Streaming moving average (#11826)

* Implementation of streaming moving average

* Added reference to streaming moving average

* fixed a bug and added return type to __init__

* fractional differentiation

* dev fracdiff in new branch

* updating DIRECTORY.md

---------

Co-authored-by: Christian Clauss <cclauss@me.com>
Co-authored-by: cclauss <cclauss@users.noreply.github.com>

Author: mjvakili

DIRECTORY.md

@@ -561,6 +561,7 @@
   * [Sharpe Ratio](financial/sharpe_ratio.py)
   * [Simple Moving Average](financial/simple_moving_average.py)
   * [Straight Line Depreciation](financial/straight_line_depreciation.py)
+  * [Streaming Moving Average](financial/streaming_moving_average.py)
   * [Time And Half Pay](financial/time_and_half_pay.py)
   * [Value At Risk](financial/value_at_risk.py)
 

financial/streaming_moving_average.py

@@ -0,0 +1,91 @@
+"""This module contains a class that
+calculates the moving average in real-time.
+
+Reference
+---------
+https://en.wikipedia.org/wiki/Moving_average
+"""
+
+from collections import deque
+
+
+class StreamingMovingAverage:
+    """Streaming Moving Average calculator that updates
+    the average in real-time.
+
+    Attributes
+    ----------
+    window_size : int
+        The size of the moving average window.
+
+    Methods
+    -------
+    update(new_value: float) -> None
+        Update the moving average with a new data point.
+    mov_avg() -> float
+        Return the current moving average value.
+
+    Raises
+    ------
+    ValueError
+        If the window size is less than 1.
+
+
+    Examples
+    --------
+    >>> mov_avg_calculator = StreamingMovingAverage(3)
+    >>> mov_avg_calculator.update(10.)
+    >>> mov_avg_calculator.update(12.)
+    >>> mov_avg_calculator.update(2.)
+    >>> mov_avg_calculator.update(1.)
+    >>> mov_avg_calculator.mov_avg
+    5.0
+    >>> mov_avg_calculator = StreamingMovingAverage(5)
+    >>> mov_avg_calculator.update(2.)
+    >>> mov_avg_calculator.update(3.)
+    >>> mov_avg_calculator.mov_avg
+    2.5
+    """
+
+    def __init__(self, window_size: int) -> None:
+        if window_size < 1:
+            raise ValueError("Window size must be a positive integer")
+        self.window_size = window_size
+        self.window: deque[float] = deque(maxlen=window_size)
+        self._mov_avg: float = 0.0  # Placeholder for online moving average.
+
+    def update(self, new_value: float) -> None:
+        """Update the moving average with a new data point.
+
+        Parameters
+        ----------
+        new_value : float
+            The new data point to update the moving average.
+
+        Raises
+        ------
+        TypeError
+            If the type of new value is not float.
+        """
+        if not isinstance(new_value, float):
+            raise TypeError("Type of new_value must be either float.")
+        self.window.append(new_value)
+        self._mov_avg = sum(self.window) / len(self.window)
+
+    @property
+    def mov_avg(self) -> float:
+        """Return the current moving average value."""
+        return self._mov_avg
+
+
+if __name__ == "__main__":
+    import doctest
+    import random
+
+    doctest.testmod()
+    moving_average_calculator = StreamingMovingAverage(window_size=3)
+    example_data = [float(random.randint(a=1, b=10)) for _ in range(10)]
+    for value in example_data:
+        print(f"adding {value=} to streaming data.")
+        moving_average_calculator.update(new_value=value)
+        print(f"updated moving average={moving_average_calculator.mov_avg}")