nautilus_indicators/average/
ema.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, MovingAverage};
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 ExponentialMovingAverage {
32    pub period: usize,
33    pub price_type: PriceType,
34    pub alpha: f64,
35    pub value: f64,
36    pub count: usize,
37    pub initialized: bool,
38    has_inputs: bool,
39}
40
41impl Display for ExponentialMovingAverage {
42    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
43        write!(f, "{}({})", self.name(), self.period)
44    }
45}
46
47impl Indicator for ExponentialMovingAverage {
48    fn name(&self) -> String {
49        stringify!(ExponentialMovingAverage).to_string()
50    }
51
52    fn has_inputs(&self) -> bool {
53        self.has_inputs
54    }
55
56    fn initialized(&self) -> bool {
57        self.initialized
58    }
59
60    fn handle_quote(&mut self, quote: &QuoteTick) {
61        self.update_raw(quote.extract_price(self.price_type).into());
62    }
63
64    fn handle_trade(&mut self, trade: &TradeTick) {
65        self.update_raw((&trade.price).into());
66    }
67
68    fn handle_bar(&mut self, bar: &Bar) {
69        self.update_raw((&bar.close).into());
70    }
71
72    fn reset(&mut self) {
73        self.value = 0.0;
74        self.count = 0;
75        self.has_inputs = false;
76        self.initialized = false;
77    }
78}
79
80impl ExponentialMovingAverage {
81    /// Creates a new [`ExponentialMovingAverage`] instance.
82    ///
83    /// # Panics
84    ///
85    /// Panics if `period` is not a positive integer (> 0).
86    #[must_use]
87    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
88        assert!(
89            period > 0,
90            "ExponentialMovingAverage::new → `period` must be positive (> 0); got {period}"
91        );
92        Self {
93            period,
94            price_type: price_type.unwrap_or(PriceType::Last),
95            alpha: 2.0 / (period as f64 + 1.0),
96            value: 0.0,
97            count: 0,
98            has_inputs: false,
99            initialized: false,
100        }
101    }
102}
103
104impl MovingAverage for ExponentialMovingAverage {
105    fn value(&self) -> f64 {
106        self.value
107    }
108
109    fn count(&self) -> usize {
110        self.count
111    }
112
113    fn update_raw(&mut self, value: f64) {
114        if !self.has_inputs {
115            self.has_inputs = true;
116            self.value = value;
117            self.count = 1;
118
119            if self.period == 1 {
120                self.initialized = true;
121            }
122            return;
123        }
124
125        self.value = self.alpha.mul_add(value, (1.0 - self.alpha) * self.value);
126        self.count += 1;
127
128        // Initialization logic
129        if !self.initialized && self.count >= self.period {
130            self.initialized = true;
131        }
132    }
133}
134
135#[cfg(test)]
136mod tests {
137    use nautilus_model::{
138        data::{Bar, QuoteTick, TradeTick},
139        enums::PriceType,
140    };
141    use rstest::rstest;
142
143    use crate::{
144        average::ema::ExponentialMovingAverage,
145        indicator::{Indicator, MovingAverage},
146        stubs::*,
147    };
148
149    #[rstest]
150    fn test_ema_initialized(indicator_ema_10: ExponentialMovingAverage) {
151        let ema = indicator_ema_10;
152        let display_str = format!("{ema}");
153        assert_eq!(display_str, "ExponentialMovingAverage(10)");
154        assert_eq!(ema.period, 10);
155        assert_eq!(ema.price_type, PriceType::Mid);
156        assert_eq!(ema.alpha, 0.181_818_181_818_181_82);
157        assert!(!ema.initialized);
158    }
159
160    #[rstest]
161    fn test_one_value_input(indicator_ema_10: ExponentialMovingAverage) {
162        let mut ema = indicator_ema_10;
163        ema.update_raw(1.0);
164        assert_eq!(ema.count, 1);
165        assert_eq!(ema.value, 1.0);
166    }
167
168    #[rstest]
169    fn test_ema_update_raw(indicator_ema_10: ExponentialMovingAverage) {
170        let mut ema = indicator_ema_10;
171        ema.update_raw(1.0);
172        ema.update_raw(2.0);
173        ema.update_raw(3.0);
174        ema.update_raw(4.0);
175        ema.update_raw(5.0);
176        ema.update_raw(6.0);
177        ema.update_raw(7.0);
178        ema.update_raw(8.0);
179        ema.update_raw(9.0);
180        ema.update_raw(10.0);
181
182        assert!(ema.has_inputs());
183        assert!(ema.initialized());
184        assert_eq!(ema.count, 10);
185        assert_eq!(ema.value, 6.239_368_480_121_215_5);
186    }
187
188    #[rstest]
189    fn test_reset(indicator_ema_10: ExponentialMovingAverage) {
190        let mut ema = indicator_ema_10;
191        ema.update_raw(1.0);
192        assert_eq!(ema.count, 1);
193        ema.reset();
194        assert_eq!(ema.count, 0);
195        assert_eq!(ema.value, 0.0);
196        assert!(!ema.initialized);
197    }
198
199    #[rstest]
200    fn test_handle_quote_tick_single(
201        indicator_ema_10: ExponentialMovingAverage,
202        stub_quote: QuoteTick,
203    ) {
204        let mut ema = indicator_ema_10;
205        ema.handle_quote(&stub_quote);
206        assert!(ema.has_inputs());
207        assert_eq!(ema.value, 1501.0);
208    }
209
210    #[rstest]
211    fn test_handle_quote_tick_multi(mut indicator_ema_10: ExponentialMovingAverage) {
212        let tick1 = stub_quote("1500.0", "1502.0");
213        let tick2 = stub_quote("1502.0", "1504.0");
214
215        indicator_ema_10.handle_quote(&tick1);
216        indicator_ema_10.handle_quote(&tick2);
217        assert_eq!(indicator_ema_10.count, 2);
218        assert_eq!(indicator_ema_10.value, 1_501.363_636_363_636_3);
219    }
220
221    #[rstest]
222    fn test_handle_trade_tick(indicator_ema_10: ExponentialMovingAverage, stub_trade: TradeTick) {
223        let mut ema = indicator_ema_10;
224        ema.handle_trade(&stub_trade);
225        assert!(ema.has_inputs());
226        assert_eq!(ema.value, 1500.0);
227    }
228
229    #[rstest]
230    fn handle_handle_bar(
231        mut indicator_ema_10: ExponentialMovingAverage,
232        bar_ethusdt_binance_minute_bid: Bar,
233    ) {
234        indicator_ema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
235        assert!(indicator_ema_10.has_inputs);
236        assert!(!indicator_ema_10.initialized);
237        assert_eq!(indicator_ema_10.value, 1522.0);
238    }
239
240    #[rstest]
241    fn test_period_one_behaviour() {
242        let mut ema = ExponentialMovingAverage::new(1, None);
243        assert_eq!(ema.alpha, 1.0, "α must be 1 when period = 1");
244
245        ema.update_raw(10.0);
246        assert!(ema.initialized());
247        assert_eq!(ema.value(), 10.0);
248
249        ema.update_raw(42.0);
250        assert_eq!(
251            ema.value(),
252            42.0,
253            "With α = 1, the EMA must track the latest sample exactly"
254        );
255    }
256
257    #[rstest]
258    fn test_default_price_type_is_last() {
259        let ema = ExponentialMovingAverage::new(3, None);
260        assert_eq!(
261            ema.price_type,
262            PriceType::Last,
263            "`price_type` default mismatch"
264        );
265    }
266
267    #[rstest]
268    fn test_nan_poisoning_and_reset_recovery() {
269        let mut ema = ExponentialMovingAverage::new(4, None);
270        for x in 0..3 {
271            ema.update_raw(f64::from(x));
272            assert!(ema.value().is_finite());
273        }
274
275        ema.update_raw(f64::NAN);
276        assert!(ema.value().is_nan());
277
278        ema.update_raw(123.456);
279        assert!(ema.value().is_nan());
280
281        ema.reset();
282        assert!(!ema.has_inputs());
283        ema.update_raw(7.0);
284        assert_eq!(ema.value(), 7.0);
285        assert!(ema.value().is_finite());
286    }
287
288    #[rstest]
289    fn test_reset_without_inputs_is_safe() {
290        let mut ema = ExponentialMovingAverage::new(8, None);
291        ema.reset();
292        assert!(!ema.has_inputs());
293        assert_eq!(ema.count(), 0);
294        assert!(!ema.initialized());
295    }
296
297    #[rstest]
298    fn test_has_inputs_lifecycle() {
299        let mut ema = ExponentialMovingAverage::new(5, None);
300        assert!(!ema.has_inputs());
301
302        ema.update_raw(1.23);
303        assert!(ema.has_inputs());
304
305        ema.reset();
306        assert!(!ema.has_inputs());
307    }
308
309    #[rstest]
310    fn test_subnormal_inputs_do_not_underflow() {
311        let mut ema = ExponentialMovingAverage::new(2, None);
312        let tiny = f64::MIN_POSITIVE / 2.0;
313        ema.update_raw(tiny);
314        ema.update_raw(tiny);
315        assert!(
316            ema.value() > 0.0,
317            "Underflow: EMA value collapsed to zero for sub-normal inputs"
318        );
319    }
320}
nautilus_indicators/average/ema.rs

nautilus_indicators/average/
ema.rs
