nautilus_indicators/momentum/
vhf.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::{collections::VecDeque, fmt::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/// Vertical horizontal filter.
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 VerticalHorizontalFilter {
39    pub period: usize,
40    pub ma_type: MovingAverageType,
41    pub value: f64,
42    pub initialized: bool,
43    ma: Box<dyn MovingAverage + Send + 'static>,
44    has_inputs: bool,
45    previous_close: f64,
46    prices: VecDeque<f64>,
47}
48
49impl Display for VerticalHorizontalFilter {
50    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
51        write!(f, "{}({},{})", self.name(), self.period, self.ma_type)
52    }
53}
54
55impl Indicator for VerticalHorizontalFilter {
56    fn name(&self) -> String {
57        stringify!(VerticalHorizontalFilter).to_string()
58    }
59
60    fn has_inputs(&self) -> bool {
61        self.has_inputs
62    }
63
64    fn initialized(&self) -> bool {
65        self.initialized
66    }
67
68    fn handle_quote(&mut self, _quote: &QuoteTick) -> anyhow::Result<()> {
69        Ok(())
70    }
71
72    fn handle_trade(&mut self, _trade: &TradeTick) {}
73
74    fn handle_bar(&mut self, bar: &Bar) {
75        self.update_raw((&bar.close).into());
76    }
77
78    fn reset(&mut self) {
79        self.prices.clear();
80        self.ma.reset();
81        self.previous_close = 0.0;
82        self.value = 0.0;
83        self.has_inputs = false;
84        self.initialized = false;
85    }
86}
87
88impl VerticalHorizontalFilter {
89    /// Creates a new [`VerticalHorizontalFilter`] instance.
90    ///
91    /// # Panics
92    ///
93    /// Panics if:
94    /// - `period` is less than or equal to 0.
95    /// - `period` exceeds `MAX_PERIOD`.
96    #[must_use]
97    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
98        Self::new_checked(period, ma_type).expect(FAILED)
99    }
100
101    pub(crate) fn new_checked(
102        period: usize,
103        ma_type: Option<MovingAverageType>,
104    ) -> anyhow::Result<Self> {
105        anyhow::ensure!(
106            period > 0 && period <= MAX_PERIOD,
107            "VerticalHorizontalFilter: period {period} exceeds MAX_PERIOD ({MAX_PERIOD})"
108        );
109
110        let ma_kind = ma_type.unwrap_or(MovingAverageType::Simple);
111
112        Ok(Self {
113            period,
114            ma_type: ma_kind,
115            value: 0.0,
116            previous_close: 0.0,
117            ma: MovingAverageFactory::create(ma_kind, period),
118            has_inputs: false,
119            initialized: false,
120            prices: VecDeque::with_capacity(period),
121        })
122    }
123
124    pub fn update_raw(&mut self, close: f64) {
125        if !close.is_finite() {
126            return;
127        }
128
129        if !self.has_inputs {
130            // The first input only establishes the previous close; no price
131            // change exists yet, so nothing is fed to the movement average
132            self.has_inputs = true;
133            self.previous_close = close;
134            self.prices.push_back(close);
135            return;
136        }
137
138        if self.prices.len() == self.period {
139            let _ = self.prices.pop_front();
140        }
141
142        self.prices.push_back(close);
143
144        let max_price = self
145            .prices
146            .iter()
147            .copied()
148            .fold(f64::NEG_INFINITY, f64::max);
149
150        let min_price = self.prices.iter().copied().fold(f64::INFINITY, f64::min);
151
152        self.ma.update_raw(f64::abs(close - self.previous_close));
153
154        if self.ma.initialized() {
155            // A flat window has zero summed movement; emit 0 by the standard
156            // convention instead of dividing to infinity/NaN
157            if self.ma.value() == 0.0 {
158                self.value = 0.0;
159            } else {
160                self.value = f64::abs(max_price - min_price) / self.period as f64 / self.ma.value();
161            }
162        }
163
164        self.previous_close = close;
165        self.check_initialized();
166    }
167
168    pub fn check_initialized(&mut self) {
169        if !self.initialized {
170            self.has_inputs = true;
171
172            if self.ma.initialized() {
173                self.initialized = true;
174            }
175        }
176    }
177}
178
179#[cfg(test)]
180mod tests {
181    use nautilus_model::data::Bar;
182    use rstest::rstest;
183
184    use crate::{indicator::Indicator, momentum::vhf::VerticalHorizontalFilter, stubs::*};
185
186    #[rstest]
187    fn test_dema_initialized(vhf_10: VerticalHorizontalFilter) {
188        let display_str = format!("{vhf_10}");
189        assert_eq!(display_str, "VerticalHorizontalFilter(10,SIMPLE)");
190        assert_eq!(vhf_10.period, 10);
191        assert!(!vhf_10.initialized);
192        assert!(!vhf_10.has_inputs);
193    }
194
195    #[rstest]
196    fn test_value_with_one_input(mut vhf_10: VerticalHorizontalFilter) {
197        vhf_10.update_raw(1.0);
198        assert_eq!(vhf_10.value, 0.0);
199    }
200
201    #[rstest]
202    fn test_value_with_three_inputs(mut vhf_10: VerticalHorizontalFilter) {
203        vhf_10.update_raw(1.0);
204        vhf_10.update_raw(2.0);
205        vhf_10.update_raw(3.0);
206        assert_eq!(vhf_10.value, 0.0);
207    }
208
209    #[rstest]
210    fn test_value_with_ten_inputs(mut vhf_10: VerticalHorizontalFilter) {
211        vhf_10.update_raw(1.00000);
212        vhf_10.update_raw(1.00010);
213        vhf_10.update_raw(1.00020);
214        vhf_10.update_raw(1.00030);
215        vhf_10.update_raw(1.00040);
216        vhf_10.update_raw(1.00050);
217        vhf_10.update_raw(1.00040);
218        vhf_10.update_raw(1.00030);
219        vhf_10.update_raw(1.00020);
220        vhf_10.update_raw(1.00010);
221        vhf_10.update_raw(1.00000);
222        assert_eq!(vhf_10.value, 0.5);
223    }
224
225    #[rstest]
226    fn test_initialized_with_required_input(mut vhf_10: VerticalHorizontalFilter) {
227        // The first input has no price change, so the movement average needs
228        // period + 1 = 11 inputs
229        for i in 1..=10 {
230            vhf_10.update_raw(f64::from(i));
231            assert!(!vhf_10.initialized);
232        }
233        vhf_10.update_raw(11.0);
234        assert!(vhf_10.initialized);
235    }
236
237    #[rstest]
238    fn test_handle_bar(mut vhf_10: VerticalHorizontalFilter, bar_ethusdt_binance_minute_bid: Bar) {
239        vhf_10.handle_bar(&bar_ethusdt_binance_minute_bid);
240        assert_eq!(vhf_10.value, 0.0);
241        assert!(vhf_10.has_inputs);
242        assert!(!vhf_10.initialized);
243    }
244
245    #[rstest]
246    fn test_reset(mut vhf_10: VerticalHorizontalFilter) {
247        vhf_10.update_raw(1.0);
248        assert_eq!(vhf_10.prices.len(), 1);
249        vhf_10.reset();
250        assert_eq!(vhf_10.value, 0.0);
251        assert_eq!(vhf_10.prices.len(), 0);
252        assert!(!vhf_10.has_inputs);
253        assert!(!vhf_10.initialized);
254    }
255
256    #[rstest]
257    fn test_value_respects_period_window() {
258        let mut vhf = VerticalHorizontalFilter::new(3, None);
259
260        vhf.update_raw(100.0); // Early spike must leave the 3-period window
261        vhf.update_raw(1.0);
262        vhf.update_raw(2.0);
263        vhf.update_raw(3.0);
264        vhf.update_raw(4.0);
265
266        // Window is now [2, 3, 4]: |max - min| = 2, and the SMA(3) of the last
267        // three absolute price changes (1, 1, 1) is 1, so value = 2 / 3 / 1.
268        assert_eq!(vhf.value, 2.0 / 3.0);
269    }
270
271    #[rstest]
272    fn test_value_is_zero_for_flat_prices(mut vhf_10: VerticalHorizontalFilter) {
273        for _ in 0..20 {
274            vhf_10.update_raw(100.0);
275        }
276
277        assert!(vhf_10.initialized);
278        assert_eq!(vhf_10.value, 0.0);
279    }
280}
nautilus_indicators/momentum/vhf.rs

nautilus_indicators/momentum/
vhf.rs
