Technical indicators

What they do

Six stateful primitives composing against any bar stream — typically the engine's Ohlcvc output:

Indicator	Surface	Reference
Ema	Exponential moving average.	Hull, Options, Futures, and Other Derivatives, §22.
Sma	Simple moving average.	Standard.
Rsi	Wilder's Relative Strength Index.	Wilder (1978), New Concepts in Technical Trading Systems.
Macd	Moving Average Convergence Divergence.	Appel (1979).
Mfi	Money Flow Index.	Standard volume-weighted RSI variant.
Aroon	Aroon Up / Aroon Down.	Chande (1995).

Admission contract

Each primitive exposes a small admit surface and stays single-pass per admission. The math is deterministic by construction.

let mut ema = Ema::new(20);
let value = ema.admit(bar.close); // `admit` returns the current EMA value

Ema::admit returns the running EMA value directly — there is no separate value() accessor. Other indicators in the namespace expose sample-typed return values:

• Rsi::admit(price) -> f64
• Mfi::admit(typical, volume) -> f64
• Macd::admit(price) -> MacdSample (macd / signal / histogram)
• Aroon::admit(high, low) -> AroonSample (up / down)
• Sma::admit(value) -> f64

Mfi correctness

Mfi requires period + 1 admissions before emitting a finite value. Earlier implementations seeded the window with a zero signed-flow on the first bar (no prior typical price to compare against), so the first finite emission was computed off period − 1 real directional flows plus one zero — systematically understated by one bar. The current implementation drops the zero-seed: the first admission only seeds last_typical, the history admits only flows derived against a prior typical.

Replay parity

Each primitive holds its own state and is deterministic. Feed the same bar sequence twice; the indicator emits the same values.

Why primitives

Technical indicators are common downstream consumers. Factoring the six core indicators into the analytics::common::indicators namespace gives every consumer a vetted single-pass implementation without each analytic re-rolling its own EMA / SMA loop.