nautilus_indicators/momentum/
dm.rs1use std::fmt::{Debug, Display};
17
18use nautilus_model::data::Bar;
19
20use crate::{
21 average::{MovingAverageFactory, MovingAverageType},
22 indicator::{Indicator, MovingAverage},
23};
24
25#[repr(C)]
26#[derive(Debug)]
27#[cfg_attr(
28 feature = "python",
29 pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
30)]
31pub struct DirectionalMovement {
32 pub period: usize,
33 pub ma_type: MovingAverageType,
34 pub pos: f64,
35 pub neg: f64,
36 pub initialized: bool,
37 pos_ma: Box<dyn MovingAverage + Send + 'static>,
38 neg_ma: Box<dyn MovingAverage + Send + 'static>,
39 has_inputs: bool,
40 previous_high: f64,
41 previous_low: f64,
42}
43
44impl Display for DirectionalMovement {
45 fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
46 write!(f, "{}({},{})", self.name(), self.period, self.ma_type,)
47 }
48}
49
50impl Indicator for DirectionalMovement {
51 fn name(&self) -> String {
52 stringify!(DirectionalMovement).to_string()
53 }
54
55 fn has_inputs(&self) -> bool {
56 self.has_inputs
57 }
58
59 fn initialized(&self) -> bool {
60 self.initialized
61 }
62
63 fn handle_bar(&mut self, bar: &Bar) {
64 self.update_raw((&bar.high).into(), (&bar.low).into());
65 }
66
67 fn reset(&mut self) {
68 self.pos_ma.reset();
69 self.neg_ma.reset();
70 self.previous_high = 0.0;
71 self.previous_low = 0.0;
72 self.pos = 0.0;
73 self.neg = 0.0;
74 self.has_inputs = false;
75 self.initialized = false;
76 }
77}
78
79impl DirectionalMovement {
80 #[must_use]
82 pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
83 Self {
84 period,
85 ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
86 pos: 0.0,
87 neg: 0.0,
88 previous_high: 0.0,
89 previous_low: 0.0,
90 pos_ma: MovingAverageFactory::create(
91 ma_type.unwrap_or(MovingAverageType::Simple),
92 period,
93 ),
94 neg_ma: MovingAverageFactory::create(
95 ma_type.unwrap_or(MovingAverageType::Simple),
96 period,
97 ),
98 has_inputs: false,
99 initialized: false,
100 }
101 }
102
103 pub fn update_raw(&mut self, high: f64, low: f64) {
104 if !self.has_inputs {
105 self.previous_high = high;
106 self.previous_low = low;
107 }
108
109 let up = high - self.previous_high;
110 let dn = self.previous_low - low;
111
112 self.pos_ma
113 .update_raw(if up > dn && up > 0.0 { up } else { 0.0 });
114 self.neg_ma
115 .update_raw(if dn > up && dn > 0.0 { dn } else { 0.0 });
116 self.pos = self.pos_ma.value();
117 self.neg = self.neg_ma.value();
118
119 self.previous_high = high;
120 self.previous_low = low;
121
122 if !self.initialized {
124 self.has_inputs = true;
125 if self.neg_ma.initialized() {
126 self.initialized = true;
127 }
128 }
129 }
130}
131
132#[cfg(test)]
136mod tests {
137 use rstest::rstest;
138
139 use super::*;
140 use crate::stubs::dm_10;
141
142 #[rstest]
143 fn test_name_returns_expected_string(dm_10: DirectionalMovement) {
144 assert_eq!(dm_10.name(), "DirectionalMovement");
145 }
146
147 #[rstest]
148 fn test_str_repr_returns_expected_string(dm_10: DirectionalMovement) {
149 assert_eq!(format!("{dm_10}"), "DirectionalMovement(10,SIMPLE)");
150 }
151
152 #[rstest]
153 fn test_period_returns_expected_value(dm_10: DirectionalMovement) {
154 assert_eq!(dm_10.period, 10);
155 }
156
157 #[rstest]
158 fn test_initialized_without_inputs_returns_false(dm_10: DirectionalMovement) {
159 assert!(!dm_10.initialized());
160 }
161
162 #[rstest]
163 fn test_value_with_all_higher_inputs_returns_expected_value(mut dm_10: DirectionalMovement) {
164 let high_values = [
165 1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0, 11.0, 12.0, 13.0, 14.0, 15.0,
166 ];
167 let low_values = [
168 0.9, 1.9, 2.9, 3.9, 4.9, 5.9, 6.9, 7.9, 8.9, 9.9, 10.1, 10.2, 10.3, 11.1, 11.4,
169 ];
170
171 for i in 0..15 {
172 dm_10.update_raw(high_values[i], low_values[i]);
173 }
174
175 assert!(dm_10.initialized());
176 assert_eq!(dm_10.pos, 1.0);
177 assert_eq!(dm_10.neg, 0.0);
178 }
179
180 #[rstest]
181 fn test_reset_successfully_returns_indicator_to_fresh_state(mut dm_10: DirectionalMovement) {
182 dm_10.update_raw(1.00020, 1.00050);
183 dm_10.update_raw(1.00030, 1.00060);
184 dm_10.update_raw(1.00070, 1.00080);
185
186 dm_10.reset();
187
188 assert!(!dm_10.initialized());
189 assert_eq!(dm_10.pos, 0.0);
190 assert_eq!(dm_10.neg, 0.0);
191 assert_eq!(dm_10.previous_high, 0.0);
192 assert_eq!(dm_10.previous_low, 0.0);
193 }
194}