fin_primitives/signals/indicators/
open_range_position.rs

1//! Open Range Position indicator.
2//!
3//! Measures where the open price sits within the bar's high-low range, normalized
4//! to [0, 1]. Tracks the EMA of this per-bar value.
5
6use crate::error::FinError;
7use crate::signals::{BarInput, Signal, SignalValue};
8use rust_decimal::Decimal;
9
10/// EMA of `(open − low) / (high − low)` per bar.
11///
12/// For each bar the raw value is:
13/// ```text
14/// raw = (open - low) / (high - low)   when high > low
15///     = 0                              when high == low (flat bar)
16/// ```
17///
18/// Ranges from `0.0` (opened at low) to `1.0` (opened at high). A persistent
19/// high value indicates systematic gap-up opens (bullish gap pressure); a
20/// persistent low value indicates gap-down opens (bearish gap pressure).
21///
22/// Returns a value after the first bar (EMA seeds with the first raw value).
23///
24/// # Errors
25/// Returns [`FinError::InvalidPeriod`] if `period == 0`.
26///
27/// # Example
28/// ```rust
29/// use fin_primitives::signals::indicators::OpenRangePosition;
30/// use fin_primitives::signals::Signal;
31///
32/// let orp = OpenRangePosition::new("orp", 10).unwrap();
33/// assert_eq!(orp.period(), 10);
34/// ```
35pub struct OpenRangePosition {
36    name: String,
37    period: usize,
38    ema: Option<Decimal>,
39    k: Decimal,
40}
41
42impl OpenRangePosition {
43    /// Constructs a new `OpenRangePosition`.
44    ///
45    /// # Errors
46    /// Returns [`FinError::InvalidPeriod`] if `period == 0`.
47    pub fn new(name: impl Into<String>, period: usize) -> Result<Self, FinError> {
48        if period == 0 {
49            return Err(FinError::InvalidPeriod(period));
50        }
51        #[allow(clippy::cast_possible_truncation)]
52        let k = Decimal::from(2u32) / (Decimal::from(period as u32) + Decimal::ONE);
53        Ok(Self { name: name.into(), period, ema: None, k })
54    }
55}
56
57impl crate::signals::Signal for OpenRangePosition {
58    fn name(&self) -> &str {
59        &self.name
60    }
61
62    fn period(&self) -> usize {
63        self.period
64    }
65
66    fn is_ready(&self) -> bool {
67        self.ema.is_some()
68    }
69
70    fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
71        let range = bar.range();
72        let raw = if range.is_zero() {
73            Decimal::ZERO
74        } else {
75            (bar.open - bar.low)
76                .checked_div(range)
77                .ok_or(FinError::ArithmeticOverflow)?
78        };
79
80        let ema = match self.ema {
81            None => {
82                self.ema = Some(raw);
83                raw
84            }
85            Some(prev) => {
86                let next = raw * self.k + prev * (Decimal::ONE - self.k);
87                self.ema = Some(next);
88                next
89            }
90        };
91
92        Ok(SignalValue::Scalar(ema))
93    }
94
95    fn reset(&mut self) {
96        self.ema = None;
97    }
98}
99
100#[cfg(test)]
101mod tests {
102    use super::*;
103    use crate::ohlcv::OhlcvBar;
104    use crate::signals::Signal;
105    use crate::types::{NanoTimestamp, Price, Quantity, Symbol};
106    use rust_decimal_macros::dec;
107
108    fn bar(open: &str, high: &str, low: &str, close: &str) -> OhlcvBar {
109        OhlcvBar {
110            symbol: Symbol::new("X").unwrap(),
111            open: Price::new(open.parse().unwrap()).unwrap(),
112            high: Price::new(high.parse().unwrap()).unwrap(),
113            low: Price::new(low.parse().unwrap()).unwrap(),
114            close: Price::new(close.parse().unwrap()).unwrap(),
115            volume: Quantity::zero(),
116            ts_open: NanoTimestamp::new(0),
117            ts_close: NanoTimestamp::new(1),
118            tick_count: 1,
119        }
120    }
121
122    #[test]
123    fn test_orp_invalid_period() {
124        assert!(OpenRangePosition::new("orp", 0).is_err());
125    }
126
127    #[test]
128    fn test_orp_ready_after_first_bar() {
129        let mut orp = OpenRangePosition::new("orp", 5).unwrap();
130        orp.update_bar(&bar("100", "110", "90", "105")).unwrap();
131        assert!(orp.is_ready());
132    }
133
134    #[test]
135    fn test_orp_open_at_low_zero() {
136        let mut orp = OpenRangePosition::new("orp", 5).unwrap();
137        // open=90=low: (90-90)/20 = 0
138        let v = orp.update_bar(&bar("90", "110", "90", "105")).unwrap();
139        assert_eq!(v, SignalValue::Scalar(dec!(0)));
140    }
141
142    #[test]
143    fn test_orp_open_at_high_one() {
144        let mut orp = OpenRangePosition::new("orp", 5).unwrap();
145        // open=110=high: (110-90)/20 = 1
146        let v = orp.update_bar(&bar("110", "110", "90", "100")).unwrap();
147        assert_eq!(v, SignalValue::Scalar(dec!(1)));
148    }
149
150    #[test]
151    fn test_orp_open_at_midpoint_half() {
152        let mut orp = OpenRangePosition::new("orp", 5).unwrap();
153        // open=100, range=20: (100-90)/20 = 0.5
154        let v = orp.update_bar(&bar("100", "110", "90", "105")).unwrap();
155        assert_eq!(v, SignalValue::Scalar(dec!(0.5)));
156    }
157
158    #[test]
159    fn test_orp_flat_bar_zero() {
160        let mut orp = OpenRangePosition::new("orp", 5).unwrap();
161        let v = orp.update_bar(&bar("100", "100", "100", "100")).unwrap();
162        assert_eq!(v, SignalValue::Scalar(dec!(0)));
163    }
164
165    #[test]
166    fn test_orp_reset() {
167        let mut orp = OpenRangePosition::new("orp", 5).unwrap();
168        orp.update_bar(&bar("100", "110", "90", "105")).unwrap();
169        assert!(orp.is_ready());
170        orp.reset();
171        assert!(!orp.is_ready());
172    }
173}
fin_primitives/signals/indicators/open_range_position.rs

fin_primitives/signals/indicators/
open_range_position.rs
