Added TimeSeries random generation using gaussian distributions. Started MACD (barley...).

Cargo.toml

@@ -9,3 +9,4 @@ edition = "2021"
 chrono = "0.4.23"
 regex = "1.7.0"
 polars = "0.25.1"
+probability = "0.20.3"

src/data/timeseries.rs

@@ -2,8 +2,9 @@ use chrono::{DateTime, Utc};
 use super::{Volume, TimeStamp, DynResult};
 use polars::{prelude::DataFrame, df, prelude::{NamedFrom}};
 use super::quotes::HOLC;
+use probability::prelude::*;
 
-#[derive(Clone)]
+#[derive(Clone, Debug)]
 pub struct Candle {
     pub high:   f64,
     pub open:   f64,
@@ -40,11 +41,16 @@ impl HOLC for Candle {
     fn low(&self) -> f64    { self.low  }
     fn close(&self) -> f64  { self.close}
 }
+impl TimeStamp for Candle {
+    fn timestamp(&self) -> DateTime<Utc> {
+        self.timestamp
+    }
+}
 
 
 
 pub struct TimeSeries {
-    candles: Vec<Candle>
+    pub candles: Vec<Candle>
 }
 impl TimeSeries {
     pub fn new(candles: Vec<Candle>) -> Self {
@@ -65,7 +71,32 @@ impl TimeSeries {
     pub fn as_vec(&self) -> Vec<Candle>{
         return self.candles.clone()
     }
+    pub fn generate_random(n_datapoints: usize, mut start_price: f64) -> Self {
+
+        let mut data: Vec<Candle> = vec![];
+
+        let inter_day_dist = Gaussian::new(1.0043,0.021);
+        let mut source = source::default(420);
+        let mut inter_sampler = Independent(&inter_day_dist, &mut source);
+
+        let intra_day_dist = Gaussian::new(1.003,0.011);
+        let mut source2 = source::default(69);
+        let mut intra_sampler = Independent(&intra_day_dist, &mut source2);
+
+        let day_moves = inter_sampler.take(n_datapoints).collect::<Vec<_>>();
+        let intraday_moves = intra_sampler.take(n_datapoints * 3).collect::<Vec<_>>();
+
+        for n in 0..n_datapoints {
+
+            let close = start_price * day_moves[n];
+            data.push( Candle::new(start_price * intraday_moves[n], start_price, start_price * intraday_moves[n+1], close, Some((18183.0 * intraday_moves[n+3]) as u64), Utc::now()));
+            start_price = close;
+        }
+        TimeSeries { candles: data }
     }
+}
+
+ 
 
 pub fn create_timeseries_dataframe(timeseries_data: &Vec<Candle>) -> DynResult<DataFrame> {
     let mut high = vec![];

src/indicators.rs

@@ -1,2 +1,3 @@
 pub mod ma;
 pub mod rsi;
+pub mod macd;

src/indicators/macd.rs

@@ -0,0 +1,35 @@
+use crate::indicators::ma::exponential_moving_average;
+use crate::data::quotes::HOLC;
+use crate::data::TimeStamp;
+
+pub struct MACD {
+    upperBand: Vec<f64>,
+    lowerBand: Vec<f64>,
+    signalLine: Vec<f64>,
+}
+impl MACD {
+    pub fn new<C: HOLC + TimeStamp + Clone>(data: Vec<C>, upperBand: Option<usize>, lowerBand: Option<usize>, signalBand: Option<usize>) {
+        // This is going to need a custom implementation. It's not efficent to clone and iterate through the data 3 seperate times
+        let ub = upperBand.unwrap_or(26);
+        let lb = lowerBand.unwrap_or(12);
+        let sb = signalBand.unwrap_or(9);
+
+        let u_ema = exponential_moving_average(data.clone(), ub);
+        let l_ema = exponential_moving_average(data.clone(), lb);
+        let s_ema = exponential_moving_average(data.clone(), sb);
+
+        println!("u_ema = {:?}", u_ema);
+        println!("u_ema.len() = {:?}", u_ema.len());
+
+        println!("l_ema = {:?}", l_ema);
+        println!("l_ema.len() = {:?}", l_ema.len());
+
+        println!("s_ema = {:?}", s_ema);
+        println!("s_ema.len() = {:?}", s_ema.len());
+    }
+}
+
+
+fn moving_average_convergence_divergence<C: HOLC>(data: Vec<C>) {
+
+}

src/tests.rs

@@ -1,8 +1,9 @@
 #[cfg(test)]
 mod tests {
-    use crate::data::timeseries::Candle;
+    use crate::data::timeseries::{Candle, TimeSeries};
     use crate::indicators::ma::exponential_moving_average;
     use crate::indicators::rsi::relative_strength_index;
+    use crate::indicators::macd::MACD;
     use crate::indicators::{ma};
     use crate::data::quotes::{HOLC};
     use chrono::Utc;
@@ -109,4 +110,17 @@ mod tests {
         let rsi_d = relative_strength_index(data, 14);
         println!("rsi_d = {:?}", rsi_d);
     }
+    #[test]
+    fn candle_gen() {
+        let data = TimeSeries::generate_random(50, 100.0);
+        for c in data.candles.iter() {
+            println!("c = {:?}", c);
+        }
+    }
+    #[test]
+    fn macd(){
+        let data = TimeSeries::generate_random(50, 100.0);
+
+        let x = MACD::new(data.candles, None,None,None);
+    }
 }