nautilus_indicators/python/ratio/
spread_analyzer.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_model::{data::QuoteTick, identifiers::InstrumentId};
17use pyo3::prelude::*;
18
19use crate::{indicator::Indicator, ratio::spread_analyzer::SpreadAnalyzer};
20
21#[pymethods]
22#[pyo3_stub_gen::derive::gen_stub_pymethods]
23impl SpreadAnalyzer {
24    /// An indicator which calculates the efficiency ratio across a rolling window.
25    ///
26    /// The Kaufman Efficiency measures the ratio of the relative market speed in
27    /// relation to the volatility, this could be thought of as a proxy for noise.
28    #[new]
29    fn py_new(instrument_id: InstrumentId, capacity: usize) -> Self {
30        Self::new(capacity, instrument_id)
31    }
32
33    fn __repr__(&self) -> String {
34        format!("SpreadAnalyzer({})", self.capacity)
35    }
36
37    #[getter]
38    #[pyo3(name = "name")]
39    fn py_name(&self) -> String {
40        self.name()
41    }
42
43    #[getter]
44    #[pyo3(name = "capacity")]
45    const fn py_capacity(&self) -> usize {
46        self.capacity
47    }
48
49    #[getter]
50    #[pyo3(name = "current")]
51    const fn py_current(&self) -> f64 {
52        self.current
53    }
54
55    #[getter]
56    #[pyo3(name = "average")]
57    const fn py_average(&self) -> f64 {
58        self.average
59    }
60
61    #[getter]
62    #[pyo3(name = "initialized")]
63    const fn py_initialized(&self) -> bool {
64        self.initialized
65    }
66
67    #[getter]
68    #[pyo3(name = "has_inputs")]
69    fn py_has_inputs(&self) -> bool {
70        self.has_inputs()
71    }
72
73    #[pyo3(name = "handle_quote_tick")]
74    fn py_handle_quote_tick(&mut self, quote: &QuoteTick) {
75        self.handle_quote(quote);
76    }
77
78    #[pyo3(name = "reset")]
79    fn py_reset(&mut self) {
80        self.reset();
81    }
82}
nautilus_indicators/python/ratio/spread_analyzer.rs

nautilus_indicators/python/ratio/
spread_analyzer.rs
