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 *
40 *
41 * Change history:
42 *
43 * MMDDYY BY Description
44 * -------------------------------------------------------------------
45 * 010802 MF Template creation.
46 * 052603 MF Adapt code to compile with .NET Managed C++
47 *
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 )
WillRLookback(int optInTimePeriod)82 /* Generated */ int Core::WillRLookback( int optInTimePeriod ) /* From 2 to 100000 */
83 /* Generated */
84 /* Generated */ #elif defined( _JAVA )
85 /* Generated */ public int willRLookback( int optInTimePeriod ) /* From 2 to 100000 */
86 /* Generated */
87 /* Generated */ #else
88 /* Generated */ int TA_WILLR_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
108 return (optInTimePeriod-1);
109 }
110
111 /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
112 /*
113 * TA_WILLR - Williams' %R
114 *
115 * Input = High, Low, Close
116 * Output = double
117 *
118 * Optional Parameters
119 * -------------------
120 * optInTimePeriod:(From 2 to 100000)
121 * Number of period
122 *
123 *
124 */
125 /* Generated */
126 /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
127 /* Generated */ enum class Core::RetCode Core::WillR( int startIdx,
128 /* Generated */ int endIdx,
129 /* Generated */ SubArray^ inHigh,
130 /* Generated */ SubArray^ inLow,
131 /* Generated */ SubArray^ inClose,
132 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
133 /* Generated */ [Out]int% outBegIdx,
134 /* Generated */ [Out]int% outNBElement,
135 /* Generated */ cli::array<double>^ outReal )
136 /* Generated */ #elif defined( _MANAGED )
137 /* Generated */ enum class Core::RetCode Core::WillR( int startIdx,
138 /* Generated */ int endIdx,
139 /* Generated */ cli::array<double>^ inHigh,
140 /* Generated */ cli::array<double>^ inLow,
141 /* Generated */ cli::array<double>^ inClose,
142 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
143 /* Generated */ [Out]int% outBegIdx,
144 /* Generated */ [Out]int% outNBElement,
145 /* Generated */ cli::array<double>^ outReal )
146 /* Generated */ #elif defined( _JAVA )
147 /* Generated */ public RetCode willR( int startIdx,
148 /* Generated */ int endIdx,
149 /* Generated */ double inHigh[],
150 /* Generated */ double inLow[],
151 /* Generated */ double inClose[],
152 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
153 /* Generated */ MInteger outBegIdx,
154 /* Generated */ MInteger outNBElement,
155 /* Generated */ double outReal[] )
156 /* Generated */ #else
157 /* Generated */ TA_RetCode TA_WILLR( int startIdx,
158 /* Generated */ int endIdx,
159 /* Generated */ const double inHigh[],
160 /* Generated */ const double inLow[],
161 /* Generated */ const double inClose[],
162 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
163 /* Generated */ int *outBegIdx,
164 /* Generated */ int *outNBElement,
165 /* Generated */ double outReal[] )
166 /* Generated */ #endif
167 /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
168 {
169 /* insert local variable here */
170 double lowest, highest, tmp, diff;
171 int outIdx, nbInitialElementNeeded;
172 int trailingIdx, lowestIdx, highestIdx;
173 int today, i;
174
175 /**** START GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
176 /* Generated */
177 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
178 /* Generated */
179 /* Generated */ /* Validate the requested output range. */
180 /* Generated */ if( startIdx < 0 )
181 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
182 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
183 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
184 /* Generated */
185 /* Generated */ #if !defined(_JAVA)
186 /* Generated */ /* Verify required price component. */
187 /* Generated */ if(!inHigh||!inLow||!inClose)
188 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
189 /* Generated */
190 /* Generated */ #endif /* !defined(_JAVA)*/
191 /* Generated */ /* min/max are checked for optInTimePeriod. */
192 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
193 /* Generated */ optInTimePeriod = 14;
194 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
195 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
196 /* Generated */
197 /* Generated */ #if !defined(_JAVA)
198 /* Generated */ if( !outReal )
199 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
200 /* Generated */
201 /* Generated */ #endif /* !defined(_JAVA) */
202 /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
203 /* Generated */
204 /**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
205
206 /* Insert TA function code here. */
207
208 /* Identify the minimum number of price bar needed
209 * to identify at least one output over the specified
210 * period.
211 */
212 nbInitialElementNeeded = (optInTimePeriod-1);
213
214 /* Move up the start index if there is not
215 * enough initial data.
216 */
217 if( startIdx < nbInitialElementNeeded )
218 startIdx = nbInitialElementNeeded;
219
220 /* Make sure there is still something to evaluate. */
221 if( startIdx > endIdx )
222 {
223 VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
224 VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
225 return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
226 }
227
228 /* Initialize 'diff', just to avoid warning. */
229 diff = 0.0;
230
231 /* Proceed with the calculation for the requested range.
232 * Note that this algorithm allows the input and
233 * output to be the same buffer.
234 */
235 outIdx = 0;
236 today = startIdx;
237 trailingIdx = startIdx-nbInitialElementNeeded;
238 lowestIdx = highestIdx = -1;
239 diff = highest = lowest = 0.0;
240
241 while( today <= endIdx )
242 {
243 /* Set the lowest low */
244 tmp = inLow[today];
245 if( lowestIdx < trailingIdx )
246 {
247 lowestIdx = trailingIdx;
248 lowest = inLow[lowestIdx];
249 i = lowestIdx;
250 while( ++i<=today )
251 {
252 tmp = inLow[i];
253 if( tmp < lowest )
254 {
255 lowestIdx = i;
256 lowest = tmp;
257 }
258 }
259 diff = (highest - lowest)/(-100.0);
260 }
261 else if( tmp <= lowest )
262 {
263 lowestIdx = today;
264 lowest = tmp;
265 diff = (highest - lowest)/(-100.0);
266 }
267
268 /* Set the highest high */
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 diff = (highest - lowest)/(-100.0);
285 }
286 else if( tmp >= highest )
287 {
288 highestIdx = today;
289 highest = tmp;
290 diff = (highest - lowest)/(-100.0);
291 }
292
293 if( diff != 0.0 )
294 outReal[outIdx++] = (highest-inClose[today])/diff;
295 else
296 outReal[outIdx++] = 0.0;
297
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::WillR( int startIdx,
322 /* Generated */ int endIdx,
323 /* Generated */ cli::array<float>^ inHigh,
324 /* Generated */ cli::array<float>^ inLow,
325 /* Generated */ cli::array<float>^ inClose,
326 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
327 /* Generated */ [Out]int% outBegIdx,
328 /* Generated */ [Out]int% outNBElement,
329 /* Generated */ cli::array<double>^ outReal )
330 /* Generated */ #elif defined( _JAVA )
331 /* Generated */ public RetCode willR( int startIdx,
332 /* Generated */ int endIdx,
333 /* Generated */ float inHigh[],
334 /* Generated */ float inLow[],
335 /* Generated */ float inClose[],
336 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
337 /* Generated */ MInteger outBegIdx,
338 /* Generated */ MInteger outNBElement,
339 /* Generated */ double outReal[] )
340 /* Generated */ #else
341 /* Generated */ TA_RetCode TA_S_WILLR( int startIdx,
342 /* Generated */ int endIdx,
343 /* Generated */ const float inHigh[],
344 /* Generated */ const float inLow[],
345 /* Generated */ const float inClose[],
346 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
347 /* Generated */ int *outBegIdx,
348 /* Generated */ int *outNBElement,
349 /* Generated */ double outReal[] )
350 /* Generated */ #endif
351 /* Generated */ {
352 /* Generated */ double lowest, highest, tmp, diff;
353 /* Generated */ int outIdx, nbInitialElementNeeded;
354 /* Generated */ int trailingIdx, lowestIdx, highestIdx;
355 /* Generated */ int today, i;
356 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
357 /* Generated */ if( startIdx < 0 )
358 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
359 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
360 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
361 /* Generated */ #if !defined(_JAVA)
362 /* Generated */ if(!inHigh||!inLow||!inClose)
363 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
364 /* Generated */ #endif
365 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
366 /* Generated */ optInTimePeriod = 14;
367 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
368 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
369 /* Generated */ #if !defined(_JAVA)
370 /* Generated */ if( !outReal )
371 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
372 /* Generated */ #endif
373 /* Generated */ #endif
374 /* Generated */ nbInitialElementNeeded = (optInTimePeriod-1);
375 /* Generated */ if( startIdx < nbInitialElementNeeded )
376 /* Generated */ startIdx = nbInitialElementNeeded;
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 */ diff = 0.0;
384 /* Generated */ outIdx = 0;
385 /* Generated */ today = startIdx;
386 /* Generated */ trailingIdx = startIdx-nbInitialElementNeeded;
387 /* Generated */ lowestIdx = highestIdx = -1;
388 /* Generated */ diff = highest = lowest = 0.0;
389 /* Generated */ while( today <= endIdx )
390 /* Generated */ {
391 /* Generated */ tmp = inLow[today];
392 /* Generated */ if( lowestIdx < trailingIdx )
393 /* Generated */ {
394 /* Generated */ lowestIdx = trailingIdx;
395 /* Generated */ lowest = inLow[lowestIdx];
396 /* Generated */ i = lowestIdx;
397 /* Generated */ while( ++i<=today )
398 /* Generated */ {
399 /* Generated */ tmp = inLow[i];
400 /* Generated */ if( tmp < lowest )
401 /* Generated */ {
402 /* Generated */ lowestIdx = i;
403 /* Generated */ lowest = tmp;
404 /* Generated */ }
405 /* Generated */ }
406 /* Generated */ diff = (highest - lowest)/(-100.0);
407 /* Generated */ }
408 /* Generated */ else if( tmp <= lowest )
409 /* Generated */ {
410 /* Generated */ lowestIdx = today;
411 /* Generated */ lowest = tmp;
412 /* Generated */ diff = (highest - lowest)/(-100.0);
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 */ diff = (highest - lowest)/(-100.0);
430 /* Generated */ }
431 /* Generated */ else if( tmp >= highest )
432 /* Generated */ {
433 /* Generated */ highestIdx = today;
434 /* Generated */ highest = tmp;
435 /* Generated */ diff = (highest - lowest)/(-100.0);
436 /* Generated */ }
437 /* Generated */ if( diff != 0.0 )
438 /* Generated */ outReal[outIdx++] = (highest-inClose[today])/diff;
439 /* Generated */ else
440 /* Generated */ outReal[outIdx++] = 0.0;
441 /* Generated */ trailingIdx++;
442 /* Generated */ today++;
443 /* Generated */ }
444 /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
445 /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx;
446 /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
447 /* Generated */ }
448 /* Generated */
449 /* Generated */ #if defined( _MANAGED )
450 /* Generated */ }}} // Close namespace TicTacTec.TA.Lib
451 /* Generated */ #endif
452 /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
453
454