use crate::error::FinError;
use crate::signals::{BarInput, Signal, SignalValue};
use rust_decimal::Decimal;
use std::collections::VecDeque;
pub struct MorningStar {
name: String,
star_max_pct: Decimal,
history: VecDeque<BarInput>,
}
impl MorningStar {
pub fn new(name: impl Into<String>, star_max_pct: u32) -> Result<Self, FinError> {
if star_max_pct > 100 {
return Err(FinError::InvalidInput("star_max_pct out of range".into()));
}
Ok(Self {
name: name.into(),
star_max_pct: Decimal::from(star_max_pct),
history: VecDeque::with_capacity(3),
})
}
}
impl Signal for MorningStar {
fn name(&self) -> &str {
&self.name
}
fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
self.history.push_back(*bar);
if self.history.len() > 3 {
self.history.pop_front();
}
if self.history.len() < 3 {
return Ok(SignalValue::Unavailable);
}
let b1 = &self.history[0];
let b2 = &self.history[1];
let b3 = &self.history[2];
if b1.close >= b1.open {
return Ok(SignalValue::Scalar(Decimal::ZERO));
}
let b1_body = b1.open - b1.close;
if b1_body.is_zero() {
return Ok(SignalValue::Scalar(Decimal::ZERO));
}
let b2_body = (b2.close - b2.open).abs();
let star_pct = b2_body
.checked_div(b1_body)
.ok_or(FinError::ArithmeticOverflow)?
.checked_mul(Decimal::from(100u32))
.ok_or(FinError::ArithmeticOverflow)?;
if star_pct > self.star_max_pct {
return Ok(SignalValue::Scalar(Decimal::ZERO));
}
if b3.close <= b3.open {
return Ok(SignalValue::Scalar(Decimal::ZERO));
}
let b1_midpoint = (b1.open + b1.close)
.checked_div(Decimal::from(2u32))
.ok_or(FinError::ArithmeticOverflow)?;
if b3.close <= b1_midpoint {
return Ok(SignalValue::Scalar(Decimal::ZERO));
}
Ok(SignalValue::Scalar(Decimal::ONE))
}
fn is_ready(&self) -> bool {
self.history.len() >= 2
}
fn period(&self) -> usize {
3
}
fn reset(&mut self) {
self.history.clear();
}
}
#[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(o: &str, h: &str, l: &str, c: &str) -> OhlcvBar {
OhlcvBar {
symbol: Symbol::new("X").unwrap(),
open: Price::new(o.parse().unwrap()).unwrap(),
high: Price::new(h.parse().unwrap()).unwrap(),
low: Price::new(l.parse().unwrap()).unwrap(),
close: Price::new(c.parse().unwrap()).unwrap(),
volume: Quantity::zero(),
ts_open: NanoTimestamp::new(0),
ts_close: NanoTimestamp::new(1),
tick_count: 1,
}
}
#[test]
fn test_invalid_pct_fails() {
assert!(MorningStar::new("ms", 101).is_err());
}
#[test]
fn test_unavailable_before_two_bars() {
let mut ms = MorningStar::new("ms", 30).unwrap();
assert_eq!(ms.update_bar(&bar("20", "21", "9", "10")).unwrap(), SignalValue::Unavailable);
assert!(!ms.is_ready());
}
#[test]
fn test_ready_after_two_bars() {
let mut ms = MorningStar::new("ms", 30).unwrap();
ms.update_bar(&bar("20", "21", "9", "10")).unwrap();
ms.update_bar(&bar("10", "11", "8", "9")).unwrap();
assert!(ms.is_ready());
}
#[test]
fn test_morning_star_detected() {
let mut ms = MorningStar::new("ms", 30).unwrap();
ms.update_bar(&bar("20", "21", "9", "10")).unwrap();
ms.update_bar(&bar("9", "10", "8", "9.5")).unwrap();
let v = ms.update_bar(&bar("11", "18", "10", "17")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(1)));
}
#[test]
fn test_no_pattern_bullish_bar1() {
let mut ms = MorningStar::new("ms", 30).unwrap();
ms.update_bar(&bar("10", "21", "9", "20")).unwrap();
ms.update_bar(&bar("9", "10", "8", "9.5")).unwrap();
let v = ms.update_bar(&bar("11", "18", "10", "17")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(0)));
}
#[test]
fn test_no_pattern_large_star() {
let mut ms = MorningStar::new("ms", 30).unwrap();
ms.update_bar(&bar("20", "21", "9", "10")).unwrap();
ms.update_bar(&bar("10", "16", "8", "15")).unwrap();
let v = ms.update_bar(&bar("14", "21", "13", "20")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(0)));
}
#[test]
fn test_reset() {
let mut ms = MorningStar::new("ms", 30).unwrap();
ms.update_bar(&bar("20", "21", "9", "10")).unwrap();
ms.update_bar(&bar("9", "10", "8", "9.5")).unwrap();
assert!(ms.is_ready());
ms.reset();
assert!(!ms.is_ready());
}
}