nautilus_indicators/average/
dema.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::fmt::{Display, Formatter};
17
18use nautilus_model::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::{
24    average::ema::ExponentialMovingAverage,
25    indicator::{Indicator, MovingAverage},
26};
27
28/// The Double Exponential Moving Average attempts to a smoother average with less
29/// lag than the normal Exponential Moving Average (EMA)
30#[repr(C)]
31#[derive(Debug)]
32#[cfg_attr(
33    feature = "python",
34    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
35)]
36pub struct DoubleExponentialMovingAverage {
37    /// The rolling window period for the indicator (> 0).
38    pub period: usize,
39    /// The price type used for calculations.
40    pub price_type: PriceType,
41    /// The last indicator value.
42    pub value: f64,
43    /// The input count for the indicator.
44    pub count: usize,
45    pub initialized: bool,
46    has_inputs: bool,
47    ema1: ExponentialMovingAverage,
48    ema2: ExponentialMovingAverage,
49}
50
51impl Display for DoubleExponentialMovingAverage {
52    fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
53        write!(f, "DoubleExponentialMovingAverage(period={})", self.period)
54    }
55}
56
57impl Indicator for DoubleExponentialMovingAverage {
58    fn name(&self) -> String {
59        stringify!(DoubleExponentialMovingAverage).to_string()
60    }
61
62    fn has_inputs(&self) -> bool {
63        self.has_inputs
64    }
65    fn initialized(&self) -> bool {
66        self.initialized
67    }
68
69    fn handle_quote(&mut self, quote: &QuoteTick) {
70        self.update_raw(quote.extract_price(self.price_type).into());
71    }
72
73    fn handle_trade(&mut self, trade: &TradeTick) {
74        self.update_raw((&trade.price).into());
75    }
76
77    fn handle_bar(&mut self, bar: &Bar) {
78        self.update_raw((&bar.close).into());
79    }
80
81    fn reset(&mut self) {
82        self.value = 0.0;
83        self.count = 0;
84        self.has_inputs = false;
85        self.initialized = false;
86    }
87}
88
89impl DoubleExponentialMovingAverage {
90    /// Creates a new [`DoubleExponentialMovingAverage`] instance.
91    #[must_use]
92    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
93        Self {
94            period,
95            price_type: price_type.unwrap_or(PriceType::Last),
96            value: 0.0,
97            count: 0,
98            has_inputs: false,
99            initialized: false,
100            ema1: ExponentialMovingAverage::new(period, price_type),
101            ema2: ExponentialMovingAverage::new(period, price_type),
102        }
103    }
104}
105
106impl MovingAverage for DoubleExponentialMovingAverage {
107    fn value(&self) -> f64 {
108        self.value
109    }
110
111    fn count(&self) -> usize {
112        self.count
113    }
114    fn update_raw(&mut self, value: f64) {
115        if !self.has_inputs {
116            self.has_inputs = true;
117            self.value = value;
118        }
119        self.ema1.update_raw(value);
120        self.ema2.update_raw(self.ema1.value);
121
122        self.value = 2.0f64.mul_add(self.ema1.value, -self.ema2.value);
123        self.count += 1;
124
125        if !self.initialized && self.count >= self.period {
126            self.initialized = true;
127        }
128    }
129}
130
131////////////////////////////////////////////////////////////////////////////////
132// Tests
133////////////////////////////////////////////////////////////////////////////////
134#[cfg(test)]
135mod tests {
136    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
137    use rstest::rstest;
138
139    use crate::{
140        average::dema::DoubleExponentialMovingAverage,
141        indicator::{Indicator, MovingAverage},
142        stubs::*,
143    };
144
145    #[rstest]
146    fn test_dema_initialized(indicator_dema_10: DoubleExponentialMovingAverage) {
147        let display_str = format!("{indicator_dema_10}");
148        assert_eq!(display_str, "DoubleExponentialMovingAverage(period=10)");
149        assert_eq!(indicator_dema_10.period, 10);
150        assert!(!indicator_dema_10.initialized);
151        assert!(!indicator_dema_10.has_inputs);
152    }
153
154    #[rstest]
155    fn test_value_with_one_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
156        indicator_dema_10.update_raw(1.0);
157        assert_eq!(indicator_dema_10.value, 1.0);
158    }
159
160    #[rstest]
161    fn test_value_with_three_inputs(mut indicator_dema_10: DoubleExponentialMovingAverage) {
162        indicator_dema_10.update_raw(1.0);
163        indicator_dema_10.update_raw(2.0);
164        indicator_dema_10.update_raw(3.0);
165        assert_eq!(indicator_dema_10.value, 1.904_583_020_285_499_4);
166    }
167
168    #[rstest]
169    fn test_initialized_with_required_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
170        for i in 1..10 {
171            indicator_dema_10.update_raw(f64::from(i));
172        }
173        assert!(!indicator_dema_10.initialized);
174        indicator_dema_10.update_raw(10.0);
175        assert!(indicator_dema_10.initialized);
176    }
177
178    #[rstest]
179    fn test_handle_quote(
180        mut indicator_dema_10: DoubleExponentialMovingAverage,
181        stub_quote: QuoteTick,
182    ) {
183        indicator_dema_10.handle_quote(&stub_quote);
184        assert_eq!(indicator_dema_10.value, 1501.0);
185    }
186
187    #[rstest]
188    fn test_handle_trade(
189        mut indicator_dema_10: DoubleExponentialMovingAverage,
190        stub_trade: TradeTick,
191    ) {
192        indicator_dema_10.handle_trade(&stub_trade);
193        assert_eq!(indicator_dema_10.value, 1500.0);
194    }
195
196    #[rstest]
197    fn test_handle_bar(
198        mut indicator_dema_10: DoubleExponentialMovingAverage,
199        bar_ethusdt_binance_minute_bid: Bar,
200    ) {
201        indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
202        assert_eq!(indicator_dema_10.value, 1522.0);
203        assert!(indicator_dema_10.has_inputs);
204        assert!(!indicator_dema_10.initialized);
205    }
206
207    #[rstest]
208    fn test_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) {
209        indicator_dema_10.update_raw(1.0);
210        assert_eq!(indicator_dema_10.count, 1);
211        indicator_dema_10.reset();
212        assert_eq!(indicator_dema_10.value, 0.0);
213        assert_eq!(indicator_dema_10.count, 0);
214        assert!(!indicator_dema_10.has_inputs);
215        assert!(!indicator_dema_10.initialized);
216    }
217}
nautilus_indicators/average/dema.rs

nautilus_indicators/average/
dema.rs
