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

Cargo.toml

@@ -1,5 +1,5 @@
 [package]
-name = "RustyTrader"
+name = "rusty_trader"
 version = "0.1.0"
 edition = "2021"
 
@@ -8,4 +8,5 @@ edition = "2021"
 [dependencies]
 chrono = "0.4.23"
 regex = "1.7.0"
-polars = "0.25.1"
+polars = "0.25.1"
+probability = "0.20.3"

src/data.rs

@@ -1,11 +1,29 @@
-mod equity;
-mod crypto;
-mod options;
-mod price_history;
-mod data_service;
-
-pub enum AssetDataObject {
-    Equity(equity::Equity),
-    Crypro(crypto::Crypto),
-    OptionContract(options::OptionContract),
+pub mod quotes;
+pub mod options;
+pub mod timeseries;
+
+use chrono::{DateTime, Utc};
+use super::DynResult;
+
+
+pub trait TimeStamp {
+    fn timestamp(&self) -> DateTime<Utc>;
+}
+pub trait Volume {
+    fn volume(&self) -> Option<u64>;
+}
+
+
+pub enum Period {
+    Second,
+    Minute,
+    Hour,
+    Day,
+    TradeDay,
+    Week,
+    TradeWeek,
+    Month,
+    Year,
+    Ytd,
+    AssetLife
 }

src/data/crypto.rs

@@ -1,49 +0,0 @@
-use std::fmt::Display;
-use crate::DynResult;
-
-#[derive(Debug)]
-pub struct CryptoError {
-    _error: String
-}
-impl CryptoError {
-    pub fn new(error_msg: &str) -> Self {
-        CryptoError { _error: error_msg.to_owned() }
-    }
-}
-impl Display for CryptoError {
-    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
-        write!(f, "Crypto Error Placeholder")
-    }
-}
-impl std::error::Error for CryptoError {}
-
-#[derive(Debug)]
-pub struct Crypto {
-    pub symbol:         String,
-    pub exchange:       Option<String>,
-    pub base_crypto:    String, // being purchased (top)
-    pub quote_crypto:   String,
-    pub bid:            f64,
-    pub mid:            f64,
-    pub ask:            f64,
-    pub last:           Option<f64>,
-    pub bid_size:       Option<usize>,
-    pub ask_size:       Option<usize>,
-    pub volume:         Option<usize>,
-    pub high:           Option<f64>,
-    pub open:           Option<f64>,
-    pub low:            Option<f64>,
-    pub close:          Option<f64>,
-    pub marginable:     Option<bool>,
-    pub quote_time:     i64
-}
-impl Crypto {
-
-}
-
-
-
-
-pub trait ToCrypto {
-    fn to_crypto(&self) -> DynResult<Crypto>;
-}

src/data/data_service.rs

@@ -1,58 +0,0 @@
-use crate::data::*;
-use crate::DynResult;
-
-/*
-A data service must implement at lease one of the following traits
-
-
-
-
-
-
-
-
-Important to note that Paramaters can be typed as Option<P> during implemenation
-and that the actual strucut/type passed into these is flexable. This should allow
-each services library to implement a paramates trait that works for them, or 
-leave paramaters as 'None'
-
-This way you can lock down what paramaters are required for each indiviudual service
-while still allowing the RustyTrade framework to reliably obtain the expected struct
-from each trait interface.
-
-struct ExamplePriceHistoryParams {
-    start_date: i64,
-    end_date:   i64
-}
-
-struct ExampleDataService {};
-impl GetPriceHistory for ExampleDataService {
-    type Paramaters = ExamplePriceHistoryParmas;
-    fn get_price_history(&mut self, paramaters: Self::Paramaters)-> DynResult<PriceHistory> {
-
-    } 
-}
-
-*/
-pub trait GetEquity {
-    type Paramaters;
-    fn get_equity(&mut self, paramaters: Self::Paramaters) -> DynResult<equity::Equity>;
-}
-pub trait GetCrypto {
-    type Paramaters;
-    fn get_crypto(&mut self, paramaters: Self::Paramaters) -> DynResult<crypto::Crypto>;
-}
-pub trait GetOptionContract {
-    type Paramaters;
-    fn get_option_contract(&mut self, paramaters: Self::Paramaters) -> DynResult<options::OptionContract>;
-}
-pub trait GetOptionChain {
-    type Paramaters;
-    fn get_options_chain_vec(&mut self, paramaters: Self::Paramaters) -> DynResult<Vec<options::OptionContract>>;
-    fn get_options_chain_dataframe(&mut self, paramaters: Self::Paramaters) -> DynResult<options::OptionChainDataFrame>;
-}
-pub trait GetPriceHistory{
-    type Paramaters;
-    fn get_price_history(&mut self, paramaters: Self::Paramaters)-> DynResult<price_history::PriceHistory>;
-}
-

src/data/equity.rs

@@ -1,51 +0,0 @@
-use std::fmt::Display;
-use crate::DynResult;
-
-#[derive(Debug)]
-pub struct EquityError {
-    error: String
-}
-impl EquityError {
-    pub fn new(error_msg: &str) -> Self {
-        EquityError { error: error_msg.to_owned() }
-    }
-}
-impl Display for EquityError {
-    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
-        write!(f, "Equity Error Placeholder")
-    }
-}
-impl std::error::Error for EquityError {}
-
-#[derive(Debug)]
-pub struct Equity {
-    pub symbol:         String,
-    pub cusip :         Option<String>,
-    pub exchange:       Option<String>,
-    pub bid:            f64,
-    pub mid:            f64,
-    pub ask:            f64,
-    pub last:           Option<f64>,
-    pub bid_size:       Option<usize>,
-    pub ask_size:       Option<usize>,
-    pub volume:         Option<usize>,
-    pub high:           Option<f64>,
-    pub open:           Option<f64>,
-    pub low:            Option<f64>,
-    pub close:          Option<f64>,
-    pub shortable:      Option<bool>,
-    pub marginable:     Option<bool>,
-    pub quote_time:     i64
-}
-impl Equity {
-    
-}
-
-
-
-
-
-
-pub trait ToEquity {
-    fn to_equity(&self) -> DynResult<Equity>;
-}

src/data/options.rs

@@ -1,11 +1,13 @@
 use std::fmt::Display;
-use chrono::{TimeZone, LocalResult, DateTime};
+use chrono::{TimeZone, DateTime, Utc};
 use polars::{prelude::DataFrame, df, prelude::{NamedFrom}};
 use regex::Regex;
 
 
 use crate::DynResult;
 
+use super::quotes::{QuoteData, AssetIdentifier, VolumeData, PriceSpreadData};
+
 #[derive(Debug)]
 pub struct OptionContractError {
     error: String
@@ -22,12 +24,13 @@ impl Display for OptionContractError {
 }
 impl std::error::Error for OptionContractError {}
 
+#[derive(Debug, Clone)]
 pub enum OptionKind {
     Call,
     Put
 }
 impl OptionKind {
-    fn from_str(option_kind: &str) -> Result<OptionKind, OptionContractError>{
+    pub fn from_str(option_kind: &str) -> Result<OptionKind, OptionContractError>{
         let call = Regex::new("(?i)call|(?i)c").expect("call regex failed:\noptions.rs:\t(?i)call|(?i)c");
         let put = Regex::new("(?i)put|(?i)p").expect("put regex failed:\noptions.rs:\t(?i)put|(?i)p");
 
@@ -61,25 +64,125 @@ pub struct OptionContract {
     pub mid:            f64,
     pub ask:            f64,
     pub last:           Option<f64>,
-    pub bid_size:       Option<u64>,
-    pub ask_size:       Option<u64>,
-    pub volume:         Option<u64>,
-    pub high:           Option<f64>,
-    pub open:           Option<f64>,
-    pub low:            Option<f64>,
-    pub close:          Option<f64>,
-    pub greeks:         Option<Greeks>,
-    pub volatility:     Option<f64>
+    pub bid_size:       u64,
+    pub ask_size:       u64,
+    pub last_size:      u64,
+    pub volume:         u64,
+    pub high:           f64,
+    pub open:           f64,
+    pub low:            f64,
+    pub close:          f64,
+    pub greeks:         Greeks,
+    pub volatility:     f64,
+    pub quote_time:     i64
+}
+impl QuoteData for OptionContract {
+    fn asset_symbol(&self) -> AssetIdentifier {
+        AssetIdentifier::Ticker(self.symbol.clone())
+    }
+    fn exchange(&self)  -> Option<String> {
+        self.exchange.clone()
+    }
+    fn quote_time(&self) -> DateTime<chrono::Utc> {
+        Utc.timestamp_millis_opt(self.quote_time).unwrap()
+    }
+    fn retrieve_time(&self) ->DateTime<Utc> {
+        self.quote_time()
+    }
+}
+impl VolumeData for OptionContract {
+    fn ask_size(&self)      -> u64 {
+        self.ask_size
+    }
+    fn bid_size(&self)      -> u64 {
+        self.bid_size
+    }
+    fn last_size(&self)     -> Option<u64> {
+        Some(self.last_size)
+    }
+    fn total_volume(&self)  -> u64 {
+        self.volume
+    }
+    fn volume_period(&self) -> super::Period {
+        super::Period::Day
+    }
+}
+impl PriceSpreadData for OptionContract {
+    fn ask(&self)    -> f64 {
+        self.ask
+    }
+    fn bid(&self)    -> f64 {
+        self.bid
+    }
+    fn mid(&self)    -> f64 {
+        self.mid
+    }
 }
-impl OptionContract {
-    pub fn expiration_as_date(&self) -> LocalResult<DateTime<chrono::Utc>> {
-        chrono::Utc.timestamp_millis_opt(self.expiration)
+impl OptionsData for OptionContract {
+    fn days_to_expirations(&self) -> i32 {
+        self.dte as i32
+    }
+    fn expiration(&self) -> DateTime<Utc> {
+        Utc.timestamp_millis_opt(self.expiration).unwrap()
+    }
+    fn implied_volatility(&self) -> Option<f64> {
+        Some(self.volatility)
+    }
+    fn underlying(&self) -> AssetIdentifier {
+        AssetIdentifier::Ticker(self.underlying.clone())
+    }
+    fn option_type(&self) -> OptionKind {
+        self.kind.clone()
+    }
+    fn strike_price(&self) -> f64 {
+        self.strike_price
+    }
+}
+impl GreeksData for OptionContract {
+    fn delta(&self) -> Option<f64> {
+        self.greeks.delta
+    }
+    fn gamma(&self) -> Option<f64> {
+        self.greeks.gamma
+    }
+    fn theta(&self) -> Option<f64> {
+        self.greeks.theta
+    }
+    fn rho(&self) -> Option<f64> {
+        self.greeks.rho
+    }
+    fn vega(&self) -> Option<f64> {
+        self.greeks.vega
+    }
+    fn valid_greek(greek: f64) -> bool {
+        greek >= -1.0 && greek <= 1.0
     }
 }
 
 
-pub trait ToOptionContract {
-    fn to_option_contract(&self) -> DynResult<OptionContract>;
+pub trait OptionsData {
+    /// Gives the underlying asset of an options
+    fn underlying(&self) -> AssetIdentifier;
+    /// Returns the options type
+    fn option_type(&self) -> OptionKind;
+    /// Returns strike price
+    fn strike_price(&self) -> f64;
+    fn expiration(&self) -> DateTime<Utc>;
+    fn days_to_expirations(&self) -> i32;
+    fn implied_volatility(&self) -> Option<f64>;
+}
+
+
+/// Methods for accessing Greeks 
+pub trait GreeksData {
+    fn delta(&self) -> Option<f64>;
+    fn gamma(&self) -> Option<f64>;
+    fn theta(&self) -> Option<f64>;
+    fn vega(&self) -> Option<f64>;
+    fn rho(&self) -> Option<f64>;
+    fn valid_greek(greek: f64) -> bool {
+        greek >= -1.0 && greek <= 1.0
+    }
 }
 
 pub struct Greeks {
@@ -137,30 +240,12 @@ pub fn create_optionchain_dataframe(options: Vec<OptionContract>) -> DynResult<O
         opens.push(op.open);
         lows.push(op.low);
         closes.push(op.close);
-        deltas.push(match &op.greeks {
-            Some(greeks) => greeks.delta,
-            None => None
-        });
-        deltas.push(match &op.greeks {
-            Some(greeks) => greeks.delta,
-            None => None
-        });
-        gammas.push(match &op.greeks {
-            Some(greeks) => greeks.gamma,
-            None => None
-        });
-        thetas.push(match &op.greeks {
-            Some(greeks) => greeks.theta,
-            None => None
-        });
-        vegas.push(match &op.greeks {
-            Some(greeks) => greeks.vega,
-            None => None
-        });
-        rhos.push(match &op.greeks {
-            Some(greeks) => greeks.rho,
-            None => None
-        });
+        deltas.push(op.greeks.delta);
+        deltas.push(op.greeks.delta);
+        gammas.push(op.greeks.gamma);
+        thetas.push(op.greeks.theta);
+        vegas.push(op.greeks.vega);
+        rhos.push(op.greeks.rho);
         volatilitys.push(op.volatility);
     }
     Ok(df!(

src/data/price_history.rs

@@ -1,56 +0,0 @@
-use polars::{prelude::DataFrame, df, prelude::{NamedFrom}};
-
-use crate::DynResult;
-
-
-
-pub struct Candle {
-    pub high:   f64,
-    pub open:   f64,
-    pub low:    f64,
-    pub close:  f64,
-    pub volume: Option<u64>,
-    pub timestamp:  i64 // mls since epoch
-}
-impl Candle {
-    pub fn new(high: f64, open: f64, low: f64, close: f64, volume: Option<u64>, timestamp: i64) -> Self {
-        Candle { high, open, low, close, volume, timestamp }
-    }
-}
-
-pub struct PriceHistory {
-    symbol: String,
-    candles: Vec<Candle>
-}
-
-pub trait ToPriceHistory {
-    fn to_pricehistorty(&self) -> DynResult<PriceHistory>;
-}
-
-pub fn create_timeseries_dataframe(timeseries_data: &Vec<Candle>) -> DynResult<DataFrame> {
-    let mut high = vec![];
-    let mut open = vec![];
-    let mut low =  vec![];
-    let mut close =  vec![];
-    let mut volume =  vec![];
-    let mut timestamp = vec![];
-
-    for candle in timeseries_data {
-        high.push(candle.high);
-        open.push(candle.open);
-        low.push(candle.low);
-        close.push(candle.close);
-        volume.push(candle.volume);
-        timestamp.push(candle.timestamp);
-    }
-
-    Ok(df!(
-        "High" =>   &high,
-        "Open" =>   &open,
-        "Low" =>    &low,
-        "Close"=>   &close,
-        "Volume"=>  &volume,
-        "TimeStamp" => &timestamp
-    )?)
-       
-}

src/data/quotes.rs

@@ -0,0 +1,67 @@
+use chrono::{Utc, DateTime};
+use super::Period;
+use super::options::OptionKind;
+
+pub enum AssetIdentifier{
+    Ticker(String),
+    Cusip(String),
+    Other(String)
+}
+
+
+///Information about what this quote it, where it came from and when
+/// 
+pub trait QuoteData {
+    /// Gives the symbol/ticker/cusip of this asset
+    fn asset_symbol(&self) -> AssetIdentifier;
+    /// Gives the timestamp of when the quote data is valid
+    fn quote_time(&self) -> DateTime<Utc>;
+    /// Gives the timestamp of when the quote was created
+    fn retrieve_time(&self) ->DateTime<Utc>;
+    /// Gives the exchange which the data was sources from
+    fn exchange(&self)  -> Option<String>;
+    // TO DO:  Gives the datasource used 
+}
+
+pub trait HOLC {
+    fn high(&self) -> f64;
+    fn open(&self) -> f64;
+    fn low(&self) -> f64;
+    fn close(&self) -> f64;
+}
+///Standard volume information
+/// 
+pub trait VolumeData {
+    /// Gives the period over which this volume is valid
+    fn volume_period(&self) -> Period;
+    /// Total volume seem in that period
+    fn total_volume(&self)  -> u64;
+    /// Gives the current bid size of the asset
+    fn bid_size(&self)      -> u64;
+    // Gives the current as size of the asset
+    fn ask_size(&self)      -> u64;
+    // Gives the size of the last trade
+    fn last_size(&self)     -> Option<u64>;
+}
+///Standard information about price spread
+/// 
+pub trait PriceSpreadData {
+    /// Give the bid price of an asset 
+    fn bid(&self)    -> f64;
+    /// Gives the mid price of an asset
+    fn mid(&self)    -> f64;
+    /// Gives the ask price of an asset
+    fn ask(&self)    -> f64;
+}
+pub trait Marginable {
+    /// Gives the margin cost as a yearly interest cost. Returns none if not marginable
+    fn margin_cost(&self) -> Option<f64>;
+    /// Returns true if we can use margin on this instrument
+    fn is_marginable(&self) -> bool;
+}
+
+
+pub trait CryptoData {
+    fn base_crypto(&self) -> String;
+    fn quote_crypto(&self) -> String;
+}

src/data/timeseries.rs

@@ -0,0 +1,131 @@
+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, Debug)]
+pub struct Candle {
+    pub high:   f64,
+    pub open:   f64,
+    pub low:    f64,
+    pub close:  f64,
+    pub volume: Option<u64>,
+    pub timestamp:  DateTime<Utc>
+}
+impl Candle {
+    fn from<SourceData>(data: SourceData) -> Self
+    where SourceData: HOLC + TimeStamp + Volume {
+        Candle { high: data.high(),
+                 open: data.open(), 
+                 low: data.low(), 
+                 close: data.close(), 
+                 volume: data.volume(), 
+                 timestamp: data.timestamp(), 
+                }
+    }
+    pub fn new(h: f64, o: f64, l: f64, c: f64, v: Option<u64>, t: DateTime<Utc>) -> Self {
+        Candle {
+            high : h,
+            open : o,
+            low :  l,
+            close: c,
+            volume : v,
+            timestamp : t
+        }
+    }
+}
+impl HOLC for Candle {
+    fn high(&self) -> f64   { self.high }
+    fn open(&self) -> f64   { self.open }
+    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 {
+    pub candles: Vec<Candle>
+}
+impl TimeSeries {
+    pub fn new(candles: Vec<Candle>) -> Self {
+        TimeSeries { candles: candles }
+    }
+    fn from<C>(data: Vec<C>) -> Self
+    where C: HOLC + TimeStamp + Volume
+    {
+        let mut candles: Vec<Candle> = Vec::new();
+        for d in data {
+            candles.push(Candle::from(d))
+        }
+        TimeSeries::new(candles)
+    }
+    pub fn into_vec(self) -> Vec<Candle> {
+        return self.candles
+    }
+    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![];
+    let mut open = vec![];
+    let mut low =  vec![];
+    let mut close =  vec![];
+    let mut volume =  vec![];
+    let mut timestamp = vec![];
+
+    for candle in timeseries_data {
+        high.push(candle.high);
+        open.push(candle.open);
+        low.push(candle.low);
+        close.push(candle.close);
+        volume.push(candle.volume);
+        timestamp.push(candle.timestamp.timestamp_millis());
+    }
+
+    Ok(df!(
+        "High" =>   &high,
+        "Open" =>   &open,
+        "Low" =>    &low,
+        "Close"=>   &close,
+        "Volume"=>  &volume,
+        "TimeStamp" => &timestamp
+    )?)
+       
+}
+
+pub fn sample_timeseries() {
+
+}

src/indicators.rs

@@ -0,0 +1,3 @@
+pub mod ma;
+pub mod rsi;
+pub mod macd;

src/indicators/ma.rs

@@ -0,0 +1,42 @@
+use crate::data::quotes::HOLC;
+
+
+pub fn simple_moving_avg<C: HOLC> (data: Vec<C>, period: usize) -> Vec<f64> {
+    assert!(data.len() >= period, "Cannot create SMA! : Data is shorter than requested period.");
+    let mut ma_data = vec![];
+    let n: f64 = period as f64;
+    // Get the initial average value
+    let mut avg = data[..period].iter().fold(0.0, |acc, d| acc + d.close()) / n;
+    ma_data.push(avg);
+    // calculate the rest of the averages going forward
+    for (i, d) in data[period..].iter().enumerate() {
+        // subtract the data that is no longer part of the period
+        // Not that i corresponds to the index of data 1 period away since we are starting
+        // iteraction 1 period in. This means it's perfect for getting the oldest data.
+        avg -=  data[i].close()/n;
+        // add the new data to the average
+        avg += d.close() / n;
+        ma_data.push(avg);
+    }
+    ma_data
+}
+
+fn cur_ema(closing_price: f64, prev_ema: f64, smoothing: f64) -> f64 {
+    (closing_price * smoothing) + (prev_ema * (1.0 - smoothing))
+}
+
+pub fn exponential_moving_average<C: HOLC> (data: Vec<C>, period: usize) -> Vec<f64> {
+    assert!(data.len() >= period + 1, "EMA requires period + 1 # of datapoints!");
+    let mut ema_data = vec![];
+    let n: f64 = period as f64;
+    // Get the average closing price over the original period
+    let ma = data[..period].iter().fold(0.0, |acc, d| acc + d.close()) / n;
+    // Calculates our weighthing factor (using 2 as base)
+    let smoothing = 2.0 / (n + 1.0);
+    for (i, d) in data[period..].iter().enumerate() {
+        // Use the previously calced MA for the first iteration
+        if i == 0 {ema_data.push(cur_ema(d.close(), ma, smoothing)); continue;}
+        ema_data.push(cur_ema(d.close(), *ema_data.last().unwrap(), smoothing));
+    }
+    ema_data
+}

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/indicators/rsi.rs

@@ -0,0 +1,45 @@
+use crate::data::quotes::HOLC;
+
+pub fn relative_strength_index<C: HOLC>(data: Vec<C>, period: usize) -> Vec<f64> {
+    assert!(data.len() >= period + 2);
+    let mut rsi_data: Vec<f64> = vec![];
+    let n = period as f64;
+
+    let mut g_avg = 0.0;
+    let mut l_avg = 0.0;
+
+    for (i, d) in data[1..period+1].iter().enumerate() {
+        let chg = d.close() - data[i].close();
+        if chg >= 0.0 {g_avg += chg;}
+        else if chg <= 0.0 { l_avg += chg.abs();}
+
+        if i == period -1 {
+            g_avg /=n;
+            l_avg /=n;
+            rsi_data.push(100.0 - (100.0/(1.0+((g_avg)/(l_avg)))));
+        }
+    }
+    // This is magic. Don't touch it. The periods just work. 
+
+    for (i, d) in data[period+1..].iter().enumerate() {
+     
+        let chg = d.close() - data[period + i ].close();
+
+        if chg > 0.0 {
+            g_avg = (g_avg * (n - 1.0) + chg) / n;
+            l_avg = (l_avg * (n - 1.0) + 0.0) / n;
+        } else if chg < 0.0 {
+            g_avg = (g_avg * (n - 1.0) + 0.0) / n;
+            l_avg = (l_avg * (n - 1.0) + chg.abs()) / n;
+        }
+        else {
+            g_avg = (g_avg * (n - 1.0) + 0.0) / n;
+            l_avg = (l_avg * (n - 1.0) + 0.0) / n;
+         }
+        
+        rsi_data.push(100.0 - (100.0/(1.0+((g_avg)/(l_avg)))));
+        
+    }
+    rsi_data
+
+}

src/lib.rs

@@ -1,12 +1,6 @@
-mod data;
+pub mod data;
+pub mod indicators;
 mod order;
+mod tests;
 
 pub type DynResult<T> = Result<T, Box< dyn std::error::Error>>;
-
-
-#[cfg(test)]
-mod tests {
-    use super::*;
-
-   
-}

src/order.rs

@@ -1,47 +1,15 @@
-use crate::data::AssetDataObject;
+use crate::data::quotes::AssetIdentifier;
 
 
-pub enum Direction {
+enum OrderDirection {
     Buy,
     Sell
 }
-impl ToString for Direction {
-    fn to_string(&self) -> String {
-        match &self {
-            Self::Buy => "Buy".to_string(),
-            Self::Sell => "Sell".to_string()
-        }
-    }
-}
-
-pub enum OrderType {
-    Market,
-    Limit,
-    Stop,
-    TrailingStop
-} 
-impl ToString for OrderType {
-    fn to_string(&self) -> String {
-        match &self {
-            Self::Market => "Market".to_string(),
-            Self::Limit => "Limit".to_string(),
-            Self::Stop =>   "Stop".to_string(),
-            Self::TrailingStop => "TrailingStop".to_string()
-        }
-    }
-}
 
-pub struct SimpleOrder {
-    pub asset:          AssetDataObject,
-    pub price_to_pay:   f64,
-    pub direction:      Direction,
-    pub order_type:     OrderType,
-    pub good_until:     i64,
-    pub approved:       bool
-}
 
-pub struct CompoundOrder {
-    pub orders: Vec<SimpleOrder>,
-    pub approved: bool
 
+struct Order {
+    asset: AssetIdentifier,
+    transaction_price: f64,
+    quantity: i32,
 }

src/tests.rs

@@ -0,0 +1,126 @@
+#[cfg(test)]
+mod tests {
+    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;
+
+  
+    #[test]
+    fn sma() {
+        let data = vec![
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    8.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    11.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    8.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    14.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    1.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    7.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    12.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    5.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    1.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    10.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    5.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    2.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    8.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    11.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    14.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    12.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            ];
+        println!("data.len() = {:?}", data.len());
+
+        let sma_d = ma::simple_moving_avg(data, 3);
+        println!("sma_d = {:?}", sma_d);
+
+    }
+    #[test]
+    fn ema(){
+        let data = vec![
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    8.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    11.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    8.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    14.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    1.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    7.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    12.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    5.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    1.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    10.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    5.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    2.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    8.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    11.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    14.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    9.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    12.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    4.0,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    6.0,    None,Utc::now()),
+            ];
+
+        let ema_d = exponential_moving_average(data, 3);
+        println!("ema_d = {:?}", ema_d);
+    }
+
+    #[test]
+    fn rsi() {
+        let data = vec![
+            Candle::new(0.0,0.0,0.0,    140.06,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    144.28,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    147.64,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    150.6,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    151.92,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    154.79,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    152.61,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    150.26,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    150.47,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    146.68,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    145.14,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    148.1,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    148.82,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    148.91,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    147.21,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    142.84,    None,Utc::now()),
+            Candle::new(0.0,0.0,0.0,    145.48,    None,Utc::now()),
+            
+            ];
+
+        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);
+    }
+}