nautilus_indicators/ratio/
efficiency_ratio.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::indicator::Indicator;
24
25/// An indicator which calculates the efficiency ratio across a rolling window.
26///
27/// The Kaufman Efficiency measures the ratio of the relative market speed in
28/// relation to the volatility, this could be thought of as a proxy for noise.
29#[repr(C)]
30#[derive(Debug)]
31#[cfg_attr(
32    feature = "python",
33    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
34)]
35#[cfg_attr(
36    feature = "python",
37    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
38)]
39pub struct EfficiencyRatio {
40    /// The rolling window period for the indicator (>= 2).
41    pub period: usize,
42    pub price_type: PriceType,
43    pub value: f64,
44    pub inputs: Vec<f64>,
45    pub initialized: bool,
46    deltas: Vec<f64>,
47}
48
49impl Display for EfficiencyRatio {
50    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
51        write!(f, "{}({})", self.name(), self.period,)
52    }
53}
54
55impl Indicator for EfficiencyRatio {
56    fn name(&self) -> String {
57        stringify!(EfficiencyRatio).to_string()
58    }
59
60    fn has_inputs(&self) -> bool {
61        !self.inputs.is_empty()
62    }
63    fn initialized(&self) -> bool {
64        self.initialized
65    }
66
67    fn handle_quote(&mut self, quote: &QuoteTick) {
68        self.update_raw(quote.extract_price(self.price_type).into());
69    }
70
71    fn handle_trade(&mut self, trade: &TradeTick) {
72        self.update_raw((&trade.price).into());
73    }
74
75    fn handle_bar(&mut self, bar: &Bar) {
76        self.update_raw((&bar.close).into());
77    }
78
79    fn reset(&mut self) {
80        self.value = 0.0;
81        self.inputs.clear();
82        self.initialized = false;
83    }
84}
85
86impl EfficiencyRatio {
87    /// Creates a new [`EfficiencyRatio`] instance.
88    #[must_use]
89    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
90        Self {
91            period,
92            price_type: price_type.unwrap_or(PriceType::Last),
93            value: 0.0,
94            inputs: Vec::with_capacity(period),
95            deltas: Vec::with_capacity(period),
96            initialized: false,
97        }
98    }
99
100    pub fn update_raw(&mut self, value: f64) {
101        self.inputs.push(value);
102        if self.inputs.len() < 2 {
103            self.value = 0.0;
104            return;
105        } else if !self.initialized && self.inputs.len() >= self.period {
106            self.initialized = true;
107        }
108        let last_diff =
109            (self.inputs[self.inputs.len() - 1] - self.inputs[self.inputs.len() - 2]).abs();
110        self.deltas.push(last_diff);
111        let sum_deltas = self.deltas.iter().sum::<f64>().abs();
112        let net_diff = (self.inputs[self.inputs.len() - 1] - self.inputs[0]).abs();
113        self.value = if sum_deltas == 0.0 {
114            0.0
115        } else {
116            net_diff / sum_deltas
117        };
118    }
119}
120
121#[cfg(test)]
122mod tests {
123
124    use rstest::rstest;
125
126    use crate::{indicator::Indicator, ratio::efficiency_ratio::EfficiencyRatio, stubs::*};
127
128    #[rstest]
129    fn test_efficiency_ratio_initialized(efficiency_ratio_10: EfficiencyRatio) {
130        let display_str = format!("{efficiency_ratio_10}");
131        assert_eq!(display_str, "EfficiencyRatio(10)");
132        assert_eq!(efficiency_ratio_10.period, 10);
133        assert!(!efficiency_ratio_10.initialized);
134    }
135
136    #[rstest]
137    fn test_with_correct_number_of_required_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
138        for i in 1..10 {
139            efficiency_ratio_10.update_raw(f64::from(i));
140        }
141        assert_eq!(efficiency_ratio_10.inputs.len(), 9);
142        assert!(!efficiency_ratio_10.initialized);
143        efficiency_ratio_10.update_raw(1.0);
144        assert_eq!(efficiency_ratio_10.inputs.len(), 10);
145        assert!(efficiency_ratio_10.initialized);
146    }
147
148    #[rstest]
149    fn test_value_with_one_input(mut efficiency_ratio_10: EfficiencyRatio) {
150        efficiency_ratio_10.update_raw(1.0);
151        assert_eq!(efficiency_ratio_10.value, 0.0);
152    }
153
154    #[rstest]
155    fn test_value_with_efficient_higher_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
156        let mut initial_price = 1.0;
157        for _ in 1..=10 {
158            initial_price += 0.0001;
159            efficiency_ratio_10.update_raw(initial_price);
160        }
161        assert_eq!(efficiency_ratio_10.value, 1.0);
162    }
163
164    #[rstest]
165    fn test_value_with_efficient_lower_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
166        let mut initial_price = 1.0;
167        for _ in 1..=10 {
168            initial_price -= 0.0001;
169            efficiency_ratio_10.update_raw(initial_price);
170        }
171        assert_eq!(efficiency_ratio_10.value, 1.0);
172    }
173
174    #[rstest]
175    fn test_value_with_oscillating_inputs_returns_zero(mut efficiency_ratio_10: EfficiencyRatio) {
176        efficiency_ratio_10.update_raw(1.00000);
177        efficiency_ratio_10.update_raw(1.00010);
178        efficiency_ratio_10.update_raw(1.00000);
179        efficiency_ratio_10.update_raw(0.99990);
180        efficiency_ratio_10.update_raw(1.00000);
181        assert_eq!(efficiency_ratio_10.value, 0.0);
182    }
183
184    #[rstest]
185    fn test_value_with_half_oscillating(mut efficiency_ratio_10: EfficiencyRatio) {
186        efficiency_ratio_10.update_raw(1.00000);
187        efficiency_ratio_10.update_raw(1.00020);
188        efficiency_ratio_10.update_raw(1.00010);
189        efficiency_ratio_10.update_raw(1.00030);
190        efficiency_ratio_10.update_raw(1.00020);
191        assert_eq!(efficiency_ratio_10.value, 0.333_333_333_333_333_3);
192    }
193
194    #[rstest]
195    fn test_value_with_noisy_inputs(mut efficiency_ratio_10: EfficiencyRatio) {
196        efficiency_ratio_10.update_raw(1.00000);
197        efficiency_ratio_10.update_raw(1.00010);
198        efficiency_ratio_10.update_raw(1.00008);
199        efficiency_ratio_10.update_raw(1.00007);
200        efficiency_ratio_10.update_raw(1.00012);
201        efficiency_ratio_10.update_raw(1.00005);
202        efficiency_ratio_10.update_raw(1.00015);
203        assert_eq!(efficiency_ratio_10.value, 0.428_571_428_572_153_63);
204    }
205
206    #[rstest]
207    fn test_reset(mut efficiency_ratio_10: EfficiencyRatio) {
208        for i in 1..=10 {
209            efficiency_ratio_10.update_raw(f64::from(i));
210        }
211        assert!(efficiency_ratio_10.initialized);
212        efficiency_ratio_10.reset();
213        assert!(!efficiency_ratio_10.initialized);
214        assert_eq!(efficiency_ratio_10.value, 0.0);
215    }
216
217    #[rstest]
218    fn test_handle_quote_tick(mut efficiency_ratio_10: EfficiencyRatio) {
219        let quote_tick1 = stub_quote("1500.0", "1502.0");
220        let quote_tick2 = stub_quote("1502.0", "1504.0");
221
222        efficiency_ratio_10.handle_quote(&quote_tick1);
223        efficiency_ratio_10.handle_quote(&quote_tick2);
224        assert_eq!(efficiency_ratio_10.value, 1.0);
225    }
226
227    #[rstest]
228    fn test_handle_bar(mut efficiency_ratio_10: EfficiencyRatio) {
229        let bar1 = bar_ethusdt_binance_minute_bid("1500.0");
230        let bar2 = bar_ethusdt_binance_minute_bid("1510.0");
231
232        efficiency_ratio_10.handle_bar(&bar1);
233        efficiency_ratio_10.handle_bar(&bar2);
234        assert_eq!(efficiency_ratio_10.value, 1.0);
235    }
236}
nautilus_indicators/ratio/efficiency_ratio.rs

nautilus_indicators/ratio/
efficiency_ratio.rs
