typprice, std, lint

.github/workflows/quant.yml

@@ -13,5 +13,8 @@ jobs:
       - name: Check out code
         uses: actions/checkout@v2
 
-      - name: Test ta_lib
-        run: cargo test --manifest-path=ta_lib/Cargo.toml
+      - name: Test
+        run: make test
+
+      - name: Check
+        run: make check

Makefile

@@ -0,0 +1,10 @@
+.PHONY: test check
+
+TA_LIB_PATH ?= ta_lib/Cargo.toml
+
+test:
+	cargo test --manifest-path=$(TA_LIB_PATH)
+
+check:
+	cargo fmt --all --check --manifest-path=$(TA_LIB_PATH)
+	cargo clippy --all-features --all-targets --workspace --manifest-path=$(TA_LIB_PATH)

ta_lib/Cargo.toml

@@ -1,5 +1,7 @@
 [workspace]
 members = [
 "overlap",
-"momentum"
+"momentum",
+"price",
+"statistics"
 ]

ta_lib/price/Cargo.toml

@@ -0,0 +1,8 @@
+[package]
+name = "price"
+version = "0.1.0"
+edition = "2021"
+
+# See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html
+
+[dependencies]

ta_lib/price/src/lib.rs

@@ -0,0 +1 @@
+pub mod typical;

ta_lib/price/src/typical.rs

@@ -0,0 +1,30 @@
+pub fn typical_price(high: &[f64], low: &[f64], close: &[f64]) -> Vec<Option<f64>> {
+    let len = high.len();
+
+    if len != low.len() || len != close.len() {
+        return vec![None; len];
+    }
+
+    high.iter()
+        .zip(low)
+        .zip(close)
+        .map(|((&h, &l), &c)| Some((h + l + c) / 3.0))
+        .collect()
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn test_typical_price() {
+        let high = vec![1.0, 2.0, 3.0];
+        let low = vec![0.5, 1.0, 1.5];
+        let close = vec![0.75, 1.5, 2.25];
+
+        let expected = vec![Some(0.75), Some(1.5), Some(2.25)];
+        let result = typical_price(&high, &low, &close);
+
+        assert_eq!(result, expected);
+    }
+}

ta_lib/statistics/Cargo.toml

@@ -0,0 +1,8 @@
+[package]
+name = "statistics"
+version = "0.1.0"
+edition = "2021"
+
+# See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html
+
+[dependencies]

ta_lib/statistics/src/lib.rs

@@ -0,0 +1 @@
+pub mod stddev;

ta_lib/statistics/src/stddev.rs

@@ -0,0 +1,49 @@
+pub fn std_dev(data: &[f64], period: usize) -> Vec<Option<f64>> {
+    let mut std_dev = vec![None; data.len()];
+    let mut sum = 0.0;
+    let mut sum_sq = 0.0;
+
+    for (i, &value) in data.iter().enumerate() {
+        sum += value;
+        sum_sq += value * value;
+
+        if i >= period {
+            let old_value = data[i - period];
+            sum -= old_value;
+            sum_sq -= old_value * old_value;
+        }
+
+        if i + 1 >= period {
+            let mean = sum / period as f64;
+            let mean_sq = sum_sq / period as f64;
+            std_dev[i] = Some((mean_sq - mean * mean).sqrt());
+        }
+    }
+
+    std_dev
+}
+
+#[cfg(test)]
+mod test {
+    use super::*;
+
+    #[test]
+    fn test_std_dev() {
+        let data = vec![1.0, 2.0, 3.0, 4.0, 5.0];
+        let period = 2;
+        let epsilon = 0.001;
+        let expected = vec![None, Some(0.5), Some(0.5), Some(0.5), Some(0.5)];
+
+        let result = std_dev(&data, period);
+
+        for i in 0..result.len() {
+            match (result[i], expected[i]) {
+                (Some(a), Some(b)) => {
+                    assert!((a - b).abs() < epsilon, "at position {}: {} != {}", i, a, b)
+                }
+                (None, None) => {}
+                _ => panic!("at position {}: {:?} != {:?}", i, result[i], expected[i]),
+            }
+        }
+    }
+}