nautilus_indicators/momentum/
cci.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::data::Bar;
23
24use crate::{
25    average::{MovingAverageFactory, MovingAverageType},
26    indicator::{Indicator, MovingAverage},
27    support::{MAX_PERIOD, is_valid_hlc, typical_price},
28};
29
30/// Commodity channel index.
31#[repr(C)]
32#[derive(Debug)]
33#[cfg_attr(
34    feature = "python",
35    pyo3::pyclass(module = "nautilus_trader.indicators", unsendable)
36)]
37#[cfg_attr(
38    feature = "python",
39    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
40)]
41pub struct CommodityChannelIndex {
42    pub period: usize,
43    pub ma_type: MovingAverageType,
44    pub scalar: f64,
45    pub value: f64,
46    pub initialized: bool,
47    ma: Box<dyn MovingAverage + Send + 'static>,
48    has_inputs: bool,
49    mad: f64,
50    prices: VecDeque<f64>,
51}
52
53impl Display for CommodityChannelIndex {
54    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
55        write!(f, "{}({},{})", self.name(), self.period, self.ma_type)
56    }
57}
58
59impl Indicator for CommodityChannelIndex {
60    fn name(&self) -> String {
61        stringify!(CommodityChannelIndex).to_string()
62    }
63
64    fn has_inputs(&self) -> bool {
65        self.has_inputs
66    }
67
68    fn initialized(&self) -> bool {
69        self.initialized
70    }
71
72    fn handle_bar(&mut self, bar: &Bar) {
73        self.update_raw((&bar.high).into(), (&bar.low).into(), (&bar.close).into());
74    }
75
76    fn reset(&mut self) {
77        self.ma.reset();
78        self.mad = 0.0;
79        self.prices.clear();
80        self.value = 0.0;
81        self.has_inputs = false;
82        self.initialized = false;
83    }
84}
85
86impl CommodityChannelIndex {
87    /// Creates a new [`CommodityChannelIndex`] 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, scalar: f64, ma_type: Option<MovingAverageType>) -> Self {
96        Self::new_checked(period, scalar, ma_type).expect(FAILED)
97    }
98
99    pub(crate) fn new_checked(
100        period: usize,
101        scalar: f64,
102        ma_type: Option<MovingAverageType>,
103    ) -> anyhow::Result<Self> {
104        anyhow::ensure!(
105            (1..=MAX_PERIOD).contains(&period),
106            "period must be in 1..={MAX_PERIOD}"
107        );
108        anyhow::ensure!(
109            scalar.is_finite() && scalar > 0.0,
110            "scalar must be finite and positive"
111        );
112        let ma_type = ma_type.unwrap_or(MovingAverageType::Simple);
113        Ok(Self {
114            period,
115            scalar,
116            ma_type,
117            value: 0.0,
118            prices: VecDeque::with_capacity(period),
119            ma: MovingAverageFactory::create(ma_type, period),
120            has_inputs: false,
121            initialized: false,
122            mad: 0.0,
123        })
124    }
125
126    pub fn update_raw(&mut self, high: f64, low: f64, close: f64) {
127        if !is_valid_hlc(high, low, close) {
128            return;
129        }
130        let typical_price = typical_price(high, low, close);
131
132        if self.prices.len() == self.period {
133            let _ = self.prices.pop_front();
134        }
135        self.prices.push_back(typical_price);
136
137        self.ma.update_raw(typical_price);
138
139        self.mad = fast_mad_with_mean(self.prices.iter().copied(), self.ma.value());
140
141        if self.ma.initialized() {
142            // A zero mean absolute deviation (flat window) emits 0 by the
143            // standard convention instead of holding a stale value
144            if self.mad == 0.0 {
145                self.value = 0.0;
146            } else {
147                self.value = (typical_price - self.ma.value()) / (self.scalar * self.mad);
148            }
149        }
150
151        if !self.initialized {
152            self.has_inputs = true;
153
154            if self.ma.initialized() {
155                self.initialized = true;
156            }
157        }
158    }
159}
160
161pub fn fast_mad_with_mean<I>(values: I, mean: f64) -> f64
162where
163    I: IntoIterator<Item = f64>,
164{
165    let mut acc = 0.0_f64;
166    let mut count = 0_usize;
167
168    for v in values {
169        acc += (v - mean).abs();
170        count += 1;
171    }
172
173    if count == 0 { 0.0 } else { acc / count as f64 }
174}
175
176#[cfg(test)]
177mod tests {
178    use nautilus_model::data::Bar;
179    use rstest::rstest;
180
181    use crate::{
182        indicator::Indicator,
183        momentum::cci::CommodityChannelIndex,
184        stubs::{bar_ethusdt_binance_minute_bid, cci_10},
185        testing::assert_approx_equal,
186    };
187
188    #[rstest]
189    fn test_psl_initialized(cci_10: CommodityChannelIndex) {
190        let display_str = format!("{cci_10}");
191        assert_eq!(display_str, "CommodityChannelIndex(10,SIMPLE)");
192        assert_eq!(cci_10.period, 10);
193        assert!(!cci_10.initialized);
194        assert!(!cci_10.has_inputs);
195    }
196
197    #[rstest]
198    fn test_value_with_one_input(mut cci_10: CommodityChannelIndex) {
199        cci_10.update_raw(1.0, 0.9, 0.95);
200        assert_eq!(cci_10.value, 0.0);
201    }
202
203    #[rstest]
204    fn test_value_with_three_inputs(mut cci_10: CommodityChannelIndex) {
205        cci_10.update_raw(1.0, 0.9, 0.95);
206        cci_10.update_raw(2.0, 1.9, 1.95);
207        cci_10.update_raw(3.0, 2.9, 2.95);
208        assert_eq!(cci_10.value, 0.0);
209    }
210
211    #[rstest]
212    fn test_value_with_ten_inputs(mut cci_10: CommodityChannelIndex) {
213        cci_10.update_raw(1.00000, 0.90000, 1.00000);
214        cci_10.update_raw(1.00010, 0.90010, 1.00010);
215        cci_10.update_raw(1.00030, 0.90020, 1.00020);
216        cci_10.update_raw(1.00040, 0.90030, 1.00030);
217        cci_10.update_raw(1.00050, 0.90040, 1.00040);
218        cci_10.update_raw(1.00060, 0.90050, 1.00050);
219        cci_10.update_raw(1.00050, 0.90040, 1.00040);
220        cci_10.update_raw(1.00040, 0.90030, 1.00030);
221        cci_10.update_raw(1.00030, 0.90020, 1.00020);
222        cci_10.update_raw(1.00010, 0.90010, 1.00010);
223        cci_10.update_raw(1.00000, 0.90000, 1.00000);
224        assert_approx_equal(cci_10.value, -0.97619047619);
225    }
226
227    #[rstest]
228    fn test_initialized_with_required_input(mut cci_10: CommodityChannelIndex) {
229        for i in 1..10 {
230            cci_10.update_raw(f64::from(i), f64::from(i), f64::from(i));
231        }
232        assert!(!cci_10.initialized);
233        cci_10.update_raw(10.0, 10.0, 10.0);
234        assert!(cci_10.initialized);
235    }
236
237    #[rstest]
238    fn test_handle_bar(mut cci_10: CommodityChannelIndex, bar_ethusdt_binance_minute_bid: Bar) {
239        cci_10.handle_bar(&bar_ethusdt_binance_minute_bid);
240        assert_eq!(cci_10.value, 0.0);
241        assert!(cci_10.has_inputs);
242        assert!(!cci_10.initialized);
243    }
244
245    #[rstest]
246    fn test_reset(mut cci_10: CommodityChannelIndex) {
247        cci_10.update_raw(1.0, 0.9, 0.95);
248        cci_10.reset();
249        assert_eq!(cci_10.value, 0.0);
250        assert_eq!(cci_10.prices.len(), 0);
251        assert_eq!(cci_10.mad, 0.0);
252        assert!(!cci_10.has_inputs);
253        assert!(!cci_10.initialized);
254    }
255}
nautilus_indicators/momentum/cci.rs

nautilus_indicators/momentum/
cci.rs
