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rvi.pxd
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rvi.pxd
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# -------------------------------------------------------------------------------------------------
# Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
# https://nautechsystems.io
#
# Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
# You may not use this file except in compliance with the License.
# You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
# -------------------------------------------------------------------------------------------------
from nautilus_trader.indicators.average.moving_average cimport MovingAverage
from nautilus_trader.indicators.base.indicator cimport Indicator
from nautilus_trader.model.data cimport Bar
cdef class RelativeVolatilityIndex(Indicator):
cdef MovingAverage _ma
cdef MovingAverage _pos_ma
cdef MovingAverage _neg_ma
cdef object _prices
cdef readonly int period
"""The window period.\n\n:returns: `int`"""
cdef readonly double scalar
"""The positive float to scale the bands.\n\n:returns: `double`"""
cdef readonly double _previous_close
"""The previous price value.\n\n:returns: `double`"""
cdef readonly double _std
"""The current price stddev value.\n\n:returns: `double`"""
cdef readonly double value
"""The current value.\n\n:returns: `double`"""
cpdef void handle_bar(self, Bar bar)
cpdef void update_raw(self, double close)