weekend commit

Author: dudochkin-victor

.gitignore

@@ -8,3 +8,11 @@ Cargo.lock
 
 # These are backup files generated by rustfmt
 **/*.rs.bk
+
+
+# Added by cargo
+#
+# already existing elements were commented out
+
+/target
+/refs

Cargo.toml

@@ -0,0 +1,46 @@
+[package]
+name = "ux-indicators"
+version = "0.1.0"
+authors = ["Victor Dudochkin <[email protected]>"]
+readme = "README.md"
+homepage = "https://angular-rust.github.io/ux-indicators"
+repository = "https://github.com/angular-rust/ux-indicators"
+documentation = "https://docs.rs/ux-indicators"
+description = "Technical Analysis Function Library"
+keywords = ["technical-analysis", "financial-analysis", "technical-analysis-library", "technical-analysis-indicators"]
+categories = ["mathematics", "science"]
+edition = "2018"
+license = "MPL-2.0"
+
+[badges]
+maintenance = { status = "actively-developed" }
+
+[dependencies]
+serde = "1.0"
+serde_json = "1.0"
+serde_derive = "1.0"
+lazy_static = "1.4.0"
+error-chain = "0.12"
+ux-primitives = { git = "https://github.com/angular-rust/ux-primitives.git" }
+
+rust_decimal = "1.7.0"
+rust_decimal_macros = "1.7.0"
+
+[dev-dependencies]
+
+assert_approx_eq = "1.1.0"
+csv = "1.1.3"
+bencher = "0.1.5"
+rand = "0.7.3"
+json = "0.12.4"
+lazy_static = "1.4.0"
+rspec = "0.1.0"
+# cucumber = { package = "cucumber_rust", version = "^0.6.0" } 
+cucumber_rust = "0.6.8" 
+# cucumber = "0.3.1"
+
+
+[[bench]]
+name = "indicators"
+path = "benches/indicators.rs"
+harness = false

README.md

@@ -1 +1,23 @@
-# ux-indicators
+# ux-indicators
+
+Actively WIP
+
+```rust
+pub struct FlowMeta<'a> {
+    pub name: &'a str,
+    pub tag: u8,
+    pub visible: bool
+}
+
+pub struct DataFrame<M, D>
+where
+    M: fmt::Display,
+{
+    // metric contain something like a timestamp, or month names
+    pub metric: M,
+    // data key is tag for stream meta (a.k.a column tag)
+    // D is
+    pub data: HashMap<u8, D>,
+}
+
+```

benches/indicators.rs.md

@@ -0,0 +1,72 @@
+#[macro_use]
+extern crate bencher;
+extern crate core;
+
+use bencher::Bencher;
+use rand::Rng;
+use core::indicators::{
+    BollingerBands, EfficiencyRatio, ExponentialMovingAverage, FastStochastic, Maximum, Minimum,
+    MoneyFlowIndex, MovingAverageConvergenceDivergence, OnBalanceVolume, RateOfChange,
+    RelativeStrengthIndex, SimpleMovingAverage, SlowStochastic, StandardDeviation, TrueRange,
+};
+use core::DataItem;
+use core::Next;
+
+const ITEMS_COUNT: usize = 5_000;
+
+fn rand_data_item() -> DataItem {
+    let mut rng = rand::thread_rng();
+
+    let low = rng.gen_range(0.0, 500.0);
+    let high = rng.gen_range(500.0, 1000.0);
+    let open = rng.gen_range(low, high);
+    let close = rng.gen_range(low, high);
+    let volume = rng.gen_range(0.0, 10_000.0);
+
+    DataItem::builder()
+        .open(open)
+        .high(high)
+        .low(low)
+        .close(close)
+        .volume(volume)
+        .build()
+        .unwrap()
+}
+
+macro_rules! bench_indicators {
+    ($($indicator:ident), *) => {
+        $(
+            fn $indicator(bench: &mut Bencher) {
+                let items: Vec<DataItem> = (0..ITEMS_COUNT).map( |_| rand_data_item() ).collect();
+                let mut indicator = $indicator::default();
+
+                bench.iter(|| {
+                    for item in items.iter() {
+                        indicator.next(item);
+                    }
+                })
+            }
+        )*
+
+        benchmark_group!(benches, $($indicator,)*);
+        benchmark_main!(benches);
+    }
+}
+
+bench_indicators!(
+    SimpleMovingAverage,
+    ExponentialMovingAverage,
+    StandardDeviation,
+    BollingerBands,
+    EfficiencyRatio,
+    FastStochastic,
+    Maximum,
+    Minimum,
+    MovingAverageConvergenceDivergence,
+    RateOfChange,
+    RelativeStrengthIndex,
+    SlowStochastic,
+    TrueRange,
+    MoneyFlowIndex,
+    OnBalanceVolume
+);

examples/data/AMZN.csv

@@ -0,0 +1,21 @@
+Date,Open,High,Low,Close,Volume
+2017-01-03,757.919983,758.760010,747.700012,753.669983,3521100
+2017-01-04,758.390015,759.679993,754.200012,757.179993,2510500
+2017-01-05,761.549988,782.400024,760.260010,780.450012,5830100
+2017-01-06,782.359985,799.440002,778.479980,795.989990,5986200
+2017-01-09,798.000000,801.770020,791.770020,796.919983,3440100
+2017-01-10,796.599976,798.000000,789.539978,795.900024,2558400
+2017-01-11,793.659973,799.500000,789.510010,799.020020,2992800
+2017-01-12,800.309998,814.130005,799.500000,813.640015,4873900
+2017-01-13,814.320007,821.650024,811.400024,817.140015,3791900
+2017-01-17,815.700012,816.000000,803.440002,809.719971,3659400
+2017-01-18,809.500000,811.729980,804.270020,807.479980,2354200
+2017-01-19,810.000000,813.510010,807.320007,809.039978,2540800
+2017-01-20,815.280029,816.020020,806.260010,808.330017,3376200
+2017-01-23,806.799988,818.500000,805.080017,817.880005,2797500
+2017-01-24,822.000000,823.989990,814.500000,822.440002,2971700
+2017-01-25,825.789978,837.419983,825.289978,836.520020,3922600
+2017-01-26,835.530029,843.840027,833.000000,839.150024,3586300
+2017-01-27,839.000000,839.700012,829.440002,835.770020,2998700
+2017-01-30,833.000000,833.500000,816.380005,830.380005,3747300
+2017-01-31,823.750000,826.989990,819.559998,823.479980,3137200

examples/ema.rs

@@ -0,0 +1,29 @@
+extern crate csv;
+extern crate core;
+
+use ux_indicators::{
+    indicators::ExponentialMovingAverage as Ema,
+    DataItem,
+    Next
+
+};
+
+fn main() {
+    let mut ema = Ema::new(9).unwrap();
+    let mut reader = csv::Reader::from_path("./examples/data/AMZN.csv").unwrap();
+
+    for record in reader.deserialize() {
+        let (date, open, high, low, close, volume): (String, f64, f64, f64, f64, f64) =
+            record.unwrap();
+        let dt = DataItem::builder()
+            .open(open)
+            .high(high)
+            .low(low)
+            .close(close)
+            .volume(volume)
+            .build()
+            .unwrap();
+        let ema_val = ema.next(&dt);
+        println!("{}: {} = {:2.2}", date, ema, ema_val);
+    }
+}