use crate::error::FinError;
use crate::signals::{BarInput, Signal, SignalValue};
use rust_decimal::Decimal;
use std::collections::VecDeque;
pub struct VolumeAcceleration {
name: String,
period: usize,
volumes: VecDeque<Decimal>,
}
impl VolumeAcceleration {
pub fn new(name: impl Into<String>, period: usize) -> Result<Self, FinError> {
if period == 0 {
return Err(FinError::InvalidPeriod(period));
}
Ok(Self {
name: name.into(),
period,
volumes: VecDeque::with_capacity(period + 1),
})
}
}
impl Signal for VolumeAcceleration {
fn name(&self) -> &str { &self.name }
fn period(&self) -> usize { self.period }
fn is_ready(&self) -> bool { self.volumes.len() > self.period }
fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
self.volumes.push_back(bar.volume);
if self.volumes.len() > self.period + 1 {
self.volumes.pop_front();
}
if self.volumes.len() <= self.period {
return Ok(SignalValue::Unavailable);
}
let old_vol = self.volumes[0];
let new_vol = *self.volumes.back().unwrap();
if old_vol.is_zero() {
return Ok(SignalValue::Unavailable);
}
let acc = (new_vol - old_vol) / old_vol * Decimal::ONE_HUNDRED;
Ok(SignalValue::Scalar(acc))
}
fn reset(&mut self) {
self.volumes.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(v: &str) -> OhlcvBar {
let p = Price::new("100".parse().unwrap()).unwrap();
let vq = Quantity::new(v.parse().unwrap()).unwrap();
OhlcvBar {
symbol: Symbol::new("X").unwrap(),
open: p, high: p, low: p, close: p,
volume: vq,
ts_open: NanoTimestamp::new(0),
ts_close: NanoTimestamp::new(1),
tick_count: 1,
}
}
#[test]
fn test_va_invalid_period() {
assert!(VolumeAcceleration::new("va", 0).is_err());
}
#[test]
fn test_va_unavailable_before_warm_up() {
let mut va = VolumeAcceleration::new("va", 3).unwrap();
for _ in 0..3 {
assert_eq!(va.update_bar(&bar("1000")).unwrap(), SignalValue::Unavailable);
}
}
#[test]
fn test_va_doubled_volume() {
let mut va = VolumeAcceleration::new("va", 2).unwrap();
va.update_bar(&bar("1000")).unwrap();
va.update_bar(&bar("1000")).unwrap();
let result = va.update_bar(&bar("2000")).unwrap();
assert_eq!(result, SignalValue::Scalar(dec!(100)));
}
#[test]
fn test_va_halved_volume() {
let mut va = VolumeAcceleration::new("va", 2).unwrap();
va.update_bar(&bar("2000")).unwrap();
va.update_bar(&bar("2000")).unwrap();
let result = va.update_bar(&bar("1000")).unwrap();
assert_eq!(result, SignalValue::Scalar(dec!(-50)));
}
#[test]
fn test_va_reset() {
let mut va = VolumeAcceleration::new("va", 2).unwrap();
for _ in 0..3 { va.update_bar(&bar("1000")).unwrap(); }
assert!(va.is_ready());
va.reset();
assert!(!va.is_ready());
}
}