nautilus_indicators/volatility/
kp.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::{Debug, Display};
17
18use nautilus_model::data::Bar;
19
20use super::kc::KeltnerChannel;
21use crate::{average::MovingAverageType, indicator::Indicator};
22
23#[repr(C)]
24#[derive(Debug)]
25#[cfg_attr(
26    feature = "python",
27    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
28)]
29#[cfg_attr(
30    feature = "python",
31    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
32)]
33pub struct KeltnerPosition {
34    pub period: usize,
35    pub k_multiplier: f64,
36    pub ma_type: MovingAverageType,
37    pub ma_type_atr: MovingAverageType,
38    pub use_previous: bool,
39    pub atr_floor: f64,
40    pub value: f64,
41    pub initialized: bool,
42    has_inputs: bool,
43    kc: KeltnerChannel,
44}
45
46impl Display for KeltnerPosition {
47    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
48        write!(
49            f,
50            "{}({},{},{},{},{})",
51            self.name(),
52            self.period,
53            self.k_multiplier,
54            self.ma_type,
55            self.ma_type_atr,
56            self.use_previous
57        )
58    }
59}
60
61impl Indicator for KeltnerPosition {
62    fn name(&self) -> String {
63        stringify!(KeltnerPosition).to_string()
64    }
65
66    fn has_inputs(&self) -> bool {
67        self.has_inputs
68    }
69
70    fn initialized(&self) -> bool {
71        self.initialized
72    }
73
74    fn handle_bar(&mut self, bar: &Bar) {
75        self.update_raw((&bar.high).into(), (&bar.low).into(), (&bar.close).into());
76    }
77
78    fn reset(&mut self) {
79        self.kc.reset();
80        self.value = 0.0;
81        self.has_inputs = false;
82        self.initialized = false;
83    }
84}
85
86impl KeltnerPosition {
87    /// Creates a new [`KeltnerPosition`] instance.
88    #[must_use]
89    pub fn new(
90        period: usize,
91        k_multiplier: f64,
92        ma_type: Option<MovingAverageType>,
93        ma_type_atr: Option<MovingAverageType>,
94        use_previous: Option<bool>,
95        atr_floor: Option<f64>,
96    ) -> Self {
97        Self {
98            period,
99            k_multiplier,
100            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
101            ma_type_atr: ma_type_atr.unwrap_or(MovingAverageType::Simple),
102            use_previous: use_previous.unwrap_or(true),
103            atr_floor: atr_floor.unwrap_or(0.0),
104            value: 0.0,
105            has_inputs: false,
106            initialized: false,
107            kc: KeltnerChannel::new(
108                period,
109                k_multiplier,
110                ma_type,
111                ma_type_atr,
112                use_previous,
113                atr_floor,
114            ),
115        }
116    }
117
118    pub fn update_raw(&mut self, high: f64, low: f64, close: f64) {
119        self.kc.update_raw(high, low, close);
120
121        // Initialization logic
122        if !self.initialized {
123            self.has_inputs = true;
124
125            if self.kc.initialized() {
126                self.initialized = true;
127            }
128        }
129
130        let k_width = (self.kc.upper - self.kc.lower) / 2.0;
131
132        if k_width > 0.0 {
133            self.value = (close - self.kc.middle) / k_width;
134        } else {
135            self.value = 0.0;
136        }
137    }
138}
139
140#[cfg(test)]
141mod tests {
142    use rstest::rstest;
143
144    use super::*;
145    use crate::stubs::kp_10;
146
147    #[rstest]
148    fn test_name_returns_expected_string(kp_10: KeltnerPosition) {
149        assert_eq!(kp_10.name(), "KeltnerPosition");
150    }
151
152    #[rstest]
153    fn test_str_repr_returns_expected_string(kp_10: KeltnerPosition) {
154        assert_eq!(
155            format!("{kp_10}"),
156            "KeltnerPosition(10,2,SIMPLE,SIMPLE,true)"
157        );
158    }
159
160    #[rstest]
161    fn test_period_returns_expected_value(kp_10: KeltnerPosition) {
162        assert_eq!(kp_10.period, 10);
163        assert_eq!(kp_10.k_multiplier, 2.0);
164    }
165
166    #[rstest]
167    fn test_initialized_without_inputs_returns_false(kp_10: KeltnerPosition) {
168        assert!(!kp_10.initialized());
169    }
170
171    #[rstest]
172    fn test_value_with_all_higher_inputs_returns_expected_value(mut kp_10: KeltnerPosition) {
173        let high_values = [
174            1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0, 11.0, 12.0, 13.0, 14.0, 15.0,
175        ];
176        let low_values = [
177            0.9, 1.9, 2.9, 3.9, 4.9, 5.9, 6.9, 7.9, 8.9, 9.9, 10.1, 10.2, 10.3, 11.1, 11.4,
178        ];
179
180        let close_values = [
181            0.95, 1.95, 2.95, 3.95, 4.95, 5.95, 6.95, 7.95, 8.95, 9.95, 10.05, 10.15, 10.25, 11.05,
182            11.45,
183        ];
184
185        for i in 0..15 {
186            kp_10.update_raw(high_values[i], low_values[i], close_values[i]);
187        }
188
189        assert!(kp_10.initialized());
190        assert_eq!(kp_10.value, 0.471_631_205_673_758_94);
191    }
192
193    #[rstest]
194    fn test_reset_successfully_returns_indicator_to_fresh_state(mut kp_10: KeltnerPosition) {
195        kp_10.update_raw(1.00020, 1.00050, 1.00030);
196        kp_10.update_raw(1.00030, 1.00060, 1.00040);
197        kp_10.update_raw(1.00070, 1.00080, 1.00075);
198
199        kp_10.reset();
200
201        assert!(!kp_10.initialized());
202        assert!(!kp_10.has_inputs);
203        assert_eq!(kp_10.value, 0.0);
204        assert_eq!(kp_10.kc.upper, 0.0);
205        assert_eq!(kp_10.kc.middle, 0.0);
206        assert_eq!(kp_10.kc.lower, 0.0);
207    }
208}
nautilus_indicators/volatility/kp.rs

nautilus_indicators/volatility/
kp.rs
