/* TA-LIB Copyright (c) 1999-2007, Mario Fortier * All rights reserved. * * Redistribution and use in source and binary forms, with or * without modification, are permitted provided that the following * conditions are met: * * - Redistributions of source code must retain the above copyright * notice, this list of conditions and the following disclaimer. * * - Redistributions in binary form must reproduce the above copyright * notice, this list of conditions and the following disclaimer in * the documentation and/or other materials provided with the * distribution. * * - Neither name of author nor the names of its contributors * may be used to endorse or promote products derived from this * software without specific prior written permission. * * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS * ``AS IS'' AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT * LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS * FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE * REGENTS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, * INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS * OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS * INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, * WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE * OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, * EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. */ /* List of contributors: * * Initial Name/description * ------------------------------------------------------------------- * MF Mario Fortier * * Change history: * * MMDDYY BY Description * ------------------------------------------------------------------- * 021807 MF Initial Version */ /**** START GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/ /* All code within this section is automatically * generated by gen_code. Any modification will be lost * next time gen_code is run. */ /* Generated */ /* Generated */ #if defined( _MANAGED ) /* Generated */ #include "TA-Lib-Core.h" /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode::InternalError) /* Generated */ namespace TicTacTec { namespace TA { namespace Library { /* Generated */ #elif defined( _JAVA ) /* Generated */ #include "ta_defs.h" /* Generated */ #include "ta_java_defs.h" /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode.InternalError) /* Generated */ #else /* Generated */ #include /* Generated */ #include /* Generated */ #include "ta_func.h" /* Generated */ #endif /* Generated */ /* Generated */ #ifndef TA_UTILITY_H /* Generated */ #include "ta_utility.h" /* Generated */ #endif /* Generated */ /* Generated */ #ifndef TA_MEMORY_H /* Generated */ #include "ta_memory.h" /* Generated */ #endif /* Generated */ /* Generated */ #define TA_PREFIX(x) TA_##x /* Generated */ #define INPUT_TYPE double /* Generated */ /* Generated */ #if defined( _MANAGED ) /* Generated */ int Core::MovingAverageVariablePeriodLookback( int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ MAType optInMAType ) /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int movingAverageVariablePeriodLookback( int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ MAType optInMAType ) /* Generated */ /* Generated */ #else /* Generated */ int TA_MAVP_Lookback( int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ TA_MAType optInMAType ) /* Generated */ /* Generated */ #endif /**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ /**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK /* Generated */ /* min/max are checked for optInMinPeriod. */ /* Generated */ if( (int)optInMinPeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInMinPeriod = 2; /* Generated */ else if( ((int)optInMinPeriod < 2) || ((int)optInMinPeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ /* min/max are checked for optInMaxPeriod. */ /* Generated */ if( (int)optInMaxPeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInMaxPeriod = 30; /* Generated */ else if( ((int)optInMaxPeriod < 2) || ((int)optInMaxPeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ #if !defined(_MANAGED) && !defined(_JAVA) /* Generated */ if( (int)optInMAType == TA_INTEGER_DEFAULT ) /* Generated */ optInMAType = (TA_MAType)0; /* Generated */ else if( ((int)optInMAType < 0) || ((int)optInMAType > 8) ) /* Generated */ return -1; /* Generated */ /* Generated */ #endif /* !defined(_MANAGED) && !defined(_JAVA)*/ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ return LOOKBACK_CALL(MA)(optInMaxPeriod, optInMAType); } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_MAVP - Moving average with variable period * * Input = double, double * Output = double * * Optional Parameters * ------------------- * optInMinPeriod:(From 2 to 100000) * Value less than minimum will be changed to Minimum period * * optInMaxPeriod:(From 2 to 100000) * Value higher than maximum will be changed to Maximum period * * optInMAType: * Type of Moving Average * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::MovingAverageVariablePeriod( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ SubArray^ inPeriods, /* Generated */ int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ MAType optInMAType, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::MovingAverageVariablePeriod( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ cli::array^ inPeriods, /* Generated */ int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ MAType optInMAType, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode movingAverageVariablePeriod( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal[], /* Generated */ double inPeriods[], /* Generated */ int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ MAType optInMAType, /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_MAVP( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal[], /* Generated */ const double inPeriods[], /* Generated */ int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ TA_MAType optInMAType, /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ int i, j, lookbackTotal, outputSize, tempInt, curPeriod; ARRAY_INT_REF(localPeriodArray); ARRAY_REF(localOutputArray); VALUE_HANDLE_INT(localBegIdx); VALUE_HANDLE_INT(localNbElement); ENUM_DECLARATION(RetCode) retCode; /**** START GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/ /* Generated */ /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK /* Generated */ /* Generated */ /* Validate the requested output range. */ /* Generated */ if( startIdx < 0 ) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex); /* Generated */ if( (endIdx < 0) || (endIdx < startIdx)) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex); /* Generated */ /* Generated */ #if !defined(_JAVA) /* Generated */ if( !inReal ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( !inPeriods ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* !defined(_JAVA)*/ /* Generated */ /* min/max are checked for optInMinPeriod. */ /* Generated */ if( (int)optInMinPeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInMinPeriod = 2; /* Generated */ else if( ((int)optInMinPeriod < 2) || ((int)optInMinPeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ /* min/max are checked for optInMaxPeriod. */ /* Generated */ if( (int)optInMaxPeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInMaxPeriod = 30; /* Generated */ else if( ((int)optInMaxPeriod < 2) || ((int)optInMaxPeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #if !defined(_MANAGED) && !defined(_JAVA) /* Generated */ if( (int)optInMAType == TA_INTEGER_DEFAULT ) /* Generated */ optInMAType = (TA_MAType)0; /* Generated */ else if( ((int)optInMAType < 0) || ((int)optInMAType > 8) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #endif /* !defined(_MANAGED) && !defined(_JAVA)*/ /* Generated */ #if !defined(_JAVA) /* Generated */ if( !outReal ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #endif /* !defined(_JAVA) */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /* Generated */ /**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/ /* Insert TA function code here. */ /* Identify the minimum number of price bar needed * to calculate at least one output. */ lookbackTotal = LOOKBACK_CALL(MA)(optInMaxPeriod,optInMAType); /* Move up the start index if there is not * enough initial data. */ if( startIdx < lookbackTotal ) startIdx = lookbackTotal; /* Make sure there is still something to evaluate. */ if( startIdx > endIdx ) { VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /* Calculate exact output size */ if( lookbackTotal > startIdx ) tempInt = lookbackTotal; else tempInt = startIdx; if( tempInt > endIdx ) { /* No output */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } outputSize = endIdx - tempInt + 1; /* Allocate intermediate local buffer. */ ARRAY_ALLOC(localOutputArray,outputSize); ARRAY_INT_ALLOC(localPeriodArray,outputSize); /* Copy caller array of period into local buffer. * At the same time, truncate to min/max. */ for( i=0; i < outputSize; i++ ) { tempInt = (int)(inPeriods[startIdx+i]); if( tempInt < optInMinPeriod ) tempInt = optInMinPeriod; else if( tempInt > optInMaxPeriod ) tempInt = optInMaxPeriod; localPeriodArray[i] = tempInt; } /* Process each element of the input. * For each possible period value, the MA is calculated * only once. * The outReal is then fill up for all element with * the same period. * A local flag (value 0) is set in localPeriodArray * to avoid doing a second time the same calculation. */ for( i=0; i < outputSize; i++ ) { curPeriod = localPeriodArray[i]; if( curPeriod != 0 ) { /* TODO: This portion of the function can be slightly speed * optimized by making the function without unstable period * start their calculation at 'startIdx+i' instead of startIdx. */ /* Calculation of the MA required. */ retCode = FUNCTION_CALL(MA)( startIdx, endIdx, inReal, curPeriod, optInMAType, VALUE_HANDLE_OUT(localBegIdx),VALUE_HANDLE_OUT(localNbElement),localOutputArray ); if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) ) { ARRAY_FREE(localOutputArray); ARRAY_INT_FREE(localPeriodArray); VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); return retCode; } outReal[i] = localOutputArray[i]; for( j=i+1; j < outputSize; j++ ) { if( localPeriodArray[j] == curPeriod ) { localPeriodArray[j] = 0; /* Flag to avoid recalculation */ outReal[j] = localOutputArray[j]; } } } } ARRAY_FREE(localOutputArray); ARRAY_INT_FREE(localPeriodArray); /* Done. Inform the caller of the success. */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; VALUE_HANDLE_DEREF(outNBElement) = outputSize; return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/ /* Generated */ /* Generated */ #define USE_SINGLE_PRECISION_INPUT /* Generated */ #if !defined( _MANAGED ) && !defined( _JAVA ) /* Generated */ #undef TA_PREFIX /* Generated */ #define TA_PREFIX(x) TA_S_##x /* Generated */ #endif /* Generated */ #undef INPUT_TYPE /* Generated */ #define INPUT_TYPE float /* Generated */ #if defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::MovingAverageVariablePeriod( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ cli::array^ inPeriods, /* Generated */ int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ MAType optInMAType, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode movingAverageVariablePeriod( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal[], /* Generated */ float inPeriods[], /* Generated */ int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ MAType optInMAType, /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_MAVP( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal[], /* Generated */ const float inPeriods[], /* Generated */ int optInMinPeriod, /* From 2 to 100000 */ /* Generated */ int optInMaxPeriod, /* From 2 to 100000 */ /* Generated */ TA_MAType optInMAType, /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ int i, j, lookbackTotal, outputSize, tempInt, curPeriod; /* Generated */ ARRAY_INT_REF(localPeriodArray); /* Generated */ ARRAY_REF(localOutputArray); /* Generated */ VALUE_HANDLE_INT(localBegIdx); /* Generated */ VALUE_HANDLE_INT(localNbElement); /* Generated */ ENUM_DECLARATION(RetCode) retCode; /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK /* Generated */ if( startIdx < 0 ) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex); /* Generated */ if( (endIdx < 0) || (endIdx < startIdx)) /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex); /* Generated */ #if !defined(_JAVA) /* Generated */ if( !inReal ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( !inPeriods ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ if( (int)optInMinPeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInMinPeriod = 2; /* Generated */ else if( ((int)optInMinPeriod < 2) || ((int)optInMinPeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( (int)optInMaxPeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInMaxPeriod = 30; /* Generated */ else if( ((int)optInMaxPeriod < 2) || ((int)optInMaxPeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #if !defined(_MANAGED) && !defined(_JAVA) /* Generated */ if( (int)optInMAType == TA_INTEGER_DEFAULT ) /* Generated */ optInMAType = (TA_MAType)0; /* Generated */ else if( ((int)optInMAType < 0) || ((int)optInMAType > 8) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ #if !defined(_JAVA) /* Generated */ if( !outReal ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ #endif /* Generated */ lookbackTotal = LOOKBACK_CALL(MA)(optInMaxPeriod,optInMAType); /* Generated */ if( startIdx < lookbackTotal ) /* Generated */ startIdx = lookbackTotal; /* Generated */ if( startIdx > endIdx ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ if( lookbackTotal > startIdx ) /* Generated */ tempInt = lookbackTotal; /* Generated */ else /* Generated */ tempInt = startIdx; /* Generated */ if( tempInt > endIdx ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ outputSize = endIdx - tempInt + 1; /* Generated */ ARRAY_ALLOC(localOutputArray,outputSize); /* Generated */ ARRAY_INT_ALLOC(localPeriodArray,outputSize); /* Generated */ for( i=0; i < outputSize; i++ ) /* Generated */ { /* Generated */ tempInt = (int)(inPeriods[startIdx+i]); /* Generated */ if( tempInt < optInMinPeriod ) /* Generated */ tempInt = optInMinPeriod; /* Generated */ else if( tempInt > optInMaxPeriod ) /* Generated */ tempInt = optInMaxPeriod; /* Generated */ localPeriodArray[i] = tempInt; /* Generated */ } /* Generated */ for( i=0; i < outputSize; i++ ) /* Generated */ { /* Generated */ curPeriod = localPeriodArray[i]; /* Generated */ if( curPeriod != 0 ) /* Generated */ { /* Generated */ retCode = FUNCTION_CALL(MA)( startIdx, endIdx, inReal, /* Generated */ curPeriod, optInMAType, /* Generated */ VALUE_HANDLE_OUT(localBegIdx),VALUE_HANDLE_OUT(localNbElement),localOutputArray ); /* Generated */ if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) ) /* Generated */ { /* Generated */ ARRAY_FREE(localOutputArray); /* Generated */ ARRAY_INT_FREE(localPeriodArray); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ return retCode; /* Generated */ } /* Generated */ outReal[i] = localOutputArray[i]; /* Generated */ for( j=i+1; j < outputSize; j++ ) /* Generated */ { /* Generated */ if( localPeriodArray[j] == curPeriod ) /* Generated */ { /* Generated */ localPeriodArray[j] = 0; /* Generated */ outReal[j] = localOutputArray[j]; /* Generated */ } /* Generated */ } /* Generated */ } /* Generated */ } /* Generated */ ARRAY_FREE(localOutputArray); /* Generated */ ARRAY_INT_FREE(localPeriodArray); /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outputSize; /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ /* Generated */ #if defined( _MANAGED ) /* Generated */ }}} // Close namespace TicTacTec.TA.Lib /* Generated */ #endif /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/