreamWillr(14)  // also Update, Peek, Save, LoadStreamWillr, Close
defer willr.Close()
value, err := willr.Update(high, low, close)

Python classes are Streaming<UpperCamel> (StreamingWillr), WASM classes WasmStreaming<UpperCamel>, C functions ft_stream_<name>_* and Go wrappers NewStream<UpperCamel> / Stream<UpperCamel>.

Notes and exclusions

Streams whose warm-up value is 0 (candlestick patterns, ht_trendmode) are is_ready from the first bar, because the batch function emits 0 there.
regime_adx / regime_combined batch functions emit -1 on NaN input; streams skip NaN ticks, so they never emit -1.
The ichimoku stream omits chikou (it needs future bars).
No stream, by design: williams_fractals (centred window needs future bars), back_adjusted_continuous / ratio_adjusted_continuous (rewrite past bars), rank_values (whole-series rank) and forward_fill_nan (its input is NaN, which streams skip).
The 9 original streams are unchanged, so batch-only extras (bbands / stoch matype, rolling vwap(timeperiod>0)) have no stream.
Limits: mavp periods are capped at 4096; period and count parameters at 2^24 (same as the C ABI).
Performance: see benchmarks/bench_streaming_universe.py.

Keyword names

Stream parameters take the C ABI names (ft_<name>), which match the Python batch function everywhere except these three:

Stream	Stream keyword(s)	Python batch keyword(s)
`StreamingAc`	`timeperiod`	`smoothperiod`
`StreamingCoppock`	`roc1`, `roc2`	`roc1_period`, `roc2_period`
`StreamingEmv`	`scale`	`divisor`

So StreamingCoppock(roc1=14, roc2=11, wma_period=10), not roc1_period=14. Positional arguments are in the same order on both.

Live bars: committing vs. previewing

Exchanges deliver many ticks per bar. update(..., closed=True) (the default) commits a finished bar. update(..., closed=False) previews the still-forming bar from the last committed state without changing it, so each tick of the forming bar replaces the previous preview:

from ferro_ta.data.streaming import StreamingRSI

rsi = StreamingRSI(14)
for bar in history:                      # closed bars
    rsi.update(bar.close)

for tick in live_ticks:                  # forming bar
    value = rsi.update(tick.price, closed=tick.bar_closed)

Committed output is bit-identical whether or not previews were interleaved. closed is keyword-only. Previews are allocation-free for every indicator and cost about the same as a commit.

Building bars from ticks

BarBuilder turns raw ticks into OHLCV bars on a session-aligned grid (session_open + k * interval; the last bar is cut at session_close). Defaults are NSE hours, 09:15–15:30 IST, so 5-minute bars start at 09:15, 09:20, …

from ferro_ta.data.streaming import BarBuilder, StreamingRSI

bars, rsi = BarBuilder(300), StreamingRSI(14)
for tick in feed:                                   # ts in UTC epoch ms
    status, closed = bars.on_tick(tick.ts_ms, tick.price, tick.qty)
    if closed is not None:
        rsi.update(closed.close)                    # commit on close
    if bars.forming is not None:
        live_rsi = rsi.update(bars.forming.close, closed=False)
# from a timer, so bars close on time even when the market is quiet:
if (closed := bars.on_time(now_ms)) is not None:
    rsi.update(closed.close)

A tick exactly on a boundary opens the next bar.
on_tick returns a status: "accepted", "late" (older than the last accepted tick or inside a closed bar), "duplicate" (same timestamp, price and qty as the last tick), "out_of_session" or "invalid". Only accepted ticks change state.
Gaps produce no bars, so no holiday calendar is needed.
Other sessions: BarBuilder(3600, session_open="09:30", session_close="16:00", utc_offset_minutes=-240) for New York in summer.
utc_offset_minutes is a fixed offset; there is no time-zone or DST handling. For a market that observes daylight saving time, create a new builder with the new offset when the clocks change (between sessions, so no forming bar is lost). With the wrong offset, the first or last hour of the session is rejected as "out_of_session". NSE (IST) has no DST.

Conditions

Event helpers emit 1 / -1 / 0 and support previews like any indicator:

StreamingCross(dead_band) — cross of a over b with hysteresis: inside ±dead_band the side is unchanged, so noise around a level fires at most once per real crossing (dead_band=0 matches batch check_cross).
StreamingStreak(n) — 1 while the last n (or more) inputs were all non-zero.
StreamingCooldown(bars) — passes a signal, then mutes the next bars bars.

cross, cooldown = StreamingCross(dead_band=0.5), StreamingCooldown(10)
if cooldown.update(cross.update(rsi_value, 30.0)) == 1:
    alert("RSI crossed above 30")

Option IV and greeks

StreamingOptionGreeks(strike, option_type="call", model="bsm", rate=0.0, carry=0.0) takes (option_price, underlying, time_to_expiry_years) per tick and returns (iv, delta, gamma, vega, theta, rho). The IV solver starts from the previous tick’s IV; a price no volatility can reproduce returns all-NaN and keeps that starting point.

Introspection and snapshots

count — number of committed bars (previews and NaN/±inf ticks excluded).
is_ready — True once the last committed bar produced a non-NaN value.
copy.copy(ind) / copy.deepcopy(ind) — independent snapshot of the full state, e.g. to evaluate a what-if path without disturbing the live one.
ind.to_json() / Class.from_json(s) and pickle — save state and restore it in another process; the restored object continues bit-identically. Snapshots are {"format": 1, "kind": "rsi", "state": {...}}. Loading a different kind or an unsupported format raises ValueError. The format number is bumped whenever a saved layout changes, so old snapshots fail loudly instead of loading wrong.

Non-finite ticks

A tick with any NaN or ±inf input (bad print, feed gap) returns NaN and is otherwise skipped: indicator state, count and the last value are untouched, so the next clean bar continues as if the bad tick never arrived. Previously a single NaN poisoned running sums (SMA, Bollinger) and recursive averages (EMA, RSI, ATR) permanently; infinity did the same via inf - inf.

Other bindings

WASM: update(...) commits, peek(...) previews; count and isReady getters. WasmBarBuilder (onTick returns {status, closed}). saveState / loadState need the opt-in snapshot cargo feature, which keeps the default bundle size unchanged.
C ABI / Go: ft_stream_*_peek / Stream*.Peek mirror update without committing; ft_stream_*_save / _load and Save / LoadStream* snapshot state; ft_bar_builder_* / BarBuilder.

Stream catalog

Kind: windowed streams replay the batch kernel over the last lookback bars; native streams update incremental state; legacy are the original hand-written classes. Regenerate with python3 scripts/build_streaming_python.py --docs.

cycle (6)

Name	Python class	Inputs	Outputs	Kind
`ht_dcperiod`	`StreamingHtDcperiod`	close	value	native
`ht_dcphase`	`StreamingHtDcphase`	close	value	native
`ht_phasor`	`StreamingHtPhasor`	close	inphase, quadrature	native
`ht_sine`	`StreamingHtSine`	close	sine, leadsine	native
`ht_trendline`	`StreamingHtTrendline`	close	value	native
`ht_trendmode`	`StreamingHtTrendmode`	close	value	native

extended (57)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`ac`	`StreamingAc`	high, low	fastperiod=5, slowperiod=34, timeperiod=5	value	windowed
`alligator`	`StreamingAlligator`	high, low	jaw_period=13, jaw_shift=8, teeth_period=8, teeth_shift=5, lips_period=5, lips_shift=3	jaw, teeth, lips	native
`alma`	`StreamingAlma`	close	timeperiod=21, offset=0.85, sigma=6.0	value	windowed
`ao`	`StreamingAo`	high, low	fastperiod=5, slowperiod=34	value	windowed
`bbpercent`	`StreamingBbpercent`	close	timeperiod=5, nbdevup=2.0, nbdevdn=2.0	value	windowed
`bbwidth`	`StreamingBbwidth`	close	timeperiod=5, nbdevup=2.0, nbdevdn=2.0	value	windowed
`chaikin_vol`	`StreamingChaikinVol`	high, low	timeperiod=10, rocperiod=10	value	native
`chande_kroll_stop`	`StreamingChandeKrollStop`	high, low, close	timeperiod=10, multiplier=1.0, stop_period=9	long_stop, short_stop	native
`chandelier_exit`	`StreamingChandelierExit`	high, low, close	timeperiod=22, multiplier=3.0	long_exit, short_exit	native
`cho`	`StreamingCho`	high, low, close, volume	fastperiod=3, slowperiod=10	value	native
`choppiness_index`	`StreamingChoppinessIndex`	high, low, close	timeperiod=14	value	windowed
`cmf`	`StreamingCmf`	high, low, close, volume	timeperiod=20	value	native
`coppock`	`StreamingCoppock`	close	wma_period=10, roc1=14, roc2=11	value	windowed
`crsi`	`StreamingCrsi`	close	timeperiod=3, streakperiod=2, rankperiod=100	value	native
`dmi`	`StreamingDmi`	high, low, close	timeperiod=14	plus_di, minus_di, adx	native
`donchian`	`StreamingDonchian`	high, low	timeperiod=20	upper, middle, lower	windowed
`dpo`	`StreamingDpo`	close	timeperiod=20	value	windowed
`elder_ray`	`StreamingElderRay`	high, low, close	timeperiod=13	bull, bear	native
`emv`	`StreamingEmv`	high, low, volume	timeperiod=14, scale=10000.0	value	windowed
`fisher`	`StreamingFisher`	high, low	timeperiod=9	fisher, signal	native
`force_index`	`StreamingForceIndex`	close, volume	timeperiod=13	value	native
`frama`	`StreamingFrama`	close	timeperiod=16	value	native
`gator`	`StreamingGator`	high, low	jaw_period=13, jaw_shift=8, teeth_period=8, teeth_shift=5, lips_period=5, lips_shift=3	upper, lower	native
`historical_volatility`	`StreamingHistoricalVolatility`	close	timeperiod=20, annual=252.0	value	windowed
`hull_ma`	`StreamingHullMa`	close	timeperiod=16	value	windowed
`ichimoku`	`StreamingIchimoku`	high, low, close	tenkan_period=9, kijun_period=26, senkou_b_period=52, displacement=26	tenkan, kijun, senkou_a, senkou_b	native
`keltner_channels`	`StreamingKeltnerChannels`	high, low, close	timeperiod=20, atr_period=10, multiplier=2.0	upper, middle, lower	native
`kst`	`StreamingKst`	close	roc1=10, roc2=15, roc3=20, roc4=30, sma1=10, sma2=10, sma3=10, sma4=15, signalperiod=9	kst, signal	windowed
`kvo`	`StreamingKvo`	high, low, close, volume	fastperiod=34, slowperiod=55, signalperiod=13	kvo, signal	native
`ma_envelopes`	`StreamingMaEnvelopes`	close	timeperiod=20, percent=2.5, matype=0	upper, middle, lower	native
`mass`	`StreamingMass`	high, low	timeperiod=9, sumperiod=25	value	native
`mcginley`	`StreamingMcginley`	close	timeperiod=14	value	native
`median`	`StreamingMedian`	real	timeperiod=3	value	windowed
`median_bands`	`StreamingMedianBands`	high, low, close	timeperiod=3, atr_period=14, multiplier=2.0	median, upper, lower, median_ema	native
`mode`	`StreamingMode`	real	timeperiod=20, bins=10	value	windowed
`nvi`	`StreamingNvi`	close, volume		value	native
`nvi_with_ema`	`StreamingNviWithEma`	close, volume	timeperiod=255	nvi, signal	native
`obv_smoothed`	`StreamingObvSmoothed`	close, volume	timeperiod=20, matype=1	value	native
`po`	`StreamingPo`	close	fastperiod=10, slowperiod=21	value	windowed
`pvi`	`StreamingPvi`	close, volume		value	native
`pvi_with_signal`	`StreamingPviWithSignal`	close, volume	timeperiod=255, matype=1	pvi, signal	native
`pvt`	`StreamingPvt`	close, volume		value	native
`rvi`	`StreamingRvi`	open, high, low, close	timeperiod=10	rvi, signal	native
`rvol`	`StreamingRvol`	volume	timeperiod=20	value	native
`rwi`	`StreamingRwi`	high, low, close	timeperiod=14	rwi_high, rwi_low	windowed
`starc`	`StreamingStarc`	high, low, close	timeperiod=15, atr_period=15, multiplier=2.0	upper, middle, lower	native
`stc`	`StreamingStc`	close	fastperiod=23, slowperiod=50, cycleperiod=10, d1=3, d2=3	value	native
`supertrend`	`StreamingSupertrend`	high, low, close	period=7, multiplier=…	line, direction	legacy
`tsi`	`StreamingTsi`	close	longperiod=25, shortperiod=13, signalperiod=13	tsi, signal	native
`ulcer_index`	`StreamingUlcerIndex`	close	timeperiod=14	value	native
`vidya`	`StreamingVidya`	close	timeperiod=14, cmo_period=9	value	native
`volosc`	`StreamingVolosc`	volume	fastperiod=5, slowperiod=10	value	native
`vortex`	`StreamingVortex`	high, low, close	timeperiod=14	plus_vi, minus_vi	windowed
`vroc`	`StreamingVroc`	volume	timeperiod=25	value	windowed
`vwap`	`StreamingVWAP`	high, low, close, volume		value	legacy
`vwma`	`StreamingVwma`	close, volume	timeperiod=20	value	windowed
`zlema`	`StreamingZlema`	close	timeperiod=14	value	native

futures (1)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`weighted_continuous`	`StreamingWeightedContinuous`	front, next, next_weights		value	windowed

math (9)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`add`	`StreamingAdd`	a, b		value	windowed
`div`	`StreamingDiv`	a, b		value	windowed
`max`	`StreamingMax`	real	timeperiod=30	value	windowed
`min`	`StreamingMin`	real	timeperiod=30	value	windowed
`mult`	`StreamingMult`	a, b		value	windowed
`sliding_max`	`StreamingSlidingMax`	real	timeperiod=30	value	windowed
`sliding_min`	`StreamingSlidingMin`	real	timeperiod=30	value	windowed
`sub`	`StreamingSub`	a, b		value	windowed
`sum`	`StreamingSum`	real	timeperiod=30	value	windowed

math_ops (5)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`rolling_max`	`StreamingRollingMax`	real	timeperiod=30	value	windowed
`rolling_maxindex`	`StreamingRollingMaxindex`	real	timeperiod=30	value	native
`rolling_min`	`StreamingRollingMin`	real	timeperiod=30	value	windowed
`rolling_minindex`	`StreamingRollingMinindex`	real	timeperiod=30	value	native
`rolling_sum`	`StreamingRollingSum`	real	timeperiod=30	value	windowed

momentum (26)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`adx`	`StreamingAdx`	high, low, close	timeperiod=14	value	native
`adxr`	`StreamingAdxr`	high, low, close	timeperiod=14	value	native
`apo`	`StreamingApo`	close	fastperiod=12, slowperiod=26, matype=1	value	native
`aroon`	`StreamingAroon`	high, low	timeperiod=14	aroondown, aroonup	windowed
`aroonosc`	`StreamingAroonosc`	high, low	timeperiod=14	value	windowed
`bop`	`StreamingBop`	open, high, low, close		value	windowed
`cci`	`StreamingCci`	high, low, close	timeperiod=14	value	windowed
`cmo`	`StreamingCmo`	close	timeperiod=14	value	native
`dx`	`StreamingDx`	high, low, close	timeperiod=14	value	native
`minus_di`	`StreamingMinusDi`	high, low, close	timeperiod=14	value	native
`minus_dm`	`StreamingMinusDm`	high, low	timeperiod=14	value	native
`mom`	`StreamingMom`	close	timeperiod=10	value	windowed
`plus_di`	`StreamingPlusDi`	high, low, close	timeperiod=14	value	native
`plus_dm`	`StreamingPlusDm`	high, low	timeperiod=14	value	native
`ppo`	`StreamingPpo`	close	fastperiod=12, slowperiod=26, signalperiod=9, matype=1	ppo, signal, hist	native
`roc`	`StreamingRoc`	close	timeperiod=10	value	windowed
`rocp`	`StreamingRocp`	close	timeperiod=10	value	windowed
`rocr`	`StreamingRocr`	close	timeperiod=10	value	windowed
`rocr100`	`StreamingRocr100`	close	timeperiod=10	value	windowed
`rsi`	`StreamingRSI`	value	period=14	value	legacy
`stoch`	`StreamingStoch`	high, low, close	fastk_period=…, slowk_period=…, slowd_period=…	slowk, slowd	legacy
`stochf`	`StreamingStochf`	high, low, close	fastk_period=5, fastd_period=3, fastd_matype=0	fastk, fastd	native
`stochrsi`	`StreamingStochrsi`	close	timeperiod=14, fastk_period=5, fastd_period=3, fastd_matype=0	fastk, fastd	native
`trix`	`StreamingTrix`	close	timeperiod=30	value	native
`ultosc`	`StreamingUltosc`	high, low, close	timeperiod1=7, timeperiod2=14, timeperiod3=28	value	windowed
`willr`	`StreamingWillr`	high, low, close	timeperiod=14	value	windowed

options (8)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`close_to_close_vol`	`StreamingCloseToCloseVol`	close	window=20, trading_days=252.0	value	windowed
`garman_klass_vol`	`StreamingGarmanKlassVol`	open, high, low, close	window=20, trading_days=252.0	value	windowed
`iv_percentile`	`StreamingIvPercentile`	iv_series	window=252	value	windowed
`iv_rank`	`StreamingIvRank`	iv_series	window=252	value	windowed
`iv_zscore`	`StreamingIvZscore`	iv_series	window=252	value	windowed
`parkinson_vol`	`StreamingParkinsonVol`	high, low	window=20, trading_days=252.0	value	windowed
`rogers_satchell_vol`	`StreamingRogersSatchellVol`	open, high, low, close	window=20, trading_days=252.0	value	windowed
`yang_zhang_vol`	`StreamingYangZhangVol`	open, high, low, close	window=20, trading_days=252.0	value	windowed

overlap (19)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`bbands`	`StreamingBBands`	value	period=20, nbdevup=…, nbdevdn=…	upper, middle, lower	legacy
`dema`	`StreamingDema`	close	timeperiod=30	value	native
`ema`	`StreamingEMA`	value	period	value	legacy
`kama`	`StreamingKama`	close	timeperiod=30	value	native
`ma`	`StreamingMa`	close	timeperiod=30, matype=0	value	native
`macd`	`StreamingMACD`	value	fastperiod=…, slowperiod=…, signalperiod=…	macd, signal, hist	legacy
`macdext`	`StreamingMacdext`	close	fastperiod=12, fastmatype=1, slowperiod=26, slowmatype=1, signalperiod=9, signalmatype=1	macd, signal, hist	native
`macdfix`	`StreamingMacdfix`	close	signalperiod=9	macd, signal, hist	native
`mama`	`StreamingMama`	close	fastlimit=0.5, slowlimit=0.05	mama, fama	native
`mavp`	`StreamingMavp`	close, periods	minperiod=2, maxperiod=30, matype=0	value	native
`midpoint`	`StreamingMidpoint`	close	timeperiod=14	value	windowed
`midprice`	`StreamingMidprice`	high, low	timeperiod=14	value	windowed
`sar`	`StreamingSar`	high, low	acceleration=0.02, maximum=0.2	value	native
`sarext`	`StreamingSarext`	high, low	startvalue=0.0, offsetonreverse=0.0, accelerationinitlong=0.02, accelerationlong=0.02, accelerationmaxlong=0.2, accelerationinitshort=0.02, accelerationshort=0.02, accelerationmaxshort=0.2	value	native
`sma`	`StreamingSMA`	value	period	value	legacy
`t3`	`StreamingT3`	close	timeperiod=5, vfactor=0.7	value	native
`tema`	`StreamingTema`	close	timeperiod=30	value	native
`trima`	`StreamingTrima`	close	timeperiod=30	value	windowed
`wma`	`StreamingWma`	close	timeperiod=30	value	windowed

pattern (61)

Name	Python class	Inputs	Outputs	Kind
`cdl2crows`	`StreamingCdl2crows`	open, high, low, close	value	windowed
`cdl3blackcrows`	`StreamingCdl3blackcrows`	open, high, low, close	value	windowed
`cdl3inside`	`StreamingCdl3inside`	open, high, low, close	value	windowed
`cdl3linestrike`	`StreamingCdl3linestrike`	open, high, low, close	value	windowed
`cdl3outside`	`StreamingCdl3outside`	open, high, low, close	value	windowed
`cdl3starsinsouth`	`StreamingCdl3starsinsouth`	open, high, low, close	value	windowed
`cdl3whitesoldiers`	`StreamingCdl3whitesoldiers`	open, high, low, close	value	windowed
`cdlabandonedbaby`	`StreamingCdlabandonedbaby`	open, high, low, close	value	windowed
`cdladvanceblock`	`StreamingCdladvanceblock`	open, high, low, close	value	windowed
`cdlbelthold`	`StreamingCdlbelthold`	open, high, low, close	value	windowed
`cdlbreakaway`	`StreamingCdlbreakaway`	open, high, low, close	value	windowed
`cdlclosingmarubozu`	`StreamingCdlclosingmarubozu`	open, high, low, close	value	windowed
`cdlconcealbabyswall`	`StreamingCdlconcealbabyswall`	open, high, low, close	value	windowed
`cdlcounterattack`	`StreamingCdlcounterattack`	open, high, low, close	value	windowed
`cdldarkcloudcover`	`StreamingCdldarkcloudcover`	open, high, low, close	value	windowed
`cdldoji`	`StreamingCdldoji`	open, high, low, close	value	windowed
`cdldojistar`	`StreamingCdldojistar`	open, high, low, close	value	windowed
`cdldragonflydoji`	`StreamingCdldragonflydoji`	open, high, low, close	value	windowed
`cdlengulfing`	`StreamingCdlengulfing`	open, high, low, close	value	windowed
`cdleveningdojistar`	`StreamingCdleveningdojistar`	open, high, low, close	value	windowed
`cdleveningstar`	`StreamingCdleveningstar`	open, high, low, close	value	windowed
`cdlgapsidesidewhite`	`StreamingCdlgapsidesidewhite`	open, high, low, close	value	windowed
`cdlgravestonedoji`	`StreamingCdlgravestonedoji`	open, high, low, close	value	windowed
`cdlhammer`	`StreamingCdlhammer`	open, high, low, close	value	windowed
`cdlhangingman`	`StreamingCdlhangingman`	open, high, low, close	value	windowed
`cdlharami`	`StreamingCdlharami`	open, high, low, close	value	windowed
`cdlharamicross`	`StreamingCdlharamicross`	open, high, low, close	value	windowed
`cdlhighwave`	`StreamingCdlhighwave`	open, high, low, close	value	windowed
`cdlhikkake`	`StreamingCdlhikkake`	open, high, low, close	value	windowed
`cdlhikkakemod`	`StreamingCdlhikkakemod`	open, high, low, close	value	windowed
`cdlhomingpigeon`	`StreamingCdlhomingpigeon`	open, high, low, close	value	windowed
`cdlidentical3crows`	`StreamingCdlidentical3crows`	open, high, low, close	value	windowed
`cdlinneck`	`StreamingCdlinneck`	open, high, low, close	value	windowed
`cdlinvertedhammer`	`StreamingCdlinvertedhammer`	open, high, low, close	value	windowed
`cdlkicking`	`StreamingCdlkicking`	open, high, low, close	value	windowed
`cdlkickingbylength`	`StreamingCdlkickingbylength`	open, high, low, close	value	windowed
`cdlladderbottom`	`StreamingCdlladderbottom`	open, high, low, close	value	windowed
`cdllongleggeddoji`	`StreamingCdllongleggeddoji`	open, high, low, close	value	windowed
`cdllongline`	`StreamingCdllongline`	open, high, low, close	value	windowed
`cdlmarubozu`	`StreamingCdlmarubozu`	open, high, low, close	value	windowed
`cdlmatchinglow`	`StreamingCdlmatchinglow`	open, high, low, close	value	windowed
`cdlmathold`	`StreamingCdlmathold`	open, high, low, close	value	windowed
`cdlmorningdojistar`	`StreamingCdlmorningdojistar`	open, high, low, close	value	windowed
`cdlmorningstar`	`StreamingCdlmorningstar`	open, high, low, close	value	windowed
`cdlonneck`	`StreamingCdlonneck`	open, high, low, close	value	windowed
`cdlpiercing`	`StreamingCdlpiercing`	open, high, low, close	value	windowed
`cdlrickshawman`	`StreamingCdlrickshawman`	open, high, low, close	value	windowed
`cdlrisefall3methods`	`StreamingCdlrisefall3methods`	open, high, low, close	value	windowed
`cdlseparatinglines`	`StreamingCdlseparatinglines`	open, high, low, close	value	windowed
`cdlshootingstar`	`StreamingCdlshootingstar`	open, high, low, close	value	windowed
`cdlshortline`	`StreamingCdlshortline`	open, high, low, close	value	windowed
`cdlspinningtop`	`StreamingCdlspinningtop`	open, high, low, close	value	windowed
`cdlstalledpattern`	`StreamingCdlstalledpattern`	open, high, low, close	value	windowed
`cdlsticksandwich`	`StreamingCdlsticksandwich`	open, high, low, close	value	windowed
`cdltakuri`	`StreamingCdltakuri`	open, high, low, close	value	windowed
`cdltasukigap`	`StreamingCdltasukigap`	open, high, low, close	value	windowed
`cdlthrusting`	`StreamingCdlthrusting`	open, high, low, close	value	windowed
`cdltristar`	`StreamingCdltristar`	open, high, low, close	value	windowed
`cdlunique3river`	`StreamingCdlunique3river`	open, high, low, close	value	windowed
`cdlupsidegap2crows`	`StreamingCdlupsidegap2crows`	open, high, low, close	value	windowed
`cdlxsidegap3methods`	`StreamingCdlxsidegap3methods`	open, high, low, close	value	windowed

portfolio (5)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`ratio`	`StreamingRatio`	a, b		value	windowed
`relative_strength`	`StreamingRelativeStrength`	asset_returns, benchmark_returns		value	native
`rolling_beta`	`StreamingRollingBeta`	asset, benchmark	window=20	value	windowed
`spread`	`StreamingSpread`	a, b	hedge=1.0	value	windowed
`zscore_series`	`StreamingZscoreSeries`	x	window=20	value	windowed

price_transform (4)

Name	Python class	Inputs	Outputs	Kind
`avgprice`	`StreamingAvgprice`	open, high, low, close	value	windowed
`medprice`	`StreamingMedprice`	high, low	value	windowed
`typprice`	`StreamingTypprice`	high, low, close	value	windowed
`wclprice`	`StreamingWclprice`	high, low, close	value	windowed

regime (4)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`detect_breaks_cusum`	`StreamingDetectBreaksCusum`	series	window=20, threshold=3.0, slack=0.5	value	native
`regime_adx`	`StreamingRegimeAdx`	adx	threshold=25.0	value	windowed
`regime_combined`	`StreamingRegimeCombined`	adx, atr, close	adx_threshold=25.0, atr_pct_threshold=0.005	value	windowed
`rolling_variance_break`	`StreamingRollingVarianceBreak`	series	short_window=10, long_window=50, threshold=2.0	value	windowed

statistic (9)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`beta`	`StreamingBeta`	real0, real1	timeperiod=5	value	windowed
`correl`	`StreamingCorrel`	real0, real1	timeperiod=30	value	windowed
`linearreg`	`StreamingLinearreg`	close	timeperiod=14	value	windowed
`linearreg_angle`	`StreamingLinearregAngle`	close	timeperiod=14	value	windowed
`linearreg_intercept`	`StreamingLinearregIntercept`	close	timeperiod=14	value	windowed
`linearreg_slope`	`StreamingLinearregSlope`	close	timeperiod=14	value	windowed
`stddev`	`StreamingStddev`	real	timeperiod=5, nbdev=1.0	value	windowed
`tsf`	`StreamingTsf`	close	timeperiod=14	value	windowed
`var`	`StreamingVar`	real	timeperiod=5, nbdev=1.0	value	windowed

streaming-only (5)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`backtest`	`StreamingBacktest`	close, signal	commission_per_trade=…, slippage_bps=…	position, bar_return, equity, n_trades, total_commission, win_rate, avg_win, avg_loss, kelly_fraction	legacy
`cooldown`	`StreamingCooldown`	signal	bars	value	legacy
`cross`	`StreamingCross`	a, b	dead_band=…	value	legacy
`option_greeks`	`StreamingOptionGreeks`	option_price, underlying, time_to_expiry	strike, option_type=…, model=…, rate=…, carry=…	iv, delta, gamma, vega, theta, rho	legacy
`streak`	`StreamingStreak`	condition	n	value	legacy

utilities (3)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`check_cross`	`StreamingCheckCross`	fast, slow		value	windowed
`funding_cumulative_pnl`	`StreamingFundingCumulativePnl`	position_size, funding_rate		value	native
`rsi_threshold_signals`	`StreamingRsiThresholdSignals`	close	timeperiod=14, oversold=30.0, overbought=70.0	value	native

volatility (3)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`atr`	`StreamingATR`	high, low, close	period=14	value	legacy
`natr`	`StreamingNatr`	high, low, close	timeperiod=14	value	native
`trange`	`StreamingTrange`	high, low, close		value	windowed

volume (4)

Name	Python class	Inputs	Params (defaults)	Outputs	Kind
`ad`	`StreamingAd`	high, low, close, volume		value	native
`adosc`	`StreamingAdosc`	high, low, close, volume	fastperiod=3, slowperiod=10	value	native
`mfi`	`StreamingMfi`	high, low, close, volume	timeperiod=14	value	native
`obv`	`StreamingObv`	close, volume		value	native

API reference

Streaming / Incremental Indicators — bar-by-bar stateful classes.

All streaming classes are implemented in Rust (PyO3) for maximum performance. The Python module re-exports the Rust classes from the _ferro_ta extension. The extension must be built; there is no Python fallback.

Usage

>>> from ferro_ta.data.streaming import StreamingSMA, StreamingEMA, StreamingRSI
>>> import numpy as np
>>> sma = StreamingSMA(period=3)
>>> for close in [10.0, 11.0, 12.0, 13.0, 14.0]:
...     val = sma.update(close)
...     print(f"{close} → {val:.4f}" if not np.isnan(val) else f"{close} → NaN")
10.0 → NaN
11.0 → NaN
12.0 → 11.0000
13.0 → 12.0000
14.0 → 13.0000

Live bars

update(x) commits a closed bar; update(x, closed=False) previews the still-forming bar without changing state. count / is_ready report committed progress, copy.copy snapshots state, and NaN/±inf ticks are skipped (they return NaN without poisoning state).

Available classes

StreamingSMA — Simple Moving Average StreamingEMA — Exponential Moving Average StreamingRSI — Relative Strength Index (Wilder seeding) StreamingATR — Average True Range (Wilder seeding) StreamingBBands — Bollinger Bands (upper, middle, lower) StreamingMACD — MACD line, signal, histogram StreamingStoch — Slow Stochastic (slowk, slowd) StreamingVWAP — Volume Weighted Average Price (cumulative) StreamingSupertrend — ATR-based Supertrend StreamingCross — Dead-band cross of two series (1 / -1 / 0 events) StreamingStreak — “N bars in a row” condition StreamingCooldown — Mute repeat signals for N bars StreamingOptionGreeks — Live IV + greeks for one option contract BarBuilder — Session-aligned tick → OHLCV bar builder (yields Bar)

Plus one class per registry stream (StreamingSum, StreamingAdd, StreamingRollingMaxindex …): Streaming + the batch function name in UpperCamel, taking that function’s parameters (same names and defaults) and its inputs, one value each, in update. See __all__ for the full list.

Rust backend

All classes are PyO3 classes compiled into the _ferro_ta extension module. Import them directly from the extension for zero-overhead access:

from ferro_ta._ferro_ta import StreamingSMA

class ferro_ta.streaming.Bar(start_ms, end_ms, open, high, low, close, volume, ticks)