Struct EfficiencyRatio 

pub struct EfficiencyRatio {
    pub period: usize,
    pub price_type: PriceType,
    pub value: f64,
    pub inputs: Vec<f64>,
    pub initialized: bool,
    /* private fields */
}

Calculates Kaufman’s Efficiency Ratio (ER) across a rolling window.

The period must be at least 2.

For period n, the ratio is:

ER(t) = |P(t) - P(t - n)| / sum(|P(i) - P(i - 1)|, i = t - n + 1 to t)

A full n-period window requires n + 1 prices for n price changes. For finite inputs within the model price range, values range from 0.0 to 1.0: lower values indicate more noise, while 1.0 indicates directional price movement without reversals.

For compatibility, initialized becomes true after n inputs, so the first initialized value covers the n - 1 available price changes.

References

• Kaufman, P. J. (1995). Smarter Trading. McGraw-Hill.

Fields

period: usize

The rolling window period for the indicator (>= 2).

price_type: PriceType

value: f64

inputs: Vec<f64>

initialized: bool

Implementations

impl EfficiencyRatio

pub fn new(period: usize, price_type: Option<PriceType>) -> Self

Creates a new EfficiencyRatio instance.

Panics

Panics if period is less than 2 or storage for its rolling windows cannot be reserved.

pub fn update_raw(&mut self, value: f64)

Trait Implementations

impl Debug for EfficiencyRatio

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl DerefToPyAny for EfficiencyRatio

impl Display for EfficiencyRatio

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl ExtractPyClassWithClone for EfficiencyRatio

impl Indicator for EfficiencyRatio

fn name(&self) -> String

fn has_inputs(&self) -> bool

fn initialized(&self) -> bool

fn handle_quote(&mut self, quote: &QuoteTick) -> Result<()>

Updates the indicator with the given quote tick.

fn handle_trade(&mut self, trade: &TradeTick)

fn handle_bar(&mut self, bar: &Bar)

fn reset(&mut self)

fn handle_delta(&mut self, delta: &OrderBookDelta)

fn handle_deltas(&mut self, deltas: &OrderBookDeltas)

fn handle_depth(&mut self, depth: &OrderBookDepth10)

fn handle_book(&mut self, book: &OrderBook)

impl<'py> IntoPyObject<'py> for EfficiencyRatio

type Target = EfficiencyRatio

The Python output type

type Output = Bound<'py, <EfficiencyRatio as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PyClass for EfficiencyRatio

const NAME: &str = "EfficiencyRatio"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for EfficiencyRatio

const MODULE: Option<&str>

Module which the class will be associated with.

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Calculates Kaufman's Efficiency Ratio (ER) across a rolling window. /// /// The period must be at least `2`. /// /// For period `n`, the ratio is: /// /// `ER(t) = |P(t) - P(t - n)| / sum(|P(i) - P(i - 1)|, i = t - n + 1 to t)` /// /// A full `n`-period window requires `n + 1` prices for `n` price changes. For /// finite inputs within the model price range, values range from `0.0` to `1.0`: /// lower values indicate more noise, while `1.0` indicates directional price /// movement without reversals. /// /// For compatibility, `initialized` becomes true after `n` inputs, so the first /// initialized value covers the `n - 1` available price changes. /// /// # References /// /// - Kaufman, P. J. (1995). *Smarter Trading*. McGraw-Hill.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type Layout = <<EfficiencyRatio as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<EfficiencyRatio>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = NoopThreadChecker

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForEfficiencyRatio

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for EfficiencyRatio

const TEXT_SIGNATURE: &'static str = "(period, price_type=None)"

impl PyStubType for EfficiencyRatio

fn type_output() -> TypeInfo

The type to be used in the output signature, i.e. return type of the Python function or methods.

fn type_input() -> TypeInfo

The type to be used in the input signature, i.e. the arguments of the Python function or methods.

impl PyTypeInfo for EfficiencyRatio

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.