Add WeightedMovingAverage indicator in rust (nautechsystems#1305)

ghill2 · Oct 26, 2023 · 9640394 · 9640394
1 parent 76da888
commit 9640394
Show file tree

Hide file tree

Showing 22 changed files with 1,000 additions and 348 deletions.
diff --git a/nautilus_core/indicators/src/average/ama.rs b/nautilus_core/indicators/src/average/ama.rs
@@ -48,12 +48,12 @@ pub struct AdaptiveMovingAverage {
     pub value: f64,
     /// The input count for the indicator.
     pub count: usize,
+    pub is_initialized: bool,
     _efficiency_ratio: EfficiencyRatio,
     _prior_value: Option<f64>,
     _alpha_fast: f64,
     _alpha_slow: f64,
     has_inputs: bool,
-    is_initialized: bool,
 }
 
 impl Display for AdaptiveMovingAverage {

diff --git a/nautilus_core/indicators/src/average/dema.rs b/nautilus_core/indicators/src/average/dema.rs
@@ -16,7 +16,6 @@
 use std::fmt::{Display, Formatter};
 
 use anyhow::Result;
-use nautilus_core::python::to_pyvalue_err;
 use nautilus_model::{
     data::{bar::Bar, quote::QuoteTick, trade::TradeTick},
     enums::PriceType,
@@ -42,8 +41,8 @@ pub struct DoubleExponentialMovingAverage {
     pub value: f64,
     /// The input count for the indicator.
     pub count: usize,
+    pub is_initialized: bool,
     has_inputs: bool,
-    is_initialized: bool,
     _ema1: ExponentialMovingAverage,
     _ema2: ExponentialMovingAverage,
 }
@@ -126,80 +125,6 @@ impl MovingAverage for DoubleExponentialMovingAverage {
     }
 }
 
-#[cfg(feature = "python")]
-#[pymethods]
-impl DoubleExponentialMovingAverage {
-    #[new]
-    fn py_new(period: usize, price_type: Option<PriceType>) -> PyResult<Self> {
-        Self::new(period, price_type).map_err(to_pyvalue_err)
-    }
-
-    #[getter]
-    #[pyo3(name = "name")]
-    fn py_name(&self) -> String {
-        self.name()
-    }
-
-    #[getter]
-    #[pyo3(name = "period")]
-    fn py_period(&self) -> usize {
-        self.period
-    }
-
-    #[getter]
-    #[pyo3(name = "count")]
-    fn py_count(&self) -> usize {
-        self.count
-    }
-
-    #[getter]
-    #[pyo3(name = "value")]
-    fn py_value(&self) -> f64 {
-        self.value
-    }
-
-    #[getter]
-    #[pyo3(name = "has_inputs")]
-    fn py_has_inputs(&self) -> bool {
-        self.has_inputs()
-    }
-
-    #[getter]
-    #[pyo3(name = "initialized")]
-    fn py_initialized(&self) -> bool {
-        self.is_initialized
-    }
-
-    #[pyo3(name = "handle_quote_tick")]
-    fn py_handle_quote_tick(&mut self, tick: &QuoteTick) {
-        self.py_update_raw(tick.extract_price(self.price_type).into());
-    }
-
-    #[pyo3(name = "handle_trade_tick")]
-    fn py_handle_trade_tick(&mut self, tick: &TradeTick) {
-        self.update_raw((&tick.price).into());
-    }
-
-    #[pyo3(name = "handle_bar")]
-    fn py_handle_bar(&mut self, bar: &Bar) {
-        self.update_raw((&bar.close).into());
-    }
-
-    #[pyo3(name = "reset")]
-    fn py_reset(&mut self) {
-        self.reset();
-    }
-
-    #[pyo3(name = "update_raw")]
-    fn py_update_raw(&mut self, value: f64) {
-        self.update_raw(value);
-    }
-
-    fn __repr__(&self) -> String {
-        format!("DoubleExponentialMovingAverage({})", self.period)
-    }
-}
-
 ////////////////////////////////////////////////////////////////////////////////
 // Tests
 ////////////////////////////////////////////////////////////////////////////////

diff --git a/nautilus_core/indicators/src/average/ema.rs b/nautilus_core/indicators/src/average/ema.rs
@@ -16,7 +16,6 @@
 use std::fmt::Display;
 
 use anyhow::Result;
-use nautilus_core::python::to_pyvalue_err;
 use nautilus_model::{
     data::{bar::Bar, quote::QuoteTick, trade::TradeTick},
     enums::PriceType,
@@ -34,8 +33,8 @@ pub struct ExponentialMovingAverage {
     pub alpha: f64,
     pub value: f64,
     pub count: usize,
+    pub is_initialized: bool,
     has_inputs: bool,
-    is_initialized: bool,
 }
 
 impl Display for ExponentialMovingAverage {
@@ -117,86 +116,6 @@ impl MovingAverage for ExponentialMovingAverage {
     }
 }
 
-#[cfg(feature = "python")]
-#[pymethods]
-impl ExponentialMovingAverage {
-    #[new]
-    fn py_new(period: usize, price_type: Option<PriceType>) -> PyResult<Self> {
-        Self::new(period, price_type).map_err(to_pyvalue_err)
-    }
-
-    #[getter]
-    #[pyo3(name = "name")]
-    fn py_name(&self) -> String {
-        self.name()
-    }
-
-    #[getter]
-    #[pyo3(name = "period")]
-    fn py_period(&self) -> usize {
-        self.period
-    }
-
-    #[getter]
-    #[pyo3(name = "alpha")]
-    fn py_alpha(&self) -> f64 {
-        self.alpha
-    }
-
-    #[getter]
-    #[pyo3(name = "count")]
-    fn py_count(&self) -> usize {
-        self.count
-    }
-
-    #[getter]
-    #[pyo3(name = "value")]
-    fn py_value(&self) -> f64 {
-        self.value
-    }
-
-    #[getter]
-    #[pyo3(name = "has_inputs")]
-    fn py_has_inputs(&self) -> bool {
-        self.has_inputs()
-    }
-
-    #[getter]
-    #[pyo3(name = "initialized")]
-    fn py_initialized(&self) -> bool {
-        self.is_initialized
-    }
-
-    #[pyo3(name = "handle_quote_tick")]
-    fn py_handle_quote_tick(&mut self, tick: &QuoteTick) {
-        self.py_update_raw(tick.extract_price(self.price_type).into());
-    }
-
-    #[pyo3(name = "handle_trade_tick")]
-    fn py_handle_trade_tick(&mut self, tick: &TradeTick) {
-        self.update_raw((&tick.price).into());
-    }
-
-    #[pyo3(name = "handle_bar")]
-    fn py_handle_bar(&mut self, bar: &Bar) {
-        self.update_raw((&bar.close).into());
-    }
-
-    #[pyo3(name = "reset")]
-    fn py_reset(&mut self) {
-        self.reset();
-    }
-
-    #[pyo3(name = "update_raw")]
-    fn py_update_raw(&mut self, value: f64) {
-        self.update_raw(value);
-    }
-
-    fn __repr__(&self) -> String {
-        format!("ExponentialMovingAverage({})", self.period)
-    }
-}
-
 ////////////////////////////////////////////////////////////////////////////////
 // Tests
 ////////////////////////////////////////////////////////////////////////////////

diff --git a/nautilus_core/indicators/src/average/mod.rs b/nautilus_core/indicators/src/average/mod.rs
@@ -79,3 +79,4 @@ pub mod ama;
 pub mod dema;
 pub mod ema;
 pub mod sma;
+pub mod wma;
diff --git a/nautilus_core/indicators/src/average/sma.rs b/nautilus_core/indicators/src/average/sma.rs
@@ -16,7 +16,6 @@
 use std::fmt::Display;
 
 use anyhow::Result;
-use nautilus_core::python::to_pyvalue_err;
 use nautilus_model::{
     data::{bar::Bar, quote::QuoteTick, trade::TradeTick},
     enums::PriceType,
@@ -34,7 +33,7 @@ pub struct SimpleMovingAverage {
     pub value: f64,
     pub count: usize,
     pub inputs: Vec<f64>,
-    is_initialized: bool,
+    pub is_initialized: bool,
 }
 
 impl Display for SimpleMovingAverage {
@@ -85,7 +84,7 @@ impl SimpleMovingAverage {
             price_type: price_type.unwrap_or(PriceType::Last),
             value: 0.0,
             count: 0,
-            inputs: Vec::new(),
+            inputs: Vec::with_capacity(period),
             is_initialized: false,
         })
     }
@@ -115,59 +114,6 @@ impl MovingAverage for SimpleMovingAverage {
     }
 }
 
-#[cfg(feature = "python")]
-#[pymethods]
-impl SimpleMovingAverage {
-    #[new]
-    fn py_new(period: usize, price_type: Option<PriceType>) -> PyResult<Self> {
-        Self::new(period, price_type).map_err(to_pyvalue_err)
-    }
-
-    #[getter]
-    #[pyo3(name = "name")]
-    fn py_name(&self) -> String {
-        self.name()
-    }
-
-    #[getter]
-    #[pyo3(name = "period")]
-    fn py_period(&self) -> usize {
-        self.period
-    }
-
-    #[getter]
-    #[pyo3(name = "count")]
-    fn py_count(&self) -> usize {
-        self.count
-    }
-
-    #[getter]
-    #[pyo3(name = "value")]
-    fn py_value(&self) -> f64 {
-        self.value
-    }
-
-    #[getter]
-    #[pyo3(name = "initialized")]
-    fn py_initialized(&self) -> bool {
-        self.is_initialized
-    }
-
-    #[pyo3(name = "has_inputs")]
-    fn py_has_inputs(&self) -> bool {
-        self.has_inputs()
-    }
-
-    #[pyo3(name = "update_raw")]
-    fn py_update_raw(&mut self, value: f64) {
-        self.update_raw(value);
-    }
-
-    fn __repr__(&self) -> String {
-        format!("SimpleMovingAverage({})", self.period)
-    }
-}
-
 ////////////////////////////////////////////////////////////////////////////////
 // Test
 ////////////////////////////////////////////////////////////////////////////////