nautilus_indicators/momentum/
bb.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::{
17    collections::VecDeque,
18    fmt::{Debug, Display},
19};
20
21use nautilus_core::correctness::FAILED;
22use nautilus_model::{
23    data::{Bar, QuoteTick, TradeTick},
24    enums::PriceType,
25};
26
27pub use crate::support::MAX_PERIOD;
28use crate::{
29    average::{MovingAverageFactory, MovingAverageType},
30    indicator::{Indicator, MovingAverage},
31};
32
33/// Bollinger bands around a moving average.
34#[repr(C)]
35#[derive(Debug)]
36#[cfg_attr(
37    feature = "python",
38    pyo3::pyclass(module = "nautilus_trader.indicators", unsendable)
39)]
40#[cfg_attr(
41    feature = "python",
42    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
43)]
44pub struct BollingerBands {
45    pub period: usize,
46    pub k: f64,
47    pub ma_type: MovingAverageType,
48    pub upper: f64,
49    pub middle: f64,
50    pub lower: f64,
51    pub stddev: f64,
52    pub initialized: bool,
53    ma: Box<dyn MovingAverage + Send + 'static>,
54    prices: VecDeque<f64>,
55    has_inputs: bool,
56}
57
58impl Display for BollingerBands {
59    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
60        write!(
61            f,
62            "{}({},{},{})",
63            self.name(),
64            self.period,
65            self.k,
66            self.ma_type,
67        )
68    }
69}
70
71impl Indicator for BollingerBands {
72    fn name(&self) -> String {
73        stringify!(BollingerBands).into()
74    }
75
76    fn has_inputs(&self) -> bool {
77        self.has_inputs
78    }
79
80    fn initialized(&self) -> bool {
81        self.initialized
82    }
83
84    fn handle_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {
85        self.update_raw(quote.extract_price(PriceType::Mid)?.into());
86        Ok(())
87    }
88
89    fn handle_trade(&mut self, trade: &TradeTick) {
90        self.update_raw((&trade.price).into());
91    }
92
93    fn handle_bar(&mut self, bar: &Bar) {
94        self.update_raw((&bar.close).into());
95    }
96
97    fn reset(&mut self) {
98        self.ma.reset();
99        self.prices.clear();
100        self.upper = 0.0;
101        self.middle = 0.0;
102        self.lower = 0.0;
103        self.stddev = 0.0;
104        self.has_inputs = false;
105        self.initialized = false;
106    }
107}
108
109impl BollingerBands {
110    /// Creates a new [`BollingerBands`] instance.
111    ///
112    /// # Panics
113    ///
114    /// Panics if:
115    /// - `period` is `0` or greater than `MAX_PERIOD`.
116    /// - `k` is *not finite* or *≤ 0*.
117    #[must_use]
118    pub fn new(period: usize, k: f64, ma_type: Option<MovingAverageType>) -> Self {
119        Self::new_checked(period, k, ma_type).expect(FAILED)
120    }
121
122    pub(crate) fn new_checked(
123        period: usize,
124        k: f64,
125        ma_type: Option<MovingAverageType>,
126    ) -> anyhow::Result<Self> {
127        anyhow::ensure!(
128            (1..=MAX_PERIOD).contains(&period),
129            "BollingerBands: period {period} out of range (1..={MAX_PERIOD})"
130        );
131        anyhow::ensure!(
132            k.is_finite() && k > 0.0,
133            "BollingerBands: k must be positive and finite (received {k})"
134        );
135
136        Ok(Self {
137            period,
138            k,
139            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
140            ma: MovingAverageFactory::create(ma_type.unwrap_or(MovingAverageType::Simple), period),
141            prices: VecDeque::with_capacity(period),
142            has_inputs: false,
143            initialized: false,
144            upper: 0.0,
145            middle: 0.0,
146            lower: 0.0,
147            stddev: 0.0,
148        })
149    }
150
151    pub fn update_raw(&mut self, value: f64) {
152        if !value.is_finite() {
153            return;
154        }
155
156        if self.prices.len() == self.period {
157            let _ = self.prices.pop_front();
158        }
159        self.prices.push_back(value);
160        self.ma.update_raw(value);
161        self.has_inputs = true;
162
163        if !self.ma.initialized() {
164            return;
165        }
166
167        self.middle = self.ma.value();
168        self.stddev = fast_std_with_mean(self.prices.iter().copied(), self.middle);
169        self.upper = self.k.mul_add(self.stddev, self.middle);
170        self.lower = self.k.mul_add(-self.stddev, self.middle);
171        self.initialized = true;
172    }
173}
174
175#[must_use]
176pub fn fast_std_with_mean<I>(values: I, mean: f64) -> f64
177where
178    I: IntoIterator<Item = f64>,
179{
180    let mut var_acc = 0.0_f64;
181    let mut count = 0_usize;
182
183    for v in values {
184        let diff = v - mean;
185        var_acc += diff * diff;
186        count += 1;
187    }
188
189    if count == 0 {
190        return 0.0;
191    }
192
193    let variance = var_acc / count as f64;
194    variance.sqrt()
195}
196
197#[cfg(test)]
198mod tests {
199    use rstest::rstest;
200
201    use super::*;
202    use crate::{stubs::bb_10, testing::assert_approx_equal};
203
204    #[rstest]
205    fn test_name_returns_expected_string(bb_10: BollingerBands) {
206        assert_eq!(bb_10.name(), "BollingerBands");
207    }
208
209    #[rstest]
210    fn test_str_repr_returns_expected_string(bb_10: BollingerBands) {
211        assert_eq!(format!("{bb_10}"), "BollingerBands(10,0.1,SIMPLE)");
212    }
213
214    #[rstest]
215    fn test_period_returns_expected_value(bb_10: BollingerBands) {
216        assert_eq!(bb_10.period, 10);
217        assert_eq!(bb_10.k, 0.1);
218    }
219
220    #[rstest]
221    fn test_initialized_without_inputs_returns_false(bb_10: BollingerBands) {
222        assert!(!bb_10.initialized());
223    }
224
225    #[rstest]
226    fn test_value_with_all_higher_inputs_returns_expected_value(mut bb_10: BollingerBands) {
227        let values = [
228            0.95, 1.95, 2.95, 3.95, 4.95, 5.95, 6.95, 7.95, 8.95, 9.95, 10.05, 10.15, 10.25, 11.05,
229            11.45,
230        ];
231
232        for value in values {
233            bb_10.update_raw(value);
234        }
235
236        let window = &values[5..];
237        let expected_middle = window.iter().sum::<f64>() / window.len() as f64;
238        let expected_variance = window
239            .iter()
240            .map(|value| (value - expected_middle).powi(2))
241            .sum::<f64>()
242            / window.len() as f64;
243        let expected_stddev = expected_variance.sqrt();
244
245        assert!(bb_10.initialized());
246        assert_approx_equal(bb_10.middle, expected_middle);
247        assert_approx_equal(bb_10.stddev, expected_stddev);
248        assert_approx_equal(bb_10.upper, expected_middle + bb_10.k * expected_stddev);
249        assert_approx_equal(bb_10.lower, expected_middle - bb_10.k * expected_stddev);
250    }
251
252    #[rstest]
253    fn test_reset_successfully_returns_indicator_to_fresh_state(mut bb_10: BollingerBands) {
254        for value in [1.00020, 1.00030, 1.00070] {
255            bb_10.update_raw(value);
256        }
257        bb_10.reset();
258
259        assert!(!bb_10.initialized());
260        assert_eq!(bb_10.upper, 0.0);
261        assert_eq!(bb_10.middle, 0.0);
262        assert_eq!(bb_10.lower, 0.0);
263        assert_eq!(bb_10.stddev, 0.0);
264        assert_eq!(bb_10.prices.len(), 0);
265    }
266
267    #[rstest]
268    #[should_panic(expected = "k must be positive")]
269    fn test_new_panics_on_zero_k() {
270        let _ = BollingerBands::new(10, 0.0, None);
271    }
272
273    #[rstest]
274    #[should_panic(expected = "k must be positive")]
275    fn test_new_panics_on_negative_k() {
276        let _ = BollingerBands::new(10, -2.0, None);
277    }
278
279    #[rstest]
280    #[should_panic(expected = "k must be positive")]
281    fn test_new_panics_on_nan_k() {
282        let _ = BollingerBands::new(10, f64::NAN, None);
283    }
284
285    #[rstest]
286    fn test_std_dev_uses_sliding_window() {
287        let mut bb = BollingerBands::new(3, 1.0, None);
288
289        for v in 1..=6 {
290            bb.update_raw(f64::from(v));
291        }
292
293        let expected_mid: f64 = (4.0 + 5.0 + 6.0) / 3.0;
294        let variance = (6.0 - expected_mid).mul_add(
295            6.0 - expected_mid,
296            (4.0 - expected_mid).mul_add(
297                4.0 - expected_mid,
298                (5.0 - expected_mid) * (5.0 - expected_mid),
299            ),
300        ) / 3.0;
301        let expected_std = variance.sqrt();
302
303        assert!((bb.middle - expected_mid).abs() < 1e-12);
304        assert!((bb.upper - (expected_mid + expected_std)).abs() < 1e-12);
305        assert!((bb.lower - (expected_mid - expected_std)).abs() < 1e-12);
306    }
307}
nautilus_indicators/momentum/bb.rs

nautilus_indicators/momentum/
bb.rs
