mylittleindicators 0.1.8

Multi-stream financial indicators library — 556 bar indicators + 21 event primitives across 35 categories. Consumes 27 stream kinds from digdigdig3 exchange connectors: OHLCV bars, ticks, orderbook (snapshot/delta/L3), funding/predicted funding/funding settlement, mark price, index price, open interest, liquidations, ticker, agg trades, long/short ratio, option greeks, volatility index, historical volatility, basis (derived), composite index, settlement events, block trades, insurance fund, risk limit, market warning, and three kline-family variants. Live-verified on 12 exchanges (89% pass-rate on a 150s BTC slice).
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102

// Williams Accumulation/Distribution (WAD)

use crate::bar_indicators::indicator_value::IndicatorValue;

#[derive(Debug, Clone)]
pub struct WilliamsAd {
    prev_close: f64,
    initialized: bool,
    value: f64,
}

impl Default for WilliamsAd {
    fn default() -> Self {
        Self::new()
    }
}

impl WilliamsAd {
    pub fn new() -> Self {
        Self {
            prev_close: 0.0,
            initialized: false,
            value: 0.0,
        }
    }
    #[inline]
    pub fn reset(&mut self) {
        self.prev_close = 0.0;
        self.initialized = false;
        self.value = 0.0;
    }
    #[inline]
    pub fn is_ready(&self) -> bool {
        self.initialized
    }
    #[inline]
    pub fn value(&self) -> IndicatorValue {
        IndicatorValue::Single(self.value)
    }
    pub fn update_bar(&mut self, _o: f64, h: f64, l: f64, c: f64, _v: f64) -> f64 {
        if !self.initialized {
            self.prev_close = c;
            self.initialized = true;
            return self.value;
        }
        let trh = h.max(self.prev_close);
        let trl = l.min(self.prev_close);
        let ad = if c > self.prev_close {
            c - trl
        } else if c < self.prev_close {
            c - trh
        } else {
            0.0
        };
        self.prev_close = c;
        self.value += ad;
        self.value
    }
}

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

    #[test]
    fn test_williams_ad_creation() {
        let wad = WilliamsAd::new();
        assert!(!wad.is_ready());
        assert_eq!(wad.value().main(), 0.0);
    }

    #[test]
    fn test_williams_ad_warmup() {
        let mut wad = WilliamsAd::new();
        for i in 0..10 {
            let price = 100.0 + (i as f64 * 0.1).sin() * 5.0;
            wad.update_bar(price, price + 1.0, price - 1.0, price, 1000.0);
        }
        assert!(wad.is_ready());
    }

    #[test]
    fn test_williams_ad_values_finite() {
        let mut wad = WilliamsAd::new();
        for i in 0..30 {
            let price = 100.0 + (i as f64 * 0.2).sin() * 10.0;
            let value = wad.update_bar(price, price + 1.0, price - 1.0, price, 1000.0);
            assert!(value.is_finite());
        }
    }

    #[test]
    fn test_williams_ad_reset() {
        let mut wad = WilliamsAd::new();
        for i in 0..10 {
            wad.update_bar(100.0 + i as f64, 105.0, 95.0, 101.0, 1000.0);
        }
        wad.reset();
        assert!(!wad.is_ready());
        assert_eq!(wad.value().main(), 0.0);
    }
}