nautilus_indicators/average/
vwap.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, Formatter};
17
18use nautilus_model::data::Bar;
19
20use crate::indicator::Indicator;
21
22#[repr(C)]
23#[derive(Debug, Default)]
24#[cfg_attr(
25    feature = "python",
26    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.indicators")
27)]
28pub struct VolumeWeightedAveragePrice {
29    pub value: f64,
30    pub initialized: bool,
31    has_inputs: bool,
32    price_volume: f64,
33    volume_total: f64,
34    day: i64,
35}
36
37impl Indicator for VolumeWeightedAveragePrice {
38    fn name(&self) -> String {
39        stringify!(VolumeWeightedAveragePrice).to_string()
40    }
41
42    fn has_inputs(&self) -> bool {
43        self.has_inputs
44    }
45
46    fn initialized(&self) -> bool {
47        self.initialized
48    }
49
50    fn handle_bar(&mut self, bar: &Bar) {
51        let typical_price = (bar.close.as_f64() + bar.high.as_f64() + bar.low.as_f64()) / 3.0;
52
53        self.update_raw(typical_price, (&bar.volume).into(), bar.ts_init.as_f64());
54    }
55
56    fn reset(&mut self) {
57        self.value = 0.0;
58        self.has_inputs = false;
59        self.initialized = false;
60        self.day = -1;
61        self.price_volume = 0.0;
62        self.volume_total = 0.0;
63    }
64}
65
66impl VolumeWeightedAveragePrice {
67    /// Creates a new [`VolumeWeightedAveragePrice`] instance.
68    #[must_use]
69    pub const fn new() -> Self {
70        Self {
71            value: 0.0,
72            initialized: false,
73            has_inputs: false,
74            price_volume: 0.0,
75            volume_total: 0.0,
76            day: -1,
77        }
78    }
79
80    pub fn update_raw(&mut self, price: f64, volume: f64, timestamp: f64) {
81        const SECONDS_PER_DAY: f64 = 86_400.0;
82        let epoch_day = (timestamp / SECONDS_PER_DAY).floor() as i64;
83
84        if epoch_day != self.day {
85            self.reset();
86            self.day = epoch_day;
87            self.value = price;
88        }
89
90        if !self.initialized {
91            self.has_inputs = true;
92            self.initialized = true;
93        }
94
95        if volume == 0.0 {
96            return;
97        }
98
99        self.price_volume += price * volume;
100        self.volume_total += volume;
101        self.value = self.price_volume / self.volume_total;
102    }
103}
104
105impl Display for VolumeWeightedAveragePrice {
106    fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
107        write!(f, "{}", self.name())
108    }
109}
110
111////////////////////////////////////////////////////////////////////////////////
112// Tests
113////////////////////////////////////////////////////////////////////////////////
114#[cfg(test)]
115mod tests {
116    use nautilus_model::data::Bar;
117    use rstest::rstest;
118
119    use crate::{average::vwap::VolumeWeightedAveragePrice, indicator::Indicator, stubs::*};
120
121    const SECONDS_PER_DAY: f64 = 86_400.0;
122    const DAY0: f64 = 10.0;
123    const DAY1: f64 = SECONDS_PER_DAY;
124
125    #[rstest]
126    fn test_vwap_initialized(indicator_vwap: VolumeWeightedAveragePrice) {
127        let display_st = format!("{indicator_vwap}");
128        assert_eq!(display_st, "VolumeWeightedAveragePrice");
129        assert!(!indicator_vwap.initialized());
130        assert!(!indicator_vwap.has_inputs());
131    }
132
133    #[rstest]
134    fn test_value_with_one_input(mut indicator_vwap: VolumeWeightedAveragePrice) {
135        indicator_vwap.update_raw(10.0, 10.0, DAY0);
136        assert_eq!(indicator_vwap.value, 10.0);
137    }
138
139    #[rstest]
140    fn test_value_with_three_inputs_on_the_same_day(
141        mut indicator_vwap: VolumeWeightedAveragePrice,
142    ) {
143        indicator_vwap.update_raw(10.0, 10.0, DAY0);
144        indicator_vwap.update_raw(20.0, 20.0, DAY0 + 1.0);
145        indicator_vwap.update_raw(30.0, 30.0, DAY0 + 2.0);
146        assert!((indicator_vwap.value - 23.333_333_333_333_332).abs() < 1e-12);
147    }
148
149    #[rstest]
150    fn test_value_with_three_inputs_on_different_days(
151        mut indicator_vwap: VolumeWeightedAveragePrice,
152    ) {
153        indicator_vwap.update_raw(10.0, 10.0, DAY0);
154        indicator_vwap.update_raw(20.0, 20.0, DAY1);
155        indicator_vwap.update_raw(30.0, 30.0, DAY0);
156        assert_eq!(indicator_vwap.value, 30.0);
157    }
158
159    #[rstest]
160    fn test_value_with_ten_inputs(mut indicator_vwap: VolumeWeightedAveragePrice) {
161        for i in 0..10 {
162            let price = 0.00010f64.mul_add(f64::from(i), 1.00000);
163            let volume = 1.0 + f64::from(i % 3);
164            indicator_vwap.update_raw(price, volume, DAY0);
165        }
166        indicator_vwap.update_raw(1.00000, 2.00000, DAY0);
167        assert!((indicator_vwap.value - 1.000_414_285_714_286).abs() < 1e-12);
168    }
169
170    #[rstest]
171    fn test_handle_bar(
172        mut indicator_vwap: VolumeWeightedAveragePrice,
173        bar_ethusdt_binance_minute_bid: Bar,
174    ) {
175        indicator_vwap.handle_bar(&bar_ethusdt_binance_minute_bid);
176        assert_eq!(indicator_vwap.value, 1522.333333333333);
177        assert!(indicator_vwap.initialized);
178    }
179
180    #[rstest]
181    fn test_reset(mut indicator_vwap: VolumeWeightedAveragePrice) {
182        indicator_vwap.update_raw(10.0, 10.0, DAY0);
183        indicator_vwap.reset();
184        assert_eq!(indicator_vwap.value, 0.0);
185        assert!(!indicator_vwap.has_inputs);
186        assert!(!indicator_vwap.initialized);
187    }
188
189    #[rstest]
190    fn test_reset_on_exact_day_boundary() {
191        let mut vwap = VolumeWeightedAveragePrice::new();
192
193        vwap.update_raw(100.0, 5.0, DAY0);
194        let old = vwap.value;
195
196        vwap.update_raw(200.0, 5.0, DAY1);
197        assert_eq!(vwap.value, 200.0);
198        assert_ne!(vwap.value, old);
199    }
200
201    #[rstest]
202    fn test_no_reset_within_same_day() {
203        let mut vwap = VolumeWeightedAveragePrice::new();
204        vwap.update_raw(100.0, 5.0, DAY0);
205
206        vwap.update_raw(200.0, 5.0, DAY0 + 1.0);
207        assert!(vwap.value > 100.0 && vwap.value < 200.0);
208    }
209
210    #[rstest]
211    fn test_zero_volume_does_not_change_value() {
212        let mut vwap = VolumeWeightedAveragePrice::new();
213        vwap.update_raw(100.0, 10.0, DAY0);
214        let before = vwap.value;
215
216        vwap.update_raw(9999.0, 0.0, DAY0);
217        assert_eq!(vwap.value, before);
218    }
219
220    #[rstest]
221    fn test_epoch_day_floor_rounding() {
222        let mut vwap = VolumeWeightedAveragePrice::new();
223
224        vwap.update_raw(50.0, 5.0, DAY1 - 0.000_001);
225        let before = vwap.value;
226
227        vwap.update_raw(150.0, 5.0, DAY1);
228        assert_eq!(vwap.value, 150.0);
229        assert_ne!(vwap.value, before);
230    }
231
232    #[rstest]
233    fn test_reset_when_timestamp_goes_backwards() {
234        let mut vwap = VolumeWeightedAveragePrice::new();
235        vwap.update_raw(10.0, 10.0, DAY0);
236        vwap.update_raw(20.0, 10.0, DAY1);
237        vwap.update_raw(30.0, 10.0, DAY0);
238        assert_eq!(vwap.value, 30.0);
239    }
240
241    #[rstest]
242    #[case(10.0, 11.0)]
243    #[case(43_200.123, 86_399.999)]
244    fn test_no_reset_for_same_epoch_day(#[case] t1: f64, #[case] t2: f64) {
245        let mut vwap = VolumeWeightedAveragePrice::new();
246
247        vwap.update_raw(100.0, 10.0, t1);
248        let before = vwap.value;
249
250        vwap.update_raw(200.0, 10.0, t2);
251
252        assert!(vwap.value > before && vwap.value < 200.0);
253    }
254
255    #[rstest]
256    #[case(86_399.999, 86_400.0)]
257    #[case(86_400.0, 172_800.0)]
258    fn test_reset_when_epoch_day_changes(#[case] t1: f64, #[case] t2: f64) {
259        let mut vwap = VolumeWeightedAveragePrice::new();
260
261        vwap.update_raw(100.0, 10.0, t1);
262
263        vwap.update_raw(200.0, 10.0, t2);
264
265        assert_eq!(vwap.value, 200.0);
266    }
267
268    #[rstest]
269    fn test_first_input_zero_volume_does_not_divide_by_zero() {
270        let mut vwap = VolumeWeightedAveragePrice::new();
271
272        vwap.update_raw(100.0, 0.0, DAY0);
273        assert_eq!(vwap.value, 100.0);
274        assert!(vwap.initialized());
275
276        vwap.update_raw(200.0, 10.0, DAY0 + 1.0);
277        assert_eq!(vwap.value, 200.0);
278    }
279
280    #[rstest]
281    fn test_zero_volume_day_rollover_resets_and_seeds() {
282        let mut vwap = VolumeWeightedAveragePrice::new();
283        vwap.update_raw(100.0, 10.0, DAY0);
284
285        vwap.update_raw(9999.0, 0.0, DAY1);
286        assert_eq!(vwap.value, 9999.0);
287    }
288
289    #[rstest]
290    fn test_handle_bar_matches_update_raw(
291        mut indicator_vwap: VolumeWeightedAveragePrice,
292        bar_ethusdt_binance_minute_bid: nautilus_model::data::Bar,
293    ) {
294        indicator_vwap.handle_bar(&bar_ethusdt_binance_minute_bid);
295
296        let tp = (bar_ethusdt_binance_minute_bid.close.as_f64()
297            + bar_ethusdt_binance_minute_bid.high.as_f64()
298            + bar_ethusdt_binance_minute_bid.low.as_f64())
299            / 3.0;
300
301        let mut vwap_raw = VolumeWeightedAveragePrice::new();
302        vwap_raw.update_raw(
303            tp,
304            (&bar_ethusdt_binance_minute_bid.volume).into(),
305            bar_ethusdt_binance_minute_bid.ts_init.as_f64(),
306        );
307
308        assert!((indicator_vwap.value - vwap_raw.value).abs() < 1e-12);
309    }
310
311    #[rstest]
312    #[case(1.0e-9, 1.0e-9)]
313    #[case(1.0e9, 1.0e6)]
314    #[case(42.4242, 3.1415)]
315    fn test_extreme_prices_and_volumes_do_not_overflow(#[case] price: f64, #[case] volume: f64) {
316        let mut vwap = VolumeWeightedAveragePrice::new();
317        vwap.update_raw(price, volume, DAY0);
318        assert_eq!(vwap.value, price);
319    }
320
321    #[rstest]
322    fn negative_timestamp() {
323        let mut vwap = VolumeWeightedAveragePrice::new();
324        vwap.update_raw(42.0, 1.0, -1.0);
325        assert_eq!(vwap.value, 42.0);
326        vwap.update_raw(43.0, 1.0, -1.0);
327        assert!(vwap.value > 42.0 && vwap.value < 43.0);
328    }
329
330    #[rstest]
331    fn huge_future_timestamp_saturates() {
332        let ts = 1.0e20;
333        let mut vwap = VolumeWeightedAveragePrice::new();
334        vwap.update_raw(1.0, 1.0, ts);
335        vwap.update_raw(2.0, 1.0, ts + 1.0);
336        assert!(vwap.value > 1.0 && vwap.value < 2.0);
337    }
338
339    #[rstest]
340    fn negative_volume_changes_sign() {
341        let mut vwap = VolumeWeightedAveragePrice::new();
342        vwap.update_raw(100.0, 10.0, 0.0);
343        vwap.update_raw(200.0, -10.0, 0.0);
344        assert_eq!(vwap.volume_total, 0.0);
345    }
346
347    #[rstest]
348    fn nan_volume_propagates() {
349        let mut vwap = VolumeWeightedAveragePrice::new();
350        vwap.update_raw(100.0, 1.0, 0.0);
351        vwap.update_raw(200.0, f64::NAN, 0.0);
352        assert!(vwap.value.is_nan());
353    }
354
355    #[rstest]
356    fn zero_and_negative_price() {
357        let mut vwap = VolumeWeightedAveragePrice::new();
358        vwap.update_raw(0.0, 5.0, 0.0);
359        assert_eq!(vwap.value, 0.0);
360        vwap.update_raw(-10.0, 5.0, 0.0);
361        assert!(vwap.value < 0.0);
362    }
363
364    #[rstest]
365    fn nan_price_propagates() {
366        let mut vwap = VolumeWeightedAveragePrice::new();
367        vwap.update_raw(f64::NAN, 1.0, 0.0);
368        assert!(vwap.value.is_nan());
369    }
370}
nautilus_indicators/average/vwap.rs

nautilus_indicators/average/
vwap.rs
