28 lines
857 B
Rust
28 lines
857 B
Rust
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use crate::validation;
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use numpy::{IntoPyArray, PyArray1, PyReadonlyArray1};
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use pyo3::prelude::*;
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/// On Balance Volume: cumulates volume * sign(close - prev_close); bar 0 uses volume.
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#[pyfunction]
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pub fn obv<'py>(
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py: Python<'py>,
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close: PyReadonlyArray1<'py, f64>,
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volume: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let closes = close.as_slice()?;
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let vols = volume.as_slice()?;
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let n = closes.len();
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validation::validate_equal_length(&[(n, "close"), (vols.len(), "volume")])?;
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let mut result = vec![0.0_f64; n];
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let mut obv_val = 0.0_f64;
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for i in 1..n {
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if closes[i] > closes[i - 1] {
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obv_val += vols[i];
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} else if closes[i] < closes[i - 1] {
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obv_val -= vols[i];
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}
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result[i] = obv_val;
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}
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Ok(result.into_pyarray(py))
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}
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