nautilus_indicators/average/
dema.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, Formatter};
17
18use nautilus_model::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::{
24    average::ema::ExponentialMovingAverage,
25    indicator::{Indicator, MovingAverage},
26};
27
28/// The Double Exponential Moving Average attempts to a smoother average with less
29/// lag than the normal Exponential Moving Average (EMA)
30#[repr(C)]
31#[derive(Debug)]
32#[cfg_attr(
33    feature = "python",
34    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
35)]
36pub struct DoubleExponentialMovingAverage {
37    /// The rolling window period for the indicator (> 0).
38    pub period: usize,
39    /// The price type used for calculations.
40    pub price_type: PriceType,
41    /// The last indicator value.
42    pub value: f64,
43    /// The input count for the indicator.
44    pub count: usize,
45    pub initialized: bool,
46    has_inputs: bool,
47    ema1: ExponentialMovingAverage,
48    ema2: ExponentialMovingAverage,
49}
50
51impl Display for DoubleExponentialMovingAverage {
52    fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
53        write!(f, "DoubleExponentialMovingAverage(period={})", self.period)
54    }
55}
56
57impl Indicator for DoubleExponentialMovingAverage {
58    fn name(&self) -> String {
59        stringify!(DoubleExponentialMovingAverage).to_string()
60    }
61
62    fn has_inputs(&self) -> bool {
63        self.has_inputs
64    }
65
66    fn initialized(&self) -> bool {
67        self.initialized
68    }
69
70    fn handle_quote(&mut self, quote: &QuoteTick) {
71        self.update_raw(quote.extract_price(self.price_type).into());
72    }
73
74    fn handle_trade(&mut self, trade: &TradeTick) {
75        self.update_raw((&trade.price).into());
76    }
77
78    fn handle_bar(&mut self, bar: &Bar) {
79        self.update_raw((&bar.close).into());
80    }
81
82    fn reset(&mut self) {
83        self.value = 0.0;
84        self.count = 0;
85        self.has_inputs = false;
86        self.initialized = false;
87
88        self.ema1.reset();
89        self.ema2.reset();
90    }
91}
92
93impl DoubleExponentialMovingAverage {
94    /// Creates a new [`DoubleExponentialMovingAverage`] instance.
95    ///
96    /// # Panics
97    ///
98    /// Panics if `period` is not a positive integer (> 0).
99    #[must_use]
100    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
101        assert!(
102            period > 0,
103            "DoubleExponentialMovingAverage: `period` must be a positive integer (> 0)"
104        );
105        Self {
106            period,
107            price_type: price_type.unwrap_or(PriceType::Last),
108            value: 0.0,
109            count: 0,
110            has_inputs: false,
111            initialized: false,
112            ema1: ExponentialMovingAverage::new(period, price_type),
113            ema2: ExponentialMovingAverage::new(period, price_type),
114        }
115    }
116}
117
118impl MovingAverage for DoubleExponentialMovingAverage {
119    fn value(&self) -> f64 {
120        self.value
121    }
122
123    fn count(&self) -> usize {
124        self.count
125    }
126
127    fn update_raw(&mut self, value: f64) {
128        if !self.has_inputs {
129            self.has_inputs = true;
130            self.value = value;
131        }
132
133        self.ema1.update_raw(value);
134        self.ema2.update_raw(self.ema1.value);
135
136        self.value = 2.0f64.mul_add(self.ema1.value, -self.ema2.value);
137        self.count += 1;
138
139        if !self.initialized && self.count >= self.period {
140            self.initialized = true;
141        }
142    }
143}
144
145#[cfg(test)]
146mod tests {
147    use nautilus_model::{
148        data::{Bar, QuoteTick, TradeTick},
149        enums::PriceType,
150    };
151    use rstest::rstest;
152
153    use crate::{
154        average::dema::DoubleExponentialMovingAverage,
155        indicator::{Indicator, MovingAverage},
156        stubs::*,
157    };
158
159    #[rstest]
160    fn test_dema_initialized(indicator_dema_10: DoubleExponentialMovingAverage) {
161        let display_str = format!("{indicator_dema_10}");
162        assert_eq!(display_str, "DoubleExponentialMovingAverage(period=10)");
163        assert_eq!(indicator_dema_10.period, 10);
164        assert!(!indicator_dema_10.initialized);
165        assert!(!indicator_dema_10.has_inputs);
166    }
167
168    #[rstest]
169    fn test_value_with_one_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
170        indicator_dema_10.update_raw(1.0);
171        assert_eq!(indicator_dema_10.value, 1.0);
172    }
173
174    #[rstest]
175    fn test_value_with_three_inputs(mut indicator_dema_10: DoubleExponentialMovingAverage) {
176        indicator_dema_10.update_raw(1.0);
177        indicator_dema_10.update_raw(2.0);
178        indicator_dema_10.update_raw(3.0);
179        assert_eq!(indicator_dema_10.value, 1.904_583_020_285_499_4);
180    }
181
182    #[rstest]
183    fn test_initialized_with_required_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
184        for i in 1..10 {
185            indicator_dema_10.update_raw(f64::from(i));
186        }
187        assert!(!indicator_dema_10.initialized);
188        indicator_dema_10.update_raw(10.0);
189        assert!(indicator_dema_10.initialized);
190    }
191
192    #[rstest]
193    fn test_handle_quote(
194        mut indicator_dema_10: DoubleExponentialMovingAverage,
195        stub_quote: QuoteTick,
196    ) {
197        indicator_dema_10.handle_quote(&stub_quote);
198        assert_eq!(indicator_dema_10.value, 1501.0);
199    }
200
201    #[rstest]
202    fn test_handle_trade(
203        mut indicator_dema_10: DoubleExponentialMovingAverage,
204        stub_trade: TradeTick,
205    ) {
206        indicator_dema_10.handle_trade(&stub_trade);
207        assert_eq!(indicator_dema_10.value, 1500.0);
208    }
209
210    #[rstest]
211    fn test_handle_bar(
212        mut indicator_dema_10: DoubleExponentialMovingAverage,
213        bar_ethusdt_binance_minute_bid: Bar,
214    ) {
215        indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
216        assert_eq!(indicator_dema_10.value, 1522.0);
217        assert!(indicator_dema_10.has_inputs);
218        assert!(!indicator_dema_10.initialized);
219    }
220
221    #[rstest]
222    fn test_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) {
223        indicator_dema_10.update_raw(1.0);
224        assert_eq!(indicator_dema_10.count, 1);
225        assert!(indicator_dema_10.ema1.count() > 0);
226        assert!(indicator_dema_10.ema2.count() > 0);
227
228        indicator_dema_10.reset();
229
230        assert_eq!(indicator_dema_10.value, 0.0);
231        assert_eq!(indicator_dema_10.count, 0);
232        assert!(!indicator_dema_10.has_inputs);
233        assert!(!indicator_dema_10.initialized);
234
235        assert_eq!(indicator_dema_10.ema1.count(), 0);
236        assert_eq!(indicator_dema_10.ema2.count(), 0);
237    }
238
239    #[rstest]
240    #[should_panic(expected = "`period`")]
241    fn new_panics_on_zero_period() {
242        let _ = DoubleExponentialMovingAverage::new(0, None);
243    }
244
245    #[rstest]
246    fn test_new_with_minimum_valid_period() {
247        let dema = DoubleExponentialMovingAverage::new(1, None);
248        assert_eq!(dema.period, 1);
249        assert_eq!(dema.price_type, PriceType::Last);
250        assert_eq!(dema.count(), 0);
251        assert_eq!(dema.ema1.count(), 0);
252        assert_eq!(dema.ema2.count(), 0);
253        assert!(!dema.initialized());
254    }
255
256    #[rstest]
257    fn test_counters_are_in_sync(mut indicator_dema_10: DoubleExponentialMovingAverage) {
258        for i in 1..=indicator_dema_10.period {
259            indicator_dema_10.update_raw(i as f64); // ← FIX ❷
260            assert_eq!(
261                indicator_dema_10.count(),
262                i,
263                "outer count diverged at iteration {i}"
264            );
265            assert_eq!(
266                indicator_dema_10.ema1.count(),
267                i,
268                "ema1 count diverged at iteration {i}"
269            );
270            assert_eq!(
271                indicator_dema_10.ema2.count(),
272                i,
273                "ema2 count diverged at iteration {i}"
274            );
275        }
276        assert!(indicator_dema_10.initialized());
277    }
278
279    #[rstest]
280    fn test_inner_ema_values_are_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) {
281        for i in 1..=3 {
282            indicator_dema_10.update_raw(f64::from(i));
283        }
284        assert_ne!(indicator_dema_10.ema1.value(), 0.0);
285        assert_ne!(indicator_dema_10.ema2.value(), 0.0);
286
287        indicator_dema_10.reset();
288
289        assert_eq!(indicator_dema_10.ema1.count(), 0);
290        assert_eq!(indicator_dema_10.ema2.count(), 0);
291        assert_eq!(indicator_dema_10.ema1.value(), 0.0);
292        assert_eq!(indicator_dema_10.ema2.value(), 0.0);
293    }
294
295    #[rstest]
296    fn test_counter_increments_via_handle_helpers(
297        mut indicator_dema_10: DoubleExponentialMovingAverage,
298        stub_quote: QuoteTick,
299        stub_trade: TradeTick,
300        bar_ethusdt_binance_minute_bid: Bar,
301    ) {
302        assert_eq!(indicator_dema_10.count(), 0);
303
304        indicator_dema_10.handle_quote(&stub_quote);
305        assert_eq!(indicator_dema_10.count(), 1);
306        assert_eq!(indicator_dema_10.ema1.count(), 1);
307        assert_eq!(indicator_dema_10.ema2.count(), 1);
308
309        indicator_dema_10.handle_trade(&stub_trade);
310        assert_eq!(indicator_dema_10.count(), 2);
311        assert_eq!(indicator_dema_10.ema1.count(), 2);
312        assert_eq!(indicator_dema_10.ema2.count(), 2);
313
314        indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
315        assert_eq!(indicator_dema_10.count(), 3);
316        assert_eq!(indicator_dema_10.ema1.count(), 3);
317        assert_eq!(indicator_dema_10.ema2.count(), 3);
318    }
319}
nautilus_indicators/average/dema.rs

nautilus_indicators/average/
dema.rs
