use crate::error::FinError;
use crate::signals::{BarInput, Signal, SignalValue};
use rust_decimal::Decimal;
pub struct RangeContractionCount {
name: String,
prev_range: Option<Decimal>,
count: u32,
}
impl RangeContractionCount {
pub fn new(name: impl Into<String>) -> Result<Self, FinError> {
Ok(Self { name: name.into(), prev_range: None, count: 0 })
}
pub fn count(&self) -> u32 { self.count }
}
impl Signal for RangeContractionCount {
fn name(&self) -> &str { &self.name }
fn period(&self) -> usize { 1 }
fn is_ready(&self) -> bool { self.prev_range.is_some() }
fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
let range = bar.range();
let result = match self.prev_range {
None => SignalValue::Unavailable,
Some(pr) => {
if range < pr {
self.count += 1;
} else {
self.count = 0;
}
SignalValue::Scalar(Decimal::from(self.count))
}
};
self.prev_range = Some(range);
Ok(result)
}
fn reset(&mut self) {
self.prev_range = None;
self.count = 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(h: &str, l: &str) -> OhlcvBar {
let hp = Price::new(h.parse().unwrap()).unwrap();
let lp = Price::new(l.parse().unwrap()).unwrap();
OhlcvBar {
symbol: Symbol::new("X").unwrap(),
open: lp, high: hp, low: lp, close: hp,
volume: Quantity::zero(),
ts_open: NanoTimestamp::new(0),
ts_close: NanoTimestamp::new(1),
tick_count: 1,
}
}
#[test]
fn test_rcc_unavailable_first_bar() {
let mut rcc = RangeContractionCount::new("rcc").unwrap();
assert_eq!(rcc.update_bar(&bar("110", "90")).unwrap(), SignalValue::Unavailable);
}
#[test]
fn test_rcc_contracting_streak() {
let mut rcc = RangeContractionCount::new("rcc").unwrap();
rcc.update_bar(&bar("120", "80")).unwrap(); let r1 = rcc.update_bar(&bar("115", "85")).unwrap(); let r2 = rcc.update_bar(&bar("112", "88")).unwrap(); assert_eq!(r1, SignalValue::Scalar(dec!(1)));
assert_eq!(r2, SignalValue::Scalar(dec!(2)));
}
#[test]
fn test_rcc_expansion_resets() {
let mut rcc = RangeContractionCount::new("rcc").unwrap();
rcc.update_bar(&bar("120", "80")).unwrap();
rcc.update_bar(&bar("115", "85")).unwrap();
let result = rcc.update_bar(&bar("125", "75")).unwrap(); assert_eq!(result, SignalValue::Scalar(dec!(0)));
}
#[test]
fn test_rcc_reset() {
let mut rcc = RangeContractionCount::new("rcc").unwrap();
rcc.update_bar(&bar("120", "80")).unwrap();
rcc.update_bar(&bar("115", "85")).unwrap();
rcc.reset();
assert_eq!(rcc.count(), 0);
assert_eq!(rcc.update_bar(&bar("110", "90")).unwrap(), SignalValue::Unavailable);
}
}