nautilus_indicators/average/
ema.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::indicator::{Indicator, MovingAverage};
24
25#[repr(C)]
26#[derive(Debug)]
27#[cfg_attr(
28    feature = "python",
29    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
30)]
31#[cfg_attr(
32    feature = "python",
33    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
34)]
35pub struct ExponentialMovingAverage {
36    pub period: usize,
37    pub price_type: PriceType,
38    pub alpha: f64,
39    pub value: f64,
40    pub count: usize,
41    pub initialized: bool,
42    has_inputs: bool,
43}
44
45impl Display for ExponentialMovingAverage {
46    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
47        write!(f, "{}({})", self.name(), self.period)
48    }
49}
50
51impl Indicator for ExponentialMovingAverage {
52    fn name(&self) -> String {
53        stringify!(ExponentialMovingAverage).to_string()
54    }
55
56    fn has_inputs(&self) -> bool {
57        self.has_inputs
58    }
59
60    fn initialized(&self) -> bool {
61        self.initialized
62    }
63
64    fn handle_quote(&mut self, quote: &QuoteTick) {
65        self.update_raw(quote.extract_price(self.price_type).into());
66    }
67
68    fn handle_trade(&mut self, trade: &TradeTick) {
69        self.update_raw((&trade.price).into());
70    }
71
72    fn handle_bar(&mut self, bar: &Bar) {
73        self.update_raw((&bar.close).into());
74    }
75
76    fn reset(&mut self) {
77        self.value = 0.0;
78        self.count = 0;
79        self.has_inputs = false;
80        self.initialized = false;
81    }
82}
83
84impl ExponentialMovingAverage {
85    /// Creates a new [`ExponentialMovingAverage`] instance.
86    ///
87    /// # Panics
88    ///
89    /// Panics if `period` is not a positive integer (> 0).
90    #[must_use]
91    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
92        assert!(
93            period > 0,
94            "ExponentialMovingAverage::new → `period` must be positive (> 0); got {period}"
95        );
96        Self {
97            period,
98            price_type: price_type.unwrap_or(PriceType::Last),
99            alpha: 2.0 / (period as f64 + 1.0),
100            value: 0.0,
101            count: 0,
102            has_inputs: false,
103            initialized: false,
104        }
105    }
106}
107
108impl MovingAverage for ExponentialMovingAverage {
109    fn value(&self) -> f64 {
110        self.value
111    }
112
113    fn count(&self) -> usize {
114        self.count
115    }
116
117    fn update_raw(&mut self, value: f64) {
118        if !self.has_inputs {
119            self.has_inputs = true;
120            self.value = value;
121            self.count = 1;
122
123            if self.period == 1 {
124                self.initialized = true;
125            }
126            return;
127        }
128
129        self.value = self.alpha.mul_add(value, (1.0 - self.alpha) * self.value);
130        self.count += 1;
131
132        // Initialization logic
133        if !self.initialized && self.count >= self.period {
134            self.initialized = true;
135        }
136    }
137}
138
139#[cfg(test)]
140mod tests {
141    use nautilus_model::{
142        data::{Bar, QuoteTick, TradeTick},
143        enums::PriceType,
144    };
145    use rstest::rstest;
146
147    use crate::{
148        average::ema::ExponentialMovingAverage,
149        indicator::{Indicator, MovingAverage},
150        stubs::*,
151    };
152
153    #[rstest]
154    fn test_ema_initialized(indicator_ema_10: ExponentialMovingAverage) {
155        let ema = indicator_ema_10;
156        let display_str = format!("{ema}");
157        assert_eq!(display_str, "ExponentialMovingAverage(10)");
158        assert_eq!(ema.period, 10);
159        assert_eq!(ema.price_type, PriceType::Mid);
160        assert_eq!(ema.alpha, 0.181_818_181_818_181_82);
161        assert!(!ema.initialized);
162    }
163
164    #[rstest]
165    fn test_one_value_input(indicator_ema_10: ExponentialMovingAverage) {
166        let mut ema = indicator_ema_10;
167        ema.update_raw(1.0);
168        assert_eq!(ema.count, 1);
169        assert_eq!(ema.value, 1.0);
170    }
171
172    #[rstest]
173    fn test_ema_update_raw(indicator_ema_10: ExponentialMovingAverage) {
174        let mut ema = indicator_ema_10;
175        ema.update_raw(1.0);
176        ema.update_raw(2.0);
177        ema.update_raw(3.0);
178        ema.update_raw(4.0);
179        ema.update_raw(5.0);
180        ema.update_raw(6.0);
181        ema.update_raw(7.0);
182        ema.update_raw(8.0);
183        ema.update_raw(9.0);
184        ema.update_raw(10.0);
185
186        assert!(ema.has_inputs());
187        assert!(ema.initialized());
188        assert_eq!(ema.count, 10);
189        assert_eq!(ema.value, 6.239_368_480_121_215_5);
190    }
191
192    #[rstest]
193    fn test_reset(indicator_ema_10: ExponentialMovingAverage) {
194        let mut ema = indicator_ema_10;
195        ema.update_raw(1.0);
196        assert_eq!(ema.count, 1);
197        ema.reset();
198        assert_eq!(ema.count, 0);
199        assert_eq!(ema.value, 0.0);
200        assert!(!ema.initialized);
201    }
202
203    #[rstest]
204    fn test_handle_quote_tick_single(
205        indicator_ema_10: ExponentialMovingAverage,
206        stub_quote: QuoteTick,
207    ) {
208        let mut ema = indicator_ema_10;
209        ema.handle_quote(&stub_quote);
210        assert!(ema.has_inputs());
211        assert_eq!(ema.value, 1501.0);
212    }
213
214    #[rstest]
215    fn test_handle_quote_tick_multi(mut indicator_ema_10: ExponentialMovingAverage) {
216        let tick1 = stub_quote("1500.0", "1502.0");
217        let tick2 = stub_quote("1502.0", "1504.0");
218
219        indicator_ema_10.handle_quote(&tick1);
220        indicator_ema_10.handle_quote(&tick2);
221        assert_eq!(indicator_ema_10.count, 2);
222        assert_eq!(indicator_ema_10.value, 1_501.363_636_363_636_3);
223    }
224
225    #[rstest]
226    fn test_handle_trade_tick(indicator_ema_10: ExponentialMovingAverage, stub_trade: TradeTick) {
227        let mut ema = indicator_ema_10;
228        ema.handle_trade(&stub_trade);
229        assert!(ema.has_inputs());
230        assert_eq!(ema.value, 1500.0);
231    }
232
233    #[rstest]
234    fn handle_handle_bar(
235        mut indicator_ema_10: ExponentialMovingAverage,
236        bar_ethusdt_binance_minute_bid: Bar,
237    ) {
238        indicator_ema_10.handle_bar(&bar_ethusdt_binance_minute_bid);
239        assert!(indicator_ema_10.has_inputs);
240        assert!(!indicator_ema_10.initialized);
241        assert_eq!(indicator_ema_10.value, 1522.0);
242    }
243
244    #[rstest]
245    fn test_period_one_behaviour() {
246        let mut ema = ExponentialMovingAverage::new(1, None);
247        assert_eq!(ema.alpha, 1.0, "α must be 1 when period = 1");
248
249        ema.update_raw(10.0);
250        assert!(ema.initialized());
251        assert_eq!(ema.value(), 10.0);
252
253        ema.update_raw(42.0);
254        assert_eq!(
255            ema.value(),
256            42.0,
257            "With α = 1, the EMA must track the latest sample exactly"
258        );
259    }
260
261    #[rstest]
262    fn test_default_price_type_is_last() {
263        let ema = ExponentialMovingAverage::new(3, None);
264        assert_eq!(
265            ema.price_type,
266            PriceType::Last,
267            "`price_type` default mismatch"
268        );
269    }
270
271    #[rstest]
272    fn test_nan_poisoning_and_reset_recovery() {
273        let mut ema = ExponentialMovingAverage::new(4, None);
274        for x in 0..3 {
275            ema.update_raw(f64::from(x));
276            assert!(ema.value().is_finite());
277        }
278
279        ema.update_raw(f64::NAN);
280        assert!(ema.value().is_nan());
281
282        ema.update_raw(123.456);
283        assert!(ema.value().is_nan());
284
285        ema.reset();
286        assert!(!ema.has_inputs());
287        ema.update_raw(7.0);
288        assert_eq!(ema.value(), 7.0);
289        assert!(ema.value().is_finite());
290    }
291
292    #[rstest]
293    fn test_reset_without_inputs_is_safe() {
294        let mut ema = ExponentialMovingAverage::new(8, None);
295        ema.reset();
296        assert!(!ema.has_inputs());
297        assert_eq!(ema.count(), 0);
298        assert!(!ema.initialized());
299    }
300
301    #[rstest]
302    fn test_has_inputs_lifecycle() {
303        let mut ema = ExponentialMovingAverage::new(5, None);
304        assert!(!ema.has_inputs());
305
306        ema.update_raw(1.23);
307        assert!(ema.has_inputs());
308
309        ema.reset();
310        assert!(!ema.has_inputs());
311    }
312
313    #[rstest]
314    fn test_subnormal_inputs_do_not_underflow() {
315        let mut ema = ExponentialMovingAverage::new(2, None);
316        let tiny = f64::MIN_POSITIVE / 2.0;
317        ema.update_raw(tiny);
318        ema.update_raw(tiny);
319        assert!(
320            ema.value() > 0.0,
321            "Underflow: EMA value collapsed to zero for sub-normal inputs"
322        );
323    }
324}
nautilus_indicators/average/ema.rs

nautilus_indicators/average/
ema.rs
