nautilus_indicators/python/average/
wma.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 nautilus_core::python::{to_pytype_err, to_pyvalue_err};
17use nautilus_model::{
18    data::{Bar, QuoteTick, TradeTick},
19    enums::PriceType,
20};
21use pyo3::{ffi, prelude::*, types::PyString};
22
23use crate::{
24    average::wma::WeightedMovingAverage,
25    indicator::{Indicator, MovingAverage},
26    python::float_precision,
27};
28
29#[pyo3_stub_gen::derive::gen_stub_pymethods]
30#[pymethods]
31impl WeightedMovingAverage {
32    /// An indicator which calculates a weighted moving average across a rolling window.
33    #[new]
34    #[pyo3(signature = (period, weights=None, price_type=None))]
35    pub fn py_new(
36        period: usize,
37        #[gen_stub(override_type(type_repr = "typing.Sequence[float] | None"))] weights: Option<
38            &Bound<'_, PyAny>,
39        >,
40        price_type: Option<PriceType>,
41    ) -> PyResult<Self> {
42        Self::check_period(period).map_err(to_pyvalue_err)?;
43
44        match weights {
45            Some(weights) => {
46                if weights.is_instance_of::<PyString>() {
47                    return Err(to_pytype_err("Can't extract `str` to `Vec`"));
48                }
49
50                #[allow(
51                    unsafe_code,
52                    reason = "preserve PyO3 Vec extraction's sequence predicate for custom Python sequences"
53                )]
54                // SAFETY: weights is a live Python object bound to the interpreter
55                let is_sequence = unsafe { ffi::PySequence_Check(weights.as_ptr()) } != 0;
56                if !is_sequence {
57                    return Err(to_pytype_err("weights must be a sequence"));
58                }
59
60                let mut values = Vec::new();
61
62                // Python length hints are untrusted; consume at most one past the valid window
63                for item in weights.try_iter()?.take(period + 1) {
64                    values.try_reserve(1).map_err(to_pyvalue_err)?;
65                    values.push(item?.extract::<f64>()?);
66                }
67
68                Self::with_weights_checked(period, values, price_type)
69            }
70            None => Self::new_checked(period, price_type),
71        }
72        .map_err(to_pyvalue_err)
73    }
74
75    fn __repr__(&self) -> String {
76        format!("WeightedMovingAverage({},{:?})", self.period, self.weights)
77    }
78
79    #[getter]
80    #[pyo3(name = "name")]
81    fn py_name(&self) -> String {
82        self.name()
83    }
84
85    #[getter]
86    #[pyo3(name = "period")]
87    const fn py_period(&self) -> usize {
88        self.period
89    }
90
91    #[getter]
92    #[pyo3(name = "price_type")]
93    const fn py_price_type(&self) -> PriceType {
94        self.price_type
95    }
96
97    #[getter]
98    #[pyo3(name = "value")]
99    const fn py_value(&self) -> f64 {
100        self.value
101    }
102
103    #[getter]
104    #[pyo3(name = "weights")]
105    fn py_weights(&self) -> Vec<f64> {
106        self.weights.clone()
107    }
108
109    #[getter]
110    #[pyo3(name = "count")]
111    fn py_count(&self) -> usize {
112        self.count()
113    }
114
115    #[getter]
116    #[pyo3(name = "has_inputs")]
117    fn py_has_inputs(&self) -> bool {
118        self.has_inputs()
119    }
120
121    #[getter]
122    #[pyo3(name = "initialized")]
123    const fn py_initialized(&self) -> bool {
124        self.initialized
125    }
126
127    #[pyo3(name = "handle_quote_tick")]
128    fn py_handle_quote_tick(&mut self, quote: &QuoteTick) -> PyResult<()> {
129        float_precision::check_quote(quote)?;
130        self.handle_quote(quote).map_err(to_pyvalue_err)
131    }
132
133    #[pyo3(name = "handle_trade_tick")]
134    fn py_handle_trade_tick(&mut self, trade: &TradeTick) -> PyResult<()> {
135        float_precision::check_trade(trade)?;
136        self.handle_trade(trade);
137        Ok(())
138    }
139
140    #[pyo3(name = "handle_bar")]
141    fn py_handle_bar(&mut self, bar: &Bar) -> PyResult<()> {
142        float_precision::check_bar(bar)?;
143        self.handle_bar(bar);
144        Ok(())
145    }
146
147    #[pyo3(name = "reset")]
148    fn py_reset(&mut self) {
149        self.reset();
150    }
151
152    #[pyo3(name = "update_raw")]
153    fn py_update_raw(&mut self, value: f64) {
154        self.update_raw(value);
155    }
156}
nautilus_indicators/python/average/wma.rs

nautilus_indicators/python/average/
wma.rs
