nautilus_indicators/momentum/
bb.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::{Debug, Display};
17
18use arraydeque::{ArrayDeque, Wrapping};
19use nautilus_model::data::{Bar, QuoteTick, TradeTick};
20
21use crate::{
22    average::{MovingAverageFactory, MovingAverageType},
23    indicator::{Indicator, MovingAverage},
24};
25
26pub const 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", unsendable)
33)]
34pub struct BollingerBands {
35    pub period: usize,
36    pub k: f64,
37    pub ma_type: MovingAverageType,
38    pub upper: f64,
39    pub middle: f64,
40    pub lower: f64,
41    pub initialized: bool,
42    ma: Box<dyn MovingAverage + Send + 'static>,
43    prices: ArrayDeque<f64, MAX_PERIOD, Wrapping>,
44    has_inputs: bool,
45}
46
47impl Display for BollingerBands {
48    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
49        write!(
50            f,
51            "{}({},{},{})",
52            self.name(),
53            self.period,
54            self.k,
55            self.ma_type,
56        )
57    }
58}
59
60impl Indicator for BollingerBands {
61    fn name(&self) -> String {
62        stringify!(BollingerBands).into()
63    }
64
65    fn has_inputs(&self) -> bool {
66        self.has_inputs
67    }
68
69    fn initialized(&self) -> bool {
70        self.initialized
71    }
72
73    fn handle_quote(&mut self, quote: &QuoteTick) {
74        let bid = quote.bid_price.raw as f64;
75        let ask = quote.ask_price.raw as f64;
76        let mid = f64::midpoint(bid, ask);
77        self.update_raw(ask, bid, mid);
78    }
79
80    fn handle_trade(&mut self, trade: &TradeTick) {
81        let price = trade.price.raw as f64;
82        self.update_raw(price, price, price);
83    }
84
85    fn handle_bar(&mut self, bar: &Bar) {
86        self.update_raw((&bar.high).into(), (&bar.low).into(), (&bar.close).into());
87    }
88
89    fn reset(&mut self) {
90        self.ma.reset();
91        self.prices.clear();
92        self.upper = 0.0;
93        self.middle = 0.0;
94        self.lower = 0.0;
95        self.has_inputs = false;
96        self.initialized = false;
97    }
98}
99
100impl BollingerBands {
101    /// Creates a new [`BollingerBands`] instance.
102    ///
103    /// # Panics
104    ///
105    /// - If `period` is `0` or greater than `MAX_PERIOD`.
106    /// - If `k` is *not finite* or *≤ 0*.
107    #[must_use]
108    pub fn new(period: usize, k: f64, ma_type: Option<MovingAverageType>) -> Self {
109        assert!(
110            (1..=MAX_PERIOD).contains(&period),
111            "BollingerBands: period {period} out of range (1..={MAX_PERIOD})"
112        );
113        assert!(
114            k.is_finite() && k > 0.0,
115            "BollingerBands: k must be positive and finite (received {k})"
116        );
117
118        Self {
119            period,
120            k,
121            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
122            ma: MovingAverageFactory::create(ma_type.unwrap_or(MovingAverageType::Simple), period),
123            prices: ArrayDeque::new(),
124            has_inputs: false,
125            initialized: false,
126            upper: 0.0,
127            middle: 0.0,
128            lower: 0.0,
129        }
130    }
131
132    pub fn update_raw(&mut self, high: f64, low: f64, close: f64) {
133        let typical = (high + low + close) / 3.0;
134
135        if self.prices.len() == self.period {
136            let _ = self.prices.pop_front();
137        }
138        let _ = self.prices.push_back(typical);
139        self.ma.update_raw(typical);
140
141        if !self.initialized {
142            self.has_inputs = true;
143            if self.prices.len() >= self.period {
144                self.initialized = true;
145            }
146        }
147
148        let std = fast_std_with_mean(
149            self.prices.iter().rev().take(self.period).copied(),
150            self.ma.value(),
151        );
152
153        self.upper = self.k.mul_add(std, self.ma.value());
154        self.middle = self.ma.value();
155        self.lower = self.k.mul_add(-std, self.ma.value());
156    }
157}
158
159#[must_use]
160pub fn fast_std_with_mean<I>(values: I, mean: f64) -> f64
161where
162    I: IntoIterator<Item = f64>,
163{
164    let mut var_acc = 0.0_f64;
165    let mut count = 0_usize;
166
167    for v in values {
168        let diff = v - mean;
169        var_acc += diff * diff;
170        count += 1;
171    }
172
173    if count == 0 {
174        return 0.0;
175    }
176
177    let variance = var_acc / count as f64;
178    variance.sqrt()
179}
180
181////////////////////////////////////////////////////////////////////////////////
182// Tests
183////////////////////////////////////////////////////////////////////////////////
184#[cfg(test)]
185mod tests {
186    use rstest::rstest;
187
188    use super::*;
189    use crate::stubs::bb_10;
190
191    #[rstest]
192    fn test_name_returns_expected_string(bb_10: BollingerBands) {
193        assert_eq!(bb_10.name(), "BollingerBands");
194    }
195
196    #[rstest]
197    fn test_str_repr_returns_expected_string(bb_10: BollingerBands) {
198        assert_eq!(format!("{bb_10}"), "BollingerBands(10,0.1,SIMPLE)");
199    }
200
201    #[rstest]
202    fn test_period_returns_expected_value(bb_10: BollingerBands) {
203        assert_eq!(bb_10.period, 10);
204        assert_eq!(bb_10.k, 0.1);
205    }
206
207    #[rstest]
208    fn test_initialized_without_inputs_returns_false(bb_10: BollingerBands) {
209        assert!(!bb_10.initialized());
210    }
211
212    #[rstest]
213    fn test_value_with_all_higher_inputs_returns_expected_value(mut bb_10: BollingerBands) {
214        let high_values = [
215            1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0, 11.0, 12.0, 13.0, 14.0, 15.0,
216        ];
217        let low_values = [
218            0.9, 1.9, 2.9, 3.9, 4.9, 5.9, 6.9, 7.9, 8.9, 9.9, 10.1, 10.2, 10.3, 11.1, 11.4,
219        ];
220        let close_values = [
221            0.95, 1.95, 2.95, 3.95, 4.95, 5.95, 6.95, 7.95, 8.95, 9.95, 10.05, 10.15, 10.25, 11.05,
222            11.45,
223        ];
224
225        for i in 0..15 {
226            bb_10.update_raw(high_values[i], low_values[i], close_values[i]);
227        }
228
229        assert!(bb_10.initialized());
230        assert_eq!(bb_10.upper, 9.884_458_228_895_1);
231        assert_eq!(bb_10.middle, 9.676_666_666_666_666);
232        assert_eq!(bb_10.lower, 9.468_875_104_438_231);
233    }
234
235    #[rstest]
236    fn test_reset_successfully_returns_indicator_to_fresh_state(mut bb_10: BollingerBands) {
237        bb_10.update_raw(1.00020, 1.00050, 1.00030);
238        bb_10.update_raw(1.00030, 1.00060, 1.00040);
239        bb_10.update_raw(1.00070, 1.00080, 1.00075);
240
241        bb_10.reset();
242
243        assert!(!bb_10.initialized());
244        assert_eq!(bb_10.upper, 0.0);
245        assert_eq!(bb_10.middle, 0.0);
246        assert_eq!(bb_10.lower, 0.0);
247        assert_eq!(bb_10.prices.len(), 0);
248    }
249
250    #[rstest]
251    #[should_panic(expected = "k must be positive")]
252    fn test_new_panics_on_zero_k() {
253        let _ = BollingerBands::new(10, 0.0, None);
254    }
255
256    #[rstest]
257    #[should_panic(expected = "k must be positive")]
258    fn test_new_panics_on_negative_k() {
259        let _ = BollingerBands::new(10, -2.0, None);
260    }
261
262    #[rstest]
263    #[should_panic(expected = "k must be positive")]
264    fn test_new_panics_on_nan_k() {
265        let _ = BollingerBands::new(10, f64::NAN, None);
266    }
267
268    #[rstest]
269    fn test_std_dev_uses_sliding_window() {
270        let mut bb = BollingerBands::new(3, 1.0, None);
271
272        for v in 1..=6 {
273            bb.update_raw(f64::from(v), f64::from(v), f64::from(v));
274        }
275
276        let expected_mid: f64 = (4.0 + 5.0 + 6.0) / 3.0;
277        let variance = (6.0 - expected_mid).mul_add(
278            6.0 - expected_mid,
279            (4.0 - expected_mid).mul_add(
280                4.0 - expected_mid,
281                (5.0 - expected_mid) * (5.0 - expected_mid),
282            ),
283        ) / 3.0;
284        let expected_std = variance.sqrt();
285
286        assert!((bb.middle - expected_mid).abs() < 1e-12);
287        assert!((bb.upper - (expected_mid + expected_std)).abs() < 1e-12);
288        assert!((bb.lower - (expected_mid - expected_std)).abs() < 1e-12);
289    }
290}
nautilus_indicators/momentum/bb.rs

nautilus_indicators/momentum/
bb.rs
