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#[cfg(test)]
118mod tests {
119
120    use rstest::rstest;
121
122    use crate::{indicator::Indicator, ratio::efficiency_ratio::EfficiencyRatio, stubs::*};
123
124    #[rstest]
125    fn test_efficiency_ratio_initialized(efficiency_ratio_10: EfficiencyRatio) {
126        let display_str = format!("{efficiency_ratio_10}");
127        assert_eq!(display_str, "EfficiencyRatio(10)");
128        assert_eq!(efficiency_ratio_10.period, 10);
129        assert!(!efficiency_ratio_10.initialized);
130    }
131
132    #[rstest]
133    fn test_with_correct_number_of_required_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
134        for i in 1..10 {
135            efficiency_ratio_10.update_raw(f64::from(i));
136        }
137        assert_eq!(efficiency_ratio_10.inputs.len(), 9);
138        assert!(!efficiency_ratio_10.initialized);
139        efficiency_ratio_10.update_raw(1.0);
140        assert_eq!(efficiency_ratio_10.inputs.len(), 10);
141        assert!(efficiency_ratio_10.initialized);
142    }
143
144    #[rstest]
145    fn test_value_with_one_input(mut efficiency_ratio_10: EfficiencyRatio) {
146        efficiency_ratio_10.update_raw(1.0);
147        assert_eq!(efficiency_ratio_10.value, 0.0);
148    }
149
150    #[rstest]
151    fn test_value_with_efficient_higher_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
152        let mut initial_price = 1.0;
153        for _ in 1..=10 {
154            initial_price += 0.0001;
155            efficiency_ratio_10.update_raw(initial_price);
156        }
157        assert_eq!(efficiency_ratio_10.value, 1.0);
158    }
159
160    #[rstest]
161    fn test_value_with_efficient_lower_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
162        let mut initial_price = 1.0;
163        for _ in 1..=10 {
164            initial_price -= 0.0001;
165            efficiency_ratio_10.update_raw(initial_price);
166        }
167        assert_eq!(efficiency_ratio_10.value, 1.0);
168    }
169
170    #[rstest]
171    fn test_value_with_oscillating_inputs_returns_zero(mut efficiency_ratio_10: EfficiencyRatio) {
172        efficiency_ratio_10.update_raw(1.00000);
173        efficiency_ratio_10.update_raw(1.00010);
174        efficiency_ratio_10.update_raw(1.00000);
175        efficiency_ratio_10.update_raw(0.99990);
176        efficiency_ratio_10.update_raw(1.00000);
177        assert_eq!(efficiency_ratio_10.value, 0.0);
178    }
179
180    #[rstest]
181    fn test_value_with_half_oscillating(mut efficiency_ratio_10: EfficiencyRatio) {
182        efficiency_ratio_10.update_raw(1.00000);
183        efficiency_ratio_10.update_raw(1.00020);
184        efficiency_ratio_10.update_raw(1.00010);
185        efficiency_ratio_10.update_raw(1.00030);
186        efficiency_ratio_10.update_raw(1.00020);
187        assert_eq!(efficiency_ratio_10.value, 0.333_333_333_333_333_3);
188    }
189
190    #[rstest]
191    fn test_value_with_noisy_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
192        efficiency_ratio_10.update_raw(1.00000);
193        efficiency_ratio_10.update_raw(1.00010);
194        efficiency_ratio_10.update_raw(1.00008);
195        efficiency_ratio_10.update_raw(1.00007);
196        efficiency_ratio_10.update_raw(1.00012);
197        efficiency_ratio_10.update_raw(1.00005);
198        efficiency_ratio_10.update_raw(1.00015);
199        assert_eq!(efficiency_ratio_10.value, 0.428_571_428_572_153_63);
200    }
201
202    #[rstest]
203    fn test_reset(mut efficiency_ratio_10: EfficiencyRatio) {
204        for i in 1..=10 {
205            efficiency_ratio_10.update_raw(f64::from(i));
206        }
207        assert!(efficiency_ratio_10.initialized);
208        efficiency_ratio_10.reset();
209        assert!(!efficiency_ratio_10.initialized);
210        assert_eq!(efficiency_ratio_10.value, 0.0);
211    }
212
213    #[rstest]
214    fn test_handle_quote_tick(mut efficiency_ratio_10: EfficiencyRatio) {
215        let quote_tick1 = stub_quote("1500.0", "1502.0");
216        let quote_tick2 = stub_quote("1502.0", "1504.0");
217
218        efficiency_ratio_10.handle_quote(&quote_tick1);
219        efficiency_ratio_10.handle_quote(&quote_tick2);
220        assert_eq!(efficiency_ratio_10.value, 1.0);
221    }
222
223    #[rstest]
224    fn test_handle_bar(mut efficiency_ratio_10: EfficiencyRatio) {
225        let bar1 = bar_ethusdt_binance_minute_bid("1500.0");
226        let bar2 = bar_ethusdt_binance_minute_bid("1510.0");
227
228        efficiency_ratio_10.handle_bar(&bar1);
229        efficiency_ratio_10.handle_bar(&bar2);
230        assert_eq!(efficiency_ratio_10.value, 1.0);
231    }
232}
nautilus_indicators/ratio/efficiency_ratio.rs

nautilus_indicators/ratio/
efficiency_ratio.rs
