/* 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 * JV Jesus Viver <324122@cienz.unizar.es> * * Change history: * * MMDDYY BY Description * ------------------------------------------------------------------- * 112400 MF Template creation. * 100502 JV Speed optimization of the algorithm * 052603 MF Adapt code to compile with .NET Managed C++ */ /**** 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::VarianceLookback( int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev ) /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int varianceLookback( int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev ) /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ /* Generated */ #else /* Generated */ int TA_VAR_Lookback( int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev ) /* From TA_REAL_MIN to TA_REAL_MAX */ /* 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 optInTimePeriod. */ /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 5; /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ if( optInNbDev == TA_REAL_DEFAULT ) /* Generated */ optInNbDev = 1.000000e+0; /* Generated */ else if( (optInNbDev < -3.000000e+37) ||/* Generated */ (optInNbDev > 3.000000e+37) ) /* Generated */ return -1; /* Generated */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* insert lookback code here. */ UNUSED_VARIABLE(optInNbDev); return optInTimePeriod-1; } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_VAR - Variance * * Input = double * Output = double * * Optional Parameters * ------------------- * optInTimePeriod:(From 1 to 100000) * Number of period * * optInNbDev:(From TA_REAL_MIN to TA_REAL_MAX) * Nb of deviations * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::Variance( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Variance( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode variance( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_VAR( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { /* Insert local variables here. */ /**** 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 */ #endif /* !defined(_JAVA)*/ /* Generated */ /* min/max are checked for optInTimePeriod. */ /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 5; /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ if( optInNbDev == TA_REAL_DEFAULT ) /* Generated */ optInNbDev = 1.000000e+0; /* Generated */ else if( (optInNbDev < -3.000000e+37) ||/* Generated */ (optInNbDev > 3.000000e+37) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* 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. */ return FUNCTION_CALL(INT_VAR)( startIdx, endIdx, inReal, optInTimePeriod, /* From 1 to TA_INTEGER_MAX */ outBegIdx, outNBElement, outReal ); } #if defined( _MANAGED ) && defined( USE_SUBARRAY ) && !defined( USE_SINGLE_PRECISION_INPUT ) enum class Core::RetCode Core::TA_INT_VAR( int startIdx, int endIdx, SubArray^ inReal, int optInTimePeriod, [Out]int% outBegIdx, [Out]int% outNBElement, cli::array^ outReal ) #elif defined( _MANAGED ) enum class Core::RetCode Core::TA_INT_VAR( int startIdx, int endIdx, cli::array^ inReal, int optInTimePeriod, [Out]int% outBegIdx, [Out]int% outNBElement, cli::array^ outReal ) #elif defined( _JAVA ) public RetCode TA_INT_VAR( int startIdx, int endIdx, INPUT_TYPE inReal[], int optInTimePeriod, /* From 1 to TA_INTEGER_MAX */ MInteger outBegIdx, MInteger outNBElement, double outReal[] ) #else TA_RetCode TA_PREFIX(INT_VAR)( int startIdx, int endIdx, const INPUT_TYPE *inReal, int optInTimePeriod, /* From 1 to TA_INTEGER_MAX */ int *outBegIdx, int *outNBElement, double *outReal ) #endif { double tempReal, periodTotal1, periodTotal2, meanValue1, meanValue2; int i, outIdx, trailingIdx, nbInitialElementNeeded; /* Validate the calculation method type and * identify the minimum number of price bar needed * to calculate at least one output. */ nbInitialElementNeeded = (optInTimePeriod-1); /* Move up the start index if there is not * enough initial data. */ if( startIdx < nbInitialElementNeeded ) startIdx = nbInitialElementNeeded; /* 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); } /* Do the MA calculation using tight loops. */ /* Add-up the initial periods, except for the last value. */ periodTotal1 = 0; periodTotal2 = 0; trailingIdx = startIdx-nbInitialElementNeeded; i=trailingIdx; if( optInTimePeriod > 1 ) { while( i < startIdx ) { tempReal = inReal[i++]; periodTotal1 += tempReal; tempReal *= tempReal; periodTotal2 += tempReal; } } /* Proceed with the calculation for the requested range. * Note that this algorithm allows the inReal and * outReal to be the same buffer. */ outIdx = 0; do { tempReal = inReal[i++]; /* Square and add all the deviation over * the same periods. */ periodTotal1 += tempReal; tempReal *= tempReal; periodTotal2 += tempReal; /* Square and add all the deviation over * the same period. */ meanValue1 = periodTotal1 / optInTimePeriod; meanValue2 = periodTotal2 / optInTimePeriod; tempReal = inReal[trailingIdx++]; periodTotal1 -= tempReal; tempReal *= tempReal; periodTotal2 -= tempReal; outReal[outIdx++] = meanValue2-meanValue1*meanValue1; } while( i <= endIdx ); /* All done. Indicate the output limits and return. */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; VALUE_HANDLE_DEREF(outBegIdx) = startIdx; 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::Variance( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode variance( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_VAR( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* 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 */ #endif /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 5; /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( optInNbDev == TA_REAL_DEFAULT ) /* Generated */ optInNbDev = 1.000000e+0; /* Generated */ else if( (optInNbDev < -3.000000e+37) || (optInNbDev > 3.000000e+37) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #if !defined(_JAVA) /* Generated */ if( !outReal ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ #endif /* Generated */ return FUNCTION_CALL(INT_VAR)( startIdx, endIdx, inReal, /* Generated */ optInTimePeriod, /* Generated */ outBegIdx, outNBElement, outReal ); /* Generated */ } /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) && !defined( USE_SINGLE_PRECISION_INPUT ) /* Generated */ enum class Core::RetCode Core::TA_INT_VAR( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ int optInTimePeriod, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::TA_INT_VAR( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode TA_INT_VAR( int startIdx, /* Generated */ int endIdx, /* Generated */ INPUT_TYPE inReal[], /* Generated */ int optInTimePeriod, /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_PREFIX(INT_VAR)( int startIdx, /* Generated */ int endIdx, /* Generated */ const INPUT_TYPE *inReal, /* Generated */ int optInTimePeriod, /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double *outReal ) /* Generated */ #endif /* Generated */ { /* Generated */ double tempReal, periodTotal1, periodTotal2, meanValue1, meanValue2; /* Generated */ int i, outIdx, trailingIdx, nbInitialElementNeeded; /* Generated */ nbInitialElementNeeded = (optInTimePeriod-1); /* Generated */ if( startIdx < nbInitialElementNeeded ) /* Generated */ startIdx = nbInitialElementNeeded; /* 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 */ periodTotal1 = 0; /* Generated */ periodTotal2 = 0; /* Generated */ trailingIdx = startIdx-nbInitialElementNeeded; /* Generated */ i=trailingIdx; /* Generated */ if( optInTimePeriod > 1 ) /* Generated */ { /* Generated */ while( i < startIdx ) { /* Generated */ tempReal = inReal[i++]; /* Generated */ periodTotal1 += tempReal; /* Generated */ tempReal *= tempReal; /* Generated */ periodTotal2 += tempReal; /* Generated */ } /* Generated */ } /* Generated */ outIdx = 0; /* Generated */ do /* Generated */ { /* Generated */ tempReal = inReal[i++]; /* Generated */ periodTotal1 += tempReal; /* Generated */ tempReal *= tempReal; /* Generated */ periodTotal2 += tempReal; /* Generated */ meanValue1 = periodTotal1 / optInTimePeriod; /* Generated */ meanValue2 = periodTotal2 / optInTimePeriod; /* Generated */ tempReal = inReal[trailingIdx++]; /* Generated */ periodTotal1 -= tempReal; /* Generated */ tempReal *= tempReal; /* Generated */ periodTotal2 -= tempReal; /* Generated */ outReal[outIdx++] = meanValue2-meanValue1*meanValue1; /* Generated */ } while( i <= endIdx ); /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* 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 ****/