nautilus_indicators/ratio/
efficiency_ratio.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;
24
25/// An indicator which calculates the efficiency ratio across a rolling window.
26///
27/// The Kaufman Efficiency measures the ratio of the relative market speed in
28/// relation to the volatility, this could be thought of as a proxy for noise.
29#[repr(C)]
30#[derive(Debug)]
31#[cfg_attr(
32    feature = "python",
33    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
34)]
35pub struct EfficiencyRatio {
36    /// The rolling window period for the indicator (>= 2).
37    pub period: usize,
38    pub price_type: PriceType,
39    pub value: f64,
40    pub inputs: Vec<f64>,
41    pub initialized: bool,
42    deltas: Vec<f64>,
43}
44
45impl Display for EfficiencyRatio {
46    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
47        write!(f, "{}({})", self.name(), self.period,)
48    }
49}
50
51impl Indicator for EfficiencyRatio {
52    fn name(&self) -> String {
53        stringify!(EfficiencyRatio).to_string()
54    }
55
56    fn has_inputs(&self) -> bool {
57        !self.inputs.is_empty()
58    }
59    fn initialized(&self) -> bool {
60        self.initialized
61    }
62
63    fn handle_quote(&mut self, quote: &QuoteTick) {
64        self.update_raw(quote.extract_price(self.price_type).into());
65    }
66
67    fn handle_trade(&mut self, trade: &TradeTick) {
68        self.update_raw((&trade.price).into());
69    }
70
71    fn handle_bar(&mut self, bar: &Bar) {
72        self.update_raw((&bar.close).into());
73    }
74
75    fn reset(&mut self) {
76        self.value = 0.0;
77        self.inputs.clear();
78        self.initialized = false;
79    }
80}
81
82impl EfficiencyRatio {
83    /// Creates a new [`EfficiencyRatio`] instance.
84    #[must_use]
85    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
86        Self {
87            period,
88            price_type: price_type.unwrap_or(PriceType::Last),
89            value: 0.0,
90            inputs: Vec::with_capacity(period),
91            deltas: Vec::with_capacity(period),
92            initialized: false,
93        }
94    }
95
96    pub fn update_raw(&mut self, value: f64) {
97        self.inputs.push(value);
98        if self.inputs.len() < 2 {
99            self.value = 0.0;
100            return;
101        } else if !self.initialized && self.inputs.len() >= self.period {
102            self.initialized = true;
103        }
104        let last_diff =
105            (self.inputs[self.inputs.len() - 1] - self.inputs[self.inputs.len() - 2]).abs();
106        self.deltas.push(last_diff);
107        let sum_deltas = self.deltas.iter().sum::<f64>().abs();
108        let net_diff = (self.inputs[self.inputs.len() - 1] - self.inputs[0]).abs();
109        self.value = if sum_deltas == 0.0 {
110            0.0
111        } else {
112            net_diff / sum_deltas
113        };
114    }
115}
116
117////////////////////////////////////////////////////////////////////////////////
118// Tests
119////////////////////////////////////////////////////////////////////////////////
120#[cfg(test)]
121mod tests {
122
123    use rstest::rstest;
124
125    use crate::{indicator::Indicator, ratio::efficiency_ratio::EfficiencyRatio, stubs::*};
126
127    #[rstest]
128    fn test_efficiency_ratio_initialized(efficiency_ratio_10: EfficiencyRatio) {
129        let display_str = format!("{efficiency_ratio_10}");
130        assert_eq!(display_str, "EfficiencyRatio(10)");
131        assert_eq!(efficiency_ratio_10.period, 10);
132        assert!(!efficiency_ratio_10.initialized);
133    }
134
135    #[rstest]
136    fn test_with_correct_number_of_required_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
137        for i in 1..10 {
138            efficiency_ratio_10.update_raw(f64::from(i));
139        }
140        assert_eq!(efficiency_ratio_10.inputs.len(), 9);
141        assert!(!efficiency_ratio_10.initialized);
142        efficiency_ratio_10.update_raw(1.0);
143        assert_eq!(efficiency_ratio_10.inputs.len(), 10);
144        assert!(efficiency_ratio_10.initialized);
145    }
146
147    #[rstest]
148    fn test_value_with_one_input(mut efficiency_ratio_10: EfficiencyRatio) {
149        efficiency_ratio_10.update_raw(1.0);
150        assert_eq!(efficiency_ratio_10.value, 0.0);
151    }
152
153    #[rstest]
154    fn test_value_with_efficient_higher_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
155        let mut initial_price = 1.0;
156        for _ in 1..=10 {
157            initial_price += 0.0001;
158            efficiency_ratio_10.update_raw(initial_price);
159        }
160        assert_eq!(efficiency_ratio_10.value, 1.0);
161    }
162
163    #[rstest]
164    fn test_value_with_efficient_lower_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
165        let mut initial_price = 1.0;
166        for _ in 1..=10 {
167            initial_price -= 0.0001;
168            efficiency_ratio_10.update_raw(initial_price);
169        }
170        assert_eq!(efficiency_ratio_10.value, 1.0);
171    }
172
173    #[rstest]
174    fn test_value_with_oscillating_inputs_returns_zero(mut efficiency_ratio_10: EfficiencyRatio) {
175        efficiency_ratio_10.update_raw(1.00000);
176        efficiency_ratio_10.update_raw(1.00010);
177        efficiency_ratio_10.update_raw(1.00000);
178        efficiency_ratio_10.update_raw(0.99990);
179        efficiency_ratio_10.update_raw(1.00000);
180        assert_eq!(efficiency_ratio_10.value, 0.0);
181    }
182
183    #[rstest]
184    fn test_value_with_half_oscillating(mut efficiency_ratio_10: EfficiencyRatio) {
185        efficiency_ratio_10.update_raw(1.00000);
186        efficiency_ratio_10.update_raw(1.00020);
187        efficiency_ratio_10.update_raw(1.00010);
188        efficiency_ratio_10.update_raw(1.00030);
189        efficiency_ratio_10.update_raw(1.00020);
190        assert_eq!(efficiency_ratio_10.value, 0.333_333_333_333_333_3);
191    }
192
193    #[rstest]
194    fn test_value_with_noisy_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
195        efficiency_ratio_10.update_raw(1.00000);
196        efficiency_ratio_10.update_raw(1.00010);
197        efficiency_ratio_10.update_raw(1.00008);
198        efficiency_ratio_10.update_raw(1.00007);
199        efficiency_ratio_10.update_raw(1.00012);
200        efficiency_ratio_10.update_raw(1.00005);
201        efficiency_ratio_10.update_raw(1.00015);
202        assert_eq!(efficiency_ratio_10.value, 0.428_571_428_572_153_63);
203    }
204
205    #[rstest]
206    fn test_reset(mut efficiency_ratio_10: EfficiencyRatio) {
207        for i in 1..=10 {
208            efficiency_ratio_10.update_raw(f64::from(i));
209        }
210        assert!(efficiency_ratio_10.initialized);
211        efficiency_ratio_10.reset();
212        assert!(!efficiency_ratio_10.initialized);
213        assert_eq!(efficiency_ratio_10.value, 0.0);
214    }
215
216    #[rstest]
217    fn test_handle_quote_tick(mut efficiency_ratio_10: EfficiencyRatio) {
218        let quote_tick1 = stub_quote("1500.0", "1502.0");
219        let quote_tick2 = stub_quote("1502.0", "1504.0");
220
221        efficiency_ratio_10.handle_quote(&quote_tick1);
222        efficiency_ratio_10.handle_quote(&quote_tick2);
223        assert_eq!(efficiency_ratio_10.value, 1.0);
224    }
225
226    #[rstest]
227    fn test_handle_bar(mut efficiency_ratio_10: EfficiencyRatio) {
228        let bar1 = bar_ethusdt_binance_minute_bid("1500.0");
229        let bar2 = bar_ethusdt_binance_minute_bid("1510.0");
230
231        efficiency_ratio_10.handle_bar(&bar1);
232        efficiency_ratio_10.handle_bar(&bar2);
233        assert_eq!(efficiency_ratio_10.value, 1.0);
234    }
235}
nautilus_indicators/ratio/efficiency_ratio.rs

nautilus_indicators/ratio/
efficiency_ratio.rs
