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.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) -> anyhow::Result<()> {
75        self.update_raw(quote.extract_price(self.price_type)?.into());
76        Ok(())
77    }
78
79    fn handle_trade(&mut self, trade: &TradeTick) {
80        self.update_raw((&trade.price).into());
81    }
82
83    fn handle_bar(&mut self, bar: &Bar) {
84        self.update_raw((&bar.close).into());
85    }
86
87    fn reset(&mut self) {
88        self.value = 0.0;
89        self.count = 0;
90        self.has_inputs = false;
91        self.initialized = false;
92
93        self.ema1.reset();
94        self.ema2.reset();
95    }
96}
97
98impl DoubleExponentialMovingAverage {
99    /// Creates a new [`DoubleExponentialMovingAverage`] instance.
100    ///
101    /// # Panics
102    ///
103    /// Panics if `period` is not a positive integer (> 0).
104    #[must_use]
105    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
106        assert!(
107            period > 0,
108            "DoubleExponentialMovingAverage: `period` must be a positive integer (> 0)"
109        );
110        Self {
111            period,
112            price_type: price_type.unwrap_or(PriceType::Last),
113            value: 0.0,
114            count: 0,
115            has_inputs: false,
116            initialized: false,
117            ema1: ExponentialMovingAverage::new(period, price_type),
118            ema2: ExponentialMovingAverage::new(period, price_type),
119        }
120    }
121}
122
123impl MovingAverage for DoubleExponentialMovingAverage {
124    fn value(&self) -> f64 {
125        self.value
126    }
127
128    fn count(&self) -> usize {
129        self.count
130    }
131
132    fn update_raw(&mut self, value: f64) {
133        if !self.has_inputs {
134            self.has_inputs = true;
135            self.value = value;
136        }
137
138        self.ema1.update_raw(value);
139        self.ema2.update_raw(self.ema1.value);
140
141        self.value = 2.0f64.mul_add(self.ema1.value, -self.ema2.value);
142        self.count += 1;
143
144        if !self.initialized && self.count >= self.period {
145            self.initialized = true;
146        }
147    }
148}
149
150#[cfg(test)]
151mod tests {
152    use nautilus_model::{
153        data::{Bar, QuoteTick, TradeTick},
154        enums::PriceType,
155    };
156    use rstest::rstest;
157
158    use crate::{
159        average::dema::DoubleExponentialMovingAverage,
160        indicator::{Indicator, MovingAverage},
161        stubs::*,
162        testing::assert_approx_equal,
163    };
164
165    #[rstest]
166    fn test_dema_initialized(indicator_dema_10: DoubleExponentialMovingAverage) {
167        let display_str = format!("{indicator_dema_10}");
168        assert_eq!(display_str, "DoubleExponentialMovingAverage(period=10)");
169        assert_eq!(indicator_dema_10.period, 10);
170        assert!(!indicator_dema_10.initialized);
171        assert!(!indicator_dema_10.has_inputs);
172    }
173
174    #[rstest]
175    fn test_value_with_one_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
176        indicator_dema_10.update_raw(1.0);
177        assert_eq!(indicator_dema_10.value, 1.0);
178    }
179
180    #[rstest]
181    fn test_value_with_three_inputs(mut indicator_dema_10: DoubleExponentialMovingAverage) {
182        indicator_dema_10.update_raw(1.0);
183        indicator_dema_10.update_raw(2.0);
184        indicator_dema_10.update_raw(3.0);
185        assert_approx_equal(indicator_dema_10.value, 1.90458302029);
186    }
187
188    #[rstest]
189    fn test_initialized_with_required_input(mut indicator_dema_10: DoubleExponentialMovingAverage) {
190        for i in 1..10 {
191            indicator_dema_10.update_raw(f64::from(i));
192        }
193        assert!(!indicator_dema_10.initialized);
194        indicator_dema_10.update_raw(10.0);
195        assert!(indicator_dema_10.initialized);
196    }
197
198    #[rstest]
199    fn test_handle_quote(
200        mut indicator_dema_10: DoubleExponentialMovingAverage,
201        stub_quote: QuoteTick,
202    ) {
203        indicator_dema_10.handle_quote(&stub_quote).unwrap();
204        assert_eq!(indicator_dema_10.value, 1501.0);
205    }
206
207    #[rstest]
208    fn test_handle_trade(
209        mut indicator_dema_10: DoubleExponentialMovingAverage,
210        stub_trade: TradeTick,
211    ) {
212        indicator_dema_10.handle_trade(&stub_trade);
213        assert_eq!(indicator_dema_10.value, 1500.0);
214    }
215
216    #[rstest]
217    fn test_handle_bar(
218        mut indicator_dema_10: DoubleExponentialMovingAverage,
219        bar_ethusdt_binance_minute_bid: Bar,
220    ) {
221        indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
222        assert_eq!(indicator_dema_10.value, 1522.0);
223        assert!(indicator_dema_10.has_inputs);
224        assert!(!indicator_dema_10.initialized);
225    }
226
227    #[rstest]
228    fn test_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) {
229        indicator_dema_10.update_raw(1.0);
230        assert_eq!(indicator_dema_10.count, 1);
231        assert!(indicator_dema_10.ema1.count() > 0);
232        assert!(indicator_dema_10.ema2.count() > 0);
233
234        indicator_dema_10.reset();
235
236        assert_eq!(indicator_dema_10.value, 0.0);
237        assert_eq!(indicator_dema_10.count, 0);
238        assert!(!indicator_dema_10.has_inputs);
239        assert!(!indicator_dema_10.initialized);
240
241        assert_eq!(indicator_dema_10.ema1.count(), 0);
242        assert_eq!(indicator_dema_10.ema2.count(), 0);
243    }
244
245    #[rstest]
246    #[should_panic(expected = "`period`")]
247    fn new_panics_on_zero_period() {
248        let _ = DoubleExponentialMovingAverage::new(0, None);
249    }
250
251    #[rstest]
252    fn test_new_with_minimum_valid_period() {
253        let dema = DoubleExponentialMovingAverage::new(1, None);
254        assert_eq!(dema.period, 1);
255        assert_eq!(dema.price_type, PriceType::Last);
256        assert_eq!(dema.count(), 0);
257        assert_eq!(dema.ema1.count(), 0);
258        assert_eq!(dema.ema2.count(), 0);
259        assert!(!dema.initialized());
260    }
261
262    #[rstest]
263    fn test_counters_are_in_sync(mut indicator_dema_10: DoubleExponentialMovingAverage) {
264        for i in 1..=indicator_dema_10.period {
265            indicator_dema_10.update_raw(i as f64);
266            assert_eq!(
267                indicator_dema_10.count(),
268                i,
269                "outer count diverged at iteration {i}"
270            );
271            assert_eq!(
272                indicator_dema_10.ema1.count(),
273                i,
274                "ema1 count diverged at iteration {i}"
275            );
276            assert_eq!(
277                indicator_dema_10.ema2.count(),
278                i,
279                "ema2 count diverged at iteration {i}"
280            );
281        }
282        assert!(indicator_dema_10.initialized());
283    }
284
285    #[rstest]
286    fn test_inner_ema_values_are_reset(mut indicator_dema_10: DoubleExponentialMovingAverage) {
287        for i in 1..=3 {
288            indicator_dema_10.update_raw(f64::from(i));
289        }
290        assert_ne!(indicator_dema_10.ema1.value(), 0.0);
291        assert_ne!(indicator_dema_10.ema2.value(), 0.0);
292
293        indicator_dema_10.reset();
294
295        assert_eq!(indicator_dema_10.ema1.count(), 0);
296        assert_eq!(indicator_dema_10.ema2.count(), 0);
297        assert_eq!(indicator_dema_10.ema1.value(), 0.0);
298        assert_eq!(indicator_dema_10.ema2.value(), 0.0);
299    }
300
301    #[rstest]
302    fn test_counter_increments_via_handle_helpers(
303        mut indicator_dema_10: DoubleExponentialMovingAverage,
304        stub_quote: QuoteTick,
305        stub_trade: TradeTick,
306        bar_ethusdt_binance_minute_bid: Bar,
307    ) {
308        assert_eq!(indicator_dema_10.count(), 0);
309
310        indicator_dema_10.handle_quote(&stub_quote).unwrap();
311        assert_eq!(indicator_dema_10.count(), 1);
312        assert_eq!(indicator_dema_10.ema1.count(), 1);
313        assert_eq!(indicator_dema_10.ema2.count(), 1);
314
315        indicator_dema_10.handle_trade(&stub_trade);
316        assert_eq!(indicator_dema_10.count(), 2);
317        assert_eq!(indicator_dema_10.ema1.count(), 2);
318        assert_eq!(indicator_dema_10.ema2.count(), 2);
319
320        indicator_dema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
321        assert_eq!(indicator_dema_10.count(), 3);
322        assert_eq!(indicator_dema_10.ema1.count(), 3);
323        assert_eq!(indicator_dema_10.ema2.count(), 3);
324    }
325}
nautilus_indicators/average/dema.rs

nautilus_indicators/average/
dema.rs
