nautilus_indicators/momentum/
rsi.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::{Debug, Display};
17
18use nautilus_model::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::{
24    average::{MovingAverageFactory, MovingAverageType},
25    indicator::{Indicator, MovingAverage},
26};
27
28/// An indicator which calculates a relative strength index (RSI) across a rolling window.
29#[repr(C)]
30#[derive(Debug)]
31#[cfg_attr(
32    feature = "python",
33    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
34)]
35pub struct RelativeStrengthIndex {
36    pub period: usize,
37    pub ma_type: MovingAverageType,
38    pub value: f64,
39    pub count: usize,
40    pub initialized: bool,
41    has_inputs: bool,
42    last_value: f64,
43    average_gain: Box<dyn MovingAverage + Send + 'static>,
44    average_loss: Box<dyn MovingAverage + Send + 'static>,
45    rsi_max: f64,
46}
47
48impl Display for RelativeStrengthIndex {
49    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
50        write!(f, "{}({},{})", self.name(), self.period, self.ma_type)
51    }
52}
53
54impl Indicator for RelativeStrengthIndex {
55    fn name(&self) -> String {
56        stringify!(RelativeStrengthIndex).to_string()
57    }
58
59    fn has_inputs(&self) -> bool {
60        self.has_inputs
61    }
62
63    fn initialized(&self) -> bool {
64        self.initialized
65    }
66
67    fn handle_quote(&mut self, quote: &QuoteTick) {
68        self.update_raw(quote.extract_price(PriceType::Mid).into());
69    }
70
71    fn handle_trade(&mut self, trade: &TradeTick) {
72        self.update_raw((trade.price).into());
73    }
74
75    fn handle_bar(&mut self, bar: &Bar) {
76        self.update_raw((&bar.close).into());
77    }
78
79    fn reset(&mut self) {
80        self.value = 0.0;
81        self.last_value = 0.0;
82        self.count = 0;
83        self.has_inputs = false;
84        self.initialized = false;
85    }
86}
87
88impl RelativeStrengthIndex {
89    /// Creates a new [`RelativeStrengthIndex`] instance.
90    #[must_use]
91    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
92        Self {
93            period,
94            ma_type: ma_type.unwrap_or(MovingAverageType::Exponential),
95            value: 0.0,
96            last_value: 0.0,
97            count: 0,
98            // inputs: Vec::new(),
99            has_inputs: false,
100            average_gain: MovingAverageFactory::create(MovingAverageType::Exponential, period),
101            average_loss: MovingAverageFactory::create(MovingAverageType::Exponential, period),
102            rsi_max: 1.0,
103            initialized: false,
104        }
105    }
106
107    pub fn update_raw(&mut self, value: f64) {
108        if !self.has_inputs {
109            self.last_value = value;
110            self.has_inputs = true;
111        }
112        let gain = value - self.last_value;
113        if gain > 0.0 {
114            self.average_gain.update_raw(gain);
115            self.average_loss.update_raw(0.0);
116        } else if gain < 0.0 {
117            self.average_loss.update_raw(-gain);
118            self.average_gain.update_raw(0.0);
119        } else {
120            self.average_loss.update_raw(0.0);
121            self.average_gain.update_raw(0.0);
122        }
123        // init count from average gain MA
124        self.count = self.average_gain.count();
125        if !self.initialized && self.average_loss.initialized() && self.average_gain.initialized() {
126            self.initialized = true;
127        }
128
129        if self.average_loss.value() == 0.0 {
130            self.value = self.rsi_max;
131            return;
132        }
133
134        let rs = self.average_gain.value() / self.average_loss.value();
135        self.value = self.rsi_max - (self.rsi_max / (1.0 + rs));
136        self.last_value = value;
137
138        if !self.initialized && self.count >= self.period {
139            self.initialized = true;
140        }
141    }
142}
143
144////////////////////////////////////////////////////////////////////////////////
145// Tests
146////////////////////////////////////////////////////////////////////////////////
147#[cfg(test)]
148mod tests {
149    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
150    use rstest::rstest;
151
152    use crate::{indicator::Indicator, momentum::rsi::RelativeStrengthIndex, stubs::*};
153
154    #[rstest]
155    fn test_rsi_initialized(rsi_10: RelativeStrengthIndex) {
156        let display_str = format!("{rsi_10}");
157        assert_eq!(display_str, "RelativeStrengthIndex(10,EXPONENTIAL)");
158        assert_eq!(rsi_10.period, 10);
159        assert!(!rsi_10.initialized);
160    }
161
162    #[rstest]
163    fn test_initialized_with_required_inputs_returns_true(mut rsi_10: RelativeStrengthIndex) {
164        for i in 0..12 {
165            rsi_10.update_raw(f64::from(i));
166        }
167        assert!(rsi_10.initialized);
168    }
169
170    #[rstest]
171    fn test_value_with_one_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
172        rsi_10.update_raw(1.0);
173        assert_eq!(rsi_10.value, 1.0);
174    }
175
176    #[rstest]
177    fn test_value_all_higher_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
178        for i in 1..4 {
179            rsi_10.update_raw(f64::from(i));
180        }
181        assert_eq!(rsi_10.value, 1.0);
182    }
183
184    #[rstest]
185    fn test_value_with_all_lower_inputs_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
186        for i in (1..4).rev() {
187            rsi_10.update_raw(f64::from(i));
188        }
189        assert_eq!(rsi_10.value, 0.0);
190    }
191
192    #[rstest]
193    fn test_value_with_various_input_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
194        rsi_10.update_raw(3.0);
195        rsi_10.update_raw(2.0);
196        rsi_10.update_raw(5.0);
197        rsi_10.update_raw(6.0);
198        rsi_10.update_raw(7.0);
199        rsi_10.update_raw(6.0);
200
201        assert_eq!(rsi_10.value, 0.683_736_332_582_526_5);
202    }
203
204    #[rstest]
205    fn test_value_at_returns_expected_value(mut rsi_10: RelativeStrengthIndex) {
206        rsi_10.update_raw(3.0);
207        rsi_10.update_raw(2.0);
208        rsi_10.update_raw(5.0);
209        rsi_10.update_raw(6.0);
210        rsi_10.update_raw(7.0);
211        rsi_10.update_raw(6.0);
212        rsi_10.update_raw(6.0);
213        rsi_10.update_raw(7.0);
214
215        assert_eq!(rsi_10.value, 0.761_534_466_766_272_5);
216    }
217
218    #[rstest]
219    fn test_reset(mut rsi_10: RelativeStrengthIndex) {
220        rsi_10.update_raw(1.0);
221        rsi_10.update_raw(2.0);
222        rsi_10.reset();
223        assert!(!rsi_10.initialized());
224        assert_eq!(rsi_10.count, 0);
225    }
226
227    #[rstest]
228    fn test_handle_quote_tick(mut rsi_10: RelativeStrengthIndex, stub_quote: QuoteTick) {
229        rsi_10.handle_quote(&stub_quote);
230        assert_eq!(rsi_10.count, 1);
231        assert_eq!(rsi_10.value, 1.0);
232    }
233
234    #[rstest]
235    fn test_handle_trade_tick(mut rsi_10: RelativeStrengthIndex, stub_trade: TradeTick) {
236        rsi_10.handle_trade(&stub_trade);
237        assert_eq!(rsi_10.count, 1);
238        assert_eq!(rsi_10.value, 1.0);
239    }
240
241    #[rstest]
242    fn test_handle_bar(mut rsi_10: RelativeStrengthIndex, bar_ethusdt_binance_minute_bid: Bar) {
243        rsi_10.handle_bar(&bar_ethusdt_binance_minute_bid);
244        assert_eq!(rsi_10.count, 1);
245        assert_eq!(rsi_10.value, 1.0);
246    }
247}
nautilus_indicators/momentum/rsi.rs

nautilus_indicators/momentum/
rsi.rs
