1 /* TA-LIB Copyright (c) 1999-2007, Mario Fortier
2 * All rights reserved.
3 *
4 * Redistribution and use in source and binary forms, with or
5 * without modification, are permitted provided that the following
6 * conditions are met:
7 *
8 * - Redistributions of source code must retain the above copyright
9 * notice, this list of conditions and the following disclaimer.
10 *
11 * - Redistributions in binary form must reproduce the above copyright
12 * notice, this list of conditions and the following disclaimer in
13 * the documentation and/or other materials provided with the
14 * distribution.
15 *
16 * - Neither name of author nor the names of its contributors
17 * may be used to endorse or promote products derived from this
18 * software without specific prior written permission.
19 *
20 * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
21 * ``AS IS'' AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
22 * LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS
23 * FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE
24 * REGENTS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT,
25 * INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
26 * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS
27 * OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
28 * INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY,
29 * WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE
30 * OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE,
31 * EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
32 */
33
34 /* List of contributors:
35 *
36 * Initial Name/description
37 * -------------------------------------------------------------------
38 * MF Mario Fortier
39 * AM Adrian Michel <michel@pacbell.net>
40 *
41 * Change history:
42 *
43 * MMDDYY BY Description
44 * -------------------------------------------------------------------
45 * 120802 MF Template creation.
46 * 052603 MF Adapt code to compile with .NET Managed C++
47 * 050703 MF Fix algorithm base on Adrian Michel bug report #748163
48 */
49
50 /**** START GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
51 /* All code within this section is automatically
52 * generated by gen_code. Any modification will be lost
53 * next time gen_code is run.
54 */
55 /* Generated */
56 /* Generated */ #if defined( _MANAGED )
57 /* Generated */ #include "TA-Lib-Core.h"
58 /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode::InternalError)
59 /* Generated */ namespace TicTacTec { namespace TA { namespace Library {
60 /* Generated */ #elif defined( _JAVA )
61 /* Generated */ #include "ta_defs.h"
62 /* Generated */ #include "ta_java_defs.h"
63 /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode.InternalError)
64 /* Generated */ #else
65 /* Generated */ #include <string.h>
66 /* Generated */ #include <math.h>
67 /* Generated */ #include "ta_func.h"
68 /* Generated */ #endif
69 /* Generated */
70 /* Generated */ #ifndef TA_UTILITY_H
71 /* Generated */ #include "ta_utility.h"
72 /* Generated */ #endif
73 /* Generated */
74 /* Generated */ #ifndef TA_MEMORY_H
75 /* Generated */ #include "ta_memory.h"
76 /* Generated */ #endif
77 /* Generated */
78 /* Generated */ #define TA_PREFIX(x) TA_##x
79 /* Generated */ #define INPUT_TYPE double
80 /* Generated */
81 /* Generated */ #if defined( _MANAGED )
AroonLookback(int optInTimePeriod)82 /* Generated */ int Core::AroonLookback( int optInTimePeriod ) /* From 2 to 100000 */
83 /* Generated */
84 /* Generated */ #elif defined( _JAVA )
85 /* Generated */ public int aroonLookback( int optInTimePeriod ) /* From 2 to 100000 */
86 /* Generated */
87 /* Generated */ #else
88 /* Generated */ int TA_AROON_Lookback( int optInTimePeriod ) /* From 2 to 100000 */
89 /* Generated */
90 /* Generated */ #endif
91 /**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
92 {
93 /* insert local variable here */
94
95 /**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
96 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
97 /* Generated */ /* min/max are checked for optInTimePeriod. */
98 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
99 /* Generated */ optInTimePeriod = 14;
100 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
101 /* Generated */ return -1;
102 /* Generated */
103 /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
104 /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
105
106 /* insert lookback code here. */
107 return optInTimePeriod;
108 }
109
110 /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
111 /*
112 * TA_AROON - Aroon
113 *
114 * Input = High, Low
115 * Output = double, double
116 *
117 * Optional Parameters
118 * -------------------
119 * optInTimePeriod:(From 2 to 100000)
120 * Number of period
121 *
122 *
123 */
124 /* Generated */
125 /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
126 /* Generated */ enum class Core::RetCode Core::Aroon( int startIdx,
127 /* Generated */ int endIdx,
128 /* Generated */ SubArray^ inHigh,
129 /* Generated */ SubArray^ inLow,
130 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
131 /* Generated */ [Out]int% outBegIdx,
132 /* Generated */ [Out]int% outNBElement,
133 /* Generated */ cli::array<double>^ outAroonDown,
134 /* Generated */ cli::array<double>^ outAroonUp )
135 /* Generated */ #elif defined( _MANAGED )
136 /* Generated */ enum class Core::RetCode Core::Aroon( int startIdx,
137 /* Generated */ int endIdx,
138 /* Generated */ cli::array<double>^ inHigh,
139 /* Generated */ cli::array<double>^ inLow,
140 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
141 /* Generated */ [Out]int% outBegIdx,
142 /* Generated */ [Out]int% outNBElement,
143 /* Generated */ cli::array<double>^ outAroonDown,
144 /* Generated */ cli::array<double>^ outAroonUp )
145 /* Generated */ #elif defined( _JAVA )
146 /* Generated */ public RetCode aroon( int startIdx,
147 /* Generated */ int endIdx,
148 /* Generated */ double inHigh[],
149 /* Generated */ double inLow[],
150 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
151 /* Generated */ MInteger outBegIdx,
152 /* Generated */ MInteger outNBElement,
153 /* Generated */ double outAroonDown[],
154 /* Generated */ double outAroonUp[] )
155 /* Generated */ #else
156 /* Generated */ TA_RetCode TA_AROON( int startIdx,
157 /* Generated */ int endIdx,
158 /* Generated */ const double inHigh[],
159 /* Generated */ const double inLow[],
160 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
161 /* Generated */ int *outBegIdx,
162 /* Generated */ int *outNBElement,
163 /* Generated */ double outAroonDown[],
164 /* Generated */ double outAroonUp[] )
165 /* Generated */ #endif
166 /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
167 {
168 /* insert local variable here */
169 double lowest, highest, tmp, factor;
170 int outIdx;
171 int trailingIdx, lowestIdx, highestIdx, today, i;
172
173 /**** START GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
174 /* Generated */
175 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
176 /* Generated */
177 /* Generated */ /* Validate the requested output range. */
178 /* Generated */ if( startIdx < 0 )
179 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
180 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
181 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
182 /* Generated */
183 /* Generated */ #if !defined(_JAVA)
184 /* Generated */ /* Verify required price component. */
185 /* Generated */ if(!inHigh||!inLow)
186 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
187 /* Generated */
188 /* Generated */ #endif /* !defined(_JAVA)*/
189 /* Generated */ /* min/max are checked for optInTimePeriod. */
190 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
191 /* Generated */ optInTimePeriod = 14;
192 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
193 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
194 /* Generated */
195 /* Generated */ #if !defined(_JAVA)
196 /* Generated */ if( !outAroonDown )
197 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
198 /* Generated */
199 /* Generated */ if( !outAroonUp )
200 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
201 /* Generated */
202 /* Generated */ #endif /* !defined(_JAVA) */
203 /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
204 /* Generated */
205 /**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
206
207 /* Insert TA function code here. */
208
209 /* This function is using a speed optimized algorithm
210 * for the min/max logic.
211 *
212 * You might want to first look at how TA_MIN/TA_MAX works
213 * and this function will become easier to understand.
214 */
215
216 /* Move up the start index if there is not
217 * enough initial data.
218 */
219 if( startIdx < optInTimePeriod )
220 startIdx = optInTimePeriod;
221
222 /* Make sure there is still something to evaluate. */
223 if( startIdx > endIdx )
224 {
225 VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
226 VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
227 return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
228 }
229
230 /* Proceed with the calculation for the requested range.
231 * Note that this algorithm allows the input and
232 * output to be the same buffer.
233 */
234 outIdx = 0;
235 today = startIdx;
236 trailingIdx = startIdx-optInTimePeriod;
237 lowestIdx = -1;
238 highestIdx = -1;
239 lowest = 0.0;
240 highest = 0.0;
241 factor = (double)100.0/(double)optInTimePeriod;
242
243 while( today <= endIdx )
244 {
245 /* Keep track of the lowestIdx */
246 tmp = inLow[today];
247 if( lowestIdx < trailingIdx )
248 {
249 lowestIdx = trailingIdx;
250 lowest = inLow[lowestIdx];
251 i = lowestIdx;
252 while( ++i<=today )
253 {
254 tmp = inLow[i];
255 if( tmp <= lowest )
256 {
257 lowestIdx = i;
258 lowest = tmp;
259 }
260 }
261 }
262 else if( tmp <= lowest )
263 {
264 lowestIdx = today;
265 lowest = tmp;
266 }
267
268 /* Keep track of the highestIdx */
269 tmp = inHigh[today];
270 if( highestIdx < trailingIdx )
271 {
272 highestIdx = trailingIdx;
273 highest = inHigh[highestIdx];
274 i = highestIdx;
275 while( ++i<=today )
276 {
277 tmp = inHigh[i];
278 if( tmp >= highest )
279 {
280 highestIdx = i;
281 highest = tmp;
282 }
283 }
284 }
285 else if( tmp >= highest )
286 {
287 highestIdx = today;
288 highest = tmp;
289 }
290
291 /* Note: Do not forget that input and output buffer can be the same,
292 * so writing to the output is the last thing being done here.
293 */
294 outAroonUp[outIdx] = factor*(optInTimePeriod-(today-highestIdx));
295 outAroonDown[outIdx] = factor*(optInTimePeriod-(today-lowestIdx));
296
297 outIdx++;
298 trailingIdx++;
299 today++;
300 }
301
302 /* Keep the outBegIdx relative to the
303 * caller input before returning.
304 */
305 VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
306 VALUE_HANDLE_DEREF(outNBElement) = outIdx;
307
308 return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
309 }
310
311 /**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
312 /* Generated */
313 /* Generated */ #define USE_SINGLE_PRECISION_INPUT
314 /* Generated */ #if !defined( _MANAGED ) && !defined( _JAVA )
315 /* Generated */ #undef TA_PREFIX
316 /* Generated */ #define TA_PREFIX(x) TA_S_##x
317 /* Generated */ #endif
318 /* Generated */ #undef INPUT_TYPE
319 /* Generated */ #define INPUT_TYPE float
320 /* Generated */ #if defined( _MANAGED )
321 /* Generated */ enum class Core::RetCode Core::Aroon( int startIdx,
322 /* Generated */ int endIdx,
323 /* Generated */ cli::array<float>^ inHigh,
324 /* Generated */ cli::array<float>^ inLow,
325 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
326 /* Generated */ [Out]int% outBegIdx,
327 /* Generated */ [Out]int% outNBElement,
328 /* Generated */ cli::array<double>^ outAroonDown,
329 /* Generated */ cli::array<double>^ outAroonUp )
330 /* Generated */ #elif defined( _JAVA )
331 /* Generated */ public RetCode aroon( int startIdx,
332 /* Generated */ int endIdx,
333 /* Generated */ float inHigh[],
334 /* Generated */ float inLow[],
335 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
336 /* Generated */ MInteger outBegIdx,
337 /* Generated */ MInteger outNBElement,
338 /* Generated */ double outAroonDown[],
339 /* Generated */ double outAroonUp[] )
340 /* Generated */ #else
341 /* Generated */ TA_RetCode TA_S_AROON( int startIdx,
342 /* Generated */ int endIdx,
343 /* Generated */ const float inHigh[],
344 /* Generated */ const float inLow[],
345 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
346 /* Generated */ int *outBegIdx,
347 /* Generated */ int *outNBElement,
348 /* Generated */ double outAroonDown[],
349 /* Generated */ double outAroonUp[] )
350 /* Generated */ #endif
351 /* Generated */ {
352 /* Generated */ double lowest, highest, tmp, factor;
353 /* Generated */ int outIdx;
354 /* Generated */ int trailingIdx, lowestIdx, highestIdx, today, i;
355 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
356 /* Generated */ if( startIdx < 0 )
357 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
358 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
359 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
360 /* Generated */ #if !defined(_JAVA)
361 /* Generated */ if(!inHigh||!inLow)
362 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
363 /* Generated */ #endif
364 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
365 /* Generated */ optInTimePeriod = 14;
366 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
367 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
368 /* Generated */ #if !defined(_JAVA)
369 /* Generated */ if( !outAroonDown )
370 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
371 /* Generated */ if( !outAroonUp )
372 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
373 /* Generated */ #endif
374 /* Generated */ #endif
375 /* Generated */ if( startIdx < optInTimePeriod )
376 /* Generated */ startIdx = optInTimePeriod;
377 /* Generated */ if( startIdx > endIdx )
378 /* Generated */ {
379 /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
380 /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
381 /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
382 /* Generated */ }
383 /* Generated */ outIdx = 0;
384 /* Generated */ today = startIdx;
385 /* Generated */ trailingIdx = startIdx-optInTimePeriod;
386 /* Generated */ lowestIdx = -1;
387 /* Generated */ highestIdx = -1;
388 /* Generated */ lowest = 0.0;
389 /* Generated */ highest = 0.0;
390 /* Generated */ factor = (double)100.0/(double)optInTimePeriod;
391 /* Generated */ while( today <= endIdx )
392 /* Generated */ {
393 /* Generated */ tmp = inLow[today];
394 /* Generated */ if( lowestIdx < trailingIdx )
395 /* Generated */ {
396 /* Generated */ lowestIdx = trailingIdx;
397 /* Generated */ lowest = inLow[lowestIdx];
398 /* Generated */ i = lowestIdx;
399 /* Generated */ while( ++i<=today )
400 /* Generated */ {
401 /* Generated */ tmp = inLow[i];
402 /* Generated */ if( tmp <= lowest )
403 /* Generated */ {
404 /* Generated */ lowestIdx = i;
405 /* Generated */ lowest = tmp;
406 /* Generated */ }
407 /* Generated */ }
408 /* Generated */ }
409 /* Generated */ else if( tmp <= lowest )
410 /* Generated */ {
411 /* Generated */ lowestIdx = today;
412 /* Generated */ lowest = tmp;
413 /* Generated */ }
414 /* Generated */ tmp = inHigh[today];
415 /* Generated */ if( highestIdx < trailingIdx )
416 /* Generated */ {
417 /* Generated */ highestIdx = trailingIdx;
418 /* Generated */ highest = inHigh[highestIdx];
419 /* Generated */ i = highestIdx;
420 /* Generated */ while( ++i<=today )
421 /* Generated */ {
422 /* Generated */ tmp = inHigh[i];
423 /* Generated */ if( tmp >= highest )
424 /* Generated */ {
425 /* Generated */ highestIdx = i;
426 /* Generated */ highest = tmp;
427 /* Generated */ }
428 /* Generated */ }
429 /* Generated */ }
430 /* Generated */ else if( tmp >= highest )
431 /* Generated */ {
432 /* Generated */ highestIdx = today;
433 /* Generated */ highest = tmp;
434 /* Generated */ }
435 /* Generated */ outAroonUp[outIdx] = factor*(optInTimePeriod-(today-highestIdx));
436 /* Generated */ outAroonDown[outIdx] = factor*(optInTimePeriod-(today-lowestIdx));
437 /* Generated */ outIdx++;
438 /* Generated */ trailingIdx++;
439 /* Generated */ today++;
440 /* Generated */ }
441 /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
442 /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx;
443 /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
444 /* Generated */ }
445 /* Generated */
446 /* Generated */ #if defined( _MANAGED )
447 /* Generated */ }}} // Close namespace TicTacTec.TA.Lib
448 /* Generated */ #endif
449 /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
450
451