nautilus_indicators/momentum/
aroon.rs

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::{
    collections::VecDeque,
    fmt::{Debug, Display},
};

use nautilus_model::{
    data::{Bar, QuoteTick, TradeTick},
    enums::PriceType,
};

use crate::indicator::Indicator;

/// The Aroon Oscillator calculates the Aroon Up and Aroon Down indicators to
/// determine if an instrument is trending, and the strength of the trend.
#[repr(C)]
#[derive(Debug)]
#[cfg_attr(
    feature = "python",
    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
)]
pub struct AroonOscillator {
    pub period: usize,
    pub high_inputs: VecDeque<f64>,
    pub low_inputs: VecDeque<f64>,
    pub aroon_up: f64,
    pub aroon_down: f64,
    pub value: f64,
    pub count: usize,
    pub initialized: bool,
    has_inputs: bool,
}

impl Display for AroonOscillator {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        write!(f, "{}({})", self.name(), self.period)
    }
}

impl Indicator for AroonOscillator {
    fn name(&self) -> String {
        stringify!(AroonOscillator).to_string()
    }

    fn has_inputs(&self) -> bool {
        self.has_inputs
    }

    fn initialized(&self) -> bool {
        self.initialized
    }

    fn handle_quote(&mut self, quote: &QuoteTick) {
        let price = quote.extract_price(PriceType::Mid).into();
        self.update_raw(price, price);
    }

    fn handle_trade(&mut self, trade: &TradeTick) {
        let price = trade.price.into();
        self.update_raw(price, price);
    }

    fn handle_bar(&mut self, bar: &Bar) {
        self.update_raw((&bar.close).into(), (&bar.close).into());
    }

    fn reset(&mut self) {
        self.high_inputs.clear();
        self.low_inputs.clear();
        self.aroon_up = 0.0;
        self.aroon_down = 0.0;
        self.value = 0.0;
        self.count = 0;
        self.has_inputs = false;
        self.initialized = false;
    }
}

impl AroonOscillator {
    /// Creates a new [`AroonOscillator`] instance.
    #[must_use]
    pub fn new(period: usize) -> Self {
        Self {
            period,
            high_inputs: VecDeque::with_capacity(period),
            low_inputs: VecDeque::with_capacity(period),
            aroon_up: 0.0,
            aroon_down: 0.0,
            value: 0.0,
            count: 0,
            has_inputs: false,
            initialized: false,
        }
    }

    pub fn update_raw(&mut self, high: f64, low: f64) {
        if self.high_inputs.len() == self.period {
            self.high_inputs.pop_back();
        }
        if self.low_inputs.len() == self.period {
            self.low_inputs.pop_back();
        }

        self.high_inputs.push_front(high);
        self.low_inputs.push_front(low);

        self.increment_count();
        if self.initialized {
            // Makes sure we calculate with stable period
            self.calculate_aroon();
        }
    }

    fn calculate_aroon(&mut self) {
        let periods_since_high = self
            .high_inputs
            .iter()
            .enumerate()
            .fold((0, f64::MIN), |(max_idx, max_val), (idx, &val)| {
                if val > max_val {
                    (idx, val)
                } else {
                    (max_idx, max_val)
                }
            })
            .0;

        let periods_since_low = self
            .low_inputs
            .iter()
            .enumerate()
            .fold((0, f64::MAX), |(min_idx, min_val), (idx, &val)| {
                if val < min_val {
                    (idx, val)
                } else {
                    (min_idx, min_val)
                }
            })
            .0;

        self.aroon_up = 100.0 * ((self.period - periods_since_high) as f64 / self.period as f64);
        self.aroon_down = 100.0 * ((self.period - periods_since_low) as f64 / self.period as f64);
        self.value = self.aroon_up - self.aroon_down;
    }

    fn increment_count(&mut self) {
        self.count += 1;

        if !self.initialized {
            self.has_inputs = true;
            if self.count >= self.period {
                self.initialized = true;
            }
        }
    }
}

////////////////////////////////////////////////////////////////////////////////
// Tests
////////////////////////////////////////////////////////////////////////////////
#[cfg(test)]
mod tests {
    use rstest::rstest;

    use super::*;
    use crate::indicator::Indicator;

    #[rstest]
    fn test_name_returns_expected_string() {
        let aroon = AroonOscillator::new(10);
        assert_eq!(aroon.name(), "AroonOscillator");
    }

    #[rstest]
    fn test_period() {
        let aroon = AroonOscillator::new(10);
        assert_eq!(aroon.period, 10);
    }

    #[rstest]
    fn test_initialized_without_inputs_returns_false() {
        let aroon = AroonOscillator::new(10);
        assert!(!aroon.initialized());
    }

    #[rstest]
    fn test_initialized_with_required_inputs_returns_true() {
        let mut aroon = AroonOscillator::new(10);
        for _ in 0..20 {
            aroon.update_raw(110.08, 109.61);
        }
        assert!(aroon.initialized());
    }

    #[rstest]
    fn test_value_with_one_input() {
        let mut aroon = AroonOscillator::new(1);
        aroon.update_raw(110.08, 109.61);
        assert_eq!(aroon.aroon_up, 100.0);
        assert_eq!(aroon.aroon_down, 100.0);
        assert_eq!(aroon.value, 0.0);
    }

    #[rstest]
    fn test_value_with_twenty_inputs() {
        let mut aroon = AroonOscillator::new(20);
        let inputs = [
            (110.08, 109.61),
            (110.15, 109.91),
            (110.1, 109.73),
            (110.06, 109.77),
            (110.29, 109.88),
            (110.53, 110.29),
            (110.61, 110.26),
            (110.28, 110.17),
            (110.3, 110.0),
            (110.25, 110.01),
            (110.25, 109.81),
            (109.92, 109.71),
            (110.21, 109.84),
            (110.08, 109.95),
            (110.2, 109.96),
            (110.16, 109.95),
            (109.99, 109.75),
            (110.2, 109.73),
            (110.1, 109.81),
            (110.04, 109.96),
        ];
        for &(high, low) in &inputs {
            aroon.update_raw(high, low);
        }
        assert_eq!(aroon.aroon_up, 35.0);
        assert_eq!(aroon.aroon_down, 5.0);
        assert_eq!(aroon.value, 30.0);
    }

    #[rstest]
    fn test_reset_successfully_returns_indicator_to_fresh_state() {
        let mut aroon = AroonOscillator::new(10);
        for _ in 0..1000 {
            aroon.update_raw(110.08, 109.61);
        }
        aroon.reset();
        assert!(!aroon.initialized());
        assert_eq!(aroon.aroon_up, 0.0);
        assert_eq!(aroon.aroon_down, 0.0);
        assert_eq!(aroon.value, 0.0);
    }
}
nautilus_indicators/momentum/aroon.rs

nautilus_indicators/momentum/
aroon.rs
