nautilus_indicators/average/
dema.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.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::{
24    average::ema::ExponentialMovingAverage,
25    indicator::{Indicator, MovingAverage},
26};
27
28/// The Double Exponential Moving Average attempts to a smoother average with less
29/// lag than the normal Exponential Moving Average (EMA)
30#[repr(C)]
31#[derive(Debug)]
32#[cfg_attr(
33    feature = "python",
34    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
35)]
36#[cfg_attr(
37    feature = "python",
38    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
39)]
40pub struct DoubleExponentialMovingAverage {
41    /// The rolling window period for the indicator (> 0).
42    pub period: usize,
43    /// The price type used for calculations.
44    pub price_type: PriceType,
45    /// The last indicator value.
46    pub value: f64,
47    /// The input count for the indicator.
48    pub count: usize,
49    pub initialized: bool,
50    has_inputs: bool,
51    ema1: ExponentialMovingAverage,
52    ema2: ExponentialMovingAverage,
53}
54
55impl Display for DoubleExponentialMovingAverage {
56    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
57        write!(f, "DoubleExponentialMovingAverage(period={})", self.period)
58    }
59}
60
61impl Indicator for DoubleExponentialMovingAverage {
62    fn name(&self) -> String {
63        stringify!(DoubleExponentialMovingAverage).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.count = 0;
89        self.has_inputs = false;
90        self.initialized = false;
91
92        self.ema1.reset();
93        self.ema2.reset();
94    }
95}
96
97impl DoubleExponentialMovingAverage {
98    /// Creates a new [`DoubleExponentialMovingAverage`] instance.
99    ///
100    /// # Panics
101    ///
102    /// Panics if `period` is not a positive integer (> 0).
103    #[must_use]
104    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
105        assert!(
106            period > 0,
107            "DoubleExponentialMovingAverage: `period` must be a positive integer (> 0)"
108        );
109        Self {
110            period,
111            price_type: price_type.unwrap_or(PriceType::Last),
112            value: 0.0,
113            count: 0,
114            has_inputs: false,
115            initialized: false,
116            ema1: ExponentialMovingAverage::new(period, price_type),
117            ema2: ExponentialMovingAverage::new(period, price_type),
118        }
119    }
120}
121
122impl MovingAverage for DoubleExponentialMovingAverage {
123    fn value(&self) -> f64 {
124        self.value
125    }
126
127    fn count(&self) -> usize {
128        self.count
129    }
130
131    fn update_raw(&mut self, value: f64) {
132        if !self.has_inputs {
133            self.has_inputs = true;
134            self.value = value;
135        }
136
137        self.ema1.update_raw(value);
138        self.ema2.update_raw(self.ema1.value);
139
140        self.value = 2.0f64.mul_add(self.ema1.value, -self.ema2.value);
141        self.count += 1;
142
143        if !self.initialized && self.count >= self.period {
144            self.initialized = true;
145        }
146    }
147}
148
149#[cfg(test)]
150mod tests {
151    use nautilus_model::{
152        data::{Bar, QuoteTick, TradeTick},
153        enums::PriceType,
154    };
155    use rstest::rstest;
156
157    use crate::{
158        average::dema::DoubleExponentialMovingAverage,
159        indicator::{Indicator, MovingAverage},
160        stubs::*,
161    };
162
163    #[rstest]
164    fn test_dema_initialized(indicator_dema_10: DoubleExponentialMovingAverage) {
165        let display_str = format!("{indicator_dema_10}");
166        assert_eq!(display_str, "DoubleExponentialMovingAverage(period=10)");
167        assert_eq!(indicator_dema_10.period, 10);
168        assert!(!indicator_dema_10.initialized);
169        assert!(!indicator_dema_10.has_inputs);
170    }
171
172    #[rstest]
173    fn test_value_with_one_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
174        indicator_dema_10.update_raw(1.0);
175        assert_eq!(indicator_dema_10.value, 1.0);
176    }
177
178    #[rstest]
179    fn test_value_with_three_inputs(mut indicator_dema_10: DoubleExponentialMovingAverage) {
180        indicator_dema_10.update_raw(1.0);
181        indicator_dema_10.update_raw(2.0);
182        indicator_dema_10.update_raw(3.0);
183        assert_eq!(indicator_dema_10.value, 1.904_583_020_285_499_4);
184    }
185
186    #[rstest]
187    fn test_initialized_with_required_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
188        for i in 1..10 {
189            indicator_dema_10.update_raw(f64::from(i));
190        }
191        assert!(!indicator_dema_10.initialized);
192        indicator_dema_10.update_raw(10.0);
193        assert!(indicator_dema_10.initialized);
194    }
195
196    #[rstest]
197    fn test_handle_quote(
198        mut indicator_dema_10: DoubleExponentialMovingAverage,
199        stub_quote: QuoteTick,
200    ) {
201        indicator_dema_10.handle_quote(&stub_quote);
202        assert_eq!(indicator_dema_10.value, 1501.0);
203    }
204
205    #[rstest]
206    fn test_handle_trade(
207        mut indicator_dema_10: DoubleExponentialMovingAverage,
208        stub_trade: TradeTick,
209    ) {
210        indicator_dema_10.handle_trade(&stub_trade);
211        assert_eq!(indicator_dema_10.value, 1500.0);
212    }
213
214    #[rstest]
215    fn test_handle_bar(
216        mut indicator_dema_10: DoubleExponentialMovingAverage,
217        bar_ethusdt_binance_minute_bid: Bar,
218    ) {
219        indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
220        assert_eq!(indicator_dema_10.value, 1522.0);
221        assert!(indicator_dema_10.has_inputs);
222        assert!(!indicator_dema_10.initialized);
223    }
224
225    #[rstest]
226    fn test_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) {
227        indicator_dema_10.update_raw(1.0);
228        assert_eq!(indicator_dema_10.count, 1);
229        assert!(indicator_dema_10.ema1.count() > 0);
230        assert!(indicator_dema_10.ema2.count() > 0);
231
232        indicator_dema_10.reset();
233
234        assert_eq!(indicator_dema_10.value, 0.0);
235        assert_eq!(indicator_dema_10.count, 0);
236        assert!(!indicator_dema_10.has_inputs);
237        assert!(!indicator_dema_10.initialized);
238
239        assert_eq!(indicator_dema_10.ema1.count(), 0);
240        assert_eq!(indicator_dema_10.ema2.count(), 0);
241    }
242
243    #[rstest]
244    #[should_panic(expected = "`period`")]
245    fn new_panics_on_zero_period() {
246        let _ = DoubleExponentialMovingAverage::new(0, None);
247    }
248
249    #[rstest]
250    fn test_new_with_minimum_valid_period() {
251        let dema = DoubleExponentialMovingAverage::new(1, None);
252        assert_eq!(dema.period, 1);
253        assert_eq!(dema.price_type, PriceType::Last);
254        assert_eq!(dema.count(), 0);
255        assert_eq!(dema.ema1.count(), 0);
256        assert_eq!(dema.ema2.count(), 0);
257        assert!(!dema.initialized());
258    }
259
260    #[rstest]
261    fn test_counters_are_in_sync(mut indicator_dema_10: DoubleExponentialMovingAverage) {
262        for i in 1..=indicator_dema_10.period {
263            indicator_dema_10.update_raw(i as f64); // ← FIX ❷
264            assert_eq!(
265                indicator_dema_10.count(),
266                i,
267                "outer count diverged at iteration {i}"
268            );
269            assert_eq!(
270                indicator_dema_10.ema1.count(),
271                i,
272                "ema1 count diverged at iteration {i}"
273            );
274            assert_eq!(
275                indicator_dema_10.ema2.count(),
276                i,
277                "ema2 count diverged at iteration {i}"
278            );
279        }
280        assert!(indicator_dema_10.initialized());
281    }
282
283    #[rstest]
284    fn test_inner_ema_values_are_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) {
285        for i in 1..=3 {
286            indicator_dema_10.update_raw(f64::from(i));
287        }
288        assert_ne!(indicator_dema_10.ema1.value(), 0.0);
289        assert_ne!(indicator_dema_10.ema2.value(), 0.0);
290
291        indicator_dema_10.reset();
292
293        assert_eq!(indicator_dema_10.ema1.count(), 0);
294        assert_eq!(indicator_dema_10.ema2.count(), 0);
295        assert_eq!(indicator_dema_10.ema1.value(), 0.0);
296        assert_eq!(indicator_dema_10.ema2.value(), 0.0);
297    }
298
299    #[rstest]
300    fn test_counter_increments_via_handle_helpers(
301        mut indicator_dema_10: DoubleExponentialMovingAverage,
302        stub_quote: QuoteTick,
303        stub_trade: TradeTick,
304        bar_ethusdt_binance_minute_bid: Bar,
305    ) {
306        assert_eq!(indicator_dema_10.count(), 0);
307
308        indicator_dema_10.handle_quote(&stub_quote);
309        assert_eq!(indicator_dema_10.count(), 1);
310        assert_eq!(indicator_dema_10.ema1.count(), 1);
311        assert_eq!(indicator_dema_10.ema2.count(), 1);
312
313        indicator_dema_10.handle_trade(&stub_trade);
314        assert_eq!(indicator_dema_10.count(), 2);
315        assert_eq!(indicator_dema_10.ema1.count(), 2);
316        assert_eq!(indicator_dema_10.ema2.count(), 2);
317
318        indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
319        assert_eq!(indicator_dema_10.count(), 3);
320        assert_eq!(indicator_dema_10.ema1.count(), 3);
321        assert_eq!(indicator_dema_10.ema2.count(), 3);
322    }
323}
nautilus_indicators/average/dema.rs

nautilus_indicators/average/
dema.rs
