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::fmt::{Debug, Display};
17
18use arraydeque::{ArrayDeque, Wrapping};
19use nautilus_model::data::{Bar, QuoteTick, TradeTick};
20
21use crate::{
22    average::{MovingAverageFactory, MovingAverageType},
23    indicator::{Indicator, MovingAverage},
24};
25
26pub const MAX_PERIOD: usize = 1_024;
27
28#[repr(C)]
29#[derive(Debug)]
30#[cfg_attr(
31    feature = "python",
32    pyo3::pyclass(module = "nautilus_trader.indicators", unsendable)
33)]
34#[cfg_attr(
35    feature = "python",
36    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
37)]
38pub struct BollingerBands {
39    pub period: usize,
40    pub k: f64,
41    pub ma_type: MovingAverageType,
42    pub upper: f64,
43    pub middle: f64,
44    pub lower: f64,
45    pub initialized: bool,
46    ma: Box<dyn MovingAverage + Send + 'static>,
47    prices: ArrayDeque<f64, MAX_PERIOD, Wrapping>,
48    has_inputs: bool,
49}
50
51impl Display for BollingerBands {
52    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
53        write!(
54            f,
55            "{}({},{},{})",
56            self.name(),
57            self.period,
58            self.k,
59            self.ma_type,
60        )
61    }
62}
63
64impl Indicator for BollingerBands {
65    fn name(&self) -> String {
66        stringify!(BollingerBands).into()
67    }
68
69    fn has_inputs(&self) -> bool {
70        self.has_inputs
71    }
72
73    fn initialized(&self) -> bool {
74        self.initialized
75    }
76
77    fn handle_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {
78        let bid = quote.bid_price.raw as f64;
79        let ask = quote.ask_price.raw as f64;
80        let mid = f64::midpoint(bid, ask);
81        self.update_raw(ask, bid, mid);
82        Ok(())
83    }
84
85    fn handle_trade(&mut self, trade: &TradeTick) {
86        let price = trade.price.raw as f64;
87        self.update_raw(price, price, price);
88    }
89
90    fn handle_bar(&mut self, bar: &Bar) {
91        self.update_raw((&bar.high).into(), (&bar.low).into(), (&bar.close).into());
92    }
93
94    fn reset(&mut self) {
95        self.ma.reset();
96        self.prices.clear();
97        self.upper = 0.0;
98        self.middle = 0.0;
99        self.lower = 0.0;
100        self.has_inputs = false;
101        self.initialized = false;
102    }
103}
104
105impl BollingerBands {
106    /// Creates a new [`BollingerBands`] instance.
107    ///
108    /// # Panics
109    ///
110    /// - If `period` is `0` or greater than `MAX_PERIOD`.
111    /// - If `k` is *not finite* or *≤ 0*.
112    #[must_use]
113    pub fn new(period: usize, k: f64, ma_type: Option<MovingAverageType>) -> Self {
114        assert!(
115            (1..=MAX_PERIOD).contains(&period),
116            "BollingerBands: period {period} out of range (1..={MAX_PERIOD})"
117        );
118        assert!(
119            k.is_finite() && k > 0.0,
120            "BollingerBands: k must be positive and finite (received {k})"
121        );
122
123        Self {
124            period,
125            k,
126            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
127            ma: MovingAverageFactory::create(ma_type.unwrap_or(MovingAverageType::Simple), period),
128            prices: ArrayDeque::new(),
129            has_inputs: false,
130            initialized: false,
131            upper: 0.0,
132            middle: 0.0,
133            lower: 0.0,
134        }
135    }
136
137    pub fn update_raw(&mut self, high: f64, low: f64, close: f64) {
138        let typical = (high + low + close) / 3.0;
139
140        if self.prices.len() == self.period {
141            let _ = self.prices.pop_front();
142        }
143        let _ = self.prices.push_back(typical);
144        self.ma.update_raw(typical);
145
146        if !self.initialized {
147            self.has_inputs = true;
148
149            if self.prices.len() >= self.period {
150                self.initialized = true;
151            }
152        }
153
154        let std = fast_std_with_mean(
155            self.prices.iter().rev().take(self.period).copied(),
156            self.ma.value(),
157        );
158
159        self.upper = self.k.mul_add(std, self.ma.value());
160        self.middle = self.ma.value();
161        self.lower = self.k.mul_add(-std, self.ma.value());
162    }
163}
164
165#[must_use]
166pub fn fast_std_with_mean<I>(values: I, mean: f64) -> f64
167where
168    I: IntoIterator<Item = f64>,
169{
170    let mut var_acc = 0.0_f64;
171    let mut count = 0_usize;
172
173    for v in values {
174        let diff = v - mean;
175        var_acc += diff * diff;
176        count += 1;
177    }
178
179    if count == 0 {
180        return 0.0;
181    }
182
183    let variance = var_acc / count as f64;
184    variance.sqrt()
185}
186
187#[cfg(test)]
188mod tests {
189    use rstest::rstest;
190
191    use super::*;
192    use crate::{stubs::bb_10, testing::assert_approx_equal};
193
194    #[rstest]
195    fn test_name_returns_expected_string(bb_10: BollingerBands) {
196        assert_eq!(bb_10.name(), "BollingerBands");
197    }
198
199    #[rstest]
200    fn test_str_repr_returns_expected_string(bb_10: BollingerBands) {
201        assert_eq!(format!("{bb_10}"), "BollingerBands(10,0.1,SIMPLE)");
202    }
203
204    #[rstest]
205    fn test_period_returns_expected_value(bb_10: BollingerBands) {
206        assert_eq!(bb_10.period, 10);
207        assert_eq!(bb_10.k, 0.1);
208    }
209
210    #[rstest]
211    fn test_initialized_without_inputs_returns_false(bb_10: BollingerBands) {
212        assert!(!bb_10.initialized());
213    }
214
215    #[rstest]
216    fn test_value_with_all_higher_inputs_returns_expected_value(mut bb_10: BollingerBands) {
217        let high_values = [
218            1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0, 11.0, 12.0, 13.0, 14.0, 15.0,
219        ];
220        let low_values = [
221            0.9, 1.9, 2.9, 3.9, 4.9, 5.9, 6.9, 7.9, 8.9, 9.9, 10.1, 10.2, 10.3, 11.1, 11.4,
222        ];
223        let close_values = [
224            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,
225            11.45,
226        ];
227
228        for i in 0..15 {
229            bb_10.update_raw(high_values[i], low_values[i], close_values[i]);
230        }
231
232        assert!(bb_10.initialized());
233        assert_approx_equal(bb_10.upper, 9.8844582289);
234        assert_approx_equal(bb_10.middle, 9.67666666667);
235        assert_approx_equal(bb_10.lower, 9.46887510444);
236    }
237
238    #[rstest]
239    fn test_reset_successfully_returns_indicator_to_fresh_state(mut bb_10: BollingerBands) {
240        bb_10.update_raw(1.00020, 1.00050, 1.00030);
241        bb_10.update_raw(1.00030, 1.00060, 1.00040);
242        bb_10.update_raw(1.00070, 1.00080, 1.00075);
243
244        bb_10.reset();
245
246        assert!(!bb_10.initialized());
247        assert_eq!(bb_10.upper, 0.0);
248        assert_eq!(bb_10.middle, 0.0);
249        assert_eq!(bb_10.lower, 0.0);
250        assert_eq!(bb_10.prices.len(), 0);
251    }
252
253    #[rstest]
254    #[should_panic(expected = "k must be positive")]
255    fn test_new_panics_on_zero_k() {
256        let _ = BollingerBands::new(10, 0.0, None);
257    }
258
259    #[rstest]
260    #[should_panic(expected = "k must be positive")]
261    fn test_new_panics_on_negative_k() {
262        let _ = BollingerBands::new(10, -2.0, None);
263    }
264
265    #[rstest]
266    #[should_panic(expected = "k must be positive")]
267    fn test_new_panics_on_nan_k() {
268        let _ = BollingerBands::new(10, f64::NAN, None);
269    }
270
271    #[rstest]
272    fn test_std_dev_uses_sliding_window() {
273        let mut bb = BollingerBands::new(3, 1.0, None);
274
275        for v in 1..=6 {
276            bb.update_raw(f64::from(v), f64::from(v), f64::from(v));
277        }
278
279        let expected_mid: f64 = (4.0 + 5.0 + 6.0) / 3.0;
280        let variance = (6.0 - expected_mid).mul_add(
281            6.0 - expected_mid,
282            (4.0 - expected_mid).mul_add(
283                4.0 - expected_mid,
284                (5.0 - expected_mid) * (5.0 - expected_mid),
285            ),
286        ) / 3.0;
287        let expected_std = variance.sqrt();
288
289        assert!((bb.middle - expected_mid).abs() < 1e-12);
290        assert!((bb.upper - (expected_mid + expected_std)).abs() < 1e-12);
291        assert!((bb.lower - (expected_mid - expected_std)).abs() < 1e-12);
292    }
293}
nautilus_indicators/momentum/bb.rs

nautilus_indicators/momentum/
bb.rs
