Ported ChandeMomentumOscillator

nautilus_core/indicators/src/momentum/cmo.rs

@@ -0,0 +1,125 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2023 Nautech Systems Pty Ltd. All rights reserved.
+//  https://nautechsystems.io
+//
+//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+//  You may not use this file except in compliance with the License.
+//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+//
+//  Unless required by applicable law or agreed to in writing, software
+//  distributed under the License is distributed on an "AS IS" BASIS,
+//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+//  See the License for the specific language governing permissions and
+//  limitations under the License.
+// -------------------------------------------------------------------------------------------------
+
+use std::fmt::Display;
+
+use anyhow::Result;
+use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick};
+use pyo3::prelude::*;
+
+use crate::{
+    average::{MovingAverageFactory, MovingAverageType},
+    indicator::{Indicator, MovingAverage},
+};
+
+#[repr(C)]
+#[derive(Debug)]
+#[pyclass(module = "nautilus_trader.core.nautilus.pyo3.indicators")]
+pub struct ChandeMomentumOscillator {
+    pub period: usize,
+    pub average_gain: Box<dyn MovingAverage + Send + 'static>,
+    pub average_loss: Box<dyn MovingAverage + Send + 'static>,
+    pub previous_close: f64,
+    pub value: f64,
+    pub count: usize,
+    pub is_initialized: bool,
+    has_inputs: bool,
+}
+
+impl Display for ChandeMomentumOscillator {
+    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
+        write!(f, "{}({})", self.name(), self.period)
+    }
+}
+
+impl Indicator for ChandeMomentumOscillator {
+    fn name(&self) -> String {
+        stringify!(ChandeMomentumOscillator).to_string()
+    }
+
+    fn has_inputs(&self) -> bool {
+        self.has_inputs
+    }
+
+    fn is_initialized(&self) -> bool {
+        self.is_initialized
+    }
+
+    fn handle_quote_tick(&mut self, _tick: &QuoteTick) {
+        // Function body intentionally left blank.
+    }
+
+    fn handle_trade_tick(&mut self, _tick: &TradeTick) {
+        // Function body intentionally left blank.
+    }
+
+    fn handle_bar(&mut self, bar: &Bar) {
+        self.update_raw((&bar.close).into());
+    }
+
+    fn reset(&mut self) {
+        self.value = 0.0;
+        self.count = 0;
+        self.has_inputs = false;
+        self.is_initialized = false;
+        self.previous_close = 0.0;
+    }
+}
+
+impl ChandeMomentumOscillator {
+    pub fn new(period: usize) -> Result<Self> {
+        Ok(Self {
+            period,
+            average_gain: MovingAverageFactory::create(MovingAverageType::Wilder, period),
+            average_loss: MovingAverageFactory::create(MovingAverageType::Wilder, period),
+            previous_close: 0.0,
+            value: 0.0,
+            count: 0,
+            is_initialized: false,
+            has_inputs: false,
+        })
+    }
+
+    pub fn update_raw(&mut self, close: f64) {
+        if !self.has_inputs {
+            self.previous_close = close;
+            self.has_inputs = true;
+        }
+
+        let gain: f64 = close - self.previous_close;
+        if gain > 0.0 {
+            self.average_gain.update_raw(gain);
+            self.average_loss.update_raw(0.0);
+        } else if gain < 0.0 {
+            self.average_gain.update_raw(0.0);
+            self.average_loss.update_raw(-gain);
+        } else {
+            self.average_gain.update_raw(0.0);
+            self.average_loss.update_raw(0.0);
+        }
+
+        if !self.is_initialized
+            && self.average_gain.is_initialized()
+            && self.average_loss.is_initialized()
+        {
+            self.is_initialized = true;
+        }
+        if self.is_initialized {
+            self.value = 100.0 * (self.average_gain.value() - self.average_loss.value())
+                / (self.average_gain.value() + self.average_loss.value());
+        }
+        self.previous_close = close;
+    }
+}

nautilus_core/indicators/src/momentum/mod.rs

@@ -14,4 +14,5 @@
 // -------------------------------------------------------------------------------------------------
 
 pub mod aroon;
+pub mod cmo;
 pub mod rsi;

nautilus_core/indicators/src/python/mod.rs

@@ -33,5 +33,6 @@ pub fn indicators(_: Python<'_>, m: &PyModule) -> PyResult<()> {
     // momentum
     m.add_class::<crate::momentum::rsi::RelativeStrengthIndex>()?;
     m.add_class::<crate::momentum::aroon::AroonOscillator>()?;
+    m.add_class::<crate::momentum::cmo::ChandeMomentumOscillator>()?;
     Ok(())
 }

nautilus_core/indicators/src/python/momentum/cmo.rs

@@ -0,0 +1,93 @@
+// -------------------------------------------------------------------------------------------------
+//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+//  https://nautechsystems.io
+//
+//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+//  You may not use this file except in compliance with the License.
+//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+//
+//  Unless required by applicable law or agreed to in writing, software
+//  distributed under the License is distributed on an "AS IS" BASIS,
+//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+//  See the License for the specific language governing permissions and
+//  limitations under the License.
+// -------------------------------------------------------------------------------------------------
+
+use nautilus_core::python::to_pyvalue_err;
+use nautilus_model::data::{bar::Bar, quote::QuoteTick, trade::TradeTick};
+use pyo3::prelude::*;
+
+use crate::{indicator::Indicator, momentum::cmo::ChandeMomentumOscillator};
+
+#[pymethods]
+impl ChandeMomentumOscillator {
+    #[new]
+    pub fn py_new(period: usize) -> PyResult<Self> {
+        Self::new(period).map_err(to_pyvalue_err)
+    }
+
+    #[getter]
+    #[pyo3(name = "name")]
+    fn py_name(&self) -> String {
+        self.name()
+    }
+
+    #[getter]
+    #[pyo3(name = "period")]
+    fn py_period(&self) -> usize {
+        self.period
+    }
+
+    #[getter]
+    #[pyo3(name = "has_inputs")]
+    fn py_has_inputs(&self) -> bool {
+        self.has_inputs()
+    }
+
+    #[getter]
+    #[pyo3(name = "count")]
+    fn py_count(&self) -> usize {
+        self.count
+    }
+
+    #[getter]
+    #[pyo3(name = "value")]
+    fn py_value(&self) -> f64 {
+        self.value
+    }
+
+    #[getter]
+    #[pyo3(name = "initialized")]
+    fn py_initialized(&self) -> bool {
+        self.is_initialized
+    }
+
+    #[pyo3(name = "update_raw")]
+    fn py_update_raw(&mut self, close: f64) {
+        self.update_raw(close);
+    }
+
+    #[pyo3(name = "handle_quote_tick")]
+    fn py_handle_quote_tick(&mut self, _tick: &QuoteTick) {
+        // Function body intentionally left blank.
+    }
+
+    #[pyo3(name = "handle_trade_tick")]
+    fn py_handle_trade_tick(&mut self, _tick: &TradeTick) {
+        // Function body intentionally left blank.
+    }
+
+    #[pyo3(name = "handle_bar")]
+    fn py_handle_bar(&mut self, bar: &Bar) {
+        self.update_raw((&bar.close).into());
+    }
+
+    #[pyo3(name = "reset")]
+    fn py_reset(&mut self) {
+        self.reset()
+    }
+
+    fn __repr__(&self) -> String {
+        format!("ChandeMomentumOscillator({})", self.period)
+    }
+}

nautilus_core/indicators/src/python/momentum/mod.rs

@@ -14,4 +14,5 @@
 // -------------------------------------------------------------------------------------------------
 
 pub mod aroon;
+pub mod cmo;
 pub mod rsi;

nautilus_trader/core/nautilus_pyo3.pyi

@@ -1940,6 +1940,26 @@ class AroonOscillator:
     def handle_bar(self, bar: Bar) -> None: ...
     def reset(self) -> None: ...
 
+class ChandeMomentumOscillator:
+    def __init__(
+        self,
+        period: int,
+    ) -> None: ...
+    @property
+    def name(self) -> str: ...
+    @property
+    def period(self) -> int: ...
+    @property
+    def count(self) -> int: ...
+    @property
+    def initialized(self) -> bool: ...
+    @property
+    def has_inputs(self) -> bool: ...
+    @property
+    def value(self) -> float: ...
+    def update_raw(self, close: float) -> None: ...
+    def handle_bar(self, bar: Bar) -> None: ...
+    def reset(self) -> None: ...
 
 ###################################################################################################
 # Adapters