nautilus_indicators/momentum/
macd.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::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::{
24    average::{MovingAverageFactory, MovingAverageType},
25    indicator::{Indicator, MovingAverage},
26};
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 MovingAverageConvergenceDivergence {
35    pub fast_period: usize,
36    pub slow_period: usize,
37    pub ma_type: MovingAverageType,
38    pub count: usize,
39    pub price_type: PriceType,
40    pub value: f64,
41    pub initialized: bool,
42    has_inputs: bool,
43    fast_ma: Box<dyn MovingAverage + Send + 'static>,
44    slow_ma: Box<dyn MovingAverage + Send + 'static>,
45}
46
47impl Display for MovingAverageConvergenceDivergence {
48    fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
49        write!(
50            f,
51            "{}({},{},{},{})",
52            self.name(),
53            self.fast_period,
54            self.slow_period,
55            self.ma_type,
56            self.price_type
57        )
58    }
59}
60
61impl Indicator for MovingAverageConvergenceDivergence {
62    fn name(&self) -> String {
63        stringify!(MovingAverageConvergenceDivergence).to_string()
64    }
65
66    fn has_inputs(&self) -> bool {
67        self.has_inputs
68    }
69
70    fn initialized(&self) -> bool {
71        self.initialized
72    }
73
74    fn handle_quote(&mut self, quote: &QuoteTick) {
75        self.update_raw(quote.extract_price(self.price_type).into());
76    }
77
78    fn handle_trade(&mut self, trade: &TradeTick) {
79        self.update_raw((&trade.price).into());
80    }
81
82    fn handle_bar(&mut self, bar: &Bar) {
83        self.update_raw((&bar.close).into());
84    }
85
86    fn reset(&mut self) {
87        self.value = 0.0;
88        self.fast_ma.reset();
89        self.slow_ma.reset();
90        self.has_inputs = false;
91        self.initialized = false;
92    }
93}
94
95impl MovingAverageConvergenceDivergence {
96    /// Creates a new [`MovingAverageConvergenceDivergence`] instance.
97    #[must_use]
98    pub fn new(
99        fast_period: usize,
100        slow_period: usize,
101        ma_type: Option<MovingAverageType>,
102        price_type: Option<PriceType>,
103    ) -> Self {
104        Self {
105            fast_period,
106            slow_period,
107            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
108            price_type: price_type.unwrap_or(PriceType::Last),
109            value: 0.0,
110            count: 0,
111            initialized: false,
112            has_inputs: false,
113            fast_ma: MovingAverageFactory::create(
114                ma_type.unwrap_or(MovingAverageType::Simple),
115                fast_period,
116            ),
117            slow_ma: MovingAverageFactory::create(
118                ma_type.unwrap_or(MovingAverageType::Simple),
119                slow_period,
120            ),
121        }
122    }
123}
124
125impl MovingAverage for MovingAverageConvergenceDivergence {
126    fn value(&self) -> f64 {
127        self.value
128    }
129
130    fn count(&self) -> usize {
131        self.count
132    }
133
134    fn update_raw(&mut self, close: f64) {
135        self.fast_ma.update_raw(close);
136        self.slow_ma.update_raw(close);
137        self.value = self.fast_ma.value() - self.slow_ma.value();
138
139        // Initialization logic
140        if !self.initialized {
141            self.has_inputs = true;
142            if self.fast_ma.initialized() && self.slow_ma.initialized() {
143                self.initialized = true;
144            }
145        }
146    }
147}
148
149////////////////////////////////////////////////////////////////////////////////
150// Tests
151////////////////////////////////////////////////////////////////////////////////
152#[cfg(test)]
153mod tests {
154    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
155    use rstest::rstest;
156
157    use crate::{
158        indicator::{Indicator, MovingAverage},
159        momentum::macd::MovingAverageConvergenceDivergence,
160        stubs::*,
161        testing::approx_equal,
162    };
163
164    #[rstest]
165    fn test_macd_initialized(macd_10: MovingAverageConvergenceDivergence) {
166        let display_st = format!("{macd_10}");
167        assert_eq!(
168            display_st,
169            "MovingAverageConvergenceDivergence(10,8,SIMPLE,BID)"
170        );
171        assert_eq!(macd_10.fast_period, 10);
172        assert_eq!(macd_10.slow_period, 8);
173        assert!(!macd_10.initialized());
174        assert!(!macd_10.has_inputs());
175    }
176
177    #[rstest]
178    fn test_initialized_with_required_input(mut macd_10: MovingAverageConvergenceDivergence) {
179        for i in 1..10 {
180            macd_10.update_raw(f64::from(i));
181        }
182        assert!(!macd_10.initialized);
183        macd_10.update_raw(10.0);
184        assert!(macd_10.initialized);
185    }
186
187    #[rstest]
188    fn test_value_with_one_input(mut macd_10: MovingAverageConvergenceDivergence) {
189        macd_10.update_raw(1.0);
190        assert_eq!(macd_10.value, 0.0);
191    }
192
193    #[rstest]
194    fn test_value_with_three_inputs(mut macd_10: MovingAverageConvergenceDivergence) {
195        macd_10.update_raw(1.0);
196        macd_10.update_raw(2.0);
197        macd_10.update_raw(3.0);
198        assert_eq!(macd_10.value, 0.0);
199    }
200
201    #[rstest]
202    fn test_value_with_ten_inputs(mut macd_10: MovingAverageConvergenceDivergence) {
203        macd_10.update_raw(1.00000);
204        macd_10.update_raw(1.00010);
205        macd_10.update_raw(1.00020);
206        macd_10.update_raw(1.00030);
207        macd_10.update_raw(1.00040);
208        macd_10.update_raw(1.00050);
209        macd_10.update_raw(1.00040);
210        macd_10.update_raw(1.00030);
211        macd_10.update_raw(1.00020);
212        macd_10.update_raw(1.00010);
213        macd_10.update_raw(1.00000);
214        assert!(
215            approx_equal(macd_10.value, -2.5e-5),
216            "MACD value {:.17e} not within tolerance of –2.5e-5",
217            macd_10.value
218        );
219    }
220
221    #[rstest]
222    fn test_handle_quote_tick(
223        mut macd_10: MovingAverageConvergenceDivergence,
224        stub_quote: QuoteTick,
225    ) {
226        macd_10.handle_quote(&stub_quote);
227        assert_eq!(macd_10.value, 0.0);
228    }
229
230    #[rstest]
231    fn test_handle_trade_tick(
232        mut macd_10: MovingAverageConvergenceDivergence,
233        stub_trade: TradeTick,
234    ) {
235        macd_10.handle_trade(&stub_trade);
236        assert_eq!(macd_10.value, 0.0);
237    }
238
239    #[rstest]
240    fn test_handle_bar(
241        mut macd_10: MovingAverageConvergenceDivergence,
242        bar_ethusdt_binance_minute_bid: Bar,
243    ) {
244        macd_10.handle_bar(&bar_ethusdt_binance_minute_bid);
245        assert_eq!(macd_10.value, 0.0);
246        assert!(!macd_10.initialized);
247    }
248
249    #[rstest]
250    fn test_reset(mut macd_10: MovingAverageConvergenceDivergence) {
251        macd_10.update_raw(1.0);
252        macd_10.reset();
253        assert_eq!(macd_10.value, 0.0);
254        assert_eq!(macd_10.fast_ma.value(), 0.0);
255        assert_eq!(macd_10.slow_ma.value(), 0.0);
256        assert!(!macd_10.has_inputs);
257        assert!(!macd_10.initialized);
258    }
259}
nautilus_indicators/momentum/macd.rs

nautilus_indicators/momentum/
macd.rs
