/* 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 * ------------------------------------------------------------------- * 112400 MF Template creation. * 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::WmaLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int wmaLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_WMA_Lookback( int optInTimePeriod ) /* From 2 to 100000 */ /* 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 = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* insert lookback code here. */ return optInTimePeriod - 1; } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_WMA - Weighted Moving Average * * Input = double * Output = double * * Optional Parameters * ------------------- * optInTimePeriod:(From 2 to 100000) * Number of period * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::Wma( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Wma( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode wma( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_WMA( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { /* Insert local variables here. */ int inIdx, outIdx, i, trailingIdx, divider; double periodSum, periodSub, tempReal, trailingValue; int lookbackTotal; /**** 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 = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* 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. */ lookbackTotal = optInTimePeriod-1; /* 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); } /* To make the rest more efficient, handle exception * case where the user is asking for a period of '1'. * In that case outputs equals inputs for the requested * range. */ if( optInTimePeriod == 1 ) { VALUE_HANDLE_DEREF(outBegIdx) = startIdx; VALUE_HANDLE_DEREF(outNBElement) = endIdx-startIdx+1; #if defined( USE_SUBARRAY ) && !defined( USE_SINGLE_PRECISION_INPUT ) ARRAY_MEMMOVE( outReal, 0, (inReal->mDataArray), (inReal->mOffset)+startIdx, (int)VALUE_HANDLE_DEREF(outNBElement) ); #else ARRAY_MEMMOVE( outReal, 0, inReal, startIdx, (int)VALUE_HANDLE_DEREF(outNBElement) ); #endif return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /* Calculate the divider (always an integer value). * By induction: 1+2+3+4+'n' = n(n+1)/2 * '>>1' is usually faster than '/2' for unsigned. */ divider = (optInTimePeriod*(optInTimePeriod+1))>>1; /* The algo used here use a very basic property of * multiplication/addition: (x*2) = x+x * * As an example, a 3 period weighted can be * interpreted in two way: * (x1*1)+(x2*2)+(x3*3) * OR * x1+x2+x2+x3+x3+x3 (this is the periodSum) * * When you move forward in the time serie * you can quickly adjust the periodSum for the * period by substracting: * x1+x2+x3 (This is the periodSub) * Making the new periodSum equals to: * x2+x3+x3 * * You can then add the new price bar * which is x4+x4+x4 giving: * x2+x3+x3+x4+x4+x4 * * At this point one iteration is completed and you can * see that we are back to the step 1 of this example. * * Why making it so un-intuitive? The number of memory * access and floating point operations are kept to a * minimum with this algo. */ outIdx = 0; trailingIdx = startIdx - lookbackTotal; /* Evaluate the initial periodSum/periodSub and trailingValue. */ periodSum = periodSub = (double)0.0; inIdx=trailingIdx; i = 1; while( inIdx < startIdx ) { tempReal = inReal[inIdx++]; periodSub += tempReal; periodSum += tempReal*i; i++; } trailingValue = 0.0; /* Tight loop for the requested range. */ while( inIdx <= endIdx ) { /* Add the current price bar to the sum * who are carried through the iterations. */ tempReal = inReal[inIdx++]; periodSub += tempReal; periodSub -= trailingValue; periodSum += tempReal*optInTimePeriod; /* Save the trailing value for being substract at * the next iteration. * (must be saved here just in case outReal and * inReal are the same buffer). */ trailingValue = inReal[trailingIdx++]; /* Calculate the WMA for this price bar. */ outReal[outIdx++] = periodSum / divider; /* Prepare the periodSum for the next iteration. */ periodSum -= periodSub; } /* Set output limits. */ 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::Wma( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode wma( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_WMA( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ int inIdx, outIdx, i, trailingIdx, divider; /* Generated */ double periodSum, periodSub, tempReal, trailingValue; /* Generated */ int lookbackTotal; /* 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 = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* 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 */ lookbackTotal = optInTimePeriod-1; /* 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( optInTimePeriod == 1 ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = endIdx-startIdx+1; /* Generated */ #if defined( USE_SUBARRAY ) && !defined( USE_SINGLE_PRECISION_INPUT ) /* Generated */ ARRAY_MEMMOVE( outReal, 0, (inReal->mDataArray), (inReal->mOffset)+startIdx, (int)VALUE_HANDLE_DEREF(outNBElement) ); /* Generated */ #else /* Generated */ ARRAY_MEMMOVE( outReal, 0, inReal, startIdx, (int)VALUE_HANDLE_DEREF(outNBElement) ); /* Generated */ #endif /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ divider = (optInTimePeriod*(optInTimePeriod+1))>>1; /* Generated */ outIdx = 0; /* Generated */ trailingIdx = startIdx - lookbackTotal; /* Generated */ periodSum = periodSub = (double)0.0; /* Generated */ inIdx=trailingIdx; /* Generated */ i = 1; /* Generated */ while( inIdx < startIdx ) /* Generated */ { /* Generated */ tempReal = inReal[inIdx++]; /* Generated */ periodSub += tempReal; /* Generated */ periodSum += tempReal*i; /* Generated */ i++; /* Generated */ } /* Generated */ trailingValue = 0.0; /* Generated */ while( inIdx <= endIdx ) /* Generated */ { /* Generated */ tempReal = inReal[inIdx++]; /* Generated */ periodSub += tempReal; /* Generated */ periodSub -= trailingValue; /* Generated */ periodSum += tempReal*optInTimePeriod; /* Generated */ trailingValue = inReal[trailingIdx++]; /* Generated */ outReal[outIdx++] = periodSum / divider; /* Generated */ periodSum -= periodSub; /* Generated */ } /* 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 ****/