mylittleindicators 0.1.2

Multi-stream financial indicators library — 559 bar indicators + 21 event primitives across 35 categories. Consumes OHLCV bars, ticks, orderbook (snapshot/delta), funding, mark price, open interest, liquidations, ticker, agg trades, and 12+ extended stream types from digdigdig3 exchange connectors.
Documentation 
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// Relative Trend Position: relative distance to SMA200 and Anchored VWAP (monthly)

use crate::bar_indicators::indicator_value::IndicatorValue;
use crate::bar_indicators::average::sma::Sma;
use crate::bar_indicators::levels::anchored_vwap::{
    AnchoredVwap, AnchoredVwapParams, AvwapAnchorMode,
};

#[derive(Clone)]
pub struct RelativeTrendPosition {
    sma: Sma,
    avwap: AnchoredVwap,
    last_sma_rel: f64,
    last_avwap_rel: f64,
}

impl RelativeTrendPosition {
    pub fn new(sma_period: usize) -> Self {
        let params = AnchoredVwapParams {
            mode: AvwapAnchorMode::Monthly,
        };
        Self {
            sma: Sma::new(sma_period),
            avwap: AnchoredVwap::new(params),
            last_sma_rel: 0.0,
            last_avwap_rel: 0.0,
        }
    }

    #[inline]
    pub fn reset(&mut self) {
        self.sma.reset();
        self.avwap.reset();
        self.last_sma_rel = 0.0;
        self.last_avwap_rel = 0.0;
    }

    #[inline]
    pub fn is_ready(&self) -> bool {
        self.sma.is_ready() && self.avwap.is_ready()
    }

    pub fn update_bar(
        &mut self,
        open: f64,
        high: f64,
        low: f64,
        close: f64,
        volume: f64,
        timestamp: i64,
    ) -> (f64, f64) {
        let sma_val = self.sma.update_bar(open, high, low, close, volume);
        let avwap_val = self
            .avwap
            .update_bar(open, high, low, close, volume, timestamp);
        self.last_sma_rel = if sma_val != 0.0 {
            (close - sma_val) / sma_val.abs().max(1e-9)
        } else {
            0.0
        };
        self.last_avwap_rel = if avwap_val != 0.0 {
            (close - avwap_val) / avwap_val.abs().max(1e-9)
        } else {
            0.0
        };
        (self.last_sma_rel, self.last_avwap_rel)
    }

    #[inline]
    pub fn values(&self) -> (f64, f64) {
        (self.last_sma_rel, self.last_avwap_rel)
    }

    pub fn value(&self) -> IndicatorValue {
        IndicatorValue::Double(self.last_sma_rel, self.last_avwap_rel)
    }
}

#[cfg(test)]
mod tests {
    use super::*;

    #[test]
    fn test_relative_trend_position_creation() {
        let rtp = RelativeTrendPosition::new(20);
        assert!(!rtp.is_ready());
    }

    #[test]
    fn test_relative_trend_position_warmup() {
        let mut rtp = RelativeTrendPosition::new(20);
        let ts = 1700000000_i64;
        for i in 0..25 {
            let price = 100.0 + (i as f64 * 0.1).sin() * 5.0;
            rtp.update_bar(price, price + 1.0, price - 1.0, price, 1000.0, ts + i * 86400);
        }
        assert!(rtp.is_ready());
    }

    #[test]
    fn test_relative_trend_position_values() {
        let mut rtp = RelativeTrendPosition::new(20);
        let ts = 1700000000_i64;
        for i in 0..30 {
            let price = 100.0 + i as f64;
            let (sma_rel, avwap_rel) = rtp.update_bar(price, price + 1.0, price - 1.0, price, 1000.0, ts + i * 86400);
            assert!(sma_rel.is_finite(), "SMA relative should be finite");
            assert!(avwap_rel.is_finite(), "AVWAP relative should be finite");
        }
    }

    #[test]
    fn test_relative_trend_position_reset() {
        let mut rtp = RelativeTrendPosition::new(20);
        let ts = 1700000000_i64;
        for i in 0..25 {
            rtp.update_bar(100.0 + i as f64, 101.0, 99.0, 100.0, 1000.0, ts + i * 86400);
        }
        rtp.reset();
        assert!(!rtp.is_ready());
    }
}