nautilus_indicators/momentum/
cmo.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2023 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::data::{Bar, QuoteTick, TradeTick};
19
20use crate::{
21    average::{MovingAverageFactory, MovingAverageType},
22    indicator::{Indicator, MovingAverage},
23};
24
25#[repr(C)]
26#[derive(Debug)]
27#[cfg_attr(
28    feature = "python",
29    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
30)]
31pub struct ChandeMomentumOscillator {
32    pub period: usize,
33    pub ma_type: MovingAverageType,
34    pub value: f64,
35    pub count: usize,
36    pub initialized: bool,
37    previous_close: f64,
38    average_gain: Box<dyn MovingAverage + Send + 'static>,
39    average_loss: Box<dyn MovingAverage + Send + 'static>,
40    has_inputs: bool,
41}
42
43impl Display for ChandeMomentumOscillator {
44    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
45        write!(f, "{}({})", self.name(), self.period)
46    }
47}
48
49impl Indicator for ChandeMomentumOscillator {
50    fn name(&self) -> String {
51        stringify!(ChandeMomentumOscillator).to_string()
52    }
53
54    fn has_inputs(&self) -> bool {
55        self.has_inputs
56    }
57
58    fn initialized(&self) -> bool {
59        self.initialized
60    }
61
62    fn handle_quote(&mut self, _quote: &QuoteTick) {
63        // Function body intentionally left blank.
64    }
65
66    fn handle_trade(&mut self, _trade: &TradeTick) {
67        // Function body intentionally left blank.
68    }
69
70    fn handle_bar(&mut self, bar: &Bar) {
71        self.update_raw((&bar.close).into());
72    }
73
74    fn reset(&mut self) {
75        self.value = 0.0;
76        self.count = 0;
77        self.has_inputs = false;
78        self.initialized = false;
79        self.previous_close = 0.0;
80    }
81}
82
83impl ChandeMomentumOscillator {
84    /// Creates a new [`ChandeMomentumOscillator`] instance.
85    #[must_use]
86    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
87        Self {
88            period,
89            ma_type: ma_type.unwrap_or(MovingAverageType::Wilder),
90            average_gain: MovingAverageFactory::create(MovingAverageType::Wilder, period),
91            average_loss: MovingAverageFactory::create(MovingAverageType::Wilder, period),
92            previous_close: 0.0,
93            value: 0.0,
94            count: 0,
95            initialized: false,
96            has_inputs: false,
97        }
98    }
99
100    pub fn update_raw(&mut self, close: f64) {
101        if !self.has_inputs {
102            self.previous_close = close;
103            self.has_inputs = true;
104        }
105
106        let gain: f64 = close - self.previous_close;
107        if gain > 0.0 {
108            self.average_gain.update_raw(gain);
109            self.average_loss.update_raw(0.0);
110        } else if gain < 0.0 {
111            self.average_gain.update_raw(0.0);
112            self.average_loss.update_raw(-gain);
113        } else {
114            self.average_gain.update_raw(0.0);
115            self.average_loss.update_raw(0.0);
116        }
117
118        if !self.initialized && self.average_gain.initialized() && self.average_loss.initialized() {
119            self.initialized = true;
120        }
121        if self.initialized {
122            let divisor = self.average_gain.value() + self.average_loss.value();
123            if divisor == 0.0 {
124                self.value = 0.0;
125            } else {
126                self.value =
127                    100.0 * (self.average_gain.value() - self.average_loss.value()) / divisor;
128            }
129        }
130        self.previous_close = close;
131    }
132}
133
134////////////////////////////////////////////////////////////////////////////////
135// Tests
136////////////////////////////////////////////////////////////////////////////////
137#[cfg(test)]
138mod tests {
139    use nautilus_model::data::{Bar, QuoteTick};
140    use rstest::rstest;
141
142    use crate::{indicator::Indicator, momentum::cmo::ChandeMomentumOscillator, stubs::*};
143
144    #[rstest]
145    fn test_cmo_initialized(cmo_10: ChandeMomentumOscillator) {
146        let display_str = format!("{cmo_10}");
147        assert_eq!(display_str, "ChandeMomentumOscillator(10)");
148        assert_eq!(cmo_10.period, 10);
149        assert!(!cmo_10.initialized);
150    }
151
152    #[rstest]
153    fn test_initialized_with_required_inputs_returns_true(mut cmo_10: ChandeMomentumOscillator) {
154        for i in 0..12 {
155            cmo_10.update_raw(f64::from(i));
156        }
157        assert!(cmo_10.initialized);
158    }
159
160    #[rstest]
161    fn test_value_all_higher_inputs_returns_expected_value(mut cmo_10: ChandeMomentumOscillator) {
162        cmo_10.update_raw(109.93);
163        cmo_10.update_raw(110.0);
164        cmo_10.update_raw(109.77);
165        cmo_10.update_raw(109.96);
166        cmo_10.update_raw(110.29);
167        cmo_10.update_raw(110.53);
168        cmo_10.update_raw(110.27);
169        cmo_10.update_raw(110.21);
170        cmo_10.update_raw(110.06);
171        cmo_10.update_raw(110.19);
172        cmo_10.update_raw(109.83);
173        cmo_10.update_raw(109.9);
174        cmo_10.update_raw(110.0);
175        cmo_10.update_raw(110.03);
176        cmo_10.update_raw(110.13);
177        cmo_10.update_raw(109.95);
178        cmo_10.update_raw(109.75);
179        cmo_10.update_raw(110.15);
180        cmo_10.update_raw(109.9);
181        cmo_10.update_raw(110.04);
182        assert_eq!(cmo_10.value, 2.089_629_456_238_705_4);
183    }
184
185    #[rstest]
186    fn test_value_with_one_input_returns_expected_value(mut cmo_10: ChandeMomentumOscillator) {
187        cmo_10.update_raw(1.00000);
188        assert_eq!(cmo_10.value, 0.0);
189    }
190
191    #[rstest]
192    fn test_reset(mut cmo_10: ChandeMomentumOscillator) {
193        cmo_10.update_raw(1.00020);
194        cmo_10.update_raw(1.00030);
195        cmo_10.update_raw(1.00050);
196        cmo_10.reset();
197        assert!(!cmo_10.initialized());
198        assert_eq!(cmo_10.count, 0);
199        assert_eq!(cmo_10.value, 0.0);
200        assert_eq!(cmo_10.previous_close, 0.0);
201    }
202
203    #[rstest]
204    fn test_handle_quote_tick(mut cmo_10: ChandeMomentumOscillator, stub_quote: QuoteTick) {
205        cmo_10.handle_quote(&stub_quote);
206        assert_eq!(cmo_10.count, 0);
207        assert_eq!(cmo_10.value, 0.0);
208    }
209
210    #[rstest]
211    fn test_handle_bar(mut cmo_10: ChandeMomentumOscillator, bar_ethusdt_binance_minute_bid: Bar) {
212        cmo_10.handle_bar(&bar_ethusdt_binance_minute_bid);
213        assert_eq!(cmo_10.count, 0);
214        assert_eq!(cmo_10.value, 0.0);
215    }
216}
nautilus_indicators/momentum/cmo.rs

nautilus_indicators/momentum/
cmo.rs
