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::fmt::Display;
17
18use arraydeque::{ArrayDeque, Wrapping};
19use nautilus_model::data::Bar;
20
21use crate::{
22    average::{MovingAverageFactory, MovingAverageType},
23    indicator::{Indicator, MovingAverage},
24};
25
26const MAX_PERIOD: usize = 1_024;
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 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: ArrayDeque<f64, MAX_PERIOD, Wrapping>,
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_bar(&mut self, bar: &Bar) {
69        self.update_raw((&bar.close).into());
70    }
71
72    fn reset(&mut self) {
73        self.prices.clear();
74        self.ma.reset();
75        self.previous_close = 0.0;
76        self.value = 0.0;
77        self.has_inputs = false;
78        self.initialized = false;
79    }
80}
81
82impl VerticalHorizontalFilter {
83    /// Creates a new [`VerticalHorizontalFilter`] instance.
84    ///
85    /// # Panics
86    ///
87    /// This function panics if:
88    /// - `period` is less than or equal to 0.
89    /// - `period` exceeds `MAX_PERIOD`.
90    #[must_use]
91    pub fn new(period: usize, ma_type: Option<MovingAverageType>) -> Self {
92        assert!(
93            period > 0 && period <= MAX_PERIOD,
94            "VerticalHorizontalFilter: period {period} exceeds MAX_PERIOD ({MAX_PERIOD})"
95        );
96
97        let ma_kind = ma_type.unwrap_or(MovingAverageType::Simple);
98
99        Self {
100            period,
101            ma_type: ma_kind,
102            value: 0.0,
103            previous_close: 0.0,
104            ma: MovingAverageFactory::create(ma_kind, period),
105            has_inputs: false,
106            initialized: false,
107            prices: ArrayDeque::new(),
108        }
109    }
110
111    pub fn update_raw(&mut self, close: f64) {
112        if !self.has_inputs {
113            self.previous_close = close;
114        }
115
116        if self.prices.len() == self.period {
117            let _ = self.prices.pop_front();
118        }
119
120        let _ = self.prices.push_back(close);
121
122        let max_price = self
123            .prices
124            .iter()
125            .copied()
126            .fold(f64::NEG_INFINITY, f64::max);
127
128        let min_price = self.prices.iter().copied().fold(f64::INFINITY, f64::min);
129
130        self.ma.update_raw(f64::abs(close - self.previous_close));
131
132        if self.initialized {
133            self.value = f64::abs(max_price - min_price) / self.period as f64 / self.ma.value();
134        }
135
136        self.previous_close = close;
137        self.check_initialized();
138    }
139
140    pub fn check_initialized(&mut self) {
141        if !self.initialized {
142            self.has_inputs = true;
143
144            if self.ma.initialized() {
145                self.initialized = true;
146            }
147        }
148    }
149}
150
151#[cfg(test)]
152mod tests {
153    use nautilus_model::data::Bar;
154    use rstest::rstest;
155
156    use crate::{indicator::Indicator, momentum::vhf::VerticalHorizontalFilter, stubs::*};
157
158    #[rstest]
159    fn test_dema_initialized(vhf_10: VerticalHorizontalFilter) {
160        let display_str = format!("{vhf_10}");
161        assert_eq!(display_str, "VerticalHorizontalFilter(10,SIMPLE)");
162        assert_eq!(vhf_10.period, 10);
163        assert!(!vhf_10.initialized);
164        assert!(!vhf_10.has_inputs);
165    }
166
167    #[rstest]
168    fn test_value_with_one_input(mut vhf_10: VerticalHorizontalFilter) {
169        vhf_10.update_raw(1.0);
170        assert_eq!(vhf_10.value, 0.0);
171    }
172
173    #[rstest]
174    fn test_value_with_three_inputs(mut vhf_10: VerticalHorizontalFilter) {
175        vhf_10.update_raw(1.0);
176        vhf_10.update_raw(2.0);
177        vhf_10.update_raw(3.0);
178        assert_eq!(vhf_10.value, 0.0);
179    }
180
181    #[rstest]
182    fn test_value_with_ten_inputs(mut vhf_10: VerticalHorizontalFilter) {
183        vhf_10.update_raw(1.00000);
184        vhf_10.update_raw(1.00010);
185        vhf_10.update_raw(1.00020);
186        vhf_10.update_raw(1.00030);
187        vhf_10.update_raw(1.00040);
188        vhf_10.update_raw(1.00050);
189        vhf_10.update_raw(1.00040);
190        vhf_10.update_raw(1.00030);
191        vhf_10.update_raw(1.00020);
192        vhf_10.update_raw(1.00010);
193        vhf_10.update_raw(1.00000);
194        assert_eq!(vhf_10.value, 0.5);
195    }
196
197    #[rstest]
198    fn test_initialized_with_required_input(mut vhf_10: VerticalHorizontalFilter) {
199        for i in 1..10 {
200            vhf_10.update_raw(f64::from(i));
201        }
202        assert!(!vhf_10.initialized);
203        vhf_10.update_raw(10.0);
204        assert!(vhf_10.initialized);
205    }
206
207    #[rstest]
208    fn test_handle_bar(mut vhf_10: VerticalHorizontalFilter, bar_ethusdt_binance_minute_bid: Bar) {
209        vhf_10.handle_bar(&bar_ethusdt_binance_minute_bid);
210        assert_eq!(vhf_10.value, 0.0);
211        assert!(vhf_10.has_inputs);
212        assert!(!vhf_10.initialized);
213    }
214
215    #[rstest]
216    fn test_reset(mut vhf_10: VerticalHorizontalFilter) {
217        vhf_10.update_raw(1.0);
218        assert_eq!(vhf_10.prices.len(), 1);
219        vhf_10.reset();
220        assert_eq!(vhf_10.value, 0.0);
221        assert_eq!(vhf_10.prices.len(), 0);
222        assert!(!vhf_10.has_inputs);
223        assert!(!vhf_10.initialized);
224    }
225
226    #[rstest]
227    fn test_value_respects_period_window() {
228        let mut vhf = VerticalHorizontalFilter::new(3, None);
229
230        vhf.update_raw(100.0); // Early spike must leave the 3-period window
231        vhf.update_raw(1.0);
232        vhf.update_raw(2.0);
233        vhf.update_raw(3.0);
234        vhf.update_raw(4.0);
235
236        // Window is now [2, 3, 4]: |max - min| = 2, and the SMA(3) of the last
237        // three absolute price changes (1, 1, 1) is 1, so value = 2 / 3 / 1.
238        assert_eq!(vhf.value, 2.0 / 3.0);
239    }
240}
nautilus_indicators/momentum/vhf.rs

nautilus_indicators/momentum/
vhf.rs
