nautilus_indicators/average/
ema.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;
17
18use nautilus_model::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::indicator::{Indicator, MovingAverage};
24
25#[repr(C)]
26#[derive(Debug)]
27#[cfg_attr(
28    feature = "python",
29    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
30)]
31pub struct ExponentialMovingAverage {
32    pub period: usize,
33    pub price_type: PriceType,
34    pub alpha: f64,
35    pub value: f64,
36    pub count: usize,
37    pub initialized: bool,
38    has_inputs: bool,
39}
40
41impl Display for ExponentialMovingAverage {
42    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
43        write!(f, "{}({})", self.name(), self.period,)
44    }
45}
46
47impl Indicator for ExponentialMovingAverage {
48    fn name(&self) -> String {
49        stringify!(ExponentialMovingAverage).to_string()
50    }
51
52    fn has_inputs(&self) -> bool {
53        self.has_inputs
54    }
55
56    fn initialized(&self) -> bool {
57        self.initialized
58    }
59
60    fn handle_quote(&mut self, quote: &QuoteTick) {
61        self.update_raw(quote.extract_price(self.price_type).into());
62    }
63
64    fn handle_trade(&mut self, trade: &TradeTick) {
65        self.update_raw((&trade.price).into());
66    }
67
68    fn handle_bar(&mut self, bar: &Bar) {
69        self.update_raw((&bar.close).into());
70    }
71
72    fn reset(&mut self) {
73        self.value = 0.0;
74        self.count = 0;
75        self.has_inputs = false;
76        self.initialized = false;
77    }
78}
79
80impl ExponentialMovingAverage {
81    /// Creates a new [`ExponentialMovingAverage`] instance.
82    #[must_use]
83    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
84        Self {
85            period,
86            price_type: price_type.unwrap_or(PriceType::Last),
87            alpha: 2.0 / (period as f64 + 1.0),
88            value: 0.0,
89            count: 0,
90            has_inputs: false,
91            initialized: false,
92        }
93    }
94}
95
96impl MovingAverage for ExponentialMovingAverage {
97    fn value(&self) -> f64 {
98        self.value
99    }
100
101    fn count(&self) -> usize {
102        self.count
103    }
104    fn update_raw(&mut self, value: f64) {
105        if !self.has_inputs {
106            self.has_inputs = true;
107            self.value = value;
108        }
109
110        self.value = self.alpha.mul_add(value, (1.0 - self.alpha) * self.value);
111        self.count += 1;
112
113        // Initialization logic
114        if !self.initialized && self.count >= self.period {
115            self.initialized = true;
116        }
117    }
118}
119
120////////////////////////////////////////////////////////////////////////////////
121// Tests
122////////////////////////////////////////////////////////////////////////////////
123#[cfg(test)]
124mod tests {
125    use nautilus_model::{
126        data::{Bar, QuoteTick, TradeTick},
127        enums::PriceType,
128    };
129    use rstest::rstest;
130
131    use crate::{
132        average::ema::ExponentialMovingAverage,
133        indicator::{Indicator, MovingAverage},
134        stubs::*,
135    };
136
137    #[rstest]
138    fn test_ema_initialized(indicator_ema_10: ExponentialMovingAverage) {
139        let ema = indicator_ema_10;
140        let display_str = format!("{ema}");
141        assert_eq!(display_str, "ExponentialMovingAverage(10)");
142        assert_eq!(ema.period, 10);
143        assert_eq!(ema.price_type, PriceType::Mid);
144        assert_eq!(ema.alpha, 0.181_818_181_818_181_82);
145        assert!(!ema.initialized);
146    }
147
148    #[rstest]
149    fn test_one_value_input(indicator_ema_10: ExponentialMovingAverage) {
150        let mut ema = indicator_ema_10;
151        ema.update_raw(1.0);
152        assert_eq!(ema.count, 1);
153        assert_eq!(ema.value, 1.0);
154    }
155
156    #[rstest]
157    fn test_ema_update_raw(indicator_ema_10: ExponentialMovingAverage) {
158        let mut ema = indicator_ema_10;
159        ema.update_raw(1.0);
160        ema.update_raw(2.0);
161        ema.update_raw(3.0);
162        ema.update_raw(4.0);
163        ema.update_raw(5.0);
164        ema.update_raw(6.0);
165        ema.update_raw(7.0);
166        ema.update_raw(8.0);
167        ema.update_raw(9.0);
168        ema.update_raw(10.0);
169
170        assert!(ema.has_inputs());
171        assert!(ema.initialized());
172        assert_eq!(ema.count, 10);
173        assert_eq!(ema.value, 6.239_368_480_121_215_5);
174    }
175
176    #[rstest]
177    fn test_reset(indicator_ema_10: ExponentialMovingAverage) {
178        let mut ema = indicator_ema_10;
179        ema.update_raw(1.0);
180        assert_eq!(ema.count, 1);
181        ema.reset();
182        assert_eq!(ema.count, 0);
183        assert_eq!(ema.value, 0.0);
184        assert!(!ema.initialized);
185    }
186
187    #[rstest]
188    fn test_handle_quote_tick_single(
189        indicator_ema_10: ExponentialMovingAverage,
190        stub_quote: QuoteTick,
191    ) {
192        let mut ema = indicator_ema_10;
193        ema.handle_quote(&stub_quote);
194        assert!(ema.has_inputs());
195        assert_eq!(ema.value, 1501.0);
196    }
197
198    #[rstest]
199    fn test_handle_quote_tick_multi(mut indicator_ema_10: ExponentialMovingAverage) {
200        let tick1 = stub_quote("1500.0", "1502.0");
201        let tick2 = stub_quote("1502.0", "1504.0");
202
203        indicator_ema_10.handle_quote(&tick1);
204        indicator_ema_10.handle_quote(&tick2);
205        assert_eq!(indicator_ema_10.count, 2);
206        assert_eq!(indicator_ema_10.value, 1_501.363_636_363_636_3);
207    }
208
209    #[rstest]
210    fn test_handle_trade_tick(indicator_ema_10: ExponentialMovingAverage, stub_trade: TradeTick) {
211        let mut ema = indicator_ema_10;
212        ema.handle_trade(&stub_trade);
213        assert!(ema.has_inputs());
214        assert_eq!(ema.value, 1500.0);
215    }
216
217    #[rstest]
218    fn handle_handle_bar(
219        mut indicator_ema_10: ExponentialMovingAverage,
220        bar_ethusdt_binance_minute_bid: Bar,
221    ) {
222        indicator_ema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
223        assert!(indicator_ema_10.has_inputs);
224        assert!(!indicator_ema_10.initialized);
225        assert_eq!(indicator_ema_10.value, 1522.0);
226    }
227}
nautilus_indicators/average/ema.rs

nautilus_indicators/average/
ema.rs
