ta 0.5.0

Technical analysis library. Implements number of indicators: EMA, SMA, RSI, MACD, Stochastic, etc.
Documentation
use std::fmt;

use crate::errors::{Result, TaError};
use crate::traits::{Close, Next, Period, Reset};
#[cfg(feature = "serde")]
use serde::{Deserialize, Serialize};

/// Rate of Change (ROC)
///
/// # Formula
///
/// ROC = (Price<sub>t</sub> - Price<sub>t-n</sub>) / Price<sub>t-n</sub> * 100
///
/// Where:
///
/// * ROC - current value of Rate of Change indicator
/// * P<sub>t</sub> - price at the moment
/// * P<sub>t-n</sub> - price _n_ periods ago
///
/// # Parameters
///
/// * _period_ - number of periods integer greater than 0
///
/// # Example
///
/// ```
/// use ta::indicators::RateOfChange;
/// use ta::Next;
///
/// let mut roc = RateOfChange::new(2).unwrap();
/// assert_eq!(roc.next(10.0), 0.0);            //  0
/// assert_eq!(roc.next(9.7).round(), -3.0);    //  (9.7 - 10) / 10  * 100 = -3
/// assert_eq!(roc.next(20.0).round(), 100.0);  //  (20 - 10)  / 10  * 100 = 100
/// assert_eq!(roc.next(20.0).round(), 106.0);  //  (20 - 9.7) / 9.7 * 100 = 106
/// ```
///
/// # Links
///
/// * [Rate of Change, Wikipedia](https://en.wikipedia.org/wiki/Momentum_(technical_analysis))
///
#[doc(alias = "ROC")]
#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
#[derive(Debug, Clone)]
pub struct RateOfChange {
    period: usize,
    index: usize,
    count: usize,
    deque: Box<[f64]>,
}

impl RateOfChange {
    pub fn new(period: usize) -> Result<Self> {
        match period {
            0 => Err(TaError::InvalidParameter),
            _ => Ok(Self {
                period,
                index: 0,
                count: 0,
                deque: vec![0.0; period].into_boxed_slice(),
            }),
        }
    }
}

impl Period for RateOfChange {
    fn period(&self) -> usize {
        self.period
    }
}

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

    fn next(&mut self, input: f64) -> f64 {
        let previous = if self.count > self.period {
            self.deque[self.index]
        } else {
            self.count += 1;
            if self.count == 1 {
                input
            } else {
                self.deque[0]
            }
        };
        self.deque[self.index] = input;

        self.index = if self.index + 1 < self.period {
            self.index + 1
        } else {
            0
        };

        (input - previous) / previous * 100.0
    }
}

impl<T: Close> Next<&T> for RateOfChange {
    type Output = f64;

    fn next(&mut self, input: &T) -> f64 {
        self.next(input.close())
    }
}

impl Default for RateOfChange {
    fn default() -> Self {
        Self::new(9).unwrap()
    }
}

impl fmt::Display for RateOfChange {
    fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
        write!(f, "ROC({})", self.period)
    }
}

impl Reset for RateOfChange {
    fn reset(&mut self) {
        self.index = 0;
        self.count = 0;
        for i in 0..self.period {
            self.deque[i] = 0.0;
        }
    }
}

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

    test_indicator!(RateOfChange);

    #[test]
    fn test_new() {
        assert!(RateOfChange::new(0).is_err());
        assert!(RateOfChange::new(1).is_ok());
        assert!(RateOfChange::new(100_000).is_ok());
    }

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

        assert_eq!(round(roc.next(10.0)), 0.0);
        assert_eq!(round(roc.next(10.4)), 4.0);
        assert_eq!(round(roc.next(10.57)), 5.7);
        assert_eq!(round(roc.next(10.8)), 8.0);
        assert_eq!(round(roc.next(10.9)), 4.808);
        assert_eq!(round(roc.next(10.0)), -5.393);
    }

    #[test]
    fn test_next_bar() {
        fn bar(close: f64) -> Bar {
            Bar::new().close(close)
        }

        let mut roc = RateOfChange::new(3).unwrap();

        assert_eq!(round(roc.next(&bar(10.0))), 0.0);
        assert_eq!(round(roc.next(&bar(10.4))), 4.0);
        assert_eq!(round(roc.next(&bar(10.57))), 5.7);
    }

    #[test]
    fn test_reset() {
        let mut roc = RateOfChange::new(3).unwrap();

        roc.next(12.3);
        roc.next(15.0);

        roc.reset();

        assert_eq!(round(roc.next(10.0)), 0.0);
        assert_eq!(round(roc.next(10.4)), 4.0);
        assert_eq!(round(roc.next(10.57)), 5.7);
    }
}