nautilus_indicators/momentum/
roc.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::{
17    collections::VecDeque,
18    fmt::{Debug, Display},
19};
20
21use nautilus_model::data::Bar;
22
23use crate::indicator::Indicator;
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 RateOfChange {
32    pub period: usize,
33    pub use_log: bool,
34    pub value: f64,
35    pub initialized: bool,
36    has_inputs: bool,
37    prices: VecDeque<f64>,
38}
39
40impl Display for RateOfChange {
41    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
42        write!(f, "{}({})", self.name(), self.period)
43    }
44}
45
46impl Indicator for RateOfChange {
47    fn name(&self) -> String {
48        stringify!(RateOfChange).to_string()
49    }
50
51    fn has_inputs(&self) -> bool {
52        self.has_inputs
53    }
54
55    fn initialized(&self) -> bool {
56        self.initialized
57    }
58
59    fn handle_bar(&mut self, bar: &Bar) {
60        self.update_raw((&bar.close).into());
61    }
62
63    fn reset(&mut self) {
64        self.prices.clear();
65        self.value = 0.0;
66        self.has_inputs = false;
67        self.initialized = false;
68    }
69}
70
71impl RateOfChange {
72    /// Creates a new [`RateOfChange`] instance.
73    #[must_use]
74    pub fn new(period: usize, use_log: Option<bool>) -> Self {
75        Self {
76            period,
77            use_log: use_log.unwrap_or(false),
78            value: 0.0,
79            prices: VecDeque::with_capacity(period),
80            has_inputs: false,
81            initialized: false,
82        }
83    }
84
85    pub fn update_raw(&mut self, price: f64) {
86        self.prices.push_back(price);
87
88        if !self.initialized {
89            self.has_inputs = true;
90            if self.prices.len() >= self.period {
91                self.initialized = true;
92            }
93        }
94
95        if self.use_log {
96            // add maths log here
97            self.value = (price / self.prices[0]).log10();
98        } else {
99            self.value = (price - self.prices[0]) / self.prices[0];
100        }
101    }
102}
103
104////////////////////////////////////////////////////////////////////////////////
105// Tests
106////////////////////////////////////////////////////////////////////////////////
107#[cfg(test)]
108mod tests {
109    use rstest::rstest;
110
111    use super::*;
112    use crate::stubs::roc_10;
113
114    #[rstest]
115    fn test_name_returns_expected_string(roc_10: RateOfChange) {
116        assert_eq!(roc_10.name(), "RateOfChange");
117    }
118
119    #[rstest]
120    fn test_str_repr_returns_expected_string(roc_10: RateOfChange) {
121        assert_eq!(format!("{roc_10}"), "RateOfChange(10)");
122    }
123
124    #[rstest]
125    fn test_period_returns_expected_value(roc_10: RateOfChange) {
126        assert_eq!(roc_10.period, 10);
127        assert!(roc_10.use_log);
128    }
129
130    #[rstest]
131    fn test_initialized_without_inputs_returns_false(roc_10: RateOfChange) {
132        assert!(!roc_10.initialized());
133    }
134
135    #[rstest]
136    fn test_value_with_all_higher_inputs_returns_expected_value(mut roc_10: RateOfChange) {
137        let close_values = [
138            0.95, 1.95, 2.95, 3.95, 4.95, 5.95, 6.95, 7.95, 8.95, 9.95, 10.05, 10.15, 10.25, 11.05,
139            11.45,
140        ];
141
142        for close in &close_values {
143            roc_10.update_raw(*close);
144        }
145
146        assert!(roc_10.initialized());
147        assert_eq!(roc_10.value, 1.081_081_881_387_059);
148    }
149
150    #[rstest]
151    fn test_reset_successfully_returns_indicator_to_fresh_state(mut roc_10: RateOfChange) {
152        roc_10.update_raw(1.00020);
153        roc_10.update_raw(1.00030);
154        roc_10.update_raw(1.00070);
155
156        roc_10.reset();
157
158        assert!(!roc_10.initialized());
159        assert!(!roc_10.has_inputs);
160        assert_eq!(roc_10.value, 0.0);
161    }
162}
nautilus_indicators/momentum/roc.rs

nautilus_indicators/momentum/
roc.rs
