nautilus_indicators/average/
rma.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.indicators")
30)]
31#[cfg_attr(
32    feature = "python",
33    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
34)]
35pub struct WilderMovingAverage {
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 WilderMovingAverage {
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 WilderMovingAverage {
52    fn name(&self) -> String {
53        stringify!(WilderMovingAverage).to_string()
54    }
55
56    fn has_inputs(&self) -> bool {
57        self.has_inputs
58    }
59    fn initialized(&self) -> bool {
60        self.initialized
61    }
62
63    fn handle_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {
64        self.update_raw(quote.extract_price(self.price_type)?.into());
65        Ok(())
66    }
67
68    fn handle_trade(&mut self, t: &TradeTick) {
69        self.update_raw((&t.price).into());
70    }
71
72    fn handle_bar(&mut self, b: &Bar) {
73        self.update_raw((&b.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 WilderMovingAverage {
85    /// Creates a new [`WilderMovingAverage`] instance.
86    ///
87    /// # Panics
88    ///
89    /// Panics if `period` is not positive (> 0).
90    #[must_use]
91    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
92        // The Wilder Moving Average is The Wilder's Moving Average is simply
93        // an Exponential Moving Average (EMA) with a modified alpha.
94        // alpha = 1 / period
95        assert!(
96            period > 0,
97            "WilderMovingAverage: period must be > 0 (received {period})"
98        );
99        Self {
100            period,
101            price_type: price_type.unwrap_or(PriceType::Last),
102            alpha: 1.0 / period as f64,
103            value: 0.0,
104            count: 0,
105            initialized: false,
106            has_inputs: false,
107        }
108    }
109}
110
111impl MovingAverage for WilderMovingAverage {
112    fn value(&self) -> f64 {
113        self.value
114    }
115    fn count(&self) -> usize {
116        self.count
117    }
118
119    fn update_raw(&mut self, price: f64) {
120        if !self.has_inputs {
121            self.has_inputs = true;
122            self.value = price;
123            self.count = 1;
124            self.initialized = self.count >= self.period;
125            return;
126        }
127
128        self.value = self.alpha.mul_add(price, (1.0 - self.alpha) * self.value);
129        self.count += 1;
130        if !self.initialized && self.count >= self.period {
131            self.initialized = true;
132        }
133    }
134}
135
136#[cfg(test)]
137mod tests {
138    use nautilus_model::{
139        data::{Bar, QuoteTick, TradeTick},
140        enums::PriceType,
141    };
142    use rstest::rstest;
143
144    use crate::{
145        average::rma::WilderMovingAverage,
146        indicator::{Indicator, MovingAverage},
147        stubs::*,
148        testing::assert_approx_equal,
149    };
150
151    #[rstest]
152    fn test_rma_initialized(indicator_rma_10: WilderMovingAverage) {
153        let rma = indicator_rma_10;
154        let display_str = format!("{rma}");
155        assert_eq!(display_str, "WilderMovingAverage(10)");
156        assert_eq!(rma.period, 10);
157        assert_eq!(rma.price_type, PriceType::Mid);
158        assert_eq!(rma.alpha, 0.1);
159        assert!(!rma.initialized);
160    }
161
162    #[rstest]
163    #[should_panic(expected = "WilderMovingAverage: period must be > 0")]
164    fn test_new_with_zero_period_panics() {
165        let _ = WilderMovingAverage::new(0, None);
166    }
167
168    #[rstest]
169    fn test_one_value_input(indicator_rma_10: WilderMovingAverage) {
170        let mut rma = indicator_rma_10;
171        rma.update_raw(1.0);
172        assert_eq!(rma.count, 1);
173        assert_eq!(rma.value, 1.0);
174    }
175
176    #[rstest]
177    fn test_rma_update_raw(indicator_rma_10: WilderMovingAverage) {
178        let mut rma = indicator_rma_10;
179        rma.update_raw(1.0);
180        rma.update_raw(2.0);
181        rma.update_raw(3.0);
182        rma.update_raw(4.0);
183        rma.update_raw(5.0);
184        rma.update_raw(6.0);
185        rma.update_raw(7.0);
186        rma.update_raw(8.0);
187        rma.update_raw(9.0);
188        rma.update_raw(10.0);
189
190        assert!(rma.has_inputs());
191        assert!(rma.initialized());
192        assert_eq!(rma.count, 10);
193        assert_approx_equal(rma.value, 4.486_784_401);
194    }
195
196    #[rstest]
197    fn test_reset(indicator_rma_10: WilderMovingAverage) {
198        let mut rma = indicator_rma_10;
199        rma.update_raw(1.0);
200        assert_eq!(rma.count, 1);
201        rma.reset();
202        assert_eq!(rma.count, 0);
203        assert_eq!(rma.value, 0.0);
204        assert!(!rma.initialized);
205    }
206
207    #[rstest]
208    fn test_handle_quote_tick_single(indicator_rma_10: WilderMovingAverage, stub_quote: QuoteTick) {
209        let mut rma = indicator_rma_10;
210        rma.handle_quote(&stub_quote).unwrap();
211        assert!(rma.has_inputs());
212        assert_eq!(rma.value, 1501.0);
213    }
214
215    #[rstest]
216    fn test_handle_quote_tick_multi(mut indicator_rma_10: WilderMovingAverage) {
217        let tick1 = stub_quote("1500.0", "1502.0");
218        let tick2 = stub_quote("1502.0", "1504.0");
219
220        indicator_rma_10.handle_quote(&tick1).unwrap();
221        indicator_rma_10.handle_quote(&tick2).unwrap();
222        assert_eq!(indicator_rma_10.count, 2);
223        assert_eq!(indicator_rma_10.value, 1_501.2);
224    }
225
226    #[rstest]
227    fn test_handle_trade_tick(indicator_rma_10: WilderMovingAverage, stub_trade: TradeTick) {
228        let mut rma = indicator_rma_10;
229        rma.handle_trade(&stub_trade);
230        assert!(rma.has_inputs());
231        assert_eq!(rma.value, 1500.0);
232    }
233
234    #[rstest]
235    fn handle_handle_bar(
236        mut indicator_rma_10: WilderMovingAverage,
237        bar_ethusdt_binance_minute_bid: Bar,
238    ) {
239        indicator_rma_10.handle_bar(&bar_ethusdt_binance_minute_bid);
240        assert!(indicator_rma_10.has_inputs);
241        assert!(!indicator_rma_10.initialized);
242        assert_eq!(indicator_rma_10.value, 1522.0);
243    }
244
245    #[rstest]
246    #[should_panic(expected = "WilderMovingAverage: period must be > 0")]
247    fn invalid_period_panics() {
248        let _ = WilderMovingAverage::new(0, None);
249    }
250
251    #[rstest]
252    #[case(1.0)]
253    #[case(123.456)]
254    #[case(9_876.543_21)]
255    fn first_tick_seeding_parity(#[case] seed_price: f64) {
256        let mut rma = WilderMovingAverage::new(10, None);
257
258        rma.update_raw(seed_price);
259
260        assert_eq!(rma.count(), 1);
261        assert_eq!(rma.value(), seed_price);
262        assert!(!rma.initialized());
263    }
264
265    #[rstest]
266    fn numeric_parity_with_reference_series() {
267        let mut rma = WilderMovingAverage::new(10, None);
268
269        for price in 1_u32..=10 {
270            rma.update_raw(f64::from(price));
271        }
272
273        assert!(rma.initialized());
274        assert_eq!(rma.count(), 10);
275        assert_approx_equal(rma.value(), 4.486_784_401);
276    }
277
278    /// Period = 1 should act as a pure 1-tick MA (α = 1) and be initialized immediately.
279    #[rstest]
280    fn test_rma_period_one_behaviour() {
281        let mut rma = WilderMovingAverage::new(1, None);
282
283        // First tick seeds and immediately initializes
284        rma.update_raw(42.0);
285        assert!(rma.initialized());
286        assert_eq!(rma.count(), 1);
287        assert!((rma.value() - 42.0).abs() < 1e-12);
288
289        // With α = 1 the next tick fully replaces the previous value
290        rma.update_raw(100.0);
291        assert_eq!(rma.count(), 2);
292        assert!((rma.value() - 100.0).abs() < 1e-12);
293    }
294
295    /// Very large period: `initialized()` must remain `false` until enough samples arrive.
296    #[rstest]
297    fn test_rma_large_period_not_initialized() {
298        let mut rma = WilderMovingAverage::new(1_000, None);
299
300        for p in 1_u32..=999 {
301            rma.update_raw(f64::from(p));
302        }
303
304        assert_eq!(rma.count(), 999);
305        assert!(!rma.initialized());
306    }
307
308    #[rstest]
309    fn test_reset_reseeds_properly() {
310        let mut rma = WilderMovingAverage::new(10, None);
311
312        rma.update_raw(10.0);
313        assert!(rma.has_inputs());
314        assert_eq!(rma.count(), 1);
315
316        rma.reset();
317        assert_eq!(rma.count(), 0);
318        assert!(!rma.has_inputs());
319        assert!(!rma.initialized());
320
321        rma.update_raw(20.0);
322        assert_eq!(rma.count(), 1);
323        assert!((rma.value() - 20.0).abs() < 1e-12);
324    }
325
326    #[rstest]
327    fn test_default_price_type_is_last() {
328        let rma = WilderMovingAverage::new(5, None);
329        assert_eq!(rma.price_type, PriceType::Last);
330    }
331
332    #[rstest]
333    fn test_update_with_nan_propagates() {
334        let mut rma = WilderMovingAverage::new(10, None);
335        rma.update_raw(f64::NAN);
336
337        assert!(rma.value().is_nan());
338        assert!(rma.has_inputs());
339        assert_eq!(rma.count(), 1);
340    }
341}
nautilus_indicators/average/rma.rs

nautilus_indicators/average/
rma.rs
