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.core.nautilus_pyo3.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) {
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    }
83
84    fn handle_trade(&mut self, trade: &TradeTick) {
85        let price = trade.price.raw as f64;
86        self.update_raw(price, price, price);
87    }
88
89    fn handle_bar(&mut self, bar: &Bar) {
90        self.update_raw((&bar.high).into(), (&bar.low).into(), (&bar.close).into());
91    }
92
93    fn reset(&mut self) {
94        self.ma.reset();
95        self.prices.clear();
96        self.upper = 0.0;
97        self.middle = 0.0;
98        self.lower = 0.0;
99        self.has_inputs = false;
100        self.initialized = false;
101    }
102}
103
104impl BollingerBands {
105    /// Creates a new [`BollingerBands`] instance.
106    ///
107    /// # Panics
108    ///
109    /// - If `period` is `0` or greater than `MAX_PERIOD`.
110    /// - If `k` is *not finite* or *≤ 0*.
111    #[must_use]
112    pub fn new(period: usize, k: f64, ma_type: Option<MovingAverageType>) -> Self {
113        assert!(
114            (1..=MAX_PERIOD).contains(&period),
115            "BollingerBands: period {period} out of range (1..={MAX_PERIOD})"
116        );
117        assert!(
118            k.is_finite() && k > 0.0,
119            "BollingerBands: k must be positive and finite (received {k})"
120        );
121
122        Self {
123            period,
124            k,
125            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
126            ma: MovingAverageFactory::create(ma_type.unwrap_or(MovingAverageType::Simple), period),
127            prices: ArrayDeque::new(),
128            has_inputs: false,
129            initialized: false,
130            upper: 0.0,
131            middle: 0.0,
132            lower: 0.0,
133        }
134    }
135
136    pub fn update_raw(&mut self, high: f64, low: f64, close: f64) {
137        let typical = (high + low + close) / 3.0;
138
139        if self.prices.len() == self.period {
140            let _ = self.prices.pop_front();
141        }
142        let _ = self.prices.push_back(typical);
143        self.ma.update_raw(typical);
144
145        if !self.initialized {
146            self.has_inputs = true;
147
148            if self.prices.len() >= self.period {
149                self.initialized = true;
150            }
151        }
152
153        let std = fast_std_with_mean(
154            self.prices.iter().rev().take(self.period).copied(),
155            self.ma.value(),
156        );
157
158        self.upper = self.k.mul_add(std, self.ma.value());
159        self.middle = self.ma.value();
160        self.lower = self.k.mul_add(-std, self.ma.value());
161    }
162}
163
164#[must_use]
165pub fn fast_std_with_mean<I>(values: I, mean: f64) -> f64
166where
167    I: IntoIterator<Item = f64>,
168{
169    let mut var_acc = 0.0_f64;
170    let mut count = 0_usize;
171
172    for v in values {
173        let diff = v - mean;
174        var_acc += diff * diff;
175        count += 1;
176    }
177
178    if count == 0 {
179        return 0.0;
180    }
181
182    let variance = var_acc / count as f64;
183    variance.sqrt()
184}
185
186#[cfg(test)]
187mod tests {
188    use rstest::rstest;
189
190    use super::*;
191    use crate::stubs::bb_10;
192
193    #[rstest]
194    fn test_name_returns_expected_string(bb_10: BollingerBands) {
195        assert_eq!(bb_10.name(), "BollingerBands");
196    }
197
198    #[rstest]
199    fn test_str_repr_returns_expected_string(bb_10: BollingerBands) {
200        assert_eq!(format!("{bb_10}"), "BollingerBands(10,0.1,SIMPLE)");
201    }
202
203    #[rstest]
204    fn test_period_returns_expected_value(bb_10: BollingerBands) {
205        assert_eq!(bb_10.period, 10);
206        assert_eq!(bb_10.k, 0.1);
207    }
208
209    #[rstest]
210    fn test_initialized_without_inputs_returns_false(bb_10: BollingerBands) {
211        assert!(!bb_10.initialized());
212    }
213
214    #[rstest]
215    fn test_value_with_all_higher_inputs_returns_expected_value(mut bb_10: BollingerBands) {
216        let high_values = [
217            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,
218        ];
219        let low_values = [
220            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,
221        ];
222        let close_values = [
223            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,
224            11.45,
225        ];
226
227        for i in 0..15 {
228            bb_10.update_raw(high_values[i], low_values[i], close_values[i]);
229        }
230
231        assert!(bb_10.initialized());
232        assert_eq!(bb_10.upper, 9.884_458_228_895_1);
233        assert_eq!(bb_10.middle, 9.676_666_666_666_666);
234        assert_eq!(bb_10.lower, 9.468_875_104_438_231);
235    }
236
237    #[rstest]
238    fn test_reset_successfully_returns_indicator_to_fresh_state(mut bb_10: BollingerBands) {
239        bb_10.update_raw(1.00020, 1.00050, 1.00030);
240        bb_10.update_raw(1.00030, 1.00060, 1.00040);
241        bb_10.update_raw(1.00070, 1.00080, 1.00075);
242
243        bb_10.reset();
244
245        assert!(!bb_10.initialized());
246        assert_eq!(bb_10.upper, 0.0);
247        assert_eq!(bb_10.middle, 0.0);
248        assert_eq!(bb_10.lower, 0.0);
249        assert_eq!(bb_10.prices.len(), 0);
250    }
251
252    #[rstest]
253    #[should_panic(expected = "k must be positive")]
254    fn test_new_panics_on_zero_k() {
255        let _ = BollingerBands::new(10, 0.0, None);
256    }
257
258    #[rstest]
259    #[should_panic(expected = "k must be positive")]
260    fn test_new_panics_on_negative_k() {
261        let _ = BollingerBands::new(10, -2.0, None);
262    }
263
264    #[rstest]
265    #[should_panic(expected = "k must be positive")]
266    fn test_new_panics_on_nan_k() {
267        let _ = BollingerBands::new(10, f64::NAN, None);
268    }
269
270    #[rstest]
271    fn test_std_dev_uses_sliding_window() {
272        let mut bb = BollingerBands::new(3, 1.0, None);
273
274        for v in 1..=6 {
275            bb.update_raw(f64::from(v), f64::from(v), f64::from(v));
276        }
277
278        let expected_mid: f64 = (4.0 + 5.0 + 6.0) / 3.0;
279        let variance = (6.0 - expected_mid).mul_add(
280            6.0 - expected_mid,
281            (4.0 - expected_mid).mul_add(
282                4.0 - expected_mid,
283                (5.0 - expected_mid) * (5.0 - expected_mid),
284            ),
285        ) / 3.0;
286        let expected_std = variance.sqrt();
287
288        assert!((bb.middle - expected_mid).abs() < 1e-12);
289        assert!((bb.upper - (expected_mid + expected_std)).abs() < 1e-12);
290        assert!((bb.lower - (expected_mid - expected_std)).abs() < 1e-12);
291    }
292}
nautilus_indicators/momentum/bb.rs

nautilus_indicators/momentum/
bb.rs
