Port BollingerBands indicator to Rust (#1734)

nautilus_core/indicators/src/momentum/amat.rs

@@ -83,6 +83,10 @@ impl Indicator for ArcherMovingAveragesTrends {
         self.slow_ma.reset();
         self.long_run = false;
         self.short_run = false;
+        self.fast_ma_price.clear();
+        self.slow_ma_price.clear();
+        self.has_inputs = false;
+        self.initialized = false;
     }
 }
 

nautilus_core/indicators/src/momentum/bb.rs

@@ -0,0 +1,223 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+//  https://nautechsystems.io
+//
+//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+//  You may not use this file except in compliance with the License.
+//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+//
+//  Unless required by applicable law or agreed to in writing, software
+//  distributed under the License is distributed on an "AS IS" BASIS,
+//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+//  See the License for the specific language governing permissions and
+//  limitations under the License.
+// -------------------------------------------------------------------------------------------------
+
+use std::{
+    collections::VecDeque,
+    fmt::{Debug, Display},
+};
+
+use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick};
+
+use crate::{
+    average::{MovingAverageFactory, MovingAverageType},
+    indicator::{Indicator, MovingAverage},
+};
+
+#[repr(C)]
+#[derive(Debug)]
+#[cfg_attr(
+    feature = "python",
+    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
+)]
+
+pub struct BollingerBands {
+    pub period: usize,
+    pub k: f64,
+    pub ma_type: MovingAverageType,
+    pub upper: f64,
+    pub middle: f64,
+    pub lower: f64,
+    pub initialized: bool,
+    ma: Box<dyn MovingAverage + Send + 'static>,
+    prices: VecDeque<f64>,
+    has_inputs: bool,
+}
+
+impl Display for BollingerBands {
+    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
+        write!(
+            f,
+            "{}({},{},{})",
+            self.name(),
+            self.period,
+            self.k,
+            self.ma_type,
+        )
+    }
+}
+
+impl Indicator for BollingerBands {
+    fn name(&self) -> String {
+        stringify!(BollingerBands).to_string()
+    }
+
+    fn has_inputs(&self) -> bool {
+        self.has_inputs
+    }
+
+    fn initialized(&self) -> bool {
+        self.initialized
+    }
+
+    fn handle_quote_tick(&mut self, tick: &QuoteTick) {
+        let bid = tick.bid_price.raw as f64;
+        let ask = tick.ask_price.raw as f64;
+        let mid = (bid + ask) / 2.0;
+        self.update_raw(ask, bid, mid);
+    }
+
+    fn handle_trade_tick(&mut self, tick: &TradeTick) {
+        let price = tick.price.raw as f64;
+        self.update_raw(price, price, price);
+    }
+
+    fn handle_bar(&mut self, bar: &Bar) {
+        self.update_raw((&bar.high).into(), (&bar.low).into(), (&bar.close).into());
+    }
+
+    fn reset(&mut self) {
+        self.ma.reset();
+        self.prices.clear();
+        self.upper = 0.0;
+        self.middle = 0.0;
+        self.lower = 0.0;
+        self.has_inputs = false;
+        self.initialized = false;
+    }
+}
+
+impl BollingerBands {
+    /// Creates a new [`BollingerBands`] instance.
+    pub fn new(period: usize, k: f64, ma_type: Option<MovingAverageType>) -> anyhow::Result<Self> {
+        Ok(Self {
+            period,
+            k,
+            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
+            has_inputs: false,
+            initialized: false,
+            upper: 0.0,
+            middle: 0.0,
+            lower: 0.0,
+            ma: MovingAverageFactory::create(ma_type.unwrap_or(MovingAverageType::Simple), period),
+            prices: VecDeque::with_capacity(period),
+        })
+    }
+
+    pub fn update_raw(&mut self, high: f64, low: f64, close: f64) {
+        let typical = (high + low + close) / 3.0;
+        self.prices.push_back(typical);
+        self.ma.update_raw(typical);
+
+        // Initialization logic
+        if !self.initialized {
+            self.has_inputs = true;
+            if self.prices.len() >= self.period {
+                self.initialized = true;
+            }
+        }
+
+        // Calculate values
+        let std = fast_std_with_mean(self.prices.clone(), self.ma.value());
+
+        self.upper = self.ma.value() + self.k * std;
+        self.middle = self.ma.value();
+        self.lower = self.ma.value() - self.k * std;
+    }
+}
+
+pub fn fast_std_with_mean(values: VecDeque<f64>, mean: f64) -> f64 {
+    if values.is_empty() {
+        return 0.0;
+    }
+
+    let mut std_dev = 0.0;
+    for v in &values {
+        let diff = v - mean;
+        std_dev += diff * diff;
+    }
+
+    (std_dev / values.len() as f64).sqrt()
+}
+
+////////////////////////////////////////////////////////////////////////////////
+// Tests
+////////////////////////////////////////////////////////////////////////////////
+#[cfg(test)]
+mod tests {
+    use rstest::rstest;
+
+    use super::*;
+    use crate::stubs::bb_10;
+
+    #[rstest]
+    fn test_name_returns_expected_string(bb_10: BollingerBands) {
+        assert_eq!(bb_10.name(), "BollingerBands");
+    }
+
+    #[rstest]
+    fn test_str_repr_returns_expected_string(bb_10: BollingerBands) {
+        assert_eq!(format!("{bb_10}"), "BollingerBands(10,0.1,SIMPLE)");
+    }
+
+    #[rstest]
+    fn test_period_returns_expected_value(bb_10: BollingerBands) {
+        assert_eq!(bb_10.period, 10);
+        assert_eq!(bb_10.k, 0.1);
+    }
+
+    #[rstest]
+    fn test_initialized_without_inputs_returns_false(bb_10: BollingerBands) {
+        assert!(!bb_10.initialized());
+    }
+
+    #[rstest]
+    fn test_value_with_all_higher_inputs_returns_expected_value(mut bb_10: BollingerBands) {
+        let high_values = [
+            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,
+        ];
+        let low_values = [
+            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,
+        ];
+
+        let close_values = [
+            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,
+            11.45,
+        ];
+
+        for i in 0..10 {
+            bb_10.update_raw(high_values[i], low_values[i], close_values[i]);
+        }
+
+        assert!(bb_10.initialized());
+        assert_eq!(bb_10.upper, 5.737228132326901);
+        assert_eq!(bb_10.middle, 5.45);
+        assert_eq!(bb_10.lower, 5.162771867673099);
+    }
+
+    #[rstest]
+    fn test_reset_successfully_returns_indicator_to_fresh_state(mut bb_10: BollingerBands) {
+        bb_10.update_raw(1.00020, 1.00050, 1.00030);
+        bb_10.update_raw(1.00030, 1.00060, 1.00040);
+        bb_10.update_raw(1.00070, 1.00080, 1.00075);
+
+        bb_10.reset();
+
+        assert!(!bb_10.initialized());
+        assert_eq!(bb_10.upper, 0.0);
+        assert_eq!(bb_10.middle, 0.0);
+        assert_eq!(bb_10.lower, 0.0);
+        assert_eq!(bb_10.prices.len(), 0);
+    }
+}

nautilus_core/indicators/src/momentum/dm.rs

@@ -72,6 +72,8 @@ impl Indicator for DirectionalMovement {
         self.previous_low = 0.0;
         self.pos = 0.0;
         self.neg = 0.0;
+        self.has_inputs = false;
+        self.initialized = false;
     }
 }
 

nautilus_core/indicators/src/momentum/kvo.rs

@@ -87,6 +87,8 @@ impl Indicator for KlingerVolumeOscillator {
         self.slow_ma.reset();
         self.signal_ma.reset();
         self.value = 0.0;
+        self.has_inputs = false;
+        self.initialized = false;
     }
 }
 

nautilus_core/indicators/src/momentum/mod.rs

@@ -17,6 +17,7 @@
 
 pub mod amat;
 pub mod aroon;
+pub mod bb;
 pub mod bias;
 pub mod cmo;
 pub mod dm;

nautilus_core/indicators/src/momentum/swings.rs

@@ -73,8 +73,8 @@ impl Indicator for Swings {
     fn reset(&mut self) {
         self.high_inputs.clear();
         self.low_inputs.clear();
-
         self.has_inputs = false;
+        self.initialized = false;
         self.direction = 0;
         self.changed = false;
         self.high_datetime = 0.0;

nautilus_core/indicators/src/python/mod.rs

@@ -50,6 +50,7 @@ pub fn indicators(_: Python<'_>, m: &PyModule) -> PyResult<()> {
     m.add_class::<crate::momentum::dm::DirectionalMovement>()?;
     m.add_class::<crate::momentum::amat::ArcherMovingAveragesTrends>()?;
     m.add_class::<crate::momentum::swings::Swings>()?;
+    m.add_class::<crate::momentum::bb::BollingerBands>()?;
     // volatility
     m.add_class::<crate::volatility::atr::AverageTrueRange>()?;
     Ok(())

nautilus_core/indicators/src/python/momentum/bb.rs

@@ -0,0 +1,105 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+//  https://nautechsystems.io
+//
+//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+//  You may not use this file except in compliance with the License.
+//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+//
+//  Unless required by applicable law or agreed to in writing, software
+//  distributed under the License is distributed on an "AS IS" BASIS,
+//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+//  See the License for the specific language governing permissions and
+//  limitations under the License.
+// -------------------------------------------------------------------------------------------------
+
+use nautilus_core::python::to_pyvalue_err;
+use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick};
+use pyo3::prelude::*;
+
+use crate::{average::MovingAverageType, indicator::Indicator, momentum::bb::BollingerBands};
+
+#[pymethods]
+impl BollingerBands {
+    #[new]
+    pub fn py_new(period: usize, k: f64, ma_type: Option<MovingAverageType>) -> PyResult<Self> {
+        Self::new(period, k, ma_type).map_err(to_pyvalue_err)
+    }
+
+    fn __repr__(&self) -> String {
+        format!("BollingerBands({})", self.period)
+    }
+
+    #[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 = "has_inputs")]
+    fn py_has_inputs(&self) -> bool {
+        self.has_inputs()
+    }
+
+    #[getter]
+    #[pyo3(name = "k")]
+    fn py_k(&self) -> f64 {
+        self.k
+    }
+
+    #[getter]
+    #[pyo3(name = "upper")]
+    fn py_upper(&self) -> f64 {
+        self.upper
+    }
+
+    #[getter]
+    #[pyo3(name = "middle")]
+    fn py_middle(&self) -> f64 {
+        self.middle
+    }
+
+    #[getter]
+    #[pyo3(name = "lower")]
+    fn py_lower(&self) -> f64 {
+        self.lower
+    }
+
+    #[getter]
+    #[pyo3(name = "initialized")]
+    fn py_initialized(&self) -> bool {
+        self.initialized
+    }
+
+    #[pyo3(name = "update_raw")]
+    fn py_update_raw(&mut self, high: f64, low: f64, close: f64) {
+        self.update_raw(high, low, close);
+    }
+
+    #[pyo3(name = "handle_quote_tick")]
+    fn py_handle_quote_tick(&mut self, tick: &QuoteTick) {
+        self.handle_quote_tick(tick);
+    }
+
+    #[pyo3(name = "handle_trade_tick")]
+    fn py_handle_trade_tick(&mut self, tick: &TradeTick) {
+        self.handle_trade_tick(tick);
+    }
+
+    #[pyo3(name = "handle_bar")]
+    fn py_handle_bar(&mut self, bar: &Bar) {
+        self.handle_bar(bar);
+    }
+
+    #[pyo3(name = "reset")]
+    fn py_reset(&mut self) {
+        self.reset();
+    }
+}

nautilus_core/indicators/src/python/momentum/mod.rs

@@ -15,6 +15,7 @@
 
 pub mod amat;
 pub mod aroon;
+pub mod bb;
 pub mod bias;
 pub mod cmo;
 pub mod dm;