nautilus_indicators/momentum/
bias.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 nautilus_model::data::{Bar, QuoteTick, TradeTick};
19
20use crate::{
21    average::{MovingAverageFactory, MovingAverageType},
22    indicator::{Indicator, MovingAverage},
23};
24
25const MAX_PERIOD: usize = 1024;
26
27#[repr(C)]
28#[derive(Debug)]
29#[cfg_attr(
30    feature = "python",
31    pyo3::pyclass(module = "nautilus_trader.indicators", unsendable)
32)]
33#[cfg_attr(
34    feature = "python",
35    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
36)]
37pub struct Bias {
38    pub period: usize,
39    pub ma_type: MovingAverageType,
40    pub value: f64,
41    pub count: usize,
42    pub initialized: bool,
43    ma: Box<dyn MovingAverage + Send + 'static>,
44    has_inputs: bool,
45}
46
47impl Display for Bias {
48    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
49        write!(f, "{}({},{})", self.name(), self.period, self.ma_type)
50    }
51}
52
53impl Indicator for Bias {
54    fn name(&self) -> String {
55        stringify!(Bias).to_string()
56    }
57
58    fn has_inputs(&self) -> bool {
59        self.has_inputs
60    }
61
62    fn initialized(&self) -> bool {
63        self.initialized
64    }
65
66    fn handle_quote(&mut self, _quote: &QuoteTick) -> anyhow::Result<()> {
67        Ok(())
68    }
69
70    fn handle_trade(&mut self, _trade: &TradeTick) {}
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.ma.reset();
78        self.value = 0.0;
79        self.count = 0;
80        self.has_inputs = false;
81        self.initialized = false;
82    }
83}
84
85impl Bias {
86    /// Creates a new [`Bias`] instance.
87    ///
88    /// # Panics
89    ///
90    /// - If `period` is less than or equal to 0.
91    /// - If `period` exceeds `MAX_PERIOD`.
92    #[must_use]
93    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
94        assert!(
95            period > 0,
96            "BollingerBands: period must be > 0 (received {period})"
97        );
98        assert!(
99            period <= MAX_PERIOD,
100            "Bias: period {period} exceeds MAX_PERIOD {MAX_PERIOD}"
101        );
102        Self {
103            period,
104            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
105            value: 0.0,
106            count: 0,
107            ma: MovingAverageFactory::create(ma_type.unwrap_or(MovingAverageType::Simple), period),
108            has_inputs: false,
109            initialized: false,
110        }
111    }
112
113    pub fn update_raw(&mut self, close: f64) {
114        self.count += 1;
115        self.ma.update_raw(close);
116        self.value = (close / self.ma.value()) - 1.0;
117        self.check_initialized();
118    }
119
120    pub fn check_initialized(&mut self) {
121        if !self.initialized {
122            self.has_inputs = true;
123
124            if self.ma.initialized() {
125                self.initialized = true;
126            }
127        }
128    }
129}
130
131#[cfg(test)]
132mod tests {
133    use rstest::{fixture, rstest};
134
135    use super::*;
136
137    #[fixture]
138    fn bias() -> Bias {
139        Bias::new(10, None)
140    }
141
142    #[rstest]
143    fn test_name_returns_expected_string(bias: Bias) {
144        assert_eq!(bias.name(), "Bias");
145    }
146
147    #[rstest]
148    fn test_str_repr_returns_expected_string(bias: Bias) {
149        assert_eq!(format!("{bias}"), "Bias(10,SIMPLE)");
150    }
151
152    #[rstest]
153    fn test_period_returns_expected_value(bias: Bias) {
154        assert_eq!(bias.period, 10);
155    }
156
157    #[rstest]
158    fn test_initialized_without_inputs_returns_false(bias: Bias) {
159        assert!(!bias.initialized());
160    }
161
162    #[rstest]
163    fn test_initialized_with_required_inputs_returns_true(mut bias: Bias) {
164        for i in 1..=10 {
165            bias.update_raw(f64::from(i));
166        }
167        assert!(bias.initialized());
168    }
169
170    #[rstest]
171    fn test_value_with_one_input_returns_expected_value(mut bias: Bias) {
172        bias.update_raw(1.0);
173        assert_eq!(bias.value, 0.0);
174    }
175
176    #[rstest]
177    fn test_value_with_all_higher_inputs_returns_expected_value(mut bias: Bias) {
178        const EPS: f64 = 1e-12;
179        const EXPECTED: f64 = 0.000_654_735_923_177_662_8;
180
181        fn abs_diff_lt(lhs: f64, rhs: f64) -> bool {
182            (lhs - rhs).abs() < EPS
183        }
184
185        let inputs = [
186            109.93, 110.0, 109.77, 109.96, 110.29, 110.53, 110.27, 110.21, 110.06, 110.19, 109.83,
187            109.9, 110.0, 110.03, 110.13, 109.95, 109.75, 110.15, 109.9, 110.04,
188        ];
189
190        for &price in &inputs {
191            bias.update_raw(price);
192        }
193
194        assert!(
195            abs_diff_lt(bias.value, EXPECTED),
196            "bias.value = {:.16} did not match expected value",
197            bias.value
198        );
199    }
200
201    #[rstest]
202    fn test_reset_successfully_returns_indicator_to_fresh_state(mut bias: Bias) {
203        bias.update_raw(1.00020);
204        bias.update_raw(1.00030);
205        bias.update_raw(1.00050);
206
207        bias.reset();
208
209        assert!(!bias.initialized());
210        assert_eq!(bias.value, 0.0);
211    }
212
213    #[rstest]
214    fn test_reset_resets_moving_average_state() {
215        let mut bias = Bias::new(3, None);
216        bias.update_raw(1.0);
217        bias.update_raw(2.0);
218        bias.update_raw(3.0);
219        assert!(bias.ma.initialized());
220        bias.reset();
221        assert!(!bias.ma.initialized());
222        assert_eq!(bias.value, 0.0);
223    }
224
225    #[rstest]
226    fn test_count_increments_and_resets(mut bias: Bias) {
227        assert_eq!(bias.count, 0);
228        bias.update_raw(1.0);
229        assert_eq!(bias.count, 1);
230        bias.update_raw(1.1);
231        assert_eq!(bias.count, 2);
232        bias.reset();
233        assert_eq!(bias.count, 0);
234    }
235}
nautilus_indicators/momentum/bias.rs

nautilus_indicators/momentum/
bias.rs
