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_core::correctness::FAILED;
19use nautilus_model::data::{Bar, QuoteTick, TradeTick};
20
21use crate::{
22    average::{MovingAverageFactory, MovingAverageType},
23    indicator::{Indicator, MovingAverage},
24    support::MAX_PERIOD,
25};
26
27/// Percentage difference between price and its moving average.
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 Bias {
39    pub period: usize,
40    pub ma_type: MovingAverageType,
41    pub value: f64,
42    pub count: usize,
43    pub initialized: bool,
44    ma: Box<dyn MovingAverage + Send + 'static>,
45    has_inputs: bool,
46}
47
48impl Display for Bias {
49    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
50        write!(f, "{}({},{})", self.name(), self.period, self.ma_type)
51    }
52}
53
54impl Indicator for Bias {
55    fn name(&self) -> String {
56        stringify!(Bias).to_string()
57    }
58
59    fn has_inputs(&self) -> bool {
60        self.has_inputs
61    }
62
63    fn initialized(&self) -> bool {
64        self.initialized
65    }
66
67    fn handle_quote(&mut self, _quote: &QuoteTick) -> anyhow::Result<()> {
68        Ok(())
69    }
70
71    fn handle_trade(&mut self, _trade: &TradeTick) {}
72
73    fn handle_bar(&mut self, bar: &Bar) {
74        self.update_raw((&bar.close).into());
75    }
76
77    fn reset(&mut self) {
78        self.ma.reset();
79        self.value = 0.0;
80        self.count = 0;
81        self.has_inputs = false;
82        self.initialized = false;
83    }
84}
85
86impl Bias {
87    /// Creates a new [`Bias`] instance.
88    ///
89    /// # Panics
90    ///
91    /// Panics if:
92    /// - `period` is less than or equal to 0.
93    /// - `period` exceeds `MAX_PERIOD`.
94    #[must_use]
95    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
96        Self::new_checked(period, ma_type).expect(FAILED)
97    }
98
99    pub(crate) fn new_checked(
100        period: usize,
101        ma_type: Option<MovingAverageType>,
102    ) -> anyhow::Result<Self> {
103        anyhow::ensure!(
104            (1..=MAX_PERIOD).contains(&period),
105            "period must be in 1..={MAX_PERIOD}"
106        );
107        let ma_type = ma_type.unwrap_or(MovingAverageType::Simple);
108        Ok(Self {
109            period,
110            ma_type,
111            value: 0.0,
112            count: 0,
113            ma: MovingAverageFactory::create(ma_type, period),
114            has_inputs: false,
115            initialized: false,
116        })
117    }
118
119    pub fn update_raw(&mut self, close: f64) {
120        if !close.is_finite() {
121            return;
122        }
123        self.count += 1;
124        self.ma.update_raw(close);
125        // A zero mean (e.g. an all-zero series) emits 0 instead of dividing
126        // to infinity/NaN
127        if self.ma.value() == 0.0 {
128            self.value = 0.0;
129        } else {
130            self.value = 100.0 * ((close / self.ma.value()) - 1.0);
131        }
132        self.check_initialized();
133    }
134
135    pub fn check_initialized(&mut self) {
136        if !self.initialized {
137            self.has_inputs = true;
138
139            if self.ma.initialized() {
140                self.initialized = true;
141            }
142        }
143    }
144}
145
146#[cfg(test)]
147mod tests {
148    use rstest::{fixture, rstest};
149
150    use super::*;
151
152    #[fixture]
153    fn bias() -> Bias {
154        Bias::new(10, None)
155    }
156
157    #[rstest]
158    fn test_name_returns_expected_string(bias: Bias) {
159        assert_eq!(bias.name(), "Bias");
160    }
161
162    #[rstest]
163    fn test_str_repr_returns_expected_string(bias: Bias) {
164        assert_eq!(format!("{bias}"), "Bias(10,SIMPLE)");
165    }
166
167    #[rstest]
168    fn test_period_returns_expected_value(bias: Bias) {
169        assert_eq!(bias.period, 10);
170    }
171
172    #[rstest]
173    fn test_initialized_without_inputs_returns_false(bias: Bias) {
174        assert!(!bias.initialized());
175    }
176
177    #[rstest]
178    fn test_initialized_with_required_inputs_returns_true(mut bias: Bias) {
179        for i in 1..=10 {
180            bias.update_raw(f64::from(i));
181        }
182        assert!(bias.initialized());
183    }
184
185    #[rstest]
186    fn test_value_with_one_input_returns_expected_value(mut bias: Bias) {
187        bias.update_raw(1.0);
188        assert_eq!(bias.value, 0.0);
189    }
190
191    #[rstest]
192    fn test_value_with_all_higher_inputs_returns_expected_value(mut bias: Bias) {
193        const EPS: f64 = 1e-12;
194        const EXPECTED: f64 = 0.065_473_592_317_766_28;
195
196        fn abs_diff_lt(lhs: f64, rhs: f64) -> bool {
197            (lhs - rhs).abs() < EPS
198        }
199
200        let inputs = [
201            109.93, 110.0, 109.77, 109.96, 110.29, 110.53, 110.27, 110.21, 110.06, 110.19, 109.83,
202            109.9, 110.0, 110.03, 110.13, 109.95, 109.75, 110.15, 109.9, 110.04,
203        ];
204
205        for &price in &inputs {
206            bias.update_raw(price);
207        }
208
209        assert!(
210            abs_diff_lt(bias.value, EXPECTED),
211            "bias.value = {:.16} did not match expected value",
212            bias.value
213        );
214    }
215
216    #[rstest]
217    fn test_reset_successfully_returns_indicator_to_fresh_state(mut bias: Bias) {
218        bias.update_raw(1.00020);
219        bias.update_raw(1.00030);
220        bias.update_raw(1.00050);
221
222        bias.reset();
223
224        assert!(!bias.initialized());
225        assert_eq!(bias.value, 0.0);
226    }
227
228    #[rstest]
229    fn test_reset_resets_moving_average_state() {
230        let mut bias = Bias::new(3, None);
231        bias.update_raw(1.0);
232        bias.update_raw(2.0);
233        bias.update_raw(3.0);
234        assert!(bias.ma.initialized());
235        bias.reset();
236        assert!(!bias.ma.initialized());
237        assert_eq!(bias.value, 0.0);
238    }
239
240    #[rstest]
241    fn test_count_increments_and_resets(mut bias: Bias) {
242        assert_eq!(bias.count, 0);
243        bias.update_raw(1.0);
244        assert_eq!(bias.count, 1);
245        bias.update_raw(1.1);
246        assert_eq!(bias.count, 2);
247        bias.reset();
248        assert_eq!(bias.count, 0);
249    }
250}
nautilus_indicators/momentum/bias.rs

nautilus_indicators/momentum/
bias.rs
