nautilus_indicators/average/
sma.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Posei Systems Pty Ltd. All rights reserved.
3//  https://poseitrader.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 arraydeque::{ArrayDeque, Wrapping};
19use nautilus_model::{
20    data::{Bar, QuoteTick, TradeTick},
21    enums::PriceType,
22};
23
24use crate::indicator::{Indicator, MovingAverage};
25
26const MAX_PERIOD: usize = 1_024;
27
28#[repr(C)]
29#[derive(Debug)]
30#[cfg_attr(
31    feature = "python",
32    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.indicators")
33)]
34pub struct SimpleMovingAverage {
35    pub period: usize,
36    pub price_type: PriceType,
37    pub value: f64,
38    sum: f64,
39    pub count: usize,
40    buf: ArrayDeque<f64, MAX_PERIOD, Wrapping>,
41    pub initialized: bool,
42}
43
44impl Display for SimpleMovingAverage {
45    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
46        write!(f, "{}({})", self.name(), self.period)
47    }
48}
49
50impl Indicator for SimpleMovingAverage {
51    fn name(&self) -> String {
52        stringify!(SimpleMovingAverage).into()
53    }
54
55    fn has_inputs(&self) -> bool {
56        self.count > 0
57    }
58
59    fn initialized(&self) -> bool {
60        self.initialized
61    }
62
63    fn handle_quote(&mut self, quote: &QuoteTick) {
64        self.process_raw(quote.extract_price(self.price_type).into());
65    }
66
67    fn handle_trade(&mut self, trade: &TradeTick) {
68        self.process_raw(trade.price.into());
69    }
70
71    fn handle_bar(&mut self, bar: &Bar) {
72        self.process_raw(bar.close.into());
73    }
74
75    fn reset(&mut self) {
76        self.value = 0.0;
77        self.sum = 0.0;
78        self.count = 0;
79        self.buf.clear();
80        self.initialized = false;
81    }
82}
83
84impl MovingAverage for SimpleMovingAverage {
85    fn value(&self) -> f64 {
86        self.value
87    }
88
89    fn count(&self) -> usize {
90        self.count
91    }
92
93    fn update_raw(&mut self, value: f64) {
94        self.process_raw(value);
95    }
96}
97
98impl SimpleMovingAverage {
99    /// Creates a new [`SimpleMovingAverage`] instance.
100    ///
101    /// # Panics
102    ///
103    /// Panics if `period` is not positive (> 0).
104    #[must_use]
105    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
106        assert!(period > 0, "SimpleMovingAverage: period must be > 0");
107        assert!(
108            period <= MAX_PERIOD,
109            "SimpleMovingAverage: period {period} exceeds MAX_PERIOD ({MAX_PERIOD})"
110        );
111
112        Self {
113            period,
114            price_type: price_type.unwrap_or(PriceType::Last),
115            value: 0.0,
116            sum: 0.0,
117            count: 0,
118            buf: ArrayDeque::new(),
119            initialized: false,
120        }
121    }
122
123    fn process_raw(&mut self, price: f64) {
124        if self.count == self.period {
125            if let Some(oldest) = self.buf.pop_front() {
126                self.sum -= oldest;
127            }
128        } else {
129            self.count += 1;
130        }
131
132        let _ = self.buf.push_back(price);
133        self.sum += price;
134
135        self.value = self.sum / self.count as f64;
136        self.initialized = self.count >= self.period;
137    }
138}
139
140////////////////////////////////////////////////////////////////////////////////
141// Tests
142////////////////////////////////////////////////////////////////////////////////
143#[cfg(test)]
144mod tests {
145    use nautilus_model::{
146        data::{QuoteTick, TradeTick},
147        enums::PriceType,
148    };
149    use rstest::rstest;
150
151    use super::MAX_PERIOD;
152    use crate::{
153        average::sma::SimpleMovingAverage,
154        indicator::{Indicator, MovingAverage},
155        stubs::*,
156    };
157
158    #[rstest]
159    fn sma_initialized_state(indicator_sma_10: SimpleMovingAverage) {
160        let display_str = format!("{indicator_sma_10}");
161        assert_eq!(display_str, "SimpleMovingAverage(10)");
162        assert_eq!(indicator_sma_10.period, 10);
163        assert_eq!(indicator_sma_10.price_type, PriceType::Mid);
164        assert_eq!(indicator_sma_10.value, 0.0);
165        assert_eq!(indicator_sma_10.count, 0);
166        assert!(!indicator_sma_10.initialized());
167        assert!(!indicator_sma_10.has_inputs());
168    }
169
170    #[rstest]
171    fn sma_update_raw_exact_period(indicator_sma_10: SimpleMovingAverage) {
172        let mut sma = indicator_sma_10;
173        for i in 1..=10 {
174            sma.update_raw(f64::from(i));
175        }
176        assert!(sma.has_inputs());
177        assert!(sma.initialized());
178        assert_eq!(sma.count, 10);
179        assert_eq!(sma.value, 5.5);
180    }
181
182    #[rstest]
183    fn sma_reset_smoke(indicator_sma_10: SimpleMovingAverage) {
184        let mut sma = indicator_sma_10;
185        sma.update_raw(1.0);
186        assert_eq!(sma.count, 1);
187        sma.reset();
188        assert_eq!(sma.count, 0);
189        assert_eq!(sma.value, 0.0);
190        assert!(!sma.initialized());
191    }
192
193    #[rstest]
194    fn sma_handle_single_quote(indicator_sma_10: SimpleMovingAverage, stub_quote: QuoteTick) {
195        let mut sma = indicator_sma_10;
196        sma.handle_quote(&stub_quote);
197        assert_eq!(sma.count, 1);
198        assert_eq!(sma.value, 1501.0);
199    }
200
201    #[rstest]
202    fn sma_handle_multiple_quotes(indicator_sma_10: SimpleMovingAverage) {
203        let mut sma = indicator_sma_10;
204        let q1 = stub_quote("1500.0", "1502.0");
205        let q2 = stub_quote("1502.0", "1504.0");
206
207        sma.handle_quote(&q1);
208        sma.handle_quote(&q2);
209        assert_eq!(sma.count, 2);
210        assert_eq!(sma.value, 1502.0);
211    }
212
213    #[rstest]
214    fn sma_handle_trade(indicator_sma_10: SimpleMovingAverage, stub_trade: TradeTick) {
215        let mut sma = indicator_sma_10;
216        sma.handle_trade(&stub_trade);
217        assert_eq!(sma.count, 1);
218        assert_eq!(sma.value, 1500.0);
219    }
220
221    #[rstest]
222    #[case(1)]
223    #[case(3)]
224    #[case(5)]
225    #[case(16)]
226    fn count_progression_respects_period(#[case] period: usize) {
227        let mut sma = SimpleMovingAverage::new(period, None);
228
229        for i in 0..(period * 3) {
230            sma.update_raw(i as f64);
231
232            assert!(
233                sma.count() <= period,
234                "period={period}, step={i}, count={}",
235                sma.count()
236            );
237
238            let expected = usize::min(i + 1, period);
239            assert_eq!(
240                sma.count(),
241                expected,
242                "period={period}, step={i}, expected={expected}, got={}",
243                sma.count()
244            );
245        }
246    }
247
248    #[rstest]
249    #[case(1)]
250    #[case(4)]
251    #[case(10)]
252    fn count_after_reset_is_zero(#[case] period: usize) {
253        let mut sma = SimpleMovingAverage::new(period, None);
254
255        for i in 0..(period + 2) {
256            sma.update_raw(i as f64);
257        }
258        assert_eq!(sma.count(), period, "pre-reset saturation failed");
259
260        sma.reset();
261        assert_eq!(sma.count(), 0, "count not reset to zero");
262        assert_eq!(sma.value(), 0.0, "value not reset to zero");
263        assert!(!sma.initialized(), "initialized flag not cleared");
264    }
265
266    #[rstest]
267    fn count_edge_case_period_one() {
268        let mut sma = SimpleMovingAverage::new(1, None);
269
270        sma.update_raw(10.0);
271        assert_eq!(sma.count(), 1);
272        assert_eq!(sma.value(), 10.0);
273
274        sma.update_raw(20.0);
275        assert_eq!(sma.count(), 1, "count exceeded 1 with period==1");
276        assert_eq!(sma.value(), 20.0, "value not equal to latest price");
277    }
278
279    #[rstest]
280    fn sliding_window_correctness() {
281        let mut sma = SimpleMovingAverage::new(3, None);
282
283        let prices = [1.0, 2.0, 3.0, 4.0, 5.0];
284        let expect_avg = [1.0, 1.5, 2.0, 3.0, 4.0];
285
286        for (i, &p) in prices.iter().enumerate() {
287            sma.update_raw(p);
288            assert!(
289                (sma.value() - expect_avg[i]).abs() < 1e-9,
290                "step {i}: expected {}, got {}",
291                expect_avg[i],
292                sma.value()
293            );
294        }
295    }
296
297    #[rstest]
298    #[case(2)]
299    #[case(6)]
300    fn initialized_transitions_with_count(#[case] period: usize) {
301        let mut sma = SimpleMovingAverage::new(period, None);
302
303        for i in 0..(period - 1) {
304            sma.update_raw(i as f64);
305            assert!(
306                !sma.initialized(),
307                "initialized early at i={i} (period={period})"
308            );
309        }
310
311        sma.update_raw(42.0);
312        assert_eq!(sma.count(), period);
313        assert!(sma.initialized(), "initialized flag not set at period");
314    }
315
316    #[rstest]
317    #[should_panic(expected = "period must be > 0")]
318    fn sma_new_with_zero_period_panics() {
319        let _ = SimpleMovingAverage::new(0, None);
320    }
321
322    #[rstest]
323    fn sma_rolling_mean_exact_values() {
324        let mut sma = SimpleMovingAverage::new(3, None);
325        let inputs = [1.0, 2.0, 3.0, 4.0, 5.0];
326        let expected = [1.0, 1.5, 2.0, 3.0, 4.0];
327
328        for (&price, &exp_mean) in inputs.iter().zip(expected.iter()) {
329            sma.update_raw(price);
330            assert!(
331                (sma.value() - exp_mean).abs() < 1e-12,
332                "input={price}, expected={exp_mean}, got={}",
333                sma.value()
334            );
335        }
336    }
337
338    #[rstest]
339    fn sma_matches_reference_implementation() {
340        const PERIOD: usize = 5;
341        let mut sma = SimpleMovingAverage::new(PERIOD, None);
342        let mut window = std::collections::VecDeque::<f64>::with_capacity(PERIOD);
343
344        for step in 0..20 {
345            let price = f64::from(step) * 10.0;
346            sma.update_raw(price);
347
348            if window.len() == PERIOD {
349                window.pop_front();
350            }
351            window.push_back(price);
352
353            let ref_mean: f64 = window.iter().sum::<f64>() / window.len() as f64;
354            assert!(
355                (sma.value() - ref_mean).abs() < 1e-12,
356                "step={step}, expected={ref_mean}, got={}",
357                sma.value()
358            );
359        }
360    }
361
362    #[rstest]
363    #[case(f64::NAN)]
364    #[case(f64::INFINITY)]
365    #[case(f64::NEG_INFINITY)]
366    fn sma_handles_bad_floats(#[case] bad: f64) {
367        let mut sma = SimpleMovingAverage::new(3, None);
368        sma.update_raw(1.0);
369        sma.update_raw(bad);
370        sma.update_raw(3.0);
371        assert!(
372            sma.value().is_nan() || !sma.value().is_finite(),
373            "bad float not propagated"
374        );
375    }
376
377    #[rstest]
378    fn deque_and_count_always_match() {
379        const PERIOD: usize = 8;
380        let mut sma = SimpleMovingAverage::new(PERIOD, None);
381        for i in 0..50 {
382            sma.update_raw(f64::from(i));
383            assert!(
384                sma.buf.len() == sma.count,
385                "buf.len() != count at step {i}: {} != {}",
386                sma.buf.len(),
387                sma.count
388            );
389        }
390    }
391
392    #[rstest]
393    fn sma_multiple_resets() {
394        let mut sma = SimpleMovingAverage::new(4, None);
395        for cycle in 0..5 {
396            for x in 0..4 {
397                sma.update_raw(f64::from(x));
398            }
399            assert!(sma.initialized(), "cycle {cycle}: not initialized");
400            sma.reset();
401            assert_eq!(sma.count(), 0);
402            assert_eq!(sma.value(), 0.0);
403            assert!(!sma.initialized());
404        }
405    }
406
407    #[rstest]
408    fn sma_buffer_never_exceeds_capacity() {
409        const PERIOD: usize = MAX_PERIOD;
410        let mut sma = super::SimpleMovingAverage::new(PERIOD, None);
411
412        for i in 0..(PERIOD * 2) {
413            sma.update_raw(i as f64);
414
415            assert!(
416                sma.buf.len() <= PERIOD,
417                "step {i}: buf.len()={}, exceeds PERIOD={PERIOD}",
418                sma.buf.len()
419            );
420        }
421        assert!(
422            sma.buf.is_full(),
423            "buffer not reported as full after saturation"
424        );
425        assert_eq!(
426            sma.count(),
427            PERIOD,
428            "count diverged from logical window length"
429        );
430    }
431
432    #[rstest]
433    fn sma_deque_eviction_order() {
434        let mut sma = super::SimpleMovingAverage::new(3, None);
435
436        sma.update_raw(1.0);
437        sma.update_raw(2.0);
438        sma.update_raw(3.0);
439        sma.update_raw(4.0);
440
441        assert_eq!(sma.buf.front().copied(), Some(2.0), "oldest element wrong");
442        assert_eq!(sma.buf.back().copied(), Some(4.0), "newest element wrong");
443
444        assert!(
445            (sma.value() - 3.0).abs() < 1e-12,
446            "unexpected mean after eviction: {}",
447            sma.value()
448        );
449    }
450
451    #[rstest]
452    fn sma_sum_consistent_with_buffer() {
453        const PERIOD: usize = 7;
454        let mut sma = super::SimpleMovingAverage::new(PERIOD, None);
455
456        for i in 0..40 {
457            sma.update_raw(f64::from(i));
458
459            let deque_sum: f64 = sma.buf.iter().copied().sum();
460            assert!(
461                (sma.sum - deque_sum).abs() < 1e-12,
462                "step {i}: internal sum={} differs from buf sum={}",
463                sma.sum,
464                deque_sum
465            );
466        }
467    }
468}
nautilus_indicators/average/sma.rs

nautilus_indicators/average/
sma.rs
