nautilus_indicators/average/
rma.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 WilderMovingAverage {
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 WilderMovingAverage {
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 WilderMovingAverage {
48    fn name(&self) -> String {
49        stringify!(WilderMovingAverage).to_string()
50    }
51
52    fn has_inputs(&self) -> bool {
53        self.has_inputs
54    }
55    fn initialized(&self) -> bool {
56        self.initialized
57    }
58
59    fn handle_quote(&mut self, quote: &QuoteTick) {
60        self.update_raw(quote.extract_price(self.price_type).into());
61    }
62
63    fn handle_trade(&mut self, t: &TradeTick) {
64        self.update_raw((&t.price).into());
65    }
66
67    fn handle_bar(&mut self, b: &Bar) {
68        self.update_raw((&b.close).into());
69    }
70
71    fn reset(&mut self) {
72        self.value = 0.0;
73        self.count = 0;
74        self.has_inputs = false;
75        self.initialized = false;
76    }
77}
78
79impl WilderMovingAverage {
80    /// Creates a new [`WilderMovingAverage`] instance.
81    ///
82    /// # Panics
83    ///
84    /// Panics if `period` is not positive (> 0).
85    #[must_use]
86    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
87        // The Wilder Moving Average is The Wilder's Moving Average is simply
88        // an Exponential Moving Average (EMA) with a modified alpha.
89        // alpha = 1 / period
90        assert!(
91            period > 0,
92            "WilderMovingAverage: period must be > 0 (received {period})"
93        );
94        Self {
95            period,
96            price_type: price_type.unwrap_or(PriceType::Last),
97            alpha: 1.0 / period as f64,
98            value: 0.0,
99            count: 0,
100            initialized: false,
101            has_inputs: false,
102        }
103    }
104}
105
106impl MovingAverage for WilderMovingAverage {
107    fn value(&self) -> f64 {
108        self.value
109    }
110    fn count(&self) -> usize {
111        self.count
112    }
113
114    fn update_raw(&mut self, price: f64) {
115        if !self.has_inputs {
116            self.has_inputs = true;
117            self.value = price;
118            self.count = 1;
119            self.initialized = self.count >= self.period;
120            return;
121        }
122
123        self.value = self.alpha.mul_add(price, (1.0 - self.alpha) * self.value);
124        self.count += 1;
125        if !self.initialized && self.count >= self.period {
126            self.initialized = true;
127        }
128    }
129}
130
131#[cfg(test)]
132mod tests {
133    use nautilus_model::{
134        data::{Bar, QuoteTick, TradeTick},
135        enums::PriceType,
136    };
137    use rstest::rstest;
138
139    use crate::{
140        average::rma::WilderMovingAverage,
141        indicator::{Indicator, MovingAverage},
142        stubs::*,
143    };
144
145    #[rstest]
146    fn test_rma_initialized(indicator_rma_10: WilderMovingAverage) {
147        let rma = indicator_rma_10;
148        let display_str = format!("{rma}");
149        assert_eq!(display_str, "WilderMovingAverage(10)");
150        assert_eq!(rma.period, 10);
151        assert_eq!(rma.price_type, PriceType::Mid);
152        assert_eq!(rma.alpha, 0.1);
153        assert!(!rma.initialized);
154    }
155
156    #[rstest]
157    #[should_panic(expected = "WilderMovingAverage: period must be > 0")]
158    fn test_new_with_zero_period_panics() {
159        let _ = WilderMovingAverage::new(0, None);
160    }
161
162    #[rstest]
163    fn test_one_value_input(indicator_rma_10: WilderMovingAverage) {
164        let mut rma = indicator_rma_10;
165        rma.update_raw(1.0);
166        assert_eq!(rma.count, 1);
167        assert_eq!(rma.value, 1.0);
168    }
169
170    #[rstest]
171    fn test_rma_update_raw(indicator_rma_10: WilderMovingAverage) {
172        let mut rma = indicator_rma_10;
173        rma.update_raw(1.0);
174        rma.update_raw(2.0);
175        rma.update_raw(3.0);
176        rma.update_raw(4.0);
177        rma.update_raw(5.0);
178        rma.update_raw(6.0);
179        rma.update_raw(7.0);
180        rma.update_raw(8.0);
181        rma.update_raw(9.0);
182        rma.update_raw(10.0);
183
184        assert!(rma.has_inputs());
185        assert!(rma.initialized());
186        assert_eq!(rma.count, 10);
187        assert_eq!(rma.value, 4.486_784_401);
188    }
189
190    #[rstest]
191    fn test_reset(indicator_rma_10: WilderMovingAverage) {
192        let mut rma = indicator_rma_10;
193        rma.update_raw(1.0);
194        assert_eq!(rma.count, 1);
195        rma.reset();
196        assert_eq!(rma.count, 0);
197        assert_eq!(rma.value, 0.0);
198        assert!(!rma.initialized);
199    }
200
201    #[rstest]
202    fn test_handle_quote_tick_single(indicator_rma_10: WilderMovingAverage, stub_quote: QuoteTick) {
203        let mut rma = indicator_rma_10;
204        rma.handle_quote(&stub_quote);
205        assert!(rma.has_inputs());
206        assert_eq!(rma.value, 1501.0);
207    }
208
209    #[rstest]
210    fn test_handle_quote_tick_multi(mut indicator_rma_10: WilderMovingAverage) {
211        let tick1 = stub_quote("1500.0", "1502.0");
212        let tick2 = stub_quote("1502.0", "1504.0");
213
214        indicator_rma_10.handle_quote(&tick1);
215        indicator_rma_10.handle_quote(&tick2);
216        assert_eq!(indicator_rma_10.count, 2);
217        assert_eq!(indicator_rma_10.value, 1_501.2);
218    }
219
220    #[rstest]
221    fn test_handle_trade_tick(indicator_rma_10: WilderMovingAverage, stub_trade: TradeTick) {
222        let mut rma = indicator_rma_10;
223        rma.handle_trade(&stub_trade);
224        assert!(rma.has_inputs());
225        assert_eq!(rma.value, 1500.0);
226    }
227
228    #[rstest]
229    fn handle_handle_bar(
230        mut indicator_rma_10: WilderMovingAverage,
231        bar_ethusdt_binance_minute_bid: Bar,
232    ) {
233        indicator_rma_10.handle_bar(&bar_ethusdt_binance_minute_bid);
234        assert!(indicator_rma_10.has_inputs);
235        assert!(!indicator_rma_10.initialized);
236        assert_eq!(indicator_rma_10.value, 1522.0);
237    }
238
239    #[rstest]
240    #[should_panic(expected = "WilderMovingAverage: period must be > 0")]
241    fn invalid_period_panics() {
242        let _ = WilderMovingAverage::new(0, None);
243    }
244
245    #[rstest]
246    #[case(1.0)]
247    #[case(123.456)]
248    #[case(9_876.543_21)]
249    fn first_tick_seeding_parity(#[case] seed_price: f64) {
250        let mut rma = WilderMovingAverage::new(10, None);
251
252        rma.update_raw(seed_price);
253
254        assert_eq!(rma.count(), 1);
255        assert_eq!(rma.value(), seed_price);
256        assert!(!rma.initialized());
257    }
258
259    #[rstest]
260    fn numeric_parity_with_reference_series() {
261        let mut rma = WilderMovingAverage::new(10, None);
262
263        for price in 1_u32..=10 {
264            rma.update_raw(f64::from(price));
265        }
266
267        assert!(rma.initialized());
268        assert_eq!(rma.count(), 10);
269        let expected = 4.486_784_401_f64;
270        assert!((rma.value() - expected).abs() < 1e-12);
271    }
272
273    /// Period = 1 should act as a pure 1-tick MA (α = 1) and be initialized immediately.
274    #[rstest]
275    fn test_rma_period_one_behaviour() {
276        let mut rma = WilderMovingAverage::new(1, None);
277
278        // First tick seeds and immediately initializes
279        rma.update_raw(42.0);
280        assert!(rma.initialized());
281        assert_eq!(rma.count(), 1);
282        assert!((rma.value() - 42.0).abs() < 1e-12);
283
284        // With α = 1 the next tick fully replaces the previous value
285        rma.update_raw(100.0);
286        assert_eq!(rma.count(), 2);
287        assert!((rma.value() - 100.0).abs() < 1e-12);
288    }
289
290    /// Very large period: `initialized()` must remain `false` until enough samples arrive.
291    #[rstest]
292    fn test_rma_large_period_not_initialized() {
293        let mut rma = WilderMovingAverage::new(1_000, None);
294
295        for p in 1_u32..=999 {
296            rma.update_raw(f64::from(p));
297        }
298
299        assert_eq!(rma.count(), 999);
300        assert!(!rma.initialized());
301    }
302
303    #[rstest]
304    fn test_reset_reseeds_properly() {
305        let mut rma = WilderMovingAverage::new(10, None);
306
307        rma.update_raw(10.0);
308        assert!(rma.has_inputs());
309        assert_eq!(rma.count(), 1);
310
311        rma.reset();
312        assert_eq!(rma.count(), 0);
313        assert!(!rma.has_inputs());
314        assert!(!rma.initialized());
315
316        rma.update_raw(20.0);
317        assert_eq!(rma.count(), 1);
318        assert!((rma.value() - 20.0).abs() < 1e-12);
319    }
320
321    #[rstest]
322    fn test_default_price_type_is_last() {
323        let rma = WilderMovingAverage::new(5, None);
324        assert_eq!(rma.price_type, PriceType::Last);
325    }
326
327    #[rstest]
328    fn test_update_with_nan_propagates() {
329        let mut rma = WilderMovingAverage::new(10, None);
330        rma.update_raw(f64::NAN);
331
332        assert!(rma.value().is_nan());
333        assert!(rma.has_inputs());
334        assert_eq!(rma.count(), 1);
335    }
336}
nautilus_indicators/average/rma.rs

nautilus_indicators/average/
rma.rs
