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Std dev vwap #69

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Std dev vwap #69

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ed246c0
VWAP + std dev
jnatherley Nov 29, 2022
2a06d66
Add remove some comments
jnatherley Nov 29, 2022
71c4034
Add benchmarks
jnatherley Nov 30, 2022
082a64f
Add doc test
jnatherley Nov 30, 2022
42ee3d7
Normalize tests to make them easier to read and tweak
jnatherley Nov 30, 2022
4305402
Add second doctest
jnatherley Nov 30, 2022
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Add doc alias
jnatherley Nov 30, 2022
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5 changes: 3 additions & 2 deletions benches/indicators.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -5,7 +5,7 @@ use ta::indicators::{
ExponentialMovingAverage, FastStochastic, KeltnerChannel, Maximum, MeanAbsoluteDeviation,
Minimum, MoneyFlowIndex, MovingAverageConvergenceDivergence, OnBalanceVolume,
PercentagePriceOscillator, RateOfChange, RelativeStrengthIndex, SimpleMovingAverage,
SlowStochastic, StandardDeviation, TrueRange, WeightedMovingAverage,
SlowStochastic, StandardDeviation, TrueRange, WeightedMovingAverage, VolumeWeightedAveragePrice
};
use ta::{DataItem, Next};

Expand Down Expand Up @@ -73,5 +73,6 @@ bench_indicators!(
SlowStochastic,
StandardDeviation,
TrueRange,
WeightedMovingAverage
WeightedMovingAverage,
VolumeWeightedAveragePrice
);
4 changes: 4 additions & 0 deletions src/indicators/mod.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -67,3 +67,7 @@ pub use self::money_flow_index::MoneyFlowIndex;

mod on_balance_volume;
pub use self::on_balance_volume::OnBalanceVolume;

mod volume_weighted_average_price;
pub use self::volume_weighted_average_price::VolumeWeightedAveragePrice;
pub use self::volume_weighted_average_price::VolumeWeightedAveragePriceBands;
298 changes: 298 additions & 0 deletions src/indicators/volume_weighted_average_price.rs
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Original file line number Diff line number Diff line change
@@ -0,0 +1,298 @@
use std::fmt;

use crate::{High, Low, Next, Reset, Volume, Close};

/// # Example
///
/// ```
/// extern crate ta;
/// #[macro_use] extern crate assert_approx_eq;
///
/// use ta::{Next, DataItem};
/// use 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 ta;
/// #[macro_use] extern crate assert_approx_eq;
///
/// use ta::{Next, DataItem};
/// use ta::indicators::VolumeWeightedAveragePrice;
/// use 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);
/// }
///
/// }
/// ```

#[derive(Debug)]
pub enum VolumeWeightedAveragePriceBands {
Up,
Down,
}

#[doc(alias = "VWAP")]
#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
#[derive(Debug, Clone)]
pub struct VolumeWeightedAveragePrice {
cumulative_total: f64,
cumulative_volume: f64,
cumulative_v2: f64,
vwap: f64,
std_dev: f64
}

impl VolumeWeightedAveragePrice {
pub fn new() -> Self {
Self {
cumulative_total: 0.0,
cumulative_volume: 0.0,
cumulative_v2: 0.0,
vwap: 0.0,
std_dev: 0.0
}
}

pub fn std_dev(&self, offset: f64, band_direction: VolumeWeightedAveragePriceBands) -> f64 {
match band_direction {
VolumeWeightedAveragePriceBands::Up => self.vwap + offset * self.std_dev,
VolumeWeightedAveragePriceBands::Down => self.vwap - offset * self.std_dev,
}
}
}

impl<T: High + Low + Close + Volume> Next<&T> for VolumeWeightedAveragePrice {
type Output = f64;

fn next(&mut self, d: &T) -> Self::Output {
let typical_price = (d.high() + d.low() + d.close()) / 3.0;

self.cumulative_volume = d.volume() + self.cumulative_volume;

self.cumulative_total = (typical_price * d.volume()) + self.cumulative_total;
self.vwap = self.cumulative_total / self.cumulative_volume;

self.cumulative_v2 = (d.volume() * typical_price * typical_price) + self.cumulative_v2;

let val = (self.cumulative_v2 / self.cumulative_volume) - self.vwap * self.vwap;
self.std_dev = val.max(0.0).sqrt();

self.vwap
}
}

impl Reset for VolumeWeightedAveragePrice {
fn reset(&mut self) {
self.cumulative_total = 0.0;
self.cumulative_volume = 0.0;
self.cumulative_v2 = 0.0;
self.vwap = 0.0;
self.std_dev = 0.0;
}
}

impl Default for VolumeWeightedAveragePrice {
fn default() -> Self {
Self::new()
}
}

impl fmt::Display for VolumeWeightedAveragePrice {
fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
write!(f, "VWAP()")
}
}

#[cfg(test)]
mod tests {
use super::*;
use assert_approx_eq::assert_approx_eq;
use VolumeWeightedAveragePriceBands::*;
use crate::DataItem;

fn generate_bar(record: (f64, f64, f64, f64, f64)) -> DataItem {
let (open, high, low, close, volume): (f64, f64, f64, f64, f64) = record;
// open doesn't matter in our context
DataItem::builder()
.open(open)
.high(high)
.low(low)
.close(close)
.volume(volume)
.build()
.unwrap()
}

#[test]
fn test_next() {
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 = generate_bar((open, high, low, close, volume));
assert_approx_eq!(indicator.next(&di), vwap, 0.01);
}
}

#[test]
fn test_next_std_dev() {
let mut indicator = VolumeWeightedAveragePrice::new();

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)),
];

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 = generate_bar((open, high, low, close, volume));

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

#[test]
fn test_reset() {
let mut vwap = VolumeWeightedAveragePrice::new();

assert_approx_eq!(
vwap.next(&generate_bar((150.39, 150.39, 150.22, 150.31, 380.0))),
150.31,
0.01
);
vwap.next(&generate_bar((150.47, 150.47, 150.38, 150.41, 5270.0)));
assert_ne!(
vwap.next(&generate_bar((150.49, 150.49, 150.33, 150.46, 990.0))),
150.31
);

vwap.reset();
assert_approx_eq!(
vwap.next(&generate_bar((150.39, 150.39, 150.22, 150.31, 380.0))),
150.31,
0.01
);
}

#[test]
fn test_default() {
VolumeWeightedAveragePrice::default();
}

#[test]
fn test_display() {
let vwap = VolumeWeightedAveragePrice::new();
assert_eq!(format!("{}", vwap), "VWAP()");
}
}
1 change: 1 addition & 0 deletions src/lib.rs
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -30,6 +30,7 @@
//! * [Exponential Moving Average (EMA)](crate::indicators::ExponentialMovingAverage)
//! * [Simple Moving Average (SMA)](crate::indicators::SimpleMovingAverage)
//! * [Weighted Moving Average (WMA)](crate::indicators::WeightedMovingAverage)
//! * [Volume Weighted Average Price (VWAP)](crate::indicators::VolumeWeightedAveragePrice)
//! * Oscillators
//! * [Relative Strength Index (RSI)](indicators/struct.RelativeStrengthIndex.html)
//! * [Fast Stochastic](indicators/struct.FastStochastic.html)
Expand Down