nautilus_indicators/momentum/
kvo.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;
19
20use crate::{
21    average::{MovingAverageFactory, MovingAverageType},
22    indicator::{Indicator, MovingAverage},
23};
24
25#[repr(C)]
26#[derive(Debug)]
27#[cfg_attr(
28    feature = "python",
29    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
30)]
31#[cfg_attr(
32    feature = "python",
33    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
34)]
35pub struct KlingerVolumeOscillator {
36    pub fast_period: usize,
37    pub slow_period: usize,
38    pub signal_period: usize,
39    pub ma_type: MovingAverageType,
40    pub value: f64,
41    pub initialized: bool,
42    fast_ma: Box<dyn MovingAverage + Send + 'static>,
43    slow_ma: Box<dyn MovingAverage + Send + 'static>,
44    signal_ma: Box<dyn MovingAverage + Send + 'static>,
45    has_inputs: bool,
46    hlc3: f64,
47    previous_hlc3: f64,
48}
49
50impl Display for KlingerVolumeOscillator {
51    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
52        write!(
53            f,
54            "{}({},{},{},{})",
55            self.name(),
56            self.fast_period,
57            self.slow_period,
58            self.signal_period,
59            self.ma_type,
60        )
61    }
62}
63
64impl Indicator for KlingerVolumeOscillator {
65    fn name(&self) -> String {
66        stringify!(KlingerVolumeOscillator).to_string()
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_bar(&mut self, bar: &Bar) {
78        self.update_raw(
79            (&bar.high).into(),
80            (&bar.low).into(),
81            (&bar.close).into(),
82            (&bar.volume).into(),
83        );
84    }
85
86    fn reset(&mut self) {
87        self.hlc3 = 0.0;
88        self.previous_hlc3 = 0.0;
89        self.fast_ma.reset();
90        self.slow_ma.reset();
91        self.signal_ma.reset();
92        self.value = 0.0;
93        self.has_inputs = false;
94        self.initialized = false;
95    }
96}
97
98impl KlingerVolumeOscillator {
99    /// Creates a new [`KlingerVolumeOscillator`] instance.
100    #[must_use]
101    pub fn new(
102        fast_period: usize,
103        slow_period: usize,
104        signal_period: usize,
105        ma_type: Option<MovingAverageType>,
106    ) -> Self {
107        Self {
108            fast_period,
109            slow_period,
110            signal_period,
111            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
112            value: 0.0,
113            fast_ma: MovingAverageFactory::create(
114                ma_type.unwrap_or(MovingAverageType::Simple),
115                fast_period,
116            ),
117            slow_ma: MovingAverageFactory::create(
118                ma_type.unwrap_or(MovingAverageType::Simple),
119                slow_period,
120            ),
121            signal_ma: MovingAverageFactory::create(
122                ma_type.unwrap_or(MovingAverageType::Simple),
123                signal_period,
124            ),
125            has_inputs: false,
126            hlc3: 0.0,
127            previous_hlc3: 0.0,
128            initialized: false,
129        }
130    }
131
132    pub fn update_raw(&mut self, high: f64, low: f64, close: f64, volume: f64) {
133        self.hlc3 = (high + low + close) / 3.0;
134        if self.hlc3 > self.previous_hlc3 {
135            self.fast_ma.update_raw(volume);
136            self.slow_ma.update_raw(volume);
137        } else if self.hlc3 < self.previous_hlc3 {
138            self.fast_ma.update_raw(-volume);
139            self.slow_ma.update_raw(-volume);
140        } else {
141            self.fast_ma.update_raw(0.0);
142            self.slow_ma.update_raw(0.0);
143        }
144
145        if self.slow_ma.initialized() {
146            self.signal_ma
147                .update_raw(self.fast_ma.value() - self.slow_ma.value());
148            self.value = self.signal_ma.value();
149        }
150
151        // initialization logic
152        if !self.initialized {
153            self.has_inputs = true;
154
155            if self.signal_ma.initialized() {
156                self.initialized = true;
157            }
158        }
159
160        self.previous_hlc3 = self.hlc3;
161    }
162
163    pub fn _check_initialized(&mut self) {
164        if !self.initialized {
165            self.has_inputs = true;
166
167            if self.signal_ma.initialized() {
168                self.initialized = true;
169            }
170        }
171    }
172}
173
174#[cfg(test)]
175mod tests {
176    use rstest::rstest;
177
178    use super::*;
179    use crate::stubs::kvo_345;
180
181    #[rstest]
182    fn test_name_returns_expected_string(kvo_345: KlingerVolumeOscillator) {
183        assert_eq!(kvo_345.name(), "KlingerVolumeOscillator");
184    }
185
186    #[rstest]
187    fn test_str_repr_returns_expected_string(kvo_345: KlingerVolumeOscillator) {
188        assert_eq!(
189            format!("{kvo_345}"),
190            "KlingerVolumeOscillator(3,4,5,SIMPLE)"
191        );
192    }
193
194    #[rstest]
195    fn test_period_returns_expected_value(kvo_345: KlingerVolumeOscillator) {
196        assert_eq!(kvo_345.fast_period, 3);
197        assert_eq!(kvo_345.slow_period, 4);
198        assert_eq!(kvo_345.signal_period, 5);
199    }
200
201    #[rstest]
202    fn test_initialized_without_inputs_returns_false(kvo_345: KlingerVolumeOscillator) {
203        assert!(!kvo_345.initialized());
204    }
205
206    #[rstest]
207    fn test_value_with_all_higher_inputs_returns_expected_value(
208        mut kvo_345: KlingerVolumeOscillator,
209    ) {
210        let high_values = [1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0];
211        let low_values = [0.9, 1.9, 2.9, 3.9, 4.9, 5.9, 6.9, 7.9, 8.9, 9.9];
212        let close_values = [1.1, 2.1, 3.1, 4.1, 5.1, 6.1, 7.1, 8.1, 9.1, 10.1];
213        let volume_values = [
214            100.0, 200.0, 300.0, 400.0, 500.0, 600.0, 700.0, 800.0, 900.0, 1000.0,
215        ];
216
217        for i in 0..10 {
218            kvo_345.update_raw(
219                high_values[i],
220                low_values[i],
221                close_values[i],
222                volume_values[i],
223            );
224        }
225
226        assert!(kvo_345.initialized());
227        assert_eq!(kvo_345.value, 50.0);
228    }
229
230    #[rstest]
231    fn test_reset_successfully_returns_indicator_to_fresh_state(
232        mut kvo_345: KlingerVolumeOscillator,
233    ) {
234        kvo_345.update_raw(1.00020, 1.00030, 1.00040, 1.00050);
235        kvo_345.update_raw(1.00030, 1.00040, 1.00050, 1.00060);
236        kvo_345.update_raw(1.00050, 1.00060, 1.00070, 1.00080);
237
238        kvo_345.reset();
239
240        assert!(!kvo_345.initialized());
241        assert_eq!(kvo_345.value, 0.0);
242        assert_eq!(kvo_345.hlc3, 0.0);
243        assert_eq!(kvo_345.previous_hlc3, 0.0);
244    }
245}
nautilus_indicators/momentum/kvo.rs

nautilus_indicators/momentum/
kvo.rs
