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//! Cumulative Volume Index — running total of volume-normalised net advancing volume.
use crate::cross_section::CrossSection;
use crate::traits::Indicator;
/// Cumulative Volume Index (CVI) — the running total of *volume-normalised* net
/// advancing volume across a universe.
///
/// On each [`CrossSection`] tick the increment is `(advancing volume - declining
/// volume) / total volume`: the share of the tick's total volume that flowed,
/// net, into advancing issues. The index accumulates this share over time. Where
/// the raw [`AdVolumeLine`](crate::AdVolumeLine) sums *absolute* net volume — and
/// so drifts with secular growth in trading activity — the CVI normalises each
/// tick by its own total volume, so a one-share-net day in a thin market counts
/// the same as in a heavy one. This keeps the index comparable across regimes of
/// very different volume.
///
/// When a tick has zero total volume the net is necessarily zero too, so the
/// increment is zero and the index is unchanged (the divisor is floored to the
/// smallest positive `f64` purely to keep the division defined).
///
/// `Input = CrossSection`, `Output = f64`, `warmup_period == 1`.
///
/// # Example
///
/// ```
/// use wickra_core::{CrossSection, CumulativeVolumeIndex, Indicator, Member};
///
/// let mut cvi = CumulativeVolumeIndex::new();
/// // adv vol 150, dec vol 50, total 200 -> (150 - 50) / 200 = 0.5.
/// let tick = CrossSection::new(
/// vec![
/// Member::new(1.0, 150.0, false, false),
/// Member::new(-1.0, 50.0, false, false),
/// ],
/// 0,
/// )
/// .unwrap();
/// assert_eq!(cvi.update(tick), Some(0.5));
/// ```
#[derive(Debug, Clone, Default)]
pub struct CumulativeVolumeIndex {
index: f64,
has_emitted: bool,
}
impl CumulativeVolumeIndex {
/// Construct a new Cumulative Volume Index indicator.
#[must_use]
pub const fn new() -> Self {
Self {
index: 0.0,
has_emitted: false,
}
}
}
impl Indicator for CumulativeVolumeIndex {
type Input = CrossSection;
type Output = f64;
fn update(&mut self, section: CrossSection) -> Option<f64> {
let net = section.advancing_volume() - section.declining_volume();
let total = section.total_volume().max(f64::MIN_POSITIVE);
self.index += net / total;
self.has_emitted = true;
Some(self.index)
}
fn reset(&mut self) {
self.index = 0.0;
self.has_emitted = false;
}
fn warmup_period(&self) -> usize {
1
}
fn is_ready(&self) -> bool {
self.has_emitted
}
fn name(&self) -> &'static str {
"CumulativeVolumeIndex"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::cross_section::Member;
use crate::traits::BatchExt;
fn tick(items: &[(f64, f64)]) -> CrossSection {
CrossSection::new(
items
.iter()
.map(|&(change, volume)| Member::new(change, volume, false, false))
.collect(),
0,
)
.unwrap()
}
#[test]
fn accessors_and_metadata() {
let cvi = CumulativeVolumeIndex::new();
assert_eq!(cvi.name(), "CumulativeVolumeIndex");
assert_eq!(cvi.warmup_period(), 1);
assert!(!cvi.is_ready());
}
#[test]
fn first_tick_emits_normalised_net() {
let mut cvi = CumulativeVolumeIndex::new();
assert_eq!(cvi.update(tick(&[(1.0, 150.0), (-1.0, 50.0)])), Some(0.5));
assert!(cvi.is_ready());
}
#[test]
fn index_accumulates_normalised_shares() {
let mut cvi = CumulativeVolumeIndex::new();
assert_eq!(cvi.update(tick(&[(1.0, 150.0), (-1.0, 50.0)])), Some(0.5));
// adv 60, dec 60, total 120 -> net 0 -> index unchanged.
assert_eq!(cvi.update(tick(&[(1.0, 60.0), (-1.0, 60.0)])), Some(0.5));
}
#[test]
fn zero_total_volume_leaves_index_unchanged() {
let mut cvi = CumulativeVolumeIndex::new();
cvi.update(tick(&[(1.0, 150.0), (-1.0, 50.0)]));
// A tick with no volume at all: net 0 / floored divisor -> 0 increment.
assert_eq!(cvi.update(tick(&[(0.0, 0.0)])), Some(0.5));
}
#[test]
fn reset_clears_state() {
let mut cvi = CumulativeVolumeIndex::new();
cvi.update(tick(&[(1.0, 150.0), (-1.0, 50.0)]));
assert!(cvi.is_ready());
cvi.reset();
assert!(!cvi.is_ready());
assert_eq!(cvi.update(tick(&[(1.0, 100.0)])), Some(1.0));
}
#[test]
fn batch_equals_streaming() {
let sections = vec![
tick(&[(1.0, 150.0), (-1.0, 50.0)]),
tick(&[(1.0, 60.0), (-1.0, 60.0)]),
tick(&[(0.0, 0.0)]),
];
let mut a = CumulativeVolumeIndex::new();
let mut b = CumulativeVolumeIndex::new();
assert_eq!(
a.batch(§ions),
sections
.iter()
.map(|s| b.update(s.clone()))
.collect::<Vec<_>>()
);
}
}