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/* TA-LIB Copyright (c) 1999-2008, 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
* -------------------------------------------------------------------
* 120802 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 <string.h>
/* Generated */ #include <math.h>
/* 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::AdOscLookback( int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod ) /* From 2 to 100000 */
/* Generated */
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int adOscLookback( int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod ) /* From 2 to 100000 */
/* Generated */
/* Generated */ #else
/* Generated */ TA_LIB_API int TA_ADOSC_Lookback( int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod ) /* From 2 to 100000 */
/* Generated */
/* Generated */ #endif
/**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
{
/* insert local variable here */
int slowestPeriod;
/**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
/* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
/* Generated */ /* min/max are checked for optInFastPeriod. */
/* Generated */ if( (int)optInFastPeriod == TA_INTEGER_DEFAULT )
/* Generated */ optInFastPeriod = 3;
/* Generated */ else if( ((int)optInFastPeriod < 2) || ((int)optInFastPeriod > 100000) )
/* Generated */ return -1;
/* Generated */
/* Generated */ /* min/max are checked for optInSlowPeriod. */
/* Generated */ if( (int)optInSlowPeriod == TA_INTEGER_DEFAULT )
/* Generated */ optInSlowPeriod = 10;
/* Generated */ else if( ((int)optInSlowPeriod < 2) || ((int)optInSlowPeriod > 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. */
/* Use the slowest EMA period to evaluate the total lookback. */
if( optInFastPeriod < optInSlowPeriod )
slowestPeriod = optInSlowPeriod;
else
slowestPeriod = optInFastPeriod;
/* Adjust startIdx to account for the lookback period. */
return LOOKBACK_CALL(EMA)( slowestPeriod );
}
/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
* TA_ADOSC - Chaikin A/D Oscillator
*
* Input = High, Low, Close, Volume
* Output = double
*
* Optional Parameters
* -------------------
* optInFastPeriod:(From 2 to 100000)
* Number of period for the fast MA
*
* optInSlowPeriod:(From 2 to 100000)
* Number of period for the slow MA
*
*
*/
/* Generated */
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::AdOsc( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<double>^ inHigh,
/* Generated */ SubArray<double>^ inLow,
/* Generated */ SubArray<double>^ inClose,
/* Generated */ SubArray<double>^ inVolume,
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::AdOsc( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<double>^ inHigh,
/* Generated */ cli::array<double>^ inLow,
/* Generated */ cli::array<double>^ inClose,
/* Generated */ cli::array<double>^ inVolume,
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode adOsc( int startIdx,
/* Generated */ int endIdx,
/* Generated */ double inHigh[],
/* Generated */ double inLow[],
/* Generated */ double inClose[],
/* Generated */ double inVolume[],
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* From 2 to 100000 */
/* Generated */ MInteger outBegIdx,
/* Generated */ MInteger outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #else
/* Generated */ TA_LIB_API TA_RetCode TA_ADOSC( int startIdx,
/* Generated */ int endIdx,
/* Generated */ const double inHigh[],
/* Generated */ const double inLow[],
/* Generated */ const double inClose[],
/* Generated */ const double inVolume[],
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* 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 variable here */
int today, outIdx, lookbackTotal;
int slowestPeriod;
double high, low, close, tmp;
double slowEMA, slowk, one_minus_slowk;
double fastEMA, fastk, one_minus_fastk;
double ad;
/**** 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 */ /* Verify required price component. */
/* Generated */ if(!inHigh||!inLow||!inClose||!inVolume)
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ #endif /* !defined(_JAVA)*/
/* Generated */ /* min/max are checked for optInFastPeriod. */
/* Generated */ if( (int)optInFastPeriod == TA_INTEGER_DEFAULT )
/* Generated */ optInFastPeriod = 3;
/* Generated */ else if( ((int)optInFastPeriod < 2) || ((int)optInFastPeriod > 100000) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ /* min/max are checked for optInSlowPeriod. */
/* Generated */ if( (int)optInSlowPeriod == TA_INTEGER_DEFAULT )
/* Generated */ optInSlowPeriod = 10;
/* Generated */ else if( ((int)optInSlowPeriod < 2) || ((int)optInSlowPeriod > 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. */
/* Implementation Note:
* The fastEMA varaible is not neceseraly the
* fastest EMA.
* In the same way, slowEMA is not neceseraly the
* slowest EMA.
*
* The ADOSC is always the (fastEMA - slowEMA) regardless
* of the period specified. In other word:
*
* ADOSC(3,10) = EMA(3,AD) - EMA(10,AD)
*
* while
*
* ADOSC(10,3) = EMA(10,AD)- EMA(3,AD)
*
* In the first case the EMA(3) is truly a faster EMA,
* while in the second case, the EMA(10) is still call
* fastEMA in the algorithm, even if it is in fact slower.
*
* This gives more flexibility to the user if they want to
* experiment with unusual parameter settings.
*/
/* Identify the slowest period.
* This infomration is used soleley to bootstrap
* the algorithm (skip the lookback period).
*/
if( optInFastPeriod < optInSlowPeriod )
slowestPeriod = optInSlowPeriod;
else
slowestPeriod = optInFastPeriod;
/* Adjust startIdx to account for the lookback period. */
lookbackTotal = LOOKBACK_CALL(EMA)( slowestPeriod );
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);
}
VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
today = startIdx-lookbackTotal;
/* The following variables and macro are used to
* calculate the "ad".
*/
ad = 0.0;
#define CALCULATE_AD \
{ \
high = inHigh[today]; \
low = inLow[today]; \
tmp = high-low; \
close = inClose[today]; \
if( tmp > 0.0 ) \
ad += (((close-low)-(high-close))/tmp)*((double)inVolume[today]); \
today++; \
}
/* Constants for EMA */
fastk = PER_TO_K( optInFastPeriod );
one_minus_fastk = 1.0 - fastk;
slowk = PER_TO_K( optInSlowPeriod );
one_minus_slowk = 1.0 - slowk;
/* Initialize the two EMA
*
* Use the same range of initialization inputs for
* both EMA and simply seed with the first A/D value.
*
* Note: Metastock do the same.
*/
CALCULATE_AD;
fastEMA = ad;
slowEMA = ad;
/* Initialize the EMA and skip the unstable period. */
while( today < startIdx )
{
CALCULATE_AD;
fastEMA = (fastk*ad)+(one_minus_fastk*fastEMA);
slowEMA = (slowk*ad)+(one_minus_slowk*slowEMA);
}
/* Perform the calculation for the requested range */
outIdx = 0;
while( today <= endIdx )
{
CALCULATE_AD;
fastEMA = (fastk*ad)+(one_minus_fastk*fastEMA);
slowEMA = (slowk*ad)+(one_minus_slowk*slowEMA);
outReal[outIdx++] = fastEMA - slowEMA;
}
VALUE_HANDLE_DEREF(outNBElement) = outIdx;
return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
}
/**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
/* Generated */
/* Generated */ #define USE_SINGLE_PRECISION_INPUT
/* Generated */ #undef TA_LIB_PRO
/* 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 ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::AdOsc( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<float>^ inHigh,
/* Generated */ SubArray<float>^ inLow,
/* Generated */ SubArray<float>^ inClose,
/* Generated */ SubArray<float>^ inVolume,
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::AdOsc( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<float>^ inHigh,
/* Generated */ cli::array<float>^ inLow,
/* Generated */ cli::array<float>^ inClose,
/* Generated */ cli::array<float>^ inVolume,
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode adOsc( int startIdx,
/* Generated */ int endIdx,
/* Generated */ float inHigh[],
/* Generated */ float inLow[],
/* Generated */ float inClose[],
/* Generated */ float inVolume[],
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* From 2 to 100000 */
/* Generated */ MInteger outBegIdx,
/* Generated */ MInteger outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_S_ADOSC( int startIdx,
/* Generated */ int endIdx,
/* Generated */ const float inHigh[],
/* Generated */ const float inLow[],
/* Generated */ const float inClose[],
/* Generated */ const float inVolume[],
/* Generated */ int optInFastPeriod, /* From 2 to 100000 */
/* Generated */ int optInSlowPeriod, /* From 2 to 100000 */
/* Generated */ int *outBegIdx,
/* Generated */ int *outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #endif
/* Generated */ {
/* Generated */ int today, outIdx, lookbackTotal;
/* Generated */ int slowestPeriod;
/* Generated */ double high, low, close, tmp;
/* Generated */ double slowEMA, slowk, one_minus_slowk;
/* Generated */ double fastEMA, fastk, one_minus_fastk;
/* Generated */ double ad;
/* 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(!inHigh||!inLow||!inClose||!inVolume)
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ #endif
/* Generated */ if( (int)optInFastPeriod == TA_INTEGER_DEFAULT )
/* Generated */ optInFastPeriod = 3;
/* Generated */ else if( ((int)optInFastPeriod < 2) || ((int)optInFastPeriod > 100000) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( (int)optInSlowPeriod == TA_INTEGER_DEFAULT )
/* Generated */ optInSlowPeriod = 10;
/* Generated */ else if( ((int)optInSlowPeriod < 2) || ((int)optInSlowPeriod > 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 */ if( optInFastPeriod < optInSlowPeriod )
/* Generated */ slowestPeriod = optInSlowPeriod;
/* Generated */ else
/* Generated */ slowestPeriod = optInFastPeriod;
/* Generated */ lookbackTotal = LOOKBACK_CALL(EMA)( slowestPeriod );
/* 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 */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
/* Generated */ today = startIdx-lookbackTotal;
/* Generated */ ad = 0.0;
/* Generated */ #define CALCULATE_AD \
/* Generated */ { \
/* Generated */ high = inHigh[today]; \
/* Generated */ low = inLow[today]; \
/* Generated */ tmp = high-low; \
/* Generated */ close = inClose[today]; \
/* Generated */ if( tmp > 0.0 ) \
/* Generated */ ad += (((close-low)-(high-close))/tmp)*((double)inVolume[today]); \
/* Generated */ today++; \
/* Generated */ }
/* Generated */ fastk = PER_TO_K( optInFastPeriod );
/* Generated */ one_minus_fastk = 1.0 - fastk;
/* Generated */ slowk = PER_TO_K( optInSlowPeriod );
/* Generated */ one_minus_slowk = 1.0 - slowk;
/* Generated */ CALCULATE_AD;
/* Generated */ fastEMA = ad;
/* Generated */ slowEMA = ad;
/* Generated */ while( today < startIdx )
/* Generated */ {
/* Generated */ CALCULATE_AD;
/* Generated */ fastEMA = (fastk*ad)+(one_minus_fastk*fastEMA);
/* Generated */ slowEMA = (slowk*ad)+(one_minus_slowk*slowEMA);
/* Generated */ }
/* Generated */ outIdx = 0;
/* Generated */ while( today <= endIdx )
/* Generated */ {
/* Generated */ CALCULATE_AD;
/* Generated */ fastEMA = (fastk*ad)+(one_minus_fastk*fastEMA);
/* Generated */ slowEMA = (slowk*ad)+(one_minus_slowk*slowEMA);
/* Generated */ outReal[outIdx++] = fastEMA - slowEMA;
/* Generated */ }
/* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx;
/* 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 ****/