yata 0.7.0

Yet another Technical Analysis library. For rust now.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143

#[cfg(feature = "serde")]
use serde::{Deserialize, Serialize};

use crate::core::{Error, Method, MovingAverageConstructor, PeriodType, OHLCV};
use crate::core::{IndicatorConfig, IndicatorInstance, IndicatorResult};
use crate::helpers::MA;
use crate::methods::{Cross, ADI};
use crate::prelude::Peekable;

/// Chaikin Oscillator
///
/// ## Links
///
/// * <https://en.wikipedia.org/wiki/Chaikin_Analytics>
///
/// # 1 value
///
/// * `oscillator` value
///
/// Range in \[`-1.0`; `1.0`\]
///
/// # 1 signal
///
/// When `oscillator` value goes above zero, then returns full buy signal.
/// When `oscillator` value goes below zero, then returns full sell signal.
/// Otherwise no signal
#[derive(Debug, Clone, Copy)]
#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
pub struct ChaikinOscillator<M: MovingAverageConstructor = MA> {
	/// Short smoothing [AD index](https://en.wikipedia.org/wiki/Accumulation/distribution_index).
	///
	/// Default is [`EMA(3)`](crate::methods::EMA).
	///
	/// Range in \[`1`; ma2's period\)
	pub ma1: M,
	/// Long smoothing [AD index](https://en.wikipedia.org/wiki/Accumulation/distribution_index).
	///
	/// Default is [`EMA(10)`](crate::methods::EMA).
	///
	/// Range in \(`period1`; [`PeriodType::MAX`](crate::core::PeriodType)\)
	pub ma2: M,
	/// [AD index](https://en.wikipedia.org/wiki/Accumulation/distribution_index) size. Default is 0 (windowless)
	///
	/// Range in \[`0`; [`PeriodType::MAX`](crate::core::PeriodType)\]
	pub window: PeriodType, // from 0 to ...
}

impl<M: MovingAverageConstructor> IndicatorConfig for ChaikinOscillator<M> {
	type Instance = ChaikinOscillatorInstance<M>;

	const NAME: &'static str = "ChaikinOscillator";

	fn init<T: OHLCV>(self, candle: &T) -> Result<Self::Instance, Error> {
		if !self.validate() {
			return Err(Error::WrongConfig);
		}

		let cfg = self;
		let adi = ADI::new(cfg.window, candle)?;

		Ok(Self::Instance {
			ma1: cfg.ma1.init(adi.peek())?,
			ma2: cfg.ma2.init(adi.peek())?,
			adi,
			cross_over: Cross::default(),
			cfg,
		})
	}

	fn validate(&self) -> bool {
		self.ma1.is_similar_to(&self.ma2)
			&& self.ma1.ma_period() > 0
			&& self.ma1.ma_period() < self.ma2.ma_period()
			&& self.ma2.ma_period() < PeriodType::MAX
	}

	fn set(&mut self, name: &str, value: String) -> Result<(), Error> {
		match name {
			"ma1" => match value.parse() {
				Err(_) => return Err(Error::ParameterParse(name.to_string(), value.to_string())),
				Ok(value) => self.ma1 = value,
			},
			"ma2" => match value.parse() {
				Err(_) => return Err(Error::ParameterParse(name.to_string(), value.to_string())),
				Ok(value) => self.ma2 = value,
			},

			_ => {
				return Err(Error::ParameterParse(name.to_string(), value));
			}
		};

		Ok(())
	}

	fn size(&self) -> (u8, u8) {
		(1, 1)
	}
}

impl Default for ChaikinOscillator<MA> {
	fn default() -> Self {
		Self {
			ma1: MA::EMA(3),
			ma2: MA::EMA(10),
			window: 0,
		}
	}
}

#[derive(Debug, Clone)]
#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
pub struct ChaikinOscillatorInstance<M: MovingAverageConstructor = MA> {
	cfg: ChaikinOscillator<M>,

	adi: ADI,
	ma1: M::Instance,
	ma2: M::Instance,
	cross_over: Cross,
}

impl<M: MovingAverageConstructor> IndicatorInstance for ChaikinOscillatorInstance<M> {
	type Config = ChaikinOscillator<M>;

	// type Input = dyn OHLCV;

	fn config(&self) -> &Self::Config {
		&self.cfg
	}

	fn next<T: OHLCV>(&mut self, candle: &T) -> IndicatorResult {
		let adi = self.adi.next(candle);

		let data1 = self.ma1.next(&adi);
		let data2 = self.ma2.next(&adi);

		let value = data1 - data2;

		let signal = self.cross_over.next(&(value, 0.));

		IndicatorResult::new(&[value], &[signal])
	}
}