quantwave_core/indicators/
volume.rs

1talib_4_in_1_out!(AD, talib_rs::volume::ad);
2impl Default for AD {
3    fn default() -> Self {
4        Self::new()
5    }
6}
7talib_4_in_1_out!(ADOSC, talib_rs::volume::adosc, fastperiod: usize, slowperiod: usize);
8talib_2_in_1_out!(OBV, talib_rs::volume::obv);
9impl Default for OBV {
10    fn default() -> Self {
11        Self::new()
12    }
13}
14
15#[cfg(test)]
16mod tests {
17    use super::*;
18    use crate::traits::Next;
19    use proptest::prelude::*;
20
21    proptest! {
22        #[test]
23        fn test_ad_parity(
24            h in prop::collection::vec(10.0..100.0, 1..100),
25            l in prop::collection::vec(10.0..100.0, 1..100),
26            c in prop::collection::vec(10.0..100.0, 1..100),
27            v in prop::collection::vec(1.0..1000.0, 1..100)
28        ) {
29            let len = h.len().min(l.len()).min(c.len()).min(v.len());
30            if len == 0 { return Ok(()); }
31            let mut high = Vec::with_capacity(len);
32            let mut low = Vec::with_capacity(len);
33            let mut close = Vec::with_capacity(len);
34            let mut volume = Vec::with_capacity(len);
35            for i in 0..len {
36                let v_h: f64 = h[i];
37                let v_l: f64 = l[i];
38                let v_c: f64 = c[i];
39                let v_v: f64 = v[i];
40                high.push(v_h.max(v_l).max(v_c));
41                low.push(v_h.min(v_l).min(v_c));
42                close.push(v_c);
43                volume.push(v_v);
44            }
45
46            let mut ad = AD::new();
47            let streaming_results: Vec<f64> = (0..len).map(|i| ad.next((high[i], low[i], close[i], volume[i]))).collect();
48            let batch_results = talib_rs::volume::ad(&high, &low, &close, &volume).unwrap_or_else(|_| vec![f64::NAN; len]);
49
50            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
51                if s.is_nan() {
52                    assert!(b.is_nan());
53                } else {
54                    approx::assert_relative_eq!(s, b, epsilon = 1e-6);
55                }
56            }
57        }
58
59        #[test]
60        fn test_obv_parity(
61            c in prop::collection::vec(10.0..100.0, 1..100),
62            v in prop::collection::vec(1.0..1000.0, 1..100)
63        ) {
64            let len = c.len().min(v.len());
65            if len == 0 { return Ok(()); }
66            let close = c[..len].to_vec();
67            let volume = v[..len].to_vec();
68
69            let mut obv = OBV::new();
70            let streaming_results: Vec<f64> = (0..len).map(|i| obv.next((close[i], volume[i]))).collect();
71            let batch_results = talib_rs::volume::obv(&close, &volume).unwrap_or_else(|_| vec![f64::NAN; len]);
72
73            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
74                if s.is_nan() {
75                    assert!(b.is_nan());
76                } else {
77                    approx::assert_relative_eq!(s, b, epsilon = 1e-6);
78                }
79            }
80        }
81    }
82}
quantwave_core/indicators/volume.rs

quantwave_core/indicators/
volume.rs
