Sliding Features

Modular sliding window with various signal processing functions and technical indicators including Normalization. Can be used for building low latency real-time trading systems. Values in window are updated at each time step. A View defines the function which processes the incoming values and provides and output value. Views can easily be added by implementing the View Trait which requires two functions:

update(&mut self, val: f64)
last(&self) -> f64

The Views can be parameterized as desired when created with new() function. Add Views to SlidingWindow by calling register_view(). SlidingWindows last() function returns a vector of all the latest observations of all views that are currently registered.

Example

extern crate rust_timeseries_generator;

use sliding_features::*;
use rust_timeseries_generator::gaussian_process::gen;

fn main() {
    // new sliding window
    let mut sf = SlidingWindow::new();

    let window_len: usize = 16
    // register some normalized indicators so output range is [-1.0, 1.0] 
    sf.register_view(Box::new(Normalizer::new(Box::new(RSI::new(window_len)), window_len)));
    sf.register_view(Box::new(Normalizer::new(Box::new(ROC::new(window_len)), window_len)));
    // register some variance stabilized indicators
    sf.register_view(Box::new(VST::new(Box::new(TrendFlex::new(window_len)))));
    sf.register_view(Box::new(VST::new(Box::new(CenterOfGravity::new(window_len)))));
    sf.register_view(Box::new(VST::new(Box::new(CyberCycle::new(window_len)))));

    // generate dummy values
    let vals = gen(1024, 100.0);
    for i in 0..vals.len() {
        // update all the sliding window features with a given value
        sf.update(vals[i]);
        // get the latest values from sliding window
        let last: Vec<f64> = sf.last();  
        println!("last: {:?}", last);
    }
}

See examples folder. Run the examples using

cargo run --example simple
cargo run --example multiple
cargo run --example multiple_normalized

Views

A View defines the function which processes value updates. They currently include:

Echo
Technical Indicators
- Center of Gravity
- Cyber Cycle
- Laguerre RSI
- Laguerre Filter
- ReFlex
- TrendFlex
- ROC
- RSI
- Correlation Trend Indicator (CTI)
Normalization / variance / mean standardization
- Normalizer
- Variance Stabilizing Transform (VST)
- Variance Stabilizing Centering Transform (VSCT)
Moving Averages
- ALMA (Arnaux Legoux Moving Average)
Entropy (acts on a bit stream, thus does not impl View trait)

Images

Underlying data synthetically generated by MathisWellmann/rust_timeseries_generator Note that each run is differently seeded by default.

laguerre_filter center_of_gravity center_of_gravity_normalized cyber_cycle laguerre_rsi re_flex trend_flex roc rsi alma cti

TODOs:

SMA
EMA
FRAMA
MAMA
FAMA
Stochastic
Super Smoother
Zero Lag
gaussian filter
and so much more...

Contributing

If you have a sliding window function or indicator which you would like to integrate, feel free to create a pull request. Any help is highly appreciated. Let's build the greatest sliding window library together :handshake:

License

This program is free software: you can redistribute it and/or modify it under the terms of the GNU Affero General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Affero General Public License for more details.

You should have received a copy of the GNU Affero General Public License along with this program. If not, see https://www.gnu.org/licenses/.

GNU AGPLv3