ta-indicators

Warmup-exact Rust port of TA-Lib batch indicators. Outputs use Option<f64> with None on warmup bars, matching TA-Lib's emitted-value semantics bar for bar (not just post-warmup tails).

The crate also includes a separate ta_indicators::tradingview module for TradingView CSV-validated indicator families. Those are not TA-Lib functions; their reference oracle is committed TradingView chart-export CSVs.

Designed as a standalone library: zero runtime dependencies, deterministic parity tests against committed TA-Lib reference fixtures.

The crates.io package is ta-indicators; the Rust library import name is ta_indicators.

Status

• Publish target: crates.io package ta-indicators, Rust crate import ta_indicators.
• Runtime dependencies: none.
• License: MIT plus BSD-3-Clause notice for adapted rolling-window techniques.
• Parity gate: 123 checked-in TA-Lib reference series plus 11 TradingView CSV golden families.
• Package dry run: 34 files, about 333 KiB compressed.

Install

[dependencies]
ta-indicators = "0.1"

use ta_indicators::{cdl_engulfing, ht_dcperiod, macd, rsi};
use ta_indicators::tradingview::{Candle, validated::heikin_ashi_transform};

let rsi_14 = rsi(&closes, 14);
let macd_out = macd(&closes, 12, 26, 9);
let patterns = cdl_engulfing(&opens, &highs, &lows, &closes);
let dominant_cycle = ht_dcperiod(&closes);

let candles = vec![Candle::new(100.0, 101.0, 99.0, 100.5, 10_000.0)];
let heikin_ashi = heikin_ashi_transform(&candles);

Layout

src/lib.rs              Overlap, momentum, volatility, volume, stats, Hilbert transforms
src/candles.rs          Shared candle-settings framework + 61 CDL pattern functions
src/tradingview.rs      TradingView CSV-validated OHLCV indicator families
src/tradingview/        Private TradingView implementation modules
tests/                  TA-Lib and TradingView parity harnesses
scripts/                Fixture regeneration via Python TA-Lib (dev-only)

src/lib.rs

Single-crate API for non-pattern indicators: moving averages, MACD family, RSI, Bollinger bands, ADX family, Aroon, SAR/SAREXT, linear regression, BETA/CORREL, Hilbert stack (ht_*, mama), and Sabertooth-adjacent helpers (price_context, bop, etc.).

Multi-output functions return small structs (Macd, AdxFamily, BollingerBands, …) or tuples (ht_phasor, ht_sine, mama).

src/candles.rs

TA-Lib-compatible candle pattern recognition:

• CandleSetting / RangeType — shared body/shadow thresholds (TA-Lib defaults).
• Candles — OHLCV wrapper with real_body, shadows, color, range, average.
• cdl_* — 61 pattern detectors returning Vec<i32> (0, ±100, ±200).

src/tradingview.rs

Namespaced TradingView-backed formulas. Public use should go through ta_indicators::tradingview::validated, which currently exposes:

• volume_liquidity_sweep
• volumetric_trend_ribbon
• momentum_vol_composite
• adaptive_baseline
• self_strength_oscillator
• mariashi_renko_system
• anchored_vwap
• wyckoff_phase
• darvas_turtle_breakout
• ichimoku_cloud_state
• heikin_ashi_transform

These functions return one row per input candle. Multi-column families return small point structs in Vec<Option<_>>; warmup or unavailable rows are None.

Validation

File	Keys	Lookback groups
tests/talib_parity.rs	113	Momentum, overlap, volatility, stats, SAR, CDL, …
tests/talib_parity_ht.rs	10	Hilbert / MAMA family
tests/tradingview_golden.rs	11	TradingView CSV-exported indicator families

Policy: warmup-exact — Rust must match TA-Lib wherever the fixture has a non-null reference value, including the warmup region.

TradingView policy: Rust must match committed TradingView CSV exports for the declared indicator columns in tests/fixtures/tradingview_expected/. TradingView fixtures are evidence only; Pine scripts are not vendored into this crate.

Regenerate fixtures (requires Python TA-Lib):

uv run --with TA-Lib --with numpy scripts/gen_parity_fixtures.py
cargo test

Release gate:

cargo fmt --all -- --check
cargo clippy --all-targets --all-features -- -D warnings
RUSTDOCFLAGS="-D warnings" cargo doc --no-deps
cargo test
cargo publish --dry-run

Performance comparison against talib-rs:

cargo test --release --test upstream_talib_compare \
  compare_upstream_performance_on_repeated_fixture_data -- --ignored --nocapture

Performance

The release perf probe expands the parity fixture to 409,600 bars and compares ta-indicators against talib-rs 0.1.2 with default features disabled. Ratio is upstream / ta-indicators, so values above 1.0x mean this crate is faster. Numbers below are from the publication-prep run on the local release build.

Case	Ratio
linearreg_family_14	1.612x
mavp_14_30	1.538x
bbands_20_2	1.524x
aroon_14	1.234x
adx_14	1.221x
kama_30	1.126x
rsi_14	1.079x
adosc_3_10	1.055x

Known slower cases in the same probe:

Case	Ratio	Note
correl_30	0.936x	Rolling-state path is close, but this local run still trails upstream slightly.
macd_12_26_9	0.833x	TA-Lib warmup alignment differs from upstream checksum, so this path is kept parity-first.
stochrsi_14_5_3	0.796x	Rolling min/max path is correct, but not consistently faster on this fixture.
ultosc_7_14_28	0.750x	Rolling BP/TR sums avoid rescans, but upstream remains faster here.
cdl_engulfing	0.739x	Kept TA-Lib fixture-exact endpoint behavior instead of the faster upstream shortcut.
beta_5	0.618x	Rolling-state fast path is correct, but still trails upstream on this fixture.

Performance work is intentionally conservative: optimized paths preserve TA-Lib fixture parity and fall back to scan-based logic where non-finite data would change behavior.

Coverage

The checked-in parity suite currently covers 123 TA-Lib reference series:

• 52 numeric indicator outputs across overlap, momentum, volatility, volume, price transforms, statistics, SAR/SAREXT, MACD/MACDEXT-SMA, and linear regression.
• 10 Hilbert/MAMA outputs.
• 61 CDL* candle pattern outputs.

Remaining gaps are mostly non-SMA matype variants, generic binary operators, and combined min/max exports.

Scope

• Batch API only; this is not a streaming indicator engine.
• Pure Rust implementation; Python TA-Lib is used only to regenerate TA-Lib parity fixtures.
• TradingView formulas are separate from the TA-Lib root namespace and are validated against committed CSV exports.
• Candle patterns use TA-Lib's default candle settings and return TA-Lib-style integer signals (0, ±100, ±200).

Publication Checklist

Before publishing:

cargo fmt --all -- --check
cargo test
cargo clippy --all-targets --all-features -- -D warnings
RUSTDOCFLAGS="-D warnings" cargo doc --no-deps
cargo publish --dry-run

Secret scan used for release preparation:

rg -n "(AKIA[0-9A-Z]{16}|gh[pousr]_[A-Za-z0-9_]{20,}|github_pat_[A-Za-z0-9_]+|sk-[A-Za-z0-9_-]{20,}|xox[baprs]-[A-Za-z0-9-]+|BEGIN (RSA|DSA|EC|OPENSSH|PGP|PRIVATE) KEY|api[_-]?key\s*[:=]|token\s*[:=]|password\s*[:=]|secret\s*[:=])" -S . --glob '!target/**' --glob '!.git/**'

The crate does not require credentials, tokens, network services, or runtime configuration.

License

MIT and BSD-3-Clause. See LICENSE and THIRD_PARTY_NOTICES.md.