Enum VolumeWeightedAveragePriceBands

Source

pub enum VolumeWeightedAveragePriceBands {
    Up,
    Down,
}

Expand description

§Example

extern crate finlib_ta;
#[macro_use] extern crate assert_approx_eq;

use finlib_ta::{Next, DataItem};
use finlib_ta::indicators::VolumeWeightedAveragePrice;


fn main() {
    let data = vec![
        // open, high, low, close, volume, vwap
        (150.39, 150.39, 150.22, 150.31, 380.0,  150.31),
        (150.47, 150.47, 150.38, 150.41, 5270.0, 150.41),
        (150.49, 150.49, 150.33, 150.46, 990.0,  150.41),
        (150.63, 150.63, 150.44, 150.61, 1031.0, 150.43),
        (151.10, 151.10, 150.67, 151.01, 2675.0, 150.56),
        (151.30, 151.30, 150.77, 150.80, 3334.0, 150.66),
        (150.95, 150.95, 150.78, 150.93, 430.0,  150.66),
        (151.12, 151.12, 150.80, 151.10, 220.0,  150.67),
        (151.27, 151.27, 151.01, 151.25, 900.0,  150.70),
        (151.35, 151.35, 151.26, 151.33, 4088.0, 150.83),
        (151.52, 151.52, 151.32, 151.51, 650.0,  150.85),
        (151.69, 151.69, 151.49, 151.67, 1582.0, 150.91),
        (152.03, 152.03, 151.66, 151.80, 1892.0, 150.98),
        (151.90, 151.90, 151.75, 151.88, 2200.0, 151.05),
        (152.15, 152.15, 151.86, 152.10, 3043.0, 151.16),
        (152.43, 152.43, 152.03, 152.33, 675.0,  151.18),
        (152.57, 152.57, 152.25, 152.50, 1243.0, 151.24)
    ];
    let mut indicator = VolumeWeightedAveragePrice::new();

    for (open, high, low, close, volume, vwap) in data {
        let di = DataItem::builder()
            .high(high)
            .low(low)
            .close(close)
            .open(open)
            .volume(volume)
            .build().unwrap();
        assert_approx_eq!(indicator.next(&di), vwap, 0.01);
    }
}

§Example StdDev

extern crate finlib_ta;
#[macro_use] extern crate assert_approx_eq;

use finlib_ta::{Next, DataItem};
use finlib_ta::indicators::VolumeWeightedAveragePrice;
use finlib_ta::indicators::VolumeWeightedAveragePriceBands;


fn main() {
    let data = vec![
        //open  ,high   ,low     ,close  ,volume,vwap              ,(upper, lower)                         ,(upper, lower)
        (76.529, 76.529, 76.529, 76.529, 1.0    ,76.529            ,(76.529, 76.529)                       ,(76.529, 76.529)),
        (76.073, 76.073, 76.043, 76.073, 121.0  ,76.06681967213113 ,(76.15085245902783, 75.98278688523443) ,(76.19286885247618, 75.94077049178608)),
        (76.323, 76.323, 76.053, 76.193, 181.0  ,76.14020352035202 ,(76.27197010203601, 76.00843693866803) ,(76.33785339287802, 75.94255364782602)),
        (76.208, 76.208, 75.918, 75.988, 146.0  ,76.1069703043801  ,(76.25148729829992, 75.96245331046028) ,(76.32374579525984, 75.89019481350036)),
        (76.088, 76.088, 75.883, 76.058, 149.0  ,76.08272575250835 ,(76.23361138086482, 75.93184012415189) ,(76.30905419504305, 75.85639730997366)),
        (76.183, 76.183, 76.063, 76.153, 93.0   ,76.08949204052098 ,(76.23399096258677, 75.94499311845519) ,(76.30624042361966, 75.8727436574223)),
        (76.178, 76.178, 76.098, 76.158, 75.0   ,76.09489425587466 ,(76.23600089361555, 75.95378761813377) ,(76.30655421248599, 75.88323429926334)),
        (76.153, 76.153, 75.984, 76.034, 141.0  ,76.0890033076075  ,(76.22155470994076, 75.95645190527424) ,(76.28783041110741, 75.89017620410759)),
        (76.092, 76.092, 75.903, 75.929, 205.0  ,76.06792505995203 ,(76.21690062084983, 75.91894949905424) ,(76.29138840129872, 75.84446171860534)),
        (76.017, 76.017, 75.812, 75.958, 204.0  ,76.04638956433638 ,(76.21628813403485, 75.8764909946379)  ,(76.30123741888409, 75.79154170978867)),
        (76.012, 76.012, 75.922, 75.937, 107.0  ,76.03966807214805 ,(76.20971995401032, 75.86961619028577) ,(76.29474589494147, 75.78459024935462)),
        (76.049, 76.049, 75.943, 75.977, 122.0  ,76.03571974110032 ,(76.20113288848688, 75.87030659371376) ,(76.28383946218017, 75.78760002002048)),
        (76.069, 76.069, 75.938, 76.048, 82.0   ,76.03484347469781 ,(76.19621376886145, 75.87347318053416) ,(76.27689891594328, 75.79278803345234)),
        (76.117, 76.117, 75.997, 76.068, 148.0  ,76.03699661971831 ,(76.19215131179875, 75.88184192763786) ,(76.26972865783898, 75.80426458159764)),
        (76.167, 76.167, 76.027, 76.093, 200.0  ,76.04293789029535 ,(76.19422672735257, 75.89164905323813) ,(76.2698711458812, 75.8160046347095)),
        (76.109, 76.109, 76.048, 76.104, 123.0  ,76.0455211312361  ,(76.19376091244948, 75.89728135002272) ,(76.26788080305617, 75.82316145941603)),
    ];
    let mut indicator = VolumeWeightedAveragePrice::new();

    for (open, high, low, close, volume, vwap, (vwap_std_2_up, vwap_std_2_down), (vwap_std_3_up,vwap_std_3_down)) in data {
        let di = DataItem::builder()
            .high(high)
            .low(low)
            .close(close)
            .open(open)
            .volume(volume)
            .build().unwrap();

        assert_approx_eq!(indicator.next(&di), vwap, 0.01);
        assert_approx_eq!(indicator.std_dev(2.0, VolumeWeightedAveragePriceBands::Up), vwap_std_2_up, 0.01);
        assert_approx_eq!(indicator.std_dev(2.0, VolumeWeightedAveragePriceBands::Down), vwap_std_2_down, 0.01);
        assert_approx_eq!(indicator.std_dev(3.0, VolumeWeightedAveragePriceBands::Up), vwap_std_3_up, 0.01);
        assert_approx_eq!(indicator.std_dev(3.0, VolumeWeightedAveragePriceBands::Down), vwap_std_3_down, 0.01);
    }
     
}