6287bd48c1
* feat(adxr): add Wilder Average Directional Movement Index Rating
ADXR is the trend-strength smoother Wilder published alongside ADX in
*New Concepts in Technical Trading Systems* (1978):
ADXR_t = (ADX_t + ADX_{t - (period - 1)}) / 2
The lookback length is the same period that feeds the underlying ADX.
Because the older ADX is period - 1 bars stale, ADXR responds more
slowly than ADX and is the canonical metric for comparing
trend-strength across instruments.
Implementation reuses the existing wickra_core::Adx engine plus a
period-length ring of past ADX values; warmup is 3 * period - 1
(41 for period = 14). Bindings: Python PyAdxr (PyArray1 batch),
Node AdxrNode (number scalar), WASM WasmAdxr. Fuzz target covers
the candle-input path. Python + Node streaming-vs-batch tests
parametrised, plus a pure-uptrend reference value (ADXR == 100
when ADX saturates at 100). Criterion bench added under crates/
wickra/benches/indicators.rs.
README family table and indicator counter updated (71 -> 72).
* feat(rwi): add Mike Poulos Random Walk Index
RWI compares actual price displacement to what a random walk would
produce over the same horizon: for each lookback i in [2, period],
RWI_High_t(i) = (high_t - low_{t-i+1}) / (ATR_i(t) * sqrt(i))
RWI_Low_t(i) = (high_{t-i+1} - low_t) / (ATR_i(t) * sqrt(i))
Per-bar output is the maximum across lookbacks for each direction;
a reading > 1 means the trend beats random-walk noise, > 2 is the
typical strong-trend threshold. Multi-output (high, low). period
must be >= 2 (the shortest meaningful lookback); period < 2 returns
InvalidPeriod. Warmup = period (e.g. 14 for the standard default).
Bindings: Python PyRwi (PyArray2 shape (n, 2)), Node RwiNode +
RwiValue struct, WASM WasmRwi (Object/Reflect for update,
Float64Array interleaved for batch). Fuzz target adds the candle
input case. Python parametric streaming-vs-batch test and pure
uptrend reference test (RWI_High dominates RWI_Low and exceeds 1).
Node parametric streaming-vs-interleaved-batch test. Criterion
bench under crates/wickra/benches/indicators.rs.
README family table and indicator counter updated (72 -> 73).
* feat(tii): add M.H. Pee Trend Intensity Index
TII is a [0, 100] oscillator that asks 'what fraction of the recent
SMA deviations are positive?'. The construction is
dev_t = close_t - SMA(close, sma_period)_t
SD_pos = sum of positive dev_t over the last dev_period bars
SD_neg = sum of |negative dev_t| over the last dev_period bars
TII = 100 * SD_pos / (SD_pos + SD_neg)
Saturates at 100 on a pure uptrend (every close above the lagging
SMA), at 0 on a pure downtrend, and returns the neutral mid-point 50
on a perfectly flat window. The output is clamped to [0, 100] as
the rolling-sum subtraction loop can accumulate a few ULP of error
on long histories. Canonical Pee parameters (sma_period=60,
dev_period=30) wired as Python defaults; warmup is
sma_period + dev_period - 1 (89 for the defaults).
Bindings: Python PyTii (PyArray1 batch), Node TiiNode (scalar
update + batch), WASM WasmTii via the two-arg wasm_scalar_indicator!
macro. Fuzz target adds the scalar path. Python parametric
streaming-vs-batch test plus pure-uptrend (TII == 100) and
flat-market (TII == 50) reference tests. Node parametric
streaming-vs-batch test. Criterion bench under crates/wickra/
benches/indicators.rs.
README family table and indicator counter updated (73 -> 74).
* feat(kst): add Pring Know Sure Thing oscillator
KST is Martin Pring's long-horizon momentum gauge: four smoothed
rate-of-change components combined with fixed weights (1, 2, 3, 4),
plus an SMA signal line.
RCMA_i = SMA(ROC(close, roc_i), sma_i) for i in 1..=4
KST = 1*RCMA_1 + 2*RCMA_2 + 3*RCMA_3 + 4*RCMA_4
Signal = SMA(KST, signal_period)
Kst::classic() exposes Pring's recommended parameter set
(roc = (10, 15, 20, 30), sma = (10, 10, 10, 15), signal = 9);
warmup = max(roc_i + sma_i) + signal_period - 1 (53 for the classic
parameters). All four parallel branches are fed unconditionally so
they warm in lock-step.
Bindings: Python PyKst (PyArray2 shape (n, 2)) with a KST.classic()
staticmethod, Node KstNode + KstValue with a KST.classic() factory,
WASM WasmKst with both new(...) and classic() constructors plus
Object/Reflect for update and Float64Array for batch. Fuzz target
adds the scalar multi-output path. Python tests gain a new
MULTI_SCALAR section parametric over scalar-input/multi-output
indicators, plus a classic-on-constant-series reference test. Node
tests gain a KST entry in the multi-output section. Criterion
benchmark added under crates/wickra/benches/indicators.rs.
README family table and indicator counter updated (74 -> 75).
* feat(wave-trend): add LazyBear Wave Trend Oscillator
Two-line mean-reverting momentum gauge built from the typical price
and three cascaded EMAs:
ap = (high + low + close) / 3
esa = EMA(ap, channel_period)
d = EMA(|ap - esa|, channel_period)
ci = (ap - esa) / (0.015 * d)
wt1 = EMA(ci, average_period)
wt2 = SMA(wt1, signal_period)
WaveTrend::classic() exposes LazyBear's defaults
(channel = 10, average = 21, signal = 4); warmup is
2 * channel_period + average_period + signal_period - 3 (42 for the
classic defaults). On a perfectly flat market the SMA-seeded EMA
introduces a single-ULP drift between ap and esa, which on a tiny d
would make the ratio explode to -1/0.015 = -66.67; a price-scaled
flat-tolerance guard (d <= 16 * EPSILON * max(|esa|, 1)) collapses
the channel index to 0 in that regime so both lines remain at zero.
Bindings: Python PyWaveTrend (PyArray2 shape (n, 2)) with a
WaveTrend.classic() staticmethod, Node WaveTrendNode + WaveTrendValue
with a WaveTrend.classic() factory, WASM WasmWaveTrend with both
new(...) and classic() constructors. Fuzz target adds the candle
multi-output path (sorted alphabetically). Python parametric
streaming-vs-batch test plus a flat-market reference test. Node
parametric streaming-vs-interleaved-batch test. Criterion bench
under crates/wickra/benches/indicators.rs.
README family table and indicator counter updated (75 -> 76).
* fix(family-06): re-add KST::classic() factory + drop dup fuzz block
Family-06 PR's tests call ta.KST.classic() / wickra.KST.classic() — main's
KST binding shipped without the static factory. Add classic() in Python
(staticmethod) and Node (napi factory); WASM already had it. Also drop the
duplicate Kst::classic().unwrap() block in fuzz/indicator_update.rs that
the merge left behind (main's API no longer returns Result).
* test(rwi): drop dead count==0 guard
The loop `for i in 2..=period` makes `count = tr_end - tr_start = i - 1`
which is always >= 1, so the `if count == 0 { continue; }` branch was
unreachable defensive code that codecov flagged on the family-06 PR.
7088 lines
206 KiB
Rust
7088 lines
206 KiB
Rust
//! Python bindings for Wickra. Built with `PyO3` and exposed under the `wickra` package.
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//!
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//! This module is the thin glue between `wickra-core` and Python. Every indicator
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//! has both a streaming class and a batch helper that takes a `NumPy` array.
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#![allow(clippy::needless_pass_by_value)]
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// Python `__repr__` is an instance method by protocol, so the `&self` parameter is
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// mandatory even when its body does not read state (e.g. parameterless indicators
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// like `TypicalPrice`). Clippy's `unused_self` triggers on those signatures.
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#![allow(clippy::unused_self)]
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use numpy::{IntoPyArray, PyArray1, PyArray2, PyReadonlyArray1};
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use pyo3::exceptions::{PyTypeError, PyValueError};
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use pyo3::prelude::*;
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use pyo3::types::PyDict;
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use wickra_core as wc;
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use wickra_core::{BatchExt, Indicator};
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fn map_err(e: wc::Error) -> PyErr {
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match e {
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wc::Error::PeriodZero
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| wc::Error::InvalidPeriod { .. }
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| wc::Error::NonPositiveMultiplier
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| wc::Error::NonFiniteInput
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|
| wc::Error::InvalidCandle { .. }
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| wc::Error::InvalidTick { .. } => PyValueError::new_err(e.to_string()),
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}
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}
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fn opt_to_nan(v: Option<f64>) -> f64 {
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v.unwrap_or(f64::NAN)
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}
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/// Convert a slice of `Option<f64>` to a flat `Vec<f64>` with NaNs for warmup.
|
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fn flatten(values: Vec<Option<f64>>) -> Vec<f64> {
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values.into_iter().map(opt_to_nan).collect()
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}
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|
|
|
/// Raised instead of panicking when a `NumPy` input is not C-contiguous.
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const NON_CONTIGUOUS: &str = "array must be C-contiguous; pass np.ascontiguousarray(arr)";
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|
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// ============================== SMA ==============================
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#[pyclass(name = "SMA", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PySma {
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inner: wc::Sma,
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}
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|
|
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#[pymethods]
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impl PySma {
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#[new]
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fn new(period: usize) -> PyResult<Self> {
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|
Ok(Self {
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inner: wc::Sma::new(period).map_err(map_err)?,
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|
})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let slice = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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#[getter]
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fn value(&self) -> Option<f64> {
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self.inner.value()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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|
self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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|
self.inner.warmup_period()
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|
}
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|
fn __repr__(&self) -> String {
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format!("SMA(period={})", self.inner.period())
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}
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}
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// ============================== EMA ==============================
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|
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#[pyclass(name = "EMA", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyEma {
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inner: wc::Ema,
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|
}
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|
|
|
#[pymethods]
|
|
impl PyEma {
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|
#[new]
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|
fn new(period: usize) -> PyResult<Self> {
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|
Ok(Self {
|
|
inner: wc::Ema::new(period).map_err(map_err)?,
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|
})
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|
}
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fn update(&mut self, value: f64) -> Option<f64> {
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|
self.inner.update(value)
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|
}
|
|
fn batch<'py>(
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|
&mut self,
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|
py: Python<'py>,
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|
prices: PyReadonlyArray1<'py, f64>,
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|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
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|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
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|
}
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#[getter]
|
|
fn period(&self) -> usize {
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|
self.inner.period()
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|
}
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#[getter]
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|
fn alpha(&self) -> f64 {
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|
self.inner.alpha()
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|
}
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#[getter]
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|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
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|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
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|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
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|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("EMA(period={})", self.inner.period())
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|
}
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|
}
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|
|
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// ============================== WMA ==============================
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|
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#[pyclass(name = "WMA", module = "wickra._wickra", skip_from_py_object)]
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|
#[derive(Clone)]
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|
struct PyWma {
|
|
inner: wc::Wma,
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|
}
|
|
|
|
#[pymethods]
|
|
impl PyWma {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Wma::new(period).map_err(map_err)?,
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|
})
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|
}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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|
}
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|
fn batch<'py>(
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|
&mut self,
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|
py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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|
let slice = prices
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.as_slice()
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|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
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|
}
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|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
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|
}
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#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
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|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
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|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("WMA(period={})", self.inner.period())
|
|
}
|
|
}
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|
|
|
// ============================== RSI ==============================
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|
|
|
#[pyclass(name = "RSI", module = "wickra._wickra", skip_from_py_object)]
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|
#[derive(Clone)]
|
|
struct PyRsi {
|
|
inner: wc::Rsi,
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|
}
|
|
|
|
#[pymethods]
|
|
impl PyRsi {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Rsi::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("RSI(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== MACD ==============================
|
|
|
|
#[pyclass(name = "MACD", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyMacd {
|
|
inner: wc::MacdIndicator,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyMacd {
|
|
#[new]
|
|
#[pyo3(signature = (fast=12, slow=26, signal=9))]
|
|
fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::MacdIndicator::new(fast, slow, signal).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(macd, signal, histogram)` or `None` during warmup.
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64, f64)> {
|
|
self.inner
|
|
.update(value)
|
|
.map(|o| (o.macd, o.signal, o.histogram))
|
|
}
|
|
/// Batch over a numpy array of closes. Returns a 2D array of shape `(n, 3)`
|
|
/// with columns `[macd, signal, histogram]`. Warmup rows are NaN.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 3] = o.macd;
|
|
out[i * 3 + 1] = o.signal;
|
|
out[i * 3 + 2] = o.histogram;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (f, s, sig) = self.inner.periods();
|
|
format!("MACD(fast={f}, slow={s}, signal={sig})")
|
|
}
|
|
}
|
|
|
|
// ============================== Bollinger Bands ==============================
|
|
|
|
#[pyclass(
|
|
name = "BollingerBands",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyBb {
|
|
inner: wc::BollingerBands,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyBb {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, multiplier=2.0))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::BollingerBands::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(upper, middle, lower, stddev)` or `None` during warmup.
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64, f64, f64)> {
|
|
self.inner
|
|
.update(value)
|
|
.map(|o| (o.upper, o.middle, o.lower, o.stddev))
|
|
}
|
|
/// Batch returns shape `(n, 4)` columns `[upper, middle, lower, stddev]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 4];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 4] = o.upper;
|
|
out[i * 4 + 1] = o.middle;
|
|
out[i * 4 + 2] = o.lower;
|
|
out[i * 4 + 3] = o.stddev;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 4), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn multiplier(&self) -> f64 {
|
|
self.inner.multiplier()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!(
|
|
"BollingerBands(period={}, multiplier={})",
|
|
self.inner.period(),
|
|
self.inner.multiplier()
|
|
)
|
|
}
|
|
}
|
|
|
|
// ============================== ATR ==============================
|
|
|
|
fn extract_candle(d: &Bound<'_, PyAny>) -> PyResult<wc::Candle> {
|
|
// Accept either a dict-like with open/high/low/close/volume/timestamp,
|
|
// or a tuple (open, high, low, close, volume, timestamp).
|
|
if let Ok(tup) = d.extract::<(f64, f64, f64, f64, f64, i64)>() {
|
|
return wc::Candle::new(tup.0, tup.1, tup.2, tup.3, tup.4, tup.5).map_err(map_err);
|
|
}
|
|
if let Ok(dict) = d.cast::<PyDict>() {
|
|
let g = |k: &str| -> PyResult<f64> {
|
|
dict.get_item(k)?
|
|
.ok_or_else(|| PyValueError::new_err(format!("candle missing key '{k}'")))?
|
|
.extract::<f64>()
|
|
};
|
|
let ts = dict
|
|
.get_item("timestamp")?
|
|
.map(|v| v.extract::<i64>())
|
|
.transpose()?
|
|
.unwrap_or(0);
|
|
return wc::Candle::new(
|
|
g("open")?,
|
|
g("high")?,
|
|
g("low")?,
|
|
g("close")?,
|
|
g("volume")?,
|
|
ts,
|
|
)
|
|
.map_err(map_err);
|
|
}
|
|
Err(PyTypeError::new_err(
|
|
"candle must be a 6-tuple (open, high, low, close, volume, timestamp) or a dict",
|
|
))
|
|
}
|
|
|
|
#[pyclass(name = "ATR", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAtr {
|
|
inner: wc::Atr,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAtr {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Atr::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns: high, low, close (all 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ATR(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Stochastic ==============================
|
|
|
|
#[pyclass(name = "Stochastic", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyStoch {
|
|
inner: wc::Stochastic,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyStoch {
|
|
#[new]
|
|
#[pyo3(signature = (k_period=14, d_period=3))]
|
|
fn new(k_period: usize, d_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Stochastic::new(k_period, d_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.k, o.d)))
|
|
}
|
|
/// Batch over high/low/close numpy columns. Returns shape `(n, 2)` for `[k, d]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.k;
|
|
out[i * 2 + 1] = o.d;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (k, d) = self.inner.periods();
|
|
format!("Stochastic(k_period={k}, d_period={d})")
|
|
}
|
|
}
|
|
|
|
// ============================== OBV ==============================
|
|
|
|
#[pyclass(name = "OBV", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyObv {
|
|
inner: wc::Obv,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyObv {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::Obv::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy close + volume arrays.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"close and volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"OBV()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== DEMA ==============================
|
|
|
|
#[pyclass(name = "DEMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyDema {
|
|
inner: wc::Dema,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyDema {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Dema::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("DEMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== TEMA ==============================
|
|
|
|
#[pyclass(name = "TEMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTema {
|
|
inner: wc::Tema,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTema {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Tema::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("TEMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== HMA ==============================
|
|
|
|
#[pyclass(name = "HMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyHma {
|
|
inner: wc::Hma,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyHma {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Hma::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("HMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== KAMA ==============================
|
|
|
|
#[pyclass(name = "KAMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyKama {
|
|
inner: wc::Kama,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyKama {
|
|
#[new]
|
|
#[pyo3(signature = (er_period=10, fast=2, slow=30))]
|
|
fn new(er_period: usize, fast: usize, slow: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Kama::new(er_period, fast, slow).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"KAMA".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Inertia ==============================
|
|
|
|
#[pyclass(name = "Inertia", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyInertia {
|
|
inner: wc::Inertia,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyInertia {
|
|
#[new]
|
|
#[pyo3(signature = (rvi_period=14, linreg_period=20))]
|
|
fn new(rvi_period: usize, linreg_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Inertia::new(rvi_period, linreg_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
open: PyReadonlyArray1<'py, f64>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let o = open
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if !(o.len() == h.len() && h.len() == l.len() && l.len() == c.len()) {
|
|
return Err(PyValueError::new_err(
|
|
"open, high, low and close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(o[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (r, l) = self.inner.periods();
|
|
format!("Inertia(rvi_period={r}, linreg_period={l})")
|
|
}
|
|
}
|
|
|
|
// ============================== Connors RSI ==============================
|
|
|
|
#[pyclass(name = "ConnorsRSI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyConnorsRsi {
|
|
inner: wc::ConnorsRsi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyConnorsRsi {
|
|
#[new]
|
|
#[pyo3(signature = (period_rsi=3, period_streak=2, period_rank=100))]
|
|
fn new(period_rsi: usize, period_streak: usize, period_rank: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ConnorsRsi::new(period_rsi, period_streak, period_rank).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (r, s, k) = self.inner.periods();
|
|
format!("ConnorsRSI(period_rsi={r}, period_streak={s}, period_rank={k})")
|
|
}
|
|
}
|
|
|
|
// ============================== Laguerre RSI ==============================
|
|
|
|
#[pyclass(name = "LaguerreRSI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyLaguerreRsi {
|
|
inner: wc::LaguerreRsi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyLaguerreRsi {
|
|
#[new]
|
|
#[pyo3(signature = (gamma=0.5))]
|
|
fn new(gamma: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::LaguerreRsi::new(gamma).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn gamma(&self) -> f64 {
|
|
self.inner.gamma()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("LaguerreRSI(gamma={})", self.inner.gamma())
|
|
}
|
|
}
|
|
|
|
// ============================== SMI ==============================
|
|
|
|
#[pyclass(name = "SMI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PySmi {
|
|
inner: wc::Smi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PySmi {
|
|
#[new]
|
|
#[pyo3(signature = (period=5, d_period=3, d2_period=3))]
|
|
fn new(period: usize, d_period: usize, d2_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Smi::new(period, d_period, d2_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if !(h.len() == l.len() && l.len() == c.len()) {
|
|
return Err(PyValueError::new_err(
|
|
"high, low and close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, d, d2) = self.inner.periods();
|
|
format!("SMI(period={p}, d_period={d}, d2_period={d2})")
|
|
}
|
|
}
|
|
|
|
// ============================== KST ==============================
|
|
|
|
#[pyclass(name = "KST", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyKst {
|
|
inner: wc::Kst,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyKst {
|
|
#[new]
|
|
#[pyo3(signature = (roc1=10, roc2=15, roc3=20, roc4=30, sma1=10, sma2=10, sma3=10, sma4=15, signal=9))]
|
|
#[allow(clippy::too_many_arguments)]
|
|
fn new(
|
|
roc1: usize,
|
|
roc2: usize,
|
|
roc3: usize,
|
|
roc4: usize,
|
|
sma1: usize,
|
|
sma2: usize,
|
|
sma3: usize,
|
|
sma4: usize,
|
|
signal: usize,
|
|
) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Kst::new(roc1, roc2, roc3, roc4, sma1, sma2, sma3, sma4, signal)
|
|
.map_err(map_err)?,
|
|
})
|
|
}
|
|
#[staticmethod]
|
|
fn classic() -> Self {
|
|
Self {
|
|
inner: wc::Kst::classic(),
|
|
}
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64)> {
|
|
self.inner.update(value).map(|o| (o.kst, o.signal))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 2] = o.kst;
|
|
out[i * 2 + 1] = o.signal;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"KST".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== PGO ==============================
|
|
|
|
#[pyclass(name = "PGO", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyPgo {
|
|
inner: wc::Pgo,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyPgo {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Pgo::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if !(h.len() == l.len() && l.len() == c.len()) {
|
|
return Err(PyValueError::new_err(
|
|
"high, low and close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("PGO(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== RVI ==============================
|
|
|
|
#[pyclass(name = "RVI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyRvi {
|
|
inner: wc::Rvi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyRvi {
|
|
#[new]
|
|
#[pyo3(signature = (period=10))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Rvi::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
open: PyReadonlyArray1<'py, f64>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let o = open
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if !(o.len() == h.len() && h.len() == l.len() && l.len() == c.len()) {
|
|
return Err(PyValueError::new_err(
|
|
"open, high, low and close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(o[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("RVI(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== FRAMA ==============================
|
|
|
|
#[pyclass(name = "FRAMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyFrama {
|
|
inner: wc::Frama,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyFrama {
|
|
#[new]
|
|
#[pyo3(signature = (period=16))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Frama::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("FRAMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== EVWMA ==============================
|
|
|
|
#[pyclass(name = "EVWMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyEvwma {
|
|
inner: wc::Evwma,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyEvwma {
|
|
#[new]
|
|
#[pyo3(signature = (period=20))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Evwma::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"close and volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("EVWMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Alligator ==============================
|
|
|
|
#[pyclass(name = "Alligator", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAlligator {
|
|
inner: wc::Alligator,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAlligator {
|
|
#[new]
|
|
#[pyo3(signature = (jaw=13, teeth=8, lips=5))]
|
|
fn new(jaw: usize, teeth: usize, lips: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Alligator::new(jaw, teeth, lips).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.jaw, o.teeth, o.lips)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.jaw;
|
|
out[i * 3 + 1] = o.teeth;
|
|
out[i * 3 + 2] = o.lips;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (j, t, l) = self.inner.periods();
|
|
format!("Alligator(jaw={j}, teeth={t}, lips={l})")
|
|
}
|
|
}
|
|
|
|
// ============================== JMA ==============================
|
|
|
|
#[pyclass(name = "JMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyJma {
|
|
inner: wc::Jma,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyJma {
|
|
#[new]
|
|
#[pyo3(signature = (period=14, phase=0.0, power=2))]
|
|
fn new(period: usize, phase: f64, power: u32) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Jma::new(period, phase, power).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, ph, pw) = self.inner.params();
|
|
format!("JMA(period={p}, phase={ph}, power={pw})")
|
|
}
|
|
}
|
|
|
|
// ============================== VIDYA ==============================
|
|
|
|
#[pyclass(name = "VIDYA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyVidya {
|
|
inner: wc::Vidya,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyVidya {
|
|
#[new]
|
|
#[pyo3(signature = (period=14, cmo_period=9))]
|
|
fn new(period: usize, cmo_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Vidya::new(period, cmo_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, c) = self.inner.periods();
|
|
format!("VIDYA(period={p}, cmo_period={c})")
|
|
}
|
|
}
|
|
|
|
// ============================== McGinley Dynamic ==============================
|
|
|
|
#[pyclass(
|
|
name = "McGinleyDynamic",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyMcGinleyDynamic {
|
|
inner: wc::McGinleyDynamic,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyMcGinleyDynamic {
|
|
#[new]
|
|
#[pyo3(signature = (period=10))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::McGinleyDynamic::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("McGinleyDynamic(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== ALMA ==============================
|
|
|
|
#[pyclass(name = "ALMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAlma {
|
|
inner: wc::Alma,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAlma {
|
|
#[new]
|
|
#[pyo3(signature = (period=9, offset=0.85, sigma=6.0))]
|
|
fn new(period: usize, offset: f64, sigma: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Alma::new(period, offset, sigma).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn offset(&self) -> f64 {
|
|
self.inner.offset()
|
|
}
|
|
#[getter]
|
|
fn sigma(&self) -> f64 {
|
|
self.inner.sigma()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!(
|
|
"ALMA(period={}, offset={}, sigma={})",
|
|
self.inner.period(),
|
|
self.inner.offset(),
|
|
self.inner.sigma()
|
|
)
|
|
}
|
|
}
|
|
|
|
// ============================== AwesomeOscillatorHistogram ==============================
|
|
|
|
#[pyclass(
|
|
name = "AwesomeOscillatorHistogram",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyAoHist {
|
|
inner: wc::AwesomeOscillatorHistogram,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAoHist {
|
|
#[new]
|
|
#[pyo3(signature = (fast=5, slow=34, sma_period=5))]
|
|
fn new(fast: usize, slow: usize, sma_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::AwesomeOscillatorHistogram::new(fast, slow, sma_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (f, s, k) = self.inner.periods();
|
|
format!("AwesomeOscillatorHistogram(fast={f}, slow={s}, sma_period={k})")
|
|
}
|
|
}
|
|
|
|
// ============================== STC ==============================
|
|
|
|
#[pyclass(name = "STC", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyStc {
|
|
inner: wc::Stc,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyStc {
|
|
#[new]
|
|
#[pyo3(signature = (fast=23, slow=50, schaff_period=10, factor=0.5))]
|
|
fn new(fast: usize, slow: usize, schaff_period: usize, factor: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Stc::new(fast, slow, schaff_period, factor).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (f, s, p, k) = self.inner.params();
|
|
format!("STC(fast={f}, slow={s}, schaff_period={p}, factor={k})")
|
|
}
|
|
}
|
|
|
|
// ============================== ElderImpulse ==============================
|
|
|
|
#[pyclass(name = "ElderImpulse", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyElderImpulse {
|
|
inner: wc::ElderImpulse,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyElderImpulse {
|
|
#[new]
|
|
#[pyo3(signature = (ema_period=13, macd_fast=12, macd_slow=26, macd_signal=9))]
|
|
fn new(
|
|
ema_period: usize,
|
|
macd_fast: usize,
|
|
macd_slow: usize,
|
|
macd_signal: usize,
|
|
) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ElderImpulse::new(ema_period, macd_fast, macd_slow, macd_signal)
|
|
.map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (e, f, s, sig) = self.inner.periods();
|
|
format!("ElderImpulse(ema_period={e}, macd_fast={f}, macd_slow={s}, macd_signal={sig})")
|
|
}
|
|
}
|
|
|
|
// ============================== ZeroLagMACD ==============================
|
|
|
|
#[pyclass(name = "ZeroLagMACD", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyZeroLagMacd {
|
|
inner: wc::ZeroLagMacd,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyZeroLagMacd {
|
|
#[new]
|
|
#[pyo3(signature = (fast=12, slow=26, signal=9))]
|
|
fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ZeroLagMacd::new(fast, slow, signal).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64, f64)> {
|
|
self.inner
|
|
.update(value)
|
|
.map(|o| (o.macd, o.signal, o.histogram))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 3] = o.macd;
|
|
out[i * 3 + 1] = o.signal;
|
|
out[i * 3 + 2] = o.histogram;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (f, s, sig) = self.inner.periods();
|
|
format!("ZeroLagMACD(fast={f}, slow={s}, signal={sig})")
|
|
}
|
|
}
|
|
|
|
// ============================== CFO ==============================
|
|
|
|
#[pyclass(name = "CFO", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyCfo {
|
|
inner: wc::Cfo,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyCfo {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Cfo::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("CFO(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== APO ==============================
|
|
|
|
#[pyclass(name = "APO", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyApo {
|
|
inner: wc::Apo,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyApo {
|
|
#[new]
|
|
#[pyo3(signature = (fast=12, slow=26))]
|
|
fn new(fast: usize, slow: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Apo::new(fast, slow).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (f, s) = self.inner.periods();
|
|
format!("APO(fast={f}, slow={s})")
|
|
}
|
|
}
|
|
|
|
// ============================== CCI ==============================
|
|
|
|
#[pyclass(name = "CCI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyCci {
|
|
inner: wc::Cci,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyCci {
|
|
#[new]
|
|
#[pyo3(signature = (period=20))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Cci::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("CCI(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== ROC ==============================
|
|
|
|
#[pyclass(name = "ROC", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyRoc {
|
|
inner: wc::Roc,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyRoc {
|
|
#[new]
|
|
#[pyo3(signature = (period=10))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Roc::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ROC(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Williams %R ==============================
|
|
|
|
#[pyclass(name = "WilliamsR", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyWilliamsR {
|
|
inner: wc::WilliamsR,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyWilliamsR {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::WilliamsR::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== ADX ==============================
|
|
|
|
#[pyclass(name = "ADX", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAdx {
|
|
inner: wc::Adx,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAdx {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Adx::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(plus_di, minus_di, adx)` or None during warmup.
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.plus_di, o.minus_di, o.adx)))
|
|
}
|
|
/// Batch returns shape `(n, 3)`: `[plus_di, minus_di, adx]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.plus_di;
|
|
out[i * 3 + 1] = o.minus_di;
|
|
out[i * 3 + 2] = o.adx;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== ADXR ==============================
|
|
|
|
#[pyclass(name = "ADXR", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAdxr {
|
|
inner: wc::Adxr,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAdxr {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Adxr::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(v) = self.inner.update(candle) {
|
|
out[i] = v;
|
|
}
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ADXR(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== MFI ==============================
|
|
|
|
#[pyclass(name = "MFI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyMfi {
|
|
inner: wc::Mfi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyMfi {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Mfi::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close, volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== TRIX ==============================
|
|
|
|
#[pyclass(name = "TRIX", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTrix {
|
|
inner: wc::Trix,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTrix {
|
|
#[new]
|
|
#[pyo3(signature = (period=30))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Trix::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== PSAR ==============================
|
|
|
|
#[pyclass(name = "PSAR", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyPsar {
|
|
inner: wc::Psar,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyPsar {
|
|
#[new]
|
|
#[pyo3(signature = (af_start=0.02, af_step=0.02, af_max=0.20))]
|
|
fn new(af_start: f64, af_step: f64, af_max: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Psar::new(af_start, af_step, af_max).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Keltner Channels ==============================
|
|
|
|
#[pyclass(name = "Keltner", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyKeltner {
|
|
inner: wc::Keltner,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyKeltner {
|
|
#[new]
|
|
#[pyo3(signature = (ema_period=20, atr_period=10, multiplier=2.0))]
|
|
fn new(ema_period: usize, atr_period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Keltner::new(ema_period, atr_period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(upper, middle, lower)` or None during warmup.
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.upper, o.middle, o.lower)))
|
|
}
|
|
/// Returns shape `(n, 3)` for `[upper, middle, lower]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Donchian Channels ==============================
|
|
|
|
#[pyclass(name = "Donchian", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyDonchian {
|
|
inner: wc::Donchian,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyDonchian {
|
|
#[new]
|
|
#[pyo3(signature = (period=20))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Donchian::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.upper, o.middle, o.lower)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== VWAP ==============================
|
|
|
|
#[pyclass(name = "VWAP", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyVwap {
|
|
inner: wc::Vwap,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyVwap {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::Vwap::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close, volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Rolling VWAP ==============================
|
|
|
|
#[pyclass(name = "RollingVWAP", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyRollingVwap {
|
|
inner: wc::RollingVwap,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyRollingVwap {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::RollingVwap::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close, volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("RollingVWAP(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Awesome Oscillator ==============================
|
|
|
|
#[pyclass(
|
|
name = "AwesomeOscillator",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyAo {
|
|
inner: wc::AwesomeOscillator,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAo {
|
|
#[new]
|
|
#[pyo3(signature = (fast=5, slow=34))]
|
|
fn new(fast: usize, slow: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::AwesomeOscillator::new(fast, slow).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Aroon ==============================
|
|
|
|
#[pyclass(name = "Aroon", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAroon {
|
|
inner: wc::Aroon,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAroon {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Aroon::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.up, o.down)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.up;
|
|
out[i * 2 + 1] = o.down;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== ADL ==============================
|
|
|
|
#[pyclass(name = "ADL", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAdl {
|
|
inner: wc::Adl,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAdl {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::Adl::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns: high, low, close, volume (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close, volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"ADL()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Volume-Price Trend ==============================
|
|
|
|
#[pyclass(
|
|
name = "VolumePriceTrend",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyVolumePriceTrend {
|
|
inner: wc::VolumePriceTrend,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyVolumePriceTrend {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::VolumePriceTrend::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy close + volume arrays (both 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"close and volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"VolumePriceTrend()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Bollinger Bandwidth ==============================
|
|
|
|
#[pyclass(
|
|
name = "BollingerBandwidth",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyBollingerBandwidth {
|
|
inner: wc::BollingerBandwidth,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyBollingerBandwidth {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, multiplier=2.0))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::BollingerBandwidth::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn multiplier(&self) -> f64 {
|
|
self.inner.multiplier()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!(
|
|
"BollingerBandwidth(period={}, multiplier={})",
|
|
self.inner.period(),
|
|
self.inner.multiplier()
|
|
)
|
|
}
|
|
}
|
|
|
|
// ============================== Percent B ==============================
|
|
|
|
#[pyclass(name = "PercentB", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyPercentB {
|
|
inner: wc::PercentB,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyPercentB {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, multiplier=2.0))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::PercentB::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn multiplier(&self) -> f64 {
|
|
self.inner.multiplier()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!(
|
|
"PercentB(period={}, multiplier={})",
|
|
self.inner.period(),
|
|
self.inner.multiplier()
|
|
)
|
|
}
|
|
}
|
|
|
|
// ============================== NATR ==============================
|
|
|
|
#[pyclass(name = "NATR", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyNatr {
|
|
inner: wc::Natr,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyNatr {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Natr::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns: high, low, close (all 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("NATR(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== StdDev ==============================
|
|
|
|
#[pyclass(name = "StdDev", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyStdDev {
|
|
inner: wc::StdDev,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyStdDev {
|
|
#[new]
|
|
#[pyo3(signature = (period=20))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::StdDev::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("StdDev(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Ulcer Index ==============================
|
|
|
|
#[pyclass(name = "UlcerIndex", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyUlcerIndex {
|
|
inner: wc::UlcerIndex,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyUlcerIndex {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::UlcerIndex::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("UlcerIndex(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Historical Volatility ==============================
|
|
|
|
#[pyclass(
|
|
name = "HistoricalVolatility",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyHistoricalVolatility {
|
|
inner: wc::HistoricalVolatility,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyHistoricalVolatility {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, trading_periods=252))]
|
|
fn new(period: usize, trading_periods: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::HistoricalVolatility::new(period, trading_periods).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, t) = self.inner.periods();
|
|
format!("HistoricalVolatility(period={p}, trading_periods={t})")
|
|
}
|
|
}
|
|
|
|
// ============================== Aroon Oscillator ==============================
|
|
|
|
#[pyclass(
|
|
name = "AroonOscillator",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyAroonOscillator {
|
|
inner: wc::AroonOscillator,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAroonOscillator {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::AroonOscillator::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy high + low columns (both 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("AroonOscillator(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Vortex ==============================
|
|
|
|
#[pyclass(name = "Vortex", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyVortex {
|
|
inner: wc::Vortex,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyVortex {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Vortex::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(plus, minus)` or `None` during warmup.
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.plus, o.minus)))
|
|
}
|
|
/// Batch over high/low/close numpy columns. Returns shape `(n, 2)` for `[plus, minus]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.plus;
|
|
out[i * 2 + 1] = o.minus;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("Vortex(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== RWI ==============================
|
|
|
|
#[pyclass(name = "RWI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyRwi {
|
|
inner: wc::Rwi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyRwi {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Rwi::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(high, low)` or `None` during warmup.
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.high, o.low)))
|
|
}
|
|
/// Batch over high/low/close numpy columns. Returns shape `(n, 2)` for `[high, low]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.high;
|
|
out[i * 2 + 1] = o.low;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("RWI(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== WaveTrend ==============================
|
|
|
|
#[pyclass(name = "WaveTrend", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyWaveTrend {
|
|
inner: wc::WaveTrend,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyWaveTrend {
|
|
#[new]
|
|
#[pyo3(signature = (channel_period=10, average_period=21, signal_period=4))]
|
|
fn new(channel_period: usize, average_period: usize, signal_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::WaveTrend::new(channel_period, average_period, signal_period)
|
|
.map_err(map_err)?,
|
|
})
|
|
}
|
|
#[staticmethod]
|
|
fn classic() -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::WaveTrend::classic().map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.wt1, o.wt2)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.wt1;
|
|
out[i * 2 + 1] = o.wt2;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (cp, ap, sp) = self.inner.periods();
|
|
format!("WaveTrend(channel_period={cp}, average_period={ap}, signal_period={sp})")
|
|
}
|
|
}
|
|
|
|
// ============================== Mass Index ==============================
|
|
|
|
#[pyclass(name = "MassIndex", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyMassIndex {
|
|
inner: wc::MassIndex,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyMassIndex {
|
|
#[new]
|
|
#[pyo3(signature = (ema_period=9, sum_period=25))]
|
|
fn new(ema_period: usize, sum_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::MassIndex::new(ema_period, sum_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy high + low columns (both 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (e, s) = self.inner.periods();
|
|
format!("MassIndex(ema_period={e}, sum_period={s})")
|
|
}
|
|
}
|
|
|
|
// ============================== PPO ==============================
|
|
|
|
#[pyclass(name = "PPO", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyPpo {
|
|
inner: wc::Ppo,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyPpo {
|
|
#[new]
|
|
#[pyo3(signature = (fast=12, slow=26))]
|
|
fn new(fast: usize, slow: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Ppo::new(fast, slow).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (f, s) = self.inner.periods();
|
|
format!("PPO(fast={f}, slow={s})")
|
|
}
|
|
}
|
|
|
|
// ============================== DPO ==============================
|
|
|
|
#[pyclass(name = "DPO", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyDpo {
|
|
inner: wc::Dpo,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyDpo {
|
|
#[new]
|
|
#[pyo3(signature = (period=20))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Dpo::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn shift(&self) -> usize {
|
|
self.inner.shift()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("DPO(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Coppock ==============================
|
|
|
|
#[pyclass(name = "Coppock", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyCoppock {
|
|
inner: wc::Coppock,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyCoppock {
|
|
#[new]
|
|
#[pyo3(signature = (roc_long=14, roc_short=11, wma_period=10))]
|
|
fn new(roc_long: usize, roc_short: usize, wma_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Coppock::new(roc_long, roc_short, wma_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (l, s, w) = self.inner.periods();
|
|
format!("Coppock(roc_long={l}, roc_short={s}, wma_period={w})")
|
|
}
|
|
}
|
|
|
|
// ============================== StochRSI ==============================
|
|
|
|
#[pyclass(name = "StochRSI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyStochRsi {
|
|
inner: wc::StochRsi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyStochRsi {
|
|
#[new]
|
|
#[pyo3(signature = (rsi_period=14, stoch_period=14))]
|
|
fn new(rsi_period: usize, stoch_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::StochRsi::new(rsi_period, stoch_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (r, s) = self.inner.periods();
|
|
format!("StochRSI(rsi_period={r}, stoch_period={s})")
|
|
}
|
|
}
|
|
|
|
// ============================== Ultimate Oscillator ==============================
|
|
|
|
#[pyclass(
|
|
name = "UltimateOscillator",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyUltimateOscillator {
|
|
inner: wc::UltimateOscillator,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyUltimateOscillator {
|
|
#[new]
|
|
#[pyo3(signature = (short=7, mid=14, long=28))]
|
|
fn new(short: usize, mid: usize, long: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::UltimateOscillator::new(short, mid, long).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns: high, low, close (all 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (s, m, l) = self.inner.periods();
|
|
format!("UltimateOscillator(short={s}, mid={m}, long={l})")
|
|
}
|
|
}
|
|
|
|
// ============================== MOM ==============================
|
|
|
|
#[pyclass(name = "MOM", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyMom {
|
|
inner: wc::Mom,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyMom {
|
|
#[new]
|
|
#[pyo3(signature = (period=10))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Mom::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("MOM(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== CMO ==============================
|
|
|
|
#[pyclass(name = "CMO", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyCmo {
|
|
inner: wc::Cmo,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyCmo {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Cmo::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("CMO(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== TSI ==============================
|
|
|
|
#[pyclass(name = "TSI", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTsi {
|
|
inner: wc::Tsi,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTsi {
|
|
#[new]
|
|
#[pyo3(signature = (long=25, short=13))]
|
|
fn new(long: usize, short: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Tsi::new(long, short).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (l, s) = self.inner.periods();
|
|
format!("TSI(long={l}, short={s})")
|
|
}
|
|
}
|
|
|
|
// ============================== PMO ==============================
|
|
|
|
#[pyclass(name = "PMO", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyPmo {
|
|
inner: wc::Pmo,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyPmo {
|
|
#[new]
|
|
#[pyo3(signature = (smoothing1=35, smoothing2=20))]
|
|
fn new(smoothing1: usize, smoothing2: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Pmo::new(smoothing1, smoothing2).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (s1, s2) = self.inner.periods();
|
|
format!("PMO(smoothing1={s1}, smoothing2={s2})")
|
|
}
|
|
}
|
|
|
|
// ============================== TII ==============================
|
|
|
|
#[pyclass(name = "TII", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTii {
|
|
inner: wc::Tii,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTii {
|
|
#[new]
|
|
#[pyo3(signature = (sma_period=60, dev_period=30))]
|
|
fn new(sma_period: usize, dev_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Tii::new(sma_period, dev_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (s, d) = self.inner.periods();
|
|
format!("TII(sma_period={s}, dev_period={d})")
|
|
}
|
|
}
|
|
|
|
// ============================== ZLEMA ==============================
|
|
|
|
#[pyclass(name = "ZLEMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyZlema {
|
|
inner: wc::Zlema,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyZlema {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Zlema::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn lag(&self) -> usize {
|
|
self.inner.lag()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ZLEMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== T3 ==============================
|
|
|
|
#[pyclass(name = "T3", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyT3 {
|
|
inner: wc::T3,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyT3 {
|
|
#[new]
|
|
#[pyo3(signature = (period, v=0.7))]
|
|
fn new(period: usize, v: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::T3::new(period, v).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn volume_factor(&self) -> f64 {
|
|
self.inner.volume_factor()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!(
|
|
"T3(period={}, v={})",
|
|
self.inner.period(),
|
|
self.inner.volume_factor()
|
|
)
|
|
}
|
|
}
|
|
|
|
// ============================== VWMA ==============================
|
|
|
|
#[pyclass(name = "VWMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyVwma {
|
|
inner: wc::Vwma,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyVwma {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Vwma::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy close + volume arrays (both 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"close and volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("VWMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== SMMA ==============================
|
|
|
|
#[pyclass(name = "SMMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PySmma {
|
|
inner: wc::Smma,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PySmma {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Smma::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("SMMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== TRIMA ==============================
|
|
|
|
#[pyclass(name = "TRIMA", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTrima {
|
|
inner: wc::Trima,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTrima {
|
|
#[new]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::Trima::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("TRIMA(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Chaikin Money Flow ==============================
|
|
|
|
#[pyclass(
|
|
name = "ChaikinMoneyFlow",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyChaikinMoneyFlow {
|
|
inner: wc::ChaikinMoneyFlow,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyChaikinMoneyFlow {
|
|
#[new]
|
|
#[pyo3(signature = (period=20))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ChaikinMoneyFlow::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns: high, low, close, volume (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close, volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ChaikinMoneyFlow(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Chaikin Oscillator ==============================
|
|
|
|
#[pyclass(
|
|
name = "ChaikinOscillator",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyChaikinOscillator {
|
|
inner: wc::ChaikinOscillator,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyChaikinOscillator {
|
|
#[new]
|
|
#[pyo3(signature = (fast=3, slow=10))]
|
|
fn new(fast: usize, slow: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ChaikinOscillator::new(fast, slow).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns: high, low, close, volume (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close, volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (fast, slow) = self.inner.periods();
|
|
format!("ChaikinOscillator(fast={fast}, slow={slow})")
|
|
}
|
|
}
|
|
|
|
// ============================== Force Index ==============================
|
|
|
|
#[pyclass(name = "ForceIndex", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyForceIndex {
|
|
inner: wc::ForceIndex,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyForceIndex {
|
|
#[new]
|
|
#[pyo3(signature = (period=13))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ForceIndex::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy close + volume arrays (both 1-D, equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"close and volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(c.len());
|
|
for i in 0..c.len() {
|
|
let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ForceIndex(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Ease of Movement ==============================
|
|
|
|
#[pyclass(
|
|
name = "EaseOfMovement",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyEaseOfMovement {
|
|
inner: wc::EaseOfMovement,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyEaseOfMovement {
|
|
#[new]
|
|
#[pyo3(signature = (period=14, divisor=100_000_000.0))]
|
|
fn new(period: usize, divisor: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::EaseOfMovement::with_divisor(period, divisor).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns: high, low, volume (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, volume must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], v[i], 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn divisor(&self) -> f64 {
|
|
self.inner.divisor()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!(
|
|
"EaseOfMovement(period={}, divisor={})",
|
|
self.inner.period(),
|
|
self.inner.divisor()
|
|
)
|
|
}
|
|
}
|
|
|
|
// ============================== SuperTrend ==============================
|
|
|
|
#[pyclass(name = "SuperTrend", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PySuperTrend {
|
|
inner: wc::SuperTrend,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PySuperTrend {
|
|
#[new]
|
|
#[pyo3(signature = (atr_period=10, multiplier=3.0))]
|
|
fn new(atr_period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::SuperTrend::new(atr_period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.value, o.direction)))
|
|
}
|
|
/// Batch over numpy columns high, low, close. Returns shape `(n, 2)` with
|
|
/// columns `[value, direction]`; warmup rows are `NaN`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.value;
|
|
out[i * 2 + 1] = o.direction;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn params(&self) -> (usize, f64) {
|
|
self.inner.params()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (atr_period, multiplier) = self.inner.params();
|
|
format!("SuperTrend(atr_period={atr_period}, multiplier={multiplier})")
|
|
}
|
|
}
|
|
|
|
// ============================== Chandelier Exit ==============================
|
|
|
|
#[pyclass(
|
|
name = "ChandelierExit",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyChandelierExit {
|
|
inner: wc::ChandelierExit,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyChandelierExit {
|
|
#[new]
|
|
#[pyo3(signature = (period=22, multiplier=3.0))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ChandelierExit::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.long_stop, o.short_stop)))
|
|
}
|
|
/// Batch over numpy columns high, low, close. Returns shape `(n, 2)` with
|
|
/// columns `[long_stop, short_stop]`; warmup rows are `NaN`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.long_stop;
|
|
out[i * 2 + 1] = o.short_stop;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn params(&self) -> (usize, f64) {
|
|
self.inner.params()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (period, multiplier) = self.inner.params();
|
|
format!("ChandelierExit(period={period}, multiplier={multiplier})")
|
|
}
|
|
}
|
|
|
|
// ============================== Chande Kroll Stop ==============================
|
|
|
|
#[pyclass(
|
|
name = "ChandeKrollStop",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyChandeKrollStop {
|
|
inner: wc::ChandeKrollStop,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyChandeKrollStop {
|
|
#[new]
|
|
#[pyo3(signature = (atr_period=10, atr_multiplier=1.0, stop_period=9))]
|
|
fn new(atr_period: usize, atr_multiplier: f64, stop_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ChandeKrollStop::new(atr_period, atr_multiplier, stop_period)
|
|
.map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.stop_long, o.stop_short)))
|
|
}
|
|
/// Batch over numpy columns high, low, close. Returns shape `(n, 2)` with
|
|
/// columns `[stop_long, stop_short]`; warmup rows are `NaN`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.stop_long;
|
|
out[i * 2 + 1] = o.stop_short;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn params(&self) -> (usize, f64, usize) {
|
|
self.inner.params()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (atr_period, atr_multiplier, stop_period) = self.inner.params();
|
|
format!(
|
|
"ChandeKrollStop(atr_period={atr_period}, atr_multiplier={atr_multiplier}, stop_period={stop_period})"
|
|
)
|
|
}
|
|
}
|
|
|
|
// ============================== ATR Trailing Stop ==============================
|
|
|
|
#[pyclass(
|
|
name = "AtrTrailingStop",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyAtrTrailingStop {
|
|
inner: wc::AtrTrailingStop,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAtrTrailingStop {
|
|
#[new]
|
|
#[pyo3(signature = (atr_period=14, multiplier=3.0))]
|
|
fn new(atr_period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::AtrTrailingStop::new(atr_period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn params(&self) -> (usize, f64) {
|
|
self.inner.params()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (atr_period, multiplier) = self.inner.params();
|
|
format!("AtrTrailingStop(atr_period={atr_period}, multiplier={multiplier})")
|
|
}
|
|
}
|
|
|
|
// ============================== Typical Price ==============================
|
|
|
|
#[pyclass(name = "TypicalPrice", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTypicalPrice {
|
|
inner: wc::TypicalPrice,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTypicalPrice {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::TypicalPrice::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"TypicalPrice()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Median Price ==============================
|
|
|
|
#[pyclass(name = "MedianPrice", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyMedianPrice {
|
|
inner: wc::MedianPrice,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyMedianPrice {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::MedianPrice::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low (both equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"MedianPrice()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Weighted Close ==============================
|
|
|
|
#[pyclass(name = "WeightedClose", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyWeightedClose {
|
|
inner: wc::WeightedClose,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyWeightedClose {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::WeightedClose::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"WeightedClose()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Linear Regression ==============================
|
|
|
|
#[pyclass(
|
|
name = "LinearRegression",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyLinearRegression {
|
|
inner: wc::LinearRegression,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyLinearRegression {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::LinearRegression::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("LinearRegression(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Linear Regression Slope ==============================
|
|
|
|
#[pyclass(name = "LinRegSlope", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyLinRegSlope {
|
|
inner: wc::LinRegSlope,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyLinRegSlope {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::LinRegSlope::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("LinRegSlope(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Accelerator Oscillator ==============================
|
|
|
|
#[pyclass(
|
|
name = "AcceleratorOscillator",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyAcceleratorOscillator {
|
|
inner: wc::AcceleratorOscillator,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAcceleratorOscillator {
|
|
#[new]
|
|
#[pyo3(signature = (ao_fast=5, ao_slow=34, signal_period=5))]
|
|
fn new(ao_fast: usize, ao_slow: usize, signal_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::AcceleratorOscillator::new(ao_fast, ao_slow, signal_period)
|
|
.map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low (both equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn params(&self) -> (usize, usize, usize) {
|
|
self.inner.params()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (f, s, sig) = self.inner.params();
|
|
format!("AcceleratorOscillator(ao_fast={f}, ao_slow={s}, signal_period={sig})")
|
|
}
|
|
}
|
|
|
|
// ============================== Balance of Power ==============================
|
|
|
|
#[pyclass(
|
|
name = "BalanceOfPower",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyBalanceOfPower {
|
|
inner: wc::BalanceOfPower,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyBalanceOfPower {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::BalanceOfPower::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns open, high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
open: PyReadonlyArray1<'py, f64>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let o = open
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if o.len() != h.len() || h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"open, high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(o.len());
|
|
for i in 0..o.len() {
|
|
let candle = wc::Candle::new(o[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"BalanceOfPower()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Choppiness Index ==============================
|
|
|
|
#[pyclass(
|
|
name = "ChoppinessIndex",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyChoppinessIndex {
|
|
inner: wc::ChoppinessIndex,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyChoppinessIndex {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ChoppinessIndex::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ChoppinessIndex(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Vertical Horizontal Filter ==============================
|
|
|
|
#[pyclass(
|
|
name = "VerticalHorizontalFilter",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyVerticalHorizontalFilter {
|
|
inner: wc::VerticalHorizontalFilter,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyVerticalHorizontalFilter {
|
|
#[new]
|
|
#[pyo3(signature = (period=28))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::VerticalHorizontalFilter::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("VerticalHorizontalFilter(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== True Range ==============================
|
|
|
|
#[pyclass(name = "TrueRange", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTrueRange {
|
|
inner: wc::TrueRange,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTrueRange {
|
|
#[new]
|
|
fn new() -> Self {
|
|
Self {
|
|
inner: wc::TrueRange::new(),
|
|
}
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
"TrueRange()".to_string()
|
|
}
|
|
}
|
|
|
|
// ============================== Chaikin Volatility ==============================
|
|
|
|
#[pyclass(
|
|
name = "ChaikinVolatility",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyChaikinVolatility {
|
|
inner: wc::ChaikinVolatility,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyChaikinVolatility {
|
|
#[new]
|
|
#[pyo3(signature = (ema_period=10, roc_period=10))]
|
|
fn new(ema_period: usize, roc_period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ChaikinVolatility::new(ema_period, roc_period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low (both equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (ema, roc) = self.inner.periods();
|
|
format!("ChaikinVolatility(ema_period={ema}, roc_period={roc})")
|
|
}
|
|
}
|
|
|
|
// ============================== Z-Score ==============================
|
|
|
|
#[pyclass(name = "ZScore", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyZScore {
|
|
inner: wc::ZScore,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyZScore {
|
|
#[new]
|
|
#[pyo3(signature = (period=20))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ZScore::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("ZScore(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== Linear Regression Angle ==============================
|
|
|
|
#[pyclass(name = "LinRegAngle", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyLinRegAngle {
|
|
inner: wc::LinRegAngle,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyLinRegAngle {
|
|
#[new]
|
|
#[pyo3(signature = (period=14))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::LinRegAngle::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(slice)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("LinRegAngle(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
#[pyclass(
|
|
name = "YangZhangVolatility",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyYangZhangVolatility {
|
|
inner: wc::YangZhangVolatility,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyYangZhangVolatility {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, trading_periods=252))]
|
|
fn new(period: usize, trading_periods: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::YangZhangVolatility::new(period, trading_periods).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns open, high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
open: PyReadonlyArray1<'py, f64>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let o = open
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let cl = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if o.len() != h.len() || h.len() != l.len() || l.len() != cl.len() {
|
|
return Err(PyValueError::new_err(
|
|
"open, high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(o.len());
|
|
for i in 0..o.len() {
|
|
let candle = wc::Candle::new(o[i], h[i], l[i], cl[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
#[getter]
|
|
fn k(&self) -> f64 {
|
|
self.inner.k()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, t) = self.inner.periods();
|
|
format!("YangZhangVolatility(period={p}, trading_periods={t})")
|
|
}
|
|
}
|
|
|
|
// ============================== Rogers-Satchell Volatility ==============================
|
|
|
|
#[pyclass(
|
|
name = "RogersSatchellVolatility",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyRogersSatchellVolatility {
|
|
inner: wc::RogersSatchellVolatility,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyRogersSatchellVolatility {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, trading_periods=252))]
|
|
fn new(period: usize, trading_periods: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::RogersSatchellVolatility::new(period, trading_periods).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns open, high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
open: PyReadonlyArray1<'py, f64>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let o = open
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let cl = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if o.len() != h.len() || h.len() != l.len() || l.len() != cl.len() {
|
|
return Err(PyValueError::new_err(
|
|
"open, high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(o.len());
|
|
for i in 0..o.len() {
|
|
let candle = wc::Candle::new(o[i], h[i], l[i], cl[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, t) = self.inner.periods();
|
|
format!("RogersSatchellVolatility(period={p}, trading_periods={t})")
|
|
}
|
|
}
|
|
|
|
// ============================== Garman-Klass Volatility ==============================
|
|
|
|
#[pyclass(
|
|
name = "GarmanKlassVolatility",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyGarmanKlassVolatility {
|
|
inner: wc::GarmanKlassVolatility,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyGarmanKlassVolatility {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, trading_periods=252))]
|
|
fn new(period: usize, trading_periods: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::GarmanKlassVolatility::new(period, trading_periods).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns open, high, low, close (all equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
open: PyReadonlyArray1<'py, f64>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let o = open
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let cl = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if o.len() != h.len() || h.len() != l.len() || l.len() != cl.len() {
|
|
return Err(PyValueError::new_err(
|
|
"open, high, low, close must be equal length",
|
|
));
|
|
}
|
|
let mut out = Vec::with_capacity(o.len());
|
|
for i in 0..o.len() {
|
|
let candle = wc::Candle::new(o[i], h[i], l[i], cl[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, t) = self.inner.periods();
|
|
format!("GarmanKlassVolatility(period={p}, trading_periods={t})")
|
|
}
|
|
}
|
|
|
|
// ============================== Parkinson Volatility ==============================
|
|
|
|
#[pyclass(
|
|
name = "ParkinsonVolatility",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyParkinsonVolatility {
|
|
inner: wc::ParkinsonVolatility,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyParkinsonVolatility {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, trading_periods=252))]
|
|
fn new(period: usize, trading_periods: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::ParkinsonVolatility::new(period, trading_periods).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c))
|
|
}
|
|
/// Batch over numpy columns high, low (both equal length).
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let mut out = Vec::with_capacity(h.len());
|
|
for i in 0..h.len() {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
|
|
}
|
|
Ok(out.into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn periods(&self) -> (usize, usize) {
|
|
self.inner.periods()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
let (p, t) = self.inner.periods();
|
|
format!("ParkinsonVolatility(period={p}, trading_periods={t})")
|
|
}
|
|
}
|
|
|
|
// ============================== RVI (Volatility) ==============================
|
|
//
|
|
// Named `RVIVolatility` rather than plain `RVI` to disambiguate from
|
|
// Relative Vigor Index (a separate momentum indicator that lives in
|
|
// Family 02 with the shorter `RVI` name).
|
|
|
|
#[pyclass(name = "RVIVolatility", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyRviVolatility {
|
|
inner: wc::RviVolatility,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyRviVolatility {
|
|
#[new]
|
|
#[pyo3(signature = (period=10))]
|
|
fn new(period: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::RviVolatility::new(period).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<f64> {
|
|
self.inner.update(value)
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|
let s = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
|
|
}
|
|
#[getter]
|
|
fn period(&self) -> usize {
|
|
self.inner.period()
|
|
}
|
|
#[getter]
|
|
fn value(&self) -> Option<f64> {
|
|
self.inner.value()
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
fn __repr__(&self) -> String {
|
|
format!("RVIVolatility(period={})", self.inner.period())
|
|
}
|
|
}
|
|
|
|
// ============================== MA Envelope ==============================
|
|
|
|
#[pyclass(name = "MaEnvelope", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyMaEnvelope {
|
|
inner: wc::MaEnvelope,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyMaEnvelope {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, percent=0.025))]
|
|
fn new(period: usize, percent: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::MaEnvelope::new(period, percent).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(upper, middle, lower)` or `None` during warmup.
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64, f64)> {
|
|
self.inner
|
|
.update(value)
|
|
.map(|o| (o.upper, o.middle, o.lower))
|
|
}
|
|
/// Batch returns shape `(n, 3)` columns `[upper, middle, lower]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Acceleration Bands ==============================
|
|
|
|
#[pyclass(
|
|
name = "AccelerationBands",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyAccelerationBands {
|
|
inner: wc::AccelerationBands,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAccelerationBands {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, factor=0.001))]
|
|
fn new(period: usize, factor: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::AccelerationBands::new(period, factor).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.upper, o.middle, o.lower)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== STARC Bands ==============================
|
|
|
|
#[pyclass(name = "StarcBands", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyStarcBands {
|
|
inner: wc::StarcBands,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyStarcBands {
|
|
#[new]
|
|
#[pyo3(signature = (sma_period=6, atr_period=15, multiplier=2.0))]
|
|
fn new(sma_period: usize, atr_period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::StarcBands::new(sma_period, atr_period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.upper, o.middle, o.lower)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== ATR Bands ==============================
|
|
|
|
#[pyclass(name = "AtrBands", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyAtrBands {
|
|
inner: wc::AtrBands,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyAtrBands {
|
|
#[new]
|
|
#[pyo3(signature = (period=14, multiplier=3.0))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::AtrBands::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.upper, o.middle, o.lower)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Hurst Channel ==============================
|
|
|
|
#[pyclass(name = "HurstChannel", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyHurstChannel {
|
|
inner: wc::HurstChannel,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyHurstChannel {
|
|
#[new]
|
|
#[pyo3(signature = (period=10, multiplier=0.5))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::HurstChannel::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.upper, o.middle, o.lower)))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== LinReg Channel ==============================
|
|
|
|
#[pyclass(name = "LinRegChannel", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyLinRegChannel {
|
|
inner: wc::LinRegChannel,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyLinRegChannel {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, multiplier=2.0))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::LinRegChannel::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64, f64)> {
|
|
self.inner
|
|
.update(value)
|
|
.map(|o| (o.upper, o.middle, o.lower))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Standard Error Bands ==============================
|
|
|
|
#[pyclass(
|
|
name = "StandardErrorBands",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyStandardErrorBands {
|
|
inner: wc::StandardErrorBands,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyStandardErrorBands {
|
|
#[new]
|
|
#[pyo3(signature = (period=21, multiplier=2.0))]
|
|
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::StandardErrorBands::new(period, multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64, f64)> {
|
|
self.inner
|
|
.update(value)
|
|
.map(|o| (o.upper, o.middle, o.lower))
|
|
}
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 3];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 3] = o.upper;
|
|
out[i * 3 + 1] = o.middle;
|
|
out[i * 3 + 2] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Double Bollinger ==============================
|
|
|
|
#[pyclass(
|
|
name = "DoubleBollinger",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyDoubleBollinger {
|
|
inner: wc::DoubleBollinger,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyDoubleBollinger {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, k_inner=1.0, k_outer=2.0))]
|
|
fn new(period: usize, k_inner: f64, k_outer: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::DoubleBollinger::new(period, k_inner, k_outer).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(upper_outer, upper_inner, middle, lower_inner, lower_outer)`.
|
|
fn update(&mut self, value: f64) -> Option<(f64, f64, f64, f64, f64)> {
|
|
self.inner.update(value).map(|o| {
|
|
(
|
|
o.upper_outer,
|
|
o.upper_inner,
|
|
o.middle,
|
|
o.lower_inner,
|
|
o.lower_outer,
|
|
)
|
|
})
|
|
}
|
|
/// Returns shape `(n, 5)` columns
|
|
/// `[upper_outer, upper_inner, middle, lower_inner, lower_outer]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
prices: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let slice = prices
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let n = slice.len();
|
|
let mut out = vec![f64::NAN; n * 5];
|
|
for (i, p) in slice.iter().enumerate() {
|
|
if let Some(o) = self.inner.update(*p) {
|
|
out[i * 5] = o.upper_outer;
|
|
out[i * 5 + 1] = o.upper_inner;
|
|
out[i * 5 + 2] = o.middle;
|
|
out[i * 5 + 3] = o.lower_inner;
|
|
out[i * 5 + 4] = o.lower_outer;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 5), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== TTM Squeeze ==============================
|
|
|
|
#[pyclass(name = "TtmSqueeze", module = "wickra._wickra", skip_from_py_object)]
|
|
#[derive(Clone)]
|
|
struct PyTtmSqueeze {
|
|
inner: wc::TtmSqueeze,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyTtmSqueeze {
|
|
#[new]
|
|
#[pyo3(signature = (period=20, bb_mult=2.0, kc_mult=1.5))]
|
|
fn new(period: usize, bb_mult: f64, kc_mult: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::TtmSqueeze::new(period, bb_mult, kc_mult).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(squeeze, momentum)` or `None` during warmup. `squeeze` is
|
|
/// `1.0` while BB ⊂ KC, `0.0` otherwise.
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.squeeze, o.momentum)))
|
|
}
|
|
/// Returns shape `(n, 2)` columns `[squeeze, momentum]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.squeeze;
|
|
out[i * 2 + 1] = o.momentum;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Fractal Chaos Bands ==============================
|
|
|
|
#[pyclass(
|
|
name = "FractalChaosBands",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyFractalChaosBands {
|
|
inner: wc::FractalChaosBands,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyFractalChaosBands {
|
|
#[new]
|
|
#[pyo3(signature = (k=2))]
|
|
fn new(k: usize) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::FractalChaosBands::new(k).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(upper, lower)` or `None` until both fractals have confirmed.
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self.inner.update(c).map(|o| (o.upper, o.lower)))
|
|
}
|
|
/// Returns shape `(n, 2)` columns `[upper, lower]`.
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() {
|
|
return Err(PyValueError::new_err("high and low must be equal length"));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 2];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 2] = o.upper;
|
|
out[i * 2 + 1] = o.lower;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== VWAP StdDev Bands ==============================
|
|
|
|
#[pyclass(
|
|
name = "VwapStdDevBands",
|
|
module = "wickra._wickra",
|
|
skip_from_py_object
|
|
)]
|
|
#[derive(Clone)]
|
|
struct PyVwapStdDevBands {
|
|
inner: wc::VwapStdDevBands,
|
|
}
|
|
|
|
#[pymethods]
|
|
impl PyVwapStdDevBands {
|
|
#[new]
|
|
#[pyo3(signature = (multiplier=2.0))]
|
|
fn new(multiplier: f64) -> PyResult<Self> {
|
|
Ok(Self {
|
|
inner: wc::VwapStdDevBands::new(multiplier).map_err(map_err)?,
|
|
})
|
|
}
|
|
/// Returns `(upper, middle, lower, stddev)` or `None` until volume is non-zero.
|
|
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64, f64, f64)>> {
|
|
let c = extract_candle(candle)?;
|
|
Ok(self
|
|
.inner
|
|
.update(c)
|
|
.map(|o| (o.upper, o.middle, o.lower, o.stddev)))
|
|
}
|
|
/// Returns shape `(n, 4)` columns `[upper, middle, lower, stddev]`.
|
|
#[allow(clippy::many_single_char_names)]
|
|
fn batch<'py>(
|
|
&mut self,
|
|
py: Python<'py>,
|
|
high: PyReadonlyArray1<'py, f64>,
|
|
low: PyReadonlyArray1<'py, f64>,
|
|
close: PyReadonlyArray1<'py, f64>,
|
|
volume: PyReadonlyArray1<'py, f64>,
|
|
) -> PyResult<Bound<'py, PyArray2<f64>>> {
|
|
let h = high
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let l = low
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let c = close
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
let v = volume
|
|
.as_slice()
|
|
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
|
if h.len() != l.len() || l.len() != c.len() || c.len() != v.len() {
|
|
return Err(PyValueError::new_err(
|
|
"high, low, close, volume must be equal length",
|
|
));
|
|
}
|
|
let n = h.len();
|
|
let mut out = vec![f64::NAN; n * 4];
|
|
for i in 0..n {
|
|
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], v[i], 0).map_err(map_err)?;
|
|
if let Some(o) = self.inner.update(candle) {
|
|
out[i * 4] = o.upper;
|
|
out[i * 4 + 1] = o.middle;
|
|
out[i * 4 + 2] = o.lower;
|
|
out[i * 4 + 3] = o.stddev;
|
|
}
|
|
}
|
|
Ok(numpy::ndarray::Array2::from_shape_vec((n, 4), out)
|
|
.expect("shape consistent")
|
|
.into_pyarray(py))
|
|
}
|
|
fn reset(&mut self) {
|
|
self.inner.reset();
|
|
}
|
|
fn is_ready(&self) -> bool {
|
|
self.inner.is_ready()
|
|
}
|
|
fn warmup_period(&self) -> usize {
|
|
self.inner.warmup_period()
|
|
}
|
|
}
|
|
|
|
// ============================== Module ==============================
|
|
|
|
#[pymodule]
|
|
#[allow(clippy::too_many_lines)]
|
|
fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
|
|
m.add("__version__", env!("CARGO_PKG_VERSION"))?;
|
|
m.add_class::<PySma>()?;
|
|
m.add_class::<PyEma>()?;
|
|
m.add_class::<PyWma>()?;
|
|
m.add_class::<PyRsi>()?;
|
|
m.add_class::<PyMacd>()?;
|
|
m.add_class::<PyBb>()?;
|
|
m.add_class::<PyAtr>()?;
|
|
m.add_class::<PyStoch>()?;
|
|
m.add_class::<PyObv>()?;
|
|
m.add_class::<PyDema>()?;
|
|
m.add_class::<PyTema>()?;
|
|
m.add_class::<PyHma>()?;
|
|
m.add_class::<PyKama>()?;
|
|
m.add_class::<PyRvi>()?;
|
|
m.add_class::<PyPgo>()?;
|
|
m.add_class::<PyKst>()?;
|
|
m.add_class::<PySmi>()?;
|
|
m.add_class::<PyLaguerreRsi>()?;
|
|
m.add_class::<PyConnorsRsi>()?;
|
|
m.add_class::<PyInertia>()?;
|
|
m.add_class::<PyCci>()?;
|
|
m.add_class::<PyRoc>()?;
|
|
m.add_class::<PyWilliamsR>()?;
|
|
m.add_class::<PyAdx>()?;
|
|
m.add_class::<PyAdxr>()?;
|
|
m.add_class::<PyMfi>()?;
|
|
m.add_class::<PyTrix>()?;
|
|
m.add_class::<PyPsar>()?;
|
|
m.add_class::<PyKeltner>()?;
|
|
m.add_class::<PyDonchian>()?;
|
|
m.add_class::<PyVwap>()?;
|
|
m.add_class::<PyRollingVwap>()?;
|
|
m.add_class::<PyAo>()?;
|
|
m.add_class::<PyAroon>()?;
|
|
m.add_class::<PySmma>()?;
|
|
m.add_class::<PyTrima>()?;
|
|
m.add_class::<PyZlema>()?;
|
|
m.add_class::<PyT3>()?;
|
|
m.add_class::<PyVwma>()?;
|
|
m.add_class::<PyMom>()?;
|
|
m.add_class::<PyCmo>()?;
|
|
m.add_class::<PyTsi>()?;
|
|
m.add_class::<PyPmo>()?;
|
|
m.add_class::<PyTii>()?;
|
|
m.add_class::<PyKst>()?;
|
|
m.add_class::<PyStochRsi>()?;
|
|
m.add_class::<PyUltimateOscillator>()?;
|
|
m.add_class::<PyPpo>()?;
|
|
m.add_class::<PyDpo>()?;
|
|
m.add_class::<PyCoppock>()?;
|
|
m.add_class::<PyAroonOscillator>()?;
|
|
m.add_class::<PyVortex>()?;
|
|
m.add_class::<PyRwi>()?;
|
|
m.add_class::<PyWaveTrend>()?;
|
|
m.add_class::<PyMassIndex>()?;
|
|
m.add_class::<PyNatr>()?;
|
|
m.add_class::<PyStdDev>()?;
|
|
m.add_class::<PyUlcerIndex>()?;
|
|
m.add_class::<PyHistoricalVolatility>()?;
|
|
m.add_class::<PyBollingerBandwidth>()?;
|
|
m.add_class::<PyPercentB>()?;
|
|
m.add_class::<PyAdl>()?;
|
|
m.add_class::<PyVolumePriceTrend>()?;
|
|
m.add_class::<PyChaikinMoneyFlow>()?;
|
|
m.add_class::<PyChaikinOscillator>()?;
|
|
m.add_class::<PyForceIndex>()?;
|
|
m.add_class::<PyEaseOfMovement>()?;
|
|
m.add_class::<PySuperTrend>()?;
|
|
m.add_class::<PyChandelierExit>()?;
|
|
m.add_class::<PyChandeKrollStop>()?;
|
|
m.add_class::<PyAtrTrailingStop>()?;
|
|
m.add_class::<PyTypicalPrice>()?;
|
|
m.add_class::<PyMedianPrice>()?;
|
|
m.add_class::<PyWeightedClose>()?;
|
|
m.add_class::<PyLinearRegression>()?;
|
|
m.add_class::<PyLinRegSlope>()?;
|
|
m.add_class::<PyAcceleratorOscillator>()?;
|
|
m.add_class::<PyBalanceOfPower>()?;
|
|
m.add_class::<PyChoppinessIndex>()?;
|
|
m.add_class::<PyVerticalHorizontalFilter>()?;
|
|
m.add_class::<PyTrueRange>()?;
|
|
m.add_class::<PyChaikinVolatility>()?;
|
|
m.add_class::<PyZScore>()?;
|
|
m.add_class::<PyLinRegAngle>()?;
|
|
m.add_class::<PyAlma>()?;
|
|
m.add_class::<PyFrama>()?;
|
|
m.add_class::<PyMcGinleyDynamic>()?;
|
|
m.add_class::<PyVidya>()?;
|
|
m.add_class::<PyJma>()?;
|
|
m.add_class::<PyAlligator>()?;
|
|
m.add_class::<PyEvwma>()?;
|
|
m.add_class::<PyApo>()?;
|
|
m.add_class::<PyAoHist>()?;
|
|
m.add_class::<PyCfo>()?;
|
|
m.add_class::<PyZeroLagMacd>()?;
|
|
m.add_class::<PyElderImpulse>()?;
|
|
m.add_class::<PyStc>()?;
|
|
m.add_class::<PyRviVolatility>()?;
|
|
m.add_class::<PyParkinsonVolatility>()?;
|
|
m.add_class::<PyGarmanKlassVolatility>()?;
|
|
m.add_class::<PyRogersSatchellVolatility>()?;
|
|
m.add_class::<PyYangZhangVolatility>()?;
|
|
m.add_class::<PyMaEnvelope>()?;
|
|
m.add_class::<PyAccelerationBands>()?;
|
|
m.add_class::<PyStarcBands>()?;
|
|
m.add_class::<PyAtrBands>()?;
|
|
m.add_class::<PyHurstChannel>()?;
|
|
m.add_class::<PyLinRegChannel>()?;
|
|
m.add_class::<PyStandardErrorBands>()?;
|
|
m.add_class::<PyDoubleBollinger>()?;
|
|
m.add_class::<PyTtmSqueeze>()?;
|
|
m.add_class::<PyFractalChaosBands>()?;
|
|
m.add_class::<PyVwapStdDevBands>()?;
|
|
Ok(())
|
|
}
|