nautilus_indicators/momentum/
macd.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::Display;
17
18use nautilus_model::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::{
24    average::{MovingAverageFactory, MovingAverageType},
25    indicator::{Indicator, MovingAverage},
26};
27
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 MovingAverageConvergenceDivergence {
39    pub fast_period: usize,
40    pub slow_period: usize,
41    pub ma_type: MovingAverageType,
42    pub count: usize,
43    pub price_type: PriceType,
44    pub value: f64,
45    pub initialized: bool,
46    has_inputs: bool,
47    fast_ma: Box<dyn MovingAverage + Send + 'static>,
48    slow_ma: Box<dyn MovingAverage + Send + 'static>,
49}
50
51impl Display for MovingAverageConvergenceDivergence {
52    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
53        write!(
54            f,
55            "{}({},{},{},{})",
56            self.name(),
57            self.fast_period,
58            self.slow_period,
59            self.ma_type,
60            self.price_type
61        )
62    }
63}
64
65impl Indicator for MovingAverageConvergenceDivergence {
66    fn name(&self) -> String {
67        stringify!(MovingAverageConvergenceDivergence).to_string()
68    }
69
70    fn has_inputs(&self) -> bool {
71        self.has_inputs
72    }
73
74    fn initialized(&self) -> bool {
75        self.initialized
76    }
77
78    fn handle_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {
79        self.update_raw(quote.extract_price(self.price_type)?.into());
80        Ok(())
81    }
82
83    fn handle_trade(&mut self, trade: &TradeTick) {
84        self.update_raw((&trade.price).into());
85    }
86
87    fn handle_bar(&mut self, bar: &Bar) {
88        self.update_raw((&bar.close).into());
89    }
90
91    fn reset(&mut self) {
92        self.value = 0.0;
93        self.count = 0;
94        self.fast_ma.reset();
95        self.slow_ma.reset();
96        self.has_inputs = false;
97        self.initialized = false;
98    }
99}
100
101impl MovingAverageConvergenceDivergence {
102    /// Creates a new [`MovingAverageConvergenceDivergence`] instance.
103    #[must_use]
104    pub fn new(
105        fast_period: usize,
106        slow_period: usize,
107        ma_type: Option<MovingAverageType>,
108        price_type: Option<PriceType>,
109    ) -> Self {
110        Self {
111            fast_period,
112            slow_period,
113            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
114            price_type: price_type.unwrap_or(PriceType::Last),
115            value: 0.0,
116            count: 0,
117            initialized: false,
118            has_inputs: false,
119            fast_ma: MovingAverageFactory::create(
120                ma_type.unwrap_or(MovingAverageType::Simple),
121                fast_period,
122            ),
123            slow_ma: MovingAverageFactory::create(
124                ma_type.unwrap_or(MovingAverageType::Simple),
125                slow_period,
126            ),
127        }
128    }
129}
130
131impl MovingAverage for MovingAverageConvergenceDivergence {
132    fn value(&self) -> f64 {
133        self.value
134    }
135
136    fn count(&self) -> usize {
137        self.count
138    }
139
140    fn update_raw(&mut self, close: f64) {
141        self.fast_ma.update_raw(close);
142        self.slow_ma.update_raw(close);
143        self.value = self.fast_ma.value() - self.slow_ma.value();
144        self.count += 1;
145
146        // Initialization logic
147        if !self.initialized {
148            self.has_inputs = true;
149
150            if self.fast_ma.initialized() && self.slow_ma.initialized() {
151                self.initialized = true;
152            }
153        }
154    }
155}
156
157#[cfg(test)]
158mod tests {
159    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
160    use rstest::rstest;
161
162    use crate::{
163        indicator::{Indicator, MovingAverage},
164        momentum::macd::MovingAverageConvergenceDivergence,
165        stubs::*,
166        testing::assert_approx_equal,
167    };
168
169    #[rstest]
170    fn test_macd_initialized(macd_10: MovingAverageConvergenceDivergence) {
171        let display_st = format!("{macd_10}");
172        assert_eq!(
173            display_st,
174            "MovingAverageConvergenceDivergence(10,8,SIMPLE,BID)"
175        );
176        assert_eq!(macd_10.fast_period, 10);
177        assert_eq!(macd_10.slow_period, 8);
178        assert!(!macd_10.initialized());
179        assert!(!macd_10.has_inputs());
180    }
181
182    #[rstest]
183    fn test_initialized_with_required_input(mut macd_10: MovingAverageConvergenceDivergence) {
184        for i in 1..10 {
185            macd_10.update_raw(f64::from(i));
186        }
187        assert!(!macd_10.initialized);
188        macd_10.update_raw(10.0);
189        assert!(macd_10.initialized);
190    }
191
192    #[rstest]
193    fn test_value_with_one_input(mut macd_10: MovingAverageConvergenceDivergence) {
194        macd_10.update_raw(1.0);
195        assert_eq!(macd_10.value, 0.0);
196    }
197
198    #[rstest]
199    fn test_value_with_three_inputs(mut macd_10: MovingAverageConvergenceDivergence) {
200        macd_10.update_raw(1.0);
201        macd_10.update_raw(2.0);
202        macd_10.update_raw(3.0);
203        assert_eq!(macd_10.value, 0.0);
204    }
205
206    #[rstest]
207    fn test_value_with_ten_inputs(mut macd_10: MovingAverageConvergenceDivergence) {
208        macd_10.update_raw(1.00000);
209        macd_10.update_raw(1.00010);
210        macd_10.update_raw(1.00020);
211        macd_10.update_raw(1.00030);
212        macd_10.update_raw(1.00040);
213        macd_10.update_raw(1.00050);
214        macd_10.update_raw(1.00040);
215        macd_10.update_raw(1.00030);
216        macd_10.update_raw(1.00020);
217        macd_10.update_raw(1.00010);
218        macd_10.update_raw(1.00000);
219        assert_approx_equal(macd_10.value, -2.5e-5);
220    }
221
222    #[rstest]
223    fn test_handle_quote_tick(
224        mut macd_10: MovingAverageConvergenceDivergence,
225        stub_quote: QuoteTick,
226    ) {
227        macd_10.handle_quote(&stub_quote).unwrap();
228        assert_eq!(macd_10.value, 0.0);
229    }
230
231    #[rstest]
232    fn test_handle_trade_tick(
233        mut macd_10: MovingAverageConvergenceDivergence,
234        stub_trade: TradeTick,
235    ) {
236        macd_10.handle_trade(&stub_trade);
237        assert_eq!(macd_10.value, 0.0);
238    }
239
240    #[rstest]
241    fn test_handle_bar(
242        mut macd_10: MovingAverageConvergenceDivergence,
243        bar_ethusdt_binance_minute_bid: Bar,
244    ) {
245        macd_10.handle_bar(&bar_ethusdt_binance_minute_bid);
246        assert_eq!(macd_10.value, 0.0);
247        assert!(!macd_10.initialized);
248    }
249
250    #[rstest]
251    fn test_reset(mut macd_10: MovingAverageConvergenceDivergence) {
252        macd_10.update_raw(1.0);
253        macd_10.reset();
254        assert_eq!(macd_10.value, 0.0);
255        assert_eq!(macd_10.count, 0);
256        assert_eq!(macd_10.fast_ma.value(), 0.0);
257        assert_eq!(macd_10.slow_ma.value(), 0.0);
258        assert!(!macd_10.has_inputs);
259        assert!(!macd_10.initialized);
260    }
261
262    #[rstest]
263    fn count_matches_inputs(mut macd_10: MovingAverageConvergenceDivergence) {
264        assert_eq!(macd_10.count(), 0);
265
266        for i in 1..=12 {
267            macd_10.update_raw(f64::from(i));
268            assert_eq!(macd_10.count(), i as usize);
269        }
270    }
271}
nautilus_indicators/momentum/macd.rs

nautilus_indicators/momentum/
macd.rs
