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//! Volume-Price Trend.
use crate::ohlcv::Candle;
use crate::traits::Indicator;
/// Volume-Price Trend — a cumulative volume line weighted by percentage price
/// change.
///
/// VPT is a close relative of [`Obv`](crate::Obv), but instead of adding the
/// full bar volume on every up-close it adds volume scaled by the *size* of
/// the move:
///
/// ```text
/// VPT_t = VPT_{t−1} + volume_t · (close_t − close_{t−1}) / close_{t−1}
/// ```
///
/// A big move on heavy volume moves the line far; a small move on the same
/// volume barely nudges it. The running total is unbounded — its slope and its
/// divergence from price are what carry the signal. The first bar establishes
/// the baseline at `0`.
///
/// # Example
///
/// ```
/// use wickra_core::{Candle, Indicator, VolumePriceTrend};
///
/// let mut indicator = VolumePriceTrend::new();
/// 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, Default)]
pub struct VolumePriceTrend {
prev_close: Option<f64>,
total: f64,
has_emitted: bool,
}
impl VolumePriceTrend {
/// Construct a new Volume-Price Trend starting at zero.
pub const fn new() -> Self {
Self {
prev_close: None,
total: 0.0,
has_emitted: false,
}
}
/// Current cumulative value if at least one candle has been ingested.
pub const fn value(&self) -> Option<f64> {
if self.has_emitted {
Some(self.total)
} else {
None
}
}
}
impl Indicator for VolumePriceTrend {
type Input = Candle;
type Output = f64;
fn update(&mut self, candle: Candle) -> Option<f64> {
self.has_emitted = true;
let Some(prev) = self.prev_close else {
// The first candle establishes the baseline at 0.
self.prev_close = Some(candle.close);
return Some(self.total);
};
let roc = if prev == 0.0 {
// Undefined ratio against a zero previous close.
0.0
} else {
(candle.close - prev) / prev
};
self.total += candle.volume * roc;
self.prev_close = Some(candle.close);
Some(self.total)
}
fn reset(&mut self) {
self.prev_close = None;
self.total = 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 {
"VPT"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
fn candle(close: f64, volume: f64, ts: i64) -> Candle {
Candle::new(close, close, close, close, volume, ts).unwrap()
}
#[test]
fn reference_values() {
// closes [10, 11, 9], volumes [100, 200, 300]:
// bar 1: baseline 0.
// bar 2: VPT += 200 · (11-10)/10 = 20 -> 20.
// bar 3: VPT += 300 · (9-11)/11 = -600/11 -> 20 - 600/11.
let mut vpt = VolumePriceTrend::new();
let out = vpt.batch(&[
candle(10.0, 100.0, 0),
candle(11.0, 200.0, 1),
candle(9.0, 300.0, 2),
]);
assert_relative_eq!(out[0].unwrap(), 0.0, epsilon = 1e-12);
assert_relative_eq!(out[1].unwrap(), 20.0, epsilon = 1e-12);
assert_relative_eq!(out[2].unwrap(), 20.0 - 600.0 / 11.0, epsilon = 1e-12);
}
/// Cover the `value()` Some branch (line 57) and the Indicator-impl
/// `name` body (100-102). `reset_clears_state` hits only the None
/// branch; the name was never queried.
#[test]
fn accessors_and_metadata() {
let mut vpt = VolumePriceTrend::new();
assert_eq!(vpt.name(), "VPT");
assert_eq!(vpt.value(), None);
vpt.update(candle(100.0, 50.0, 0));
assert_eq!(vpt.value(), Some(0.0));
}
/// Cover the `prev == 0.0` defensive branch (line 77) — the previous
/// close is exactly 0, making the percentage ROC undefined. The
/// indicator must contribute 0 to the running total rather than NaN.
#[test]
fn zero_previous_close_contributes_zero() {
let mut vpt = VolumePriceTrend::new();
vpt.update(candle(0.0, 100.0, 0)); // baseline; prev_close = 0
let v = vpt.update(candle(50.0, 200.0, 1)).expect("emits");
// ROC fallback is 0, so total stays at 0.
assert_eq!(v, 0.0);
}
#[test]
fn emits_from_first_candle_at_zero() {
let mut vpt = VolumePriceTrend::new();
assert_eq!(vpt.warmup_period(), 1);
assert_eq!(vpt.update(candle(100.0, 50.0, 0)), Some(0.0));
}
#[test]
fn constant_close_keeps_line_flat() {
// No price change -> no contribution regardless of volume.
let mut vpt = VolumePriceTrend::new();
let candles: Vec<Candle> = (0..20).map(|i| candle(100.0, 500.0, i)).collect();
for v in vpt.batch(&candles).into_iter().flatten() {
assert_relative_eq!(v, 0.0, epsilon = 1e-12);
}
}
#[test]
fn reset_clears_state() {
let mut vpt = VolumePriceTrend::new();
vpt.batch(&[
candle(10.0, 100.0, 0),
candle(11.0, 100.0, 1),
candle(12.0, 100.0, 2),
]);
assert!(vpt.is_ready());
vpt.reset();
assert!(!vpt.is_ready());
assert_eq!(vpt.value(), None);
}
#[test]
fn batch_equals_streaming() {
let candles: Vec<Candle> = (0..60)
.map(|i| {
candle(
100.0 + (i as f64 * 0.3).sin() * 8.0,
10.0 + (i % 5) as f64,
i,
)
})
.collect();
let batch = VolumePriceTrend::new().batch(&candles);
let mut b = VolumePriceTrend::new();
let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
assert_eq!(batch, streamed);
}
}