nautilus_indicators/average/
ema.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 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 = "posei_trader.core.nautilus_pyo3.indicators")
30)]
31pub struct ExponentialMovingAverage {
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 ExponentialMovingAverage {
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 ExponentialMovingAverage {
48    fn name(&self) -> String {
49        stringify!(ExponentialMovingAverage).to_string()
50    }
51
52    fn has_inputs(&self) -> bool {
53        self.has_inputs
54    }
55
56    fn initialized(&self) -> bool {
57        self.initialized
58    }
59
60    fn handle_quote(&mut self, quote: &QuoteTick) {
61        self.update_raw(quote.extract_price(self.price_type).into());
62    }
63
64    fn handle_trade(&mut self, trade: &TradeTick) {
65        self.update_raw((&trade.price).into());
66    }
67
68    fn handle_bar(&mut self, bar: &Bar) {
69        self.update_raw((&bar.close).into());
70    }
71
72    fn reset(&mut self) {
73        self.value = 0.0;
74        self.count = 0;
75        self.has_inputs = false;
76        self.initialized = false;
77    }
78}
79
80impl ExponentialMovingAverage {
81    /// Creates a new [`ExponentialMovingAverage`] instance.
82    ///
83    /// # Panics
84    ///
85    /// Panics if `period` is not a positive integer (> 0).
86    #[must_use]
87    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
88        assert!(
89            period > 0,
90            "ExponentialMovingAverage::new → `period` must be positive (> 0); got {period}"
91        );
92        Self {
93            period,
94            price_type: price_type.unwrap_or(PriceType::Last),
95            alpha: 2.0 / (period as f64 + 1.0),
96            value: 0.0,
97            count: 0,
98            has_inputs: false,
99            initialized: false,
100        }
101    }
102}
103
104impl MovingAverage for ExponentialMovingAverage {
105    fn value(&self) -> f64 {
106        self.value
107    }
108
109    fn count(&self) -> usize {
110        self.count
111    }
112
113    fn update_raw(&mut self, value: f64) {
114        if !self.has_inputs {
115            self.has_inputs = true;
116            self.value = value;
117            self.count = 1;
118
119            if self.period == 1 {
120                self.initialized = true;
121            }
122            return;
123        }
124
125        self.value = self.alpha.mul_add(value, (1.0 - self.alpha) * self.value);
126        self.count += 1;
127
128        // Initialization logic
129        if !self.initialized && self.count >= self.period {
130            self.initialized = true;
131        }
132    }
133}
134
135////////////////////////////////////////////////////////////////////////////////
136// Tests
137////////////////////////////////////////////////////////////////////////////////
138#[cfg(test)]
139mod tests {
140    use nautilus_model::{
141        data::{Bar, QuoteTick, TradeTick},
142        enums::PriceType,
143    };
144    use rstest::rstest;
145
146    use crate::{
147        average::ema::ExponentialMovingAverage,
148        indicator::{Indicator, MovingAverage},
149        stubs::*,
150    };
151
152    #[rstest]
153    fn test_ema_initialized(indicator_ema_10: ExponentialMovingAverage) {
154        let ema = indicator_ema_10;
155        let display_str = format!("{ema}");
156        assert_eq!(display_str, "ExponentialMovingAverage(10)");
157        assert_eq!(ema.period, 10);
158        assert_eq!(ema.price_type, PriceType::Mid);
159        assert_eq!(ema.alpha, 0.181_818_181_818_181_82);
160        assert!(!ema.initialized);
161    }
162
163    #[rstest]
164    fn test_one_value_input(indicator_ema_10: ExponentialMovingAverage) {
165        let mut ema = indicator_ema_10;
166        ema.update_raw(1.0);
167        assert_eq!(ema.count, 1);
168        assert_eq!(ema.value, 1.0);
169    }
170
171    #[rstest]
172    fn test_ema_update_raw(indicator_ema_10: ExponentialMovingAverage) {
173        let mut ema = indicator_ema_10;
174        ema.update_raw(1.0);
175        ema.update_raw(2.0);
176        ema.update_raw(3.0);
177        ema.update_raw(4.0);
178        ema.update_raw(5.0);
179        ema.update_raw(6.0);
180        ema.update_raw(7.0);
181        ema.update_raw(8.0);
182        ema.update_raw(9.0);
183        ema.update_raw(10.0);
184
185        assert!(ema.has_inputs());
186        assert!(ema.initialized());
187        assert_eq!(ema.count, 10);
188        assert_eq!(ema.value, 6.239_368_480_121_215_5);
189    }
190
191    #[rstest]
192    fn test_reset(indicator_ema_10: ExponentialMovingAverage) {
193        let mut ema = indicator_ema_10;
194        ema.update_raw(1.0);
195        assert_eq!(ema.count, 1);
196        ema.reset();
197        assert_eq!(ema.count, 0);
198        assert_eq!(ema.value, 0.0);
199        assert!(!ema.initialized);
200    }
201
202    #[rstest]
203    fn test_handle_quote_tick_single(
204        indicator_ema_10: ExponentialMovingAverage,
205        stub_quote: QuoteTick,
206    ) {
207        let mut ema = indicator_ema_10;
208        ema.handle_quote(&stub_quote);
209        assert!(ema.has_inputs());
210        assert_eq!(ema.value, 1501.0);
211    }
212
213    #[rstest]
214    fn test_handle_quote_tick_multi(mut indicator_ema_10: ExponentialMovingAverage) {
215        let tick1 = stub_quote("1500.0", "1502.0");
216        let tick2 = stub_quote("1502.0", "1504.0");
217
218        indicator_ema_10.handle_quote(&tick1);
219        indicator_ema_10.handle_quote(&tick2);
220        assert_eq!(indicator_ema_10.count, 2);
221        assert_eq!(indicator_ema_10.value, 1_501.363_636_363_636_3);
222    }
223
224    #[rstest]
225    fn test_handle_trade_tick(indicator_ema_10: ExponentialMovingAverage, stub_trade: TradeTick) {
226        let mut ema = indicator_ema_10;
227        ema.handle_trade(&stub_trade);
228        assert!(ema.has_inputs());
229        assert_eq!(ema.value, 1500.0);
230    }
231
232    #[rstest]
233    fn handle_handle_bar(
234        mut indicator_ema_10: ExponentialMovingAverage,
235        bar_ethusdt_binance_minute_bid: Bar,
236    ) {
237        indicator_ema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
238        assert!(indicator_ema_10.has_inputs);
239        assert!(!indicator_ema_10.initialized);
240        assert_eq!(indicator_ema_10.value, 1522.0);
241    }
242
243    #[rstest]
244    fn test_period_one_behaviour() {
245        let mut ema = ExponentialMovingAverage::new(1, None);
246        assert_eq!(ema.alpha, 1.0, "α must be 1 when period = 1");
247
248        ema.update_raw(10.0);
249        assert!(ema.initialized());
250        assert_eq!(ema.value(), 10.0);
251
252        ema.update_raw(42.0);
253        assert_eq!(
254            ema.value(),
255            42.0,
256            "With α = 1, the EMA must track the latest sample exactly"
257        );
258    }
259
260    #[rstest]
261    fn test_default_price_type_is_last() {
262        let ema = ExponentialMovingAverage::new(3, None);
263        assert_eq!(
264            ema.price_type,
265            PriceType::Last,
266            "`price_type` default mismatch"
267        );
268    }
269
270    #[rstest]
271    fn test_nan_poisoning_and_reset_recovery() {
272        let mut ema = ExponentialMovingAverage::new(4, None);
273        for x in 0..3 {
274            ema.update_raw(f64::from(x));
275            assert!(ema.value().is_finite());
276        }
277
278        ema.update_raw(f64::NAN);
279        assert!(ema.value().is_nan());
280
281        ema.update_raw(123.456);
282        assert!(ema.value().is_nan());
283
284        ema.reset();
285        assert!(!ema.has_inputs());
286        ema.update_raw(7.0);
287        assert_eq!(ema.value(), 7.0);
288        assert!(ema.value().is_finite());
289    }
290
291    #[rstest]
292    fn test_reset_without_inputs_is_safe() {
293        let mut ema = ExponentialMovingAverage::new(8, None);
294        ema.reset();
295        assert!(!ema.has_inputs());
296        assert_eq!(ema.count(), 0);
297        assert!(!ema.initialized());
298    }
299
300    #[rstest]
301    fn test_has_inputs_lifecycle() {
302        let mut ema = ExponentialMovingAverage::new(5, None);
303        assert!(!ema.has_inputs());
304
305        ema.update_raw(1.23);
306        assert!(ema.has_inputs());
307
308        ema.reset();
309        assert!(!ema.has_inputs());
310    }
311
312    #[rstest]
313    fn test_subnormal_inputs_do_not_underflow() {
314        let mut ema = ExponentialMovingAverage::new(2, None);
315        let tiny = f64::MIN_POSITIVE / 2.0;
316        ema.update_raw(tiny);
317        ema.update_raw(tiny);
318        assert!(
319            ema.value() > 0.0,
320            "Underflow: EMA value collapsed to zero for sub-normal inputs"
321        );
322    }
323}
nautilus_indicators/average/ema.rs

nautilus_indicators/average/
ema.rs
