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//! Time Segmented Volume (Worden).
use std::collections::VecDeque;
use crate::error::{Error, Result};
use crate::ohlcv::Candle;
use crate::traits::Indicator;
/// Time Segmented Volume (Don Worden) — a rolling sum of *signed* volume
/// weighted by the bar's close-to-close move.
///
/// Each bar's contribution is the close change times the bar volume. Summed
/// over a fixed window, the result quantifies the net accumulation (positive)
/// or distribution (negative) over that span:
///
/// ```text
/// flow_t = (close_t − close_{t−1}) · volume_t (signed money flow)
/// TSV_t = Σ_{i = t−period+1}^{t} flow_i (rolling window sum)
/// ```
///
/// The first candle only seeds `close_{t−1}`; the first flow lands at bar 2,
/// and the first TSV emission lands once the window has accumulated `period`
/// flows — i.e. at bar `period + 1`. Worden's original TC2000 implementation
/// often charts an additional EMA smoothing of TSV as a signal line; that is
/// left to the caller via [`crate::Ema`] composition.
///
/// # Example
///
/// ```
/// use wickra_core::{Candle, Indicator, Tsv};
///
/// let mut indicator = Tsv::new(18).unwrap();
/// let mut last = None;
/// for i in 0..80 {
/// let base = 100.0 + f64::from(i);
/// let candle =
/// Candle::new(base, base + 2.0, base - 2.0, base + 1.0, 10.0, i64::from(i)).unwrap();
/// last = indicator.update(candle);
/// }
/// assert!(last.is_some());
/// ```
#[derive(Debug, Clone)]
pub struct Tsv {
period: usize,
prev_close: Option<f64>,
window: VecDeque<f64>,
sum: f64,
}
impl Tsv {
/// Construct a new TSV with the given rolling window length.
///
/// # Errors
/// Returns [`Error::PeriodZero`] if `period == 0`.
pub fn new(period: usize) -> Result<Self> {
if period == 0 {
return Err(Error::PeriodZero);
}
Ok(Self {
period,
prev_close: None,
window: VecDeque::with_capacity(period),
sum: 0.0,
})
}
/// Configured window length.
pub const fn period(&self) -> usize {
self.period
}
}
impl Indicator for Tsv {
type Input = Candle;
type Output = f64;
fn update(&mut self, candle: Candle) -> Option<f64> {
let Some(prev) = self.prev_close else {
self.prev_close = Some(candle.close);
return None;
};
let flow = (candle.close - prev) * candle.volume;
self.prev_close = Some(candle.close);
if self.window.len() == self.period {
self.sum -= self.window.pop_front().expect("non-empty");
}
self.window.push_back(flow);
self.sum += flow;
if self.window.len() < self.period {
return None;
}
Some(self.sum)
}
fn reset(&mut self) {
self.prev_close = None;
self.window.clear();
self.sum = 0.0;
}
fn warmup_period(&self) -> usize {
// One seed bar for `prev_close`, then `period` flows to fill the window.
self.period + 1
}
fn is_ready(&self) -> bool {
self.window.len() == self.period
}
fn name(&self) -> &'static str {
"TSV"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
fn c(close: f64, volume: f64, ts: i64) -> Candle {
Candle::new(close, close, close, close, volume, ts).unwrap()
}
#[test]
fn rejects_zero_period() {
assert!(matches!(Tsv::new(0), Err(Error::PeriodZero)));
}
#[test]
fn accessors_and_metadata() {
let t = Tsv::new(18).unwrap();
assert_eq!(t.period(), 18);
assert_eq!(t.name(), "TSV");
assert_eq!(t.warmup_period(), 19);
}
#[test]
fn constant_close_yields_zero() {
// Flat close -> every flow is zero -> rolling sum stays at zero.
let candles: Vec<Candle> = (0..30).map(|i| c(10.0, 100.0, i)).collect();
let mut t = Tsv::new(5).unwrap();
for v in t.batch(&candles).into_iter().flatten() {
assert_relative_eq!(v, 0.0, epsilon = 1e-12);
}
}
#[test]
fn reference_window_sum() {
// closes = [10, 11, 13, 12, 14, 15]
// volumes = [.., 100, 200, 150, 50, 200]
// flows = [None, (1)*100=100, (2)*200=400, (-1)*150=-150, (2)*50=100, (1)*200=200]
// period = 3: first emission at bar index 3 (the 4th flow, since one bar seeds).
// Wait: bar 0 seeds, bars 1..5 produce 5 flows. Window of 3 fills at the
// 3rd flow, i.e. bar index 3.
// bar 3 -> window = [100, 400, -150] -> sum = 350.
// bar 4 -> window = [400, -150, 100] -> sum = 350.
// bar 5 -> window = [-150, 100, 200] -> sum = 150.
let mut t = Tsv::new(3).unwrap();
let out = t.batch(&[
c(10.0, 50.0, 0),
c(11.0, 100.0, 1),
c(13.0, 200.0, 2),
c(12.0, 150.0, 3),
c(14.0, 50.0, 4),
c(15.0, 200.0, 5),
]);
assert!(out[0].is_none() && out[1].is_none() && out[2].is_none());
assert_relative_eq!(out[3].unwrap(), 350.0, epsilon = 1e-9);
assert_relative_eq!(out[4].unwrap(), 350.0, epsilon = 1e-9);
assert_relative_eq!(out[5].unwrap(), 150.0, epsilon = 1e-9);
}
#[test]
fn batch_equals_streaming() {
let candles: Vec<Candle> = (0..80i64)
.map(|i| {
let f = i as f64;
c(
100.0 + (f * 0.3).sin() * 5.0,
50.0 + (i % 7) as f64 * 10.0,
i,
)
})
.collect();
let mut a = Tsv::new(18).unwrap();
let mut b = Tsv::new(18).unwrap();
assert_eq!(
a.batch(&candles),
candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
);
}
#[test]
fn reset_clears_state() {
let candles: Vec<Candle> = (0..40).map(|i| c(10.0 + i as f64, 100.0, i)).collect();
let mut t = Tsv::new(10).unwrap();
t.batch(&candles);
assert!(t.is_ready());
t.reset();
assert!(!t.is_ready());
assert_eq!(t.update(candles[0]), None);
}
}