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.core.nautilus_pyo3.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) {
79        self.update_raw(quote.extract_price(self.price_type).into());
80    }
81
82    fn handle_trade(&mut self, trade: &TradeTick) {
83        self.update_raw((&trade.price).into());
84    }
85
86    fn handle_bar(&mut self, bar: &Bar) {
87        self.update_raw((&bar.close).into());
88    }
89
90    fn reset(&mut self) {
91        self.value = 0.0;
92        self.fast_ma.reset();
93        self.slow_ma.reset();
94        self.has_inputs = false;
95        self.initialized = false;
96    }
97}
98
99impl MovingAverageConvergenceDivergence {
100    /// Creates a new [`MovingAverageConvergenceDivergence`] instance.
101    #[must_use]
102    pub fn new(
103        fast_period: usize,
104        slow_period: usize,
105        ma_type: Option<MovingAverageType>,
106        price_type: Option<PriceType>,
107    ) -> Self {
108        Self {
109            fast_period,
110            slow_period,
111            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
112            price_type: price_type.unwrap_or(PriceType::Last),
113            value: 0.0,
114            count: 0,
115            initialized: false,
116            has_inputs: false,
117            fast_ma: MovingAverageFactory::create(
118                ma_type.unwrap_or(MovingAverageType::Simple),
119                fast_period,
120            ),
121            slow_ma: MovingAverageFactory::create(
122                ma_type.unwrap_or(MovingAverageType::Simple),
123                slow_period,
124            ),
125        }
126    }
127}
128
129impl MovingAverage for MovingAverageConvergenceDivergence {
130    fn value(&self) -> f64 {
131        self.value
132    }
133
134    fn count(&self) -> usize {
135        self.count
136    }
137
138    fn update_raw(&mut self, close: f64) {
139        self.fast_ma.update_raw(close);
140        self.slow_ma.update_raw(close);
141        self.value = self.fast_ma.value() - self.slow_ma.value();
142
143        // Initialization logic
144        if !self.initialized {
145            self.has_inputs = true;
146
147            if self.fast_ma.initialized() && self.slow_ma.initialized() {
148                self.initialized = true;
149            }
150        }
151    }
152}
153
154#[cfg(test)]
155mod tests {
156    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
157    use rstest::rstest;
158
159    use crate::{
160        indicator::{Indicator, MovingAverage},
161        momentum::macd::MovingAverageConvergenceDivergence,
162        stubs::*,
163        testing::approx_equal,
164    };
165
166    #[rstest]
167    fn test_macd_initialized(macd_10: MovingAverageConvergenceDivergence) {
168        let display_st = format!("{macd_10}");
169        assert_eq!(
170            display_st,
171            "MovingAverageConvergenceDivergence(10,8,SIMPLE,BID)"
172        );
173        assert_eq!(macd_10.fast_period, 10);
174        assert_eq!(macd_10.slow_period, 8);
175        assert!(!macd_10.initialized());
176        assert!(!macd_10.has_inputs());
177    }
178
179    #[rstest]
180    fn test_initialized_with_required_input(mut macd_10: MovingAverageConvergenceDivergence) {
181        for i in 1..10 {
182            macd_10.update_raw(f64::from(i));
183        }
184        assert!(!macd_10.initialized);
185        macd_10.update_raw(10.0);
186        assert!(macd_10.initialized);
187    }
188
189    #[rstest]
190    fn test_value_with_one_input(mut macd_10: MovingAverageConvergenceDivergence) {
191        macd_10.update_raw(1.0);
192        assert_eq!(macd_10.value, 0.0);
193    }
194
195    #[rstest]
196    fn test_value_with_three_inputs(mut macd_10: MovingAverageConvergenceDivergence) {
197        macd_10.update_raw(1.0);
198        macd_10.update_raw(2.0);
199        macd_10.update_raw(3.0);
200        assert_eq!(macd_10.value, 0.0);
201    }
202
203    #[rstest]
204    fn test_value_with_ten_inputs(mut macd_10: MovingAverageConvergenceDivergence) {
205        macd_10.update_raw(1.00000);
206        macd_10.update_raw(1.00010);
207        macd_10.update_raw(1.00020);
208        macd_10.update_raw(1.00030);
209        macd_10.update_raw(1.00040);
210        macd_10.update_raw(1.00050);
211        macd_10.update_raw(1.00040);
212        macd_10.update_raw(1.00030);
213        macd_10.update_raw(1.00020);
214        macd_10.update_raw(1.00010);
215        macd_10.update_raw(1.00000);
216        assert!(
217            approx_equal(macd_10.value, -2.5e-5),
218            "MACD value {:.17e} not within tolerance of –2.5e-5",
219            macd_10.value
220        );
221    }
222
223    #[rstest]
224    fn test_handle_quote_tick(
225        mut macd_10: MovingAverageConvergenceDivergence,
226        stub_quote: QuoteTick,
227    ) {
228        macd_10.handle_quote(&stub_quote);
229        assert_eq!(macd_10.value, 0.0);
230    }
231
232    #[rstest]
233    fn test_handle_trade_tick(
234        mut macd_10: MovingAverageConvergenceDivergence,
235        stub_trade: TradeTick,
236    ) {
237        macd_10.handle_trade(&stub_trade);
238        assert_eq!(macd_10.value, 0.0);
239    }
240
241    #[rstest]
242    fn test_handle_bar(
243        mut macd_10: MovingAverageConvergenceDivergence,
244        bar_ethusdt_binance_minute_bid: Bar,
245    ) {
246        macd_10.handle_bar(&bar_ethusdt_binance_minute_bid);
247        assert_eq!(macd_10.value, 0.0);
248        assert!(!macd_10.initialized);
249    }
250
251    #[rstest]
252    fn test_reset(mut macd_10: MovingAverageConvergenceDivergence) {
253        macd_10.update_raw(1.0);
254        macd_10.reset();
255        assert_eq!(macd_10.value, 0.0);
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}
nautilus_indicators/momentum/macd.rs

nautilus_indicators/momentum/
macd.rs
