use crate::error::FinError;
use crate::signals::{BarInput, Signal, SignalValue};
use rust_decimal::Decimal;
pub struct BarPolarityStreak {
name: String,
streak: u32,
polarity: i8, seen_bars: usize,
}
impl BarPolarityStreak {
pub fn new(name: impl Into<String>) -> Self {
Self {
name: name.into(),
streak: 0,
polarity: 127, seen_bars: 0,
}
}
}
impl crate::signals::Signal for BarPolarityStreak {
fn name(&self) -> &str {
&self.name
}
fn period(&self) -> usize {
1
}
fn is_ready(&self) -> bool {
self.seen_bars >= 1
}
fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
self.seen_bars += 1;
let cur_polarity: i8 = if bar.close > bar.open {
1
} else if bar.close < bar.open {
-1
} else {
0
};
if self.polarity == 127 || self.polarity != cur_polarity {
self.streak = 1;
} else {
self.streak += 1;
}
self.polarity = cur_polarity;
Ok(SignalValue::Scalar(Decimal::from(self.streak)))
}
fn reset(&mut self) {
self.streak = 0;
self.polarity = 127;
self.seen_bars = 0;
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::ohlcv::OhlcvBar;
use crate::signals::Signal;
use crate::types::{NanoTimestamp, Price, Quantity, Symbol};
use rust_decimal_macros::dec;
fn bar(open: &str, close: &str) -> OhlcvBar {
let o = Price::new(open.parse().unwrap()).unwrap();
let c = Price::new(close.parse().unwrap()).unwrap();
let (high, low) = if c >= o { (c, o) } else { (o, c) };
OhlcvBar {
symbol: Symbol::new("X").unwrap(),
open: o, high, low, close: c,
volume: Quantity::zero(),
ts_open: NanoTimestamp::new(0),
ts_close: NanoTimestamp::new(1),
tick_count: 1,
}
}
#[test]
fn test_bps_ready_after_first_bar() {
let mut bps = BarPolarityStreak::new("bps");
bps.update_bar(&bar("100", "105")).unwrap();
assert!(bps.is_ready());
}
#[test]
fn test_bps_first_bar_returns_one() {
let mut bps = BarPolarityStreak::new("bps");
let v = bps.update_bar(&bar("100", "105")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(1)));
}
#[test]
fn test_bps_consecutive_bullish_increments() {
let mut bps = BarPolarityStreak::new("bps");
bps.update_bar(&bar("100", "105")).unwrap();
bps.update_bar(&bar("105", "110")).unwrap();
let v = bps.update_bar(&bar("110", "115")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(3)));
}
#[test]
fn test_bps_polarity_flip_resets_to_one() {
let mut bps = BarPolarityStreak::new("bps");
bps.update_bar(&bar("100", "105")).unwrap();
bps.update_bar(&bar("105", "110")).unwrap();
let v = bps.update_bar(&bar("110", "100")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(1)));
}
#[test]
fn test_bps_neutral_breaks_streak() {
let mut bps = BarPolarityStreak::new("bps");
bps.update_bar(&bar("100", "105")).unwrap();
let v = bps.update_bar(&bar("105", "105")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(1)));
}
#[test]
fn test_bps_reset() {
let mut bps = BarPolarityStreak::new("bps");
bps.update_bar(&bar("100", "105")).unwrap();
assert!(bps.is_ready());
bps.reset();
assert!(!bps.is_ready());
}
}