quantaxis-rs 0.3.4

use std::collections::VecDeque;
use std::fmt;

use crate::errors::*;
use crate::traits::{Close, Next, Reset};

/// Kaufman's Efficiency Ratio (ER).
///
/// It is calculated by dividing the price change over a period by the absolute sum of the price movements that occurred to achieve that change.
/// The resulting ratio ranges between 0.0 and 1.0 with higher values representing a more efficient or trending market.
///
/// # Parameters
///
/// * _length_ - number of periods (integer greater than 0)
///
/// # Example
///
/// ```
/// use quantaxis_rs::indicators::EfficiencyRatio;
/// use quantaxis_rs::Next;
///
/// let mut er = EfficiencyRatio::new(4).unwrap();
/// assert_eq!(er.next(10.0), 1.0);
/// assert_eq!(er.next(13.0), 1.0);
/// assert_eq!(er.next(12.0), 0.5);
/// assert_eq!(er.next(13.0), 0.6);
/// assert_eq!(er.next(18.0), 0.8);
/// assert_eq!(er.next(19.0), 0.75);
/// ```

pub struct EfficiencyRatio {
    length: u32,
    prices: VecDeque<f64>,
}

impl EfficiencyRatio {
    pub fn new(length: u32) -> Result<Self> {
        if length == 0 {
            Err(Error::from_kind(ErrorKind::InvalidParameter))
        } else {
            let indicator = Self {
                length: length,
                prices: VecDeque::with_capacity(length as usize + 1),
            };
            Ok(indicator)
        }
    }
}

impl Next<f64> for EfficiencyRatio {
    type Output = f64;

    fn next(&mut self, input: f64) -> f64 {
        self.prices.push_back(input);

        if self.prices.len() <= 2 {
            return 1.0;
        }

        let first = self.prices[0];

        // Calculate volatility
        let volatility = self
            .prices
            .iter()
            .skip(1)
            .fold((first, 0.0), |(prev, sum), &val| {
                (val, sum + (prev - val).abs())
            })
            .1;

        // Calculate direction
        let last_index = self.prices.len() - 1;
        let direction = (first - self.prices[last_index]).abs();

        // Get rid of the first element
        if self.prices.len() > (self.length as usize) {
            self.prices.pop_front();
        }

        // Return actual efficiency ratio
        direction / volatility
    }
}

impl<'a, T: Close> Next<&'a T> for EfficiencyRatio {
    type Output = f64;

    fn next(&mut self, input: &'a T) -> f64 {
        self.next(input.close())
    }
}

impl Reset for EfficiencyRatio {
    fn reset(&mut self) {
        self.prices.clear();
    }
}

impl Default for EfficiencyRatio {
    fn default() -> Self {
        Self::new(14).unwrap()
    }
}

impl fmt::Display for EfficiencyRatio {
    fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
        write!(f, "ER({})", self.length)
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::test_helper::*;
    macro_rules! test_indicator {
        ($i:tt) => {
            #[test]
            fn test_indicator() {
                let bar = Bar::new();

                // ensure Default trait is implemented
                let mut indicator = $i::default();

                // ensure Next<f64> is implemented
                let first_output = indicator.next(12.3);

                // ensure next accepts &DataItem as well
                indicator.next(&bar);

                // ensure Reset is implemented and works correctly
                indicator.reset();
                assert_eq!(indicator.next(12.3), first_output);

                // ensure Display is implemented
                format!("{}", indicator);
            }
        };
    }
    test_indicator!(EfficiencyRatio);

    #[test]
    fn test_new() {
        assert!(EfficiencyRatio::new(0).is_err());
        assert!(EfficiencyRatio::new(1).is_ok());
    }

    #[test]
    fn test_next_f64() {
        let mut er = EfficiencyRatio::new(3).unwrap();

        assert_eq!(round(er.next(3.0)), 1.0);
        assert_eq!(round(er.next(5.0)), 1.0);
        assert_eq!(round(er.next(2.0)), 0.2);
        assert_eq!(round(er.next(3.0)), 0.0);
        assert_eq!(round(er.next(1.0)), 0.667);
        assert_eq!(round(er.next(3.0)), 0.2);
        assert_eq!(round(er.next(4.0)), 0.2);
        assert_eq!(round(er.next(6.0)), 1.0);

        er.reset();
        assert_eq!(round(er.next(3.0)), 1.0);
        assert_eq!(round(er.next(5.0)), 1.0);
        assert_eq!(round(er.next(2.0)), 0.2);
        assert_eq!(round(er.next(3.0)), 0.0);
    }

    #[test]
    fn test_display() {
        let er = EfficiencyRatio::new(17).unwrap();
        assert_eq!(format!("{}", er), "ER(17)");
    }
}