nautilus_indicators/ratio/
spread_analyzer.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::{data::QuoteTick, identifiers::InstrumentId};
19
20use crate::indicator::Indicator;
21
22/// An indicator which calculates the efficiency ratio across a rolling window.
23///
24/// The Kaufman Efficiency measures the ratio of the relative market speed in
25/// relation to the volatility, this could be thought of as a proxy for noise.
26#[repr(C)]
27#[derive(Debug)]
28#[cfg_attr(
29    feature = "python",
30    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
31)]
32pub struct SpreadAnalyzer {
33    pub capacity: usize,
34    pub instrument_id: InstrumentId,
35    pub current: f64,
36    pub average: f64,
37    pub initialized: bool,
38    has_inputs: bool,
39    spreads: Vec<f64>,
40}
41
42impl Display for SpreadAnalyzer {
43    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
44        write!(
45            f,
46            "{}({},{})",
47            self.name(),
48            self.capacity,
49            self.instrument_id
50        )
51    }
52}
53
54impl Indicator for SpreadAnalyzer {
55    fn name(&self) -> String {
56        stringify!(SpreadAnalyzer).to_string()
57    }
58
59    fn has_inputs(&self) -> bool {
60        self.has_inputs
61    }
62    fn initialized(&self) -> bool {
63        self.initialized
64    }
65
66    fn handle_quote(&mut self, quote: &QuoteTick) {
67        if quote.instrument_id != self.instrument_id {
68            return;
69        }
70
71        // Check initialization
72        if !self.initialized {
73            self.has_inputs = true;
74            if self.spreads.len() == self.capacity {
75                self.initialized = true;
76            }
77        }
78
79        let bid: f64 = quote.bid_price.into();
80        let ask: f64 = quote.ask_price.into();
81        let spread = ask - bid;
82
83        self.current = spread;
84        self.spreads.push(spread);
85
86        // Update average spread
87        self.average =
88            fast_mean_iterated(&self.spreads, spread, self.average, self.capacity, false).unwrap();
89    }
90
91    fn reset(&mut self) {
92        self.current = 0.0;
93        self.average = 0.0;
94        self.spreads.clear();
95        self.initialized = false;
96        self.has_inputs = false;
97    }
98}
99
100impl SpreadAnalyzer {
101    /// Creates a new [`SpreadAnalyzer`] instance.
102    #[must_use]
103    pub fn new(capacity: usize, instrument_id: InstrumentId) -> Self {
104        Self {
105            capacity,
106            instrument_id,
107            current: 0.0,
108            average: 0.0,
109            initialized: false,
110            has_inputs: false,
111            spreads: Vec::with_capacity(capacity),
112        }
113    }
114}
115
116fn fast_mean_iterated(
117    values: &[f64],
118    next_value: f64,
119    current_value: f64,
120    expected_length: usize,
121    drop_left: bool,
122) -> Result<f64, &'static str> {
123    let length = values.len();
124
125    if length < expected_length {
126        return Ok(fast_mean(values));
127    }
128
129    if length != expected_length {
130        return Err("length of values must equal expected_length");
131    }
132
133    let value_to_drop = if drop_left {
134        values[0]
135    } else {
136        values[length - 1]
137    };
138
139    Ok(current_value + (next_value - value_to_drop) / length as f64)
140}
141
142fn fast_mean(values: &[f64]) -> f64 {
143    if values.is_empty() {
144        0.0
145    } else {
146        values.iter().sum::<f64>() / values.len() as f64
147    }
148}
149
150////////////////////////////////////////////////////////////////////////////////
151// Tests
152////////////////////////////////////////////////////////////////////////////////
153#[cfg(test)]
154mod tests {
155
156    use rstest::rstest;
157
158    use crate::{
159        indicator::Indicator,
160        ratio::spread_analyzer::SpreadAnalyzer,
161        stubs::{spread_analyzer_10, *},
162    };
163    #[rstest]
164    fn test_efficiency_ratio_initialized(spread_analyzer_10: SpreadAnalyzer) {
165        let display_str = format!("{spread_analyzer_10}");
166        assert_eq!(display_str, "SpreadAnalyzer(10,ETHUSDT-PERP.BINANCE)");
167        assert_eq!(spread_analyzer_10.capacity, 10);
168        assert!(!spread_analyzer_10.initialized);
169    }
170
171    #[rstest]
172    fn test_with_correct_number_of_required_inputs(mut spread_analyzer_10: SpreadAnalyzer) {
173        let bid_price: [&str; 10] = [
174            "100.50", "100.45", "100.55", "100.60", "100.52", "100.48", "100.53", "100.57",
175            "100.49", "100.51",
176        ];
177
178        let ask_price: [&str; 10] = [
179            "100.55", "100.50", "100.60", "100.65", "100.57", "100.53", "100.58", "100.62",
180            "100.54", "100.56",
181        ];
182        for i in 1..10 {
183            spread_analyzer_10.handle_quote(&stub_quote(bid_price[i], ask_price[i]));
184        }
185        assert!(!spread_analyzer_10.initialized);
186    }
187
188    #[rstest]
189    fn test_value_with_one_input(mut spread_analyzer_10: SpreadAnalyzer) {
190        spread_analyzer_10.handle_quote(&stub_quote("100.50", "100.55"));
191        assert_eq!(spread_analyzer_10.average, 0.049_999_999_999_997_16);
192    }
193
194    #[rstest]
195    fn test_value_with_all_higher_inputs_returns_expected_value(
196        mut spread_analyzer_10: SpreadAnalyzer,
197    ) {
198        let bid_price: [&str; 15] = [
199            "100.50", "100.45", "100.55", "100.60", "100.52", "100.48", "100.53", "100.57",
200            "100.49", "100.51", "100.54", "100.56", "100.58", "100.50", "100.52",
201        ];
202
203        let ask_price: [&str; 15] = [
204            "100.55", "100.50", "100.60", "100.65", "100.57", "100.53", "100.58", "100.62",
205            "100.54", "100.56", "100.59", "100.61", "100.63", "100.55", "100.57",
206        ];
207        for i in 0..10 {
208            spread_analyzer_10.handle_quote(&stub_quote(bid_price[i], ask_price[i]));
209        }
210
211        assert_eq!(spread_analyzer_10.average, 0.050_000_000_000_001_9);
212    }
213
214    #[rstest]
215    fn test_reset_successfully_returns_indicator_to_fresh_state(
216        mut spread_analyzer_10: SpreadAnalyzer,
217    ) {
218        spread_analyzer_10.handle_quote(&stub_quote("100.50", "100.55"));
219        spread_analyzer_10.reset();
220        assert!(!spread_analyzer_10.initialized());
221        assert_eq!(spread_analyzer_10.current, 0.0);
222        assert_eq!(spread_analyzer_10.average, 0.0);
223        assert!(!spread_analyzer_10.has_inputs);
224        assert!(!spread_analyzer_10.initialized);
225    }
226}
nautilus_indicators/ratio/spread_analyzer.rs

nautilus_indicators/ratio/
spread_analyzer.rs
