nautilus_indicators/average/
rma.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 WilderMovingAverage {
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 WilderMovingAverage {
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 WilderMovingAverage {
48    fn name(&self) -> String {
49        stringify!(WilderMovingAverage).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 WilderMovingAverage {
81    /// Creates a new [`WilderMovingAverage`] instance.
82    #[must_use]
83    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
84        // The Wilder Moving Average is The Wilder's Moving Average is simply
85        // an Exponential Moving Average (EMA) with a modified alpha.
86        // alpha = 1 / period
87        Self {
88            period,
89            price_type: price_type.unwrap_or(PriceType::Last),
90            alpha: 1.0 / (period as f64),
91            value: 0.0,
92            count: 0,
93            has_inputs: false,
94            initialized: false,
95        }
96    }
97}
98
99impl MovingAverage for WilderMovingAverage {
100    fn value(&self) -> f64 {
101        self.value
102    }
103
104    fn count(&self) -> usize {
105        self.count
106    }
107
108    fn update_raw(&mut self, value: f64) {
109        if !self.has_inputs {
110            self.has_inputs = true;
111            self.value = value;
112        }
113
114        self.value = self.alpha.mul_add(value, (1.0 - self.alpha) * self.value);
115        self.count += 1;
116
117        // Initialization logic
118        if !self.initialized && self.count >= self.period {
119            self.initialized = true;
120        }
121    }
122}
123
124////////////////////////////////////////////////////////////////////////////////
125// Tests
126////////////////////////////////////////////////////////////////////////////////
127#[cfg(test)]
128mod tests {
129    use nautilus_model::{
130        data::{Bar, QuoteTick, TradeTick},
131        enums::PriceType,
132    };
133    use rstest::rstest;
134
135    use crate::{
136        average::rma::WilderMovingAverage,
137        indicator::{Indicator, MovingAverage},
138        stubs::*,
139    };
140
141    #[rstest]
142    fn test_rma_initialized(indicator_rma_10: WilderMovingAverage) {
143        let rma = indicator_rma_10;
144        let display_str = format!("{rma}");
145        assert_eq!(display_str, "WilderMovingAverage(10)");
146        assert_eq!(rma.period, 10);
147        assert_eq!(rma.price_type, PriceType::Mid);
148        assert_eq!(rma.alpha, 0.1);
149        assert!(!rma.initialized);
150    }
151
152    #[rstest]
153    fn test_one_value_input(indicator_rma_10: WilderMovingAverage) {
154        let mut rma = indicator_rma_10;
155        rma.update_raw(1.0);
156        assert_eq!(rma.count, 1);
157        assert_eq!(rma.value, 1.0);
158    }
159
160    #[rstest]
161    fn test_rma_update_raw(indicator_rma_10: WilderMovingAverage) {
162        let mut rma = indicator_rma_10;
163        rma.update_raw(1.0);
164        rma.update_raw(2.0);
165        rma.update_raw(3.0);
166        rma.update_raw(4.0);
167        rma.update_raw(5.0);
168        rma.update_raw(6.0);
169        rma.update_raw(7.0);
170        rma.update_raw(8.0);
171        rma.update_raw(9.0);
172        rma.update_raw(10.0);
173
174        assert!(rma.has_inputs());
175        assert!(rma.initialized());
176        assert_eq!(rma.count, 10);
177        assert_eq!(rma.value, 4.486_784_401);
178    }
179
180    #[rstest]
181    fn test_reset(indicator_rma_10: WilderMovingAverage) {
182        let mut rma = indicator_rma_10;
183        rma.update_raw(1.0);
184        assert_eq!(rma.count, 1);
185        rma.reset();
186        assert_eq!(rma.count, 0);
187        assert_eq!(rma.value, 0.0);
188        assert!(!rma.initialized);
189    }
190
191    #[rstest]
192    fn test_handle_quote_tick_single(indicator_rma_10: WilderMovingAverage, stub_quote: QuoteTick) {
193        let mut rma = indicator_rma_10;
194        rma.handle_quote(&stub_quote);
195        assert!(rma.has_inputs());
196        assert_eq!(rma.value, 1501.0);
197    }
198
199    #[rstest]
200    fn test_handle_quote_tick_multi(mut indicator_rma_10: WilderMovingAverage) {
201        let tick1 = stub_quote("1500.0", "1502.0");
202        let tick2 = stub_quote("1502.0", "1504.0");
203
204        indicator_rma_10.handle_quote(&tick1);
205        indicator_rma_10.handle_quote(&tick2);
206        assert_eq!(indicator_rma_10.count, 2);
207        assert_eq!(indicator_rma_10.value, 1_501.2);
208    }
209
210    #[rstest]
211    fn test_handle_trade_tick(indicator_rma_10: WilderMovingAverage, stub_trade: TradeTick) {
212        let mut rma = indicator_rma_10;
213        rma.handle_trade(&stub_trade);
214        assert!(rma.has_inputs());
215        assert_eq!(rma.value, 1500.0);
216    }
217
218    #[rstest]
219    fn handle_handle_bar(
220        mut indicator_rma_10: WilderMovingAverage,
221        bar_ethusdt_binance_minute_bid: Bar,
222    ) {
223        indicator_rma_10.handle_bar(&bar_ethusdt_binance_minute_bid);
224        assert!(indicator_rma_10.has_inputs);
225        assert!(!indicator_rma_10.initialized);
226        assert_eq!(indicator_rma_10.value, 1522.0);
227    }
228}
nautilus_indicators/average/rma.rs

nautilus_indicators/average/
rma.rs
