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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
* PP Peter Pudaite
* CF Christo Fogelberg
*
* Change history:
*
* MMDDYY BY Description
* -------------------------------------------------------------------
* 120802 MF Template creation.
* 091503 PP Reworked TA_SAR to allow customisation of more SAR params.
* 092103 MF Some changes related on first round of tests
* 092303 PP Minor bug fixes.
* 122104 MF,CF Fix#1089506 for out-of-bound access to ep_temp.
*
*/
/* SAR_ROUNDING is just for test purpose when cross-referencing that
* function with example from Wilder's book. Wilder is using two
* decimal rounding for simplification. TA-Lib does not round.
*/
/* #define SAR_ROUNDING(x) x=round_pos_2(x) */
#define SAR_ROUNDING(x)
/**** 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::SarExtLookback( double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort ) /* From 0 to TA_REAL_MAX */
/* Generated */
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int sarExtLookback( double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort ) /* From 0 to TA_REAL_MAX */
/* Generated */
/* Generated */ #else
/* Generated */ TA_LIB_API int TA_SAREXT_Lookback( double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort ) /* From 0 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 */ if( optInStartValue == TA_REAL_DEFAULT )
/* Generated */ optInStartValue = 0.000000e+0;
/* Generated */ else if( (optInStartValue < -3.000000e+37) ||/* Generated */ (optInStartValue > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ if( optInOffsetOnReverse == TA_REAL_DEFAULT )
/* Generated */ optInOffsetOnReverse = 0.000000e+0;
/* Generated */ else if( (optInOffsetOnReverse < 0.000000e+0) ||/* Generated */ (optInOffsetOnReverse > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ if( optInAccelerationInitLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationInitLong = 2.000000e-2;
/* Generated */ else if( (optInAccelerationInitLong < 0.000000e+0) ||/* Generated */ (optInAccelerationInitLong > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ if( optInAccelerationLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationLong = 2.000000e-2;
/* Generated */ else if( (optInAccelerationLong < 0.000000e+0) ||/* Generated */ (optInAccelerationLong > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ if( optInAccelerationMaxLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationMaxLong = 2.000000e-1;
/* Generated */ else if( (optInAccelerationMaxLong < 0.000000e+0) ||/* Generated */ (optInAccelerationMaxLong > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ if( optInAccelerationInitShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationInitShort = 2.000000e-2;
/* Generated */ else if( (optInAccelerationInitShort < 0.000000e+0) ||/* Generated */ (optInAccelerationInitShort > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ if( optInAccelerationShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationShort = 2.000000e-2;
/* Generated */ else if( (optInAccelerationShort < 0.000000e+0) ||/* Generated */ (optInAccelerationShort > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ if( optInAccelerationMaxShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationMaxShort = 2.000000e-1;
/* Generated */ else if( (optInAccelerationMaxShort < 0.000000e+0) ||/* Generated */ (optInAccelerationMaxShort > 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(optInStartValue);
UNUSED_VARIABLE(optInOffsetOnReverse);
UNUSED_VARIABLE(optInAccelerationInitLong);
UNUSED_VARIABLE(optInAccelerationLong);
UNUSED_VARIABLE(optInAccelerationMaxLong);
UNUSED_VARIABLE(optInAccelerationInitShort);
UNUSED_VARIABLE(optInAccelerationShort);
UNUSED_VARIABLE(optInAccelerationMaxShort);
/* SAR always sacrifices one price bar to establish the
* initial extreme price.
*/
return 1;
}
/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
* TA_SAREXT - Parabolic SAR - Extended
*
* Input = High, Low
* Output = double
*
* Optional Parameters
* -------------------
* optInStartValue:(From TA_REAL_MIN to TA_REAL_MAX)
* Start value and direction. 0 for Auto, >0 for Long, <0 for Short
*
* optInOffsetOnReverse:(From 0 to TA_REAL_MAX)
* Percent offset added/removed to initial stop on short/long reversal
*
* optInAccelerationInitLong:(From 0 to TA_REAL_MAX)
* Acceleration Factor initial value for the Long direction
*
* optInAccelerationLong:(From 0 to TA_REAL_MAX)
* Acceleration Factor for the Long direction
*
* optInAccelerationMaxLong:(From 0 to TA_REAL_MAX)
* Acceleration Factor maximum value for the Long direction
*
* optInAccelerationInitShort:(From 0 to TA_REAL_MAX)
* Acceleration Factor initial value for the Short direction
*
* optInAccelerationShort:(From 0 to TA_REAL_MAX)
* Acceleration Factor for the Short direction
*
* optInAccelerationMaxShort:(From 0 to TA_REAL_MAX)
* Acceleration Factor maximum value for the Short direction
*
*
*/
/* Generated */
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::SarExt( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<double>^ inHigh,
/* Generated */ SubArray<double>^ inLow,
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::SarExt( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<double>^ inHigh,
/* Generated */ cli::array<double>^ inLow,
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode sarExt( int startIdx,
/* Generated */ int endIdx,
/* Generated */ double inHigh[],
/* Generated */ double inLow[],
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 to TA_REAL_MAX */
/* Generated */ MInteger outBegIdx,
/* Generated */ MInteger outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #else
/* Generated */ TA_LIB_API TA_RetCode TA_SAREXT( int startIdx,
/* Generated */ int endIdx,
/* Generated */ const double inHigh[],
/* Generated */ const double inLow[],
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 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 variable here */
ENUM_DECLARATION(RetCode) retCode;
int isLong; /* > 0 indicates long. == 0 indicates short */
int todayIdx, outIdx;
VALUE_HANDLE_INT(tempInt);
double newHigh, newLow, prevHigh, prevLow;
double afLong, afShort, ep, sar;
ARRAY_LOCAL(ep_temp,1);
/**** 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)
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ #endif /* !defined(_JAVA)*/
/* Generated */ if( optInStartValue == TA_REAL_DEFAULT )
/* Generated */ optInStartValue = 0.000000e+0;
/* Generated */ else if( (optInStartValue < -3.000000e+37) ||/* Generated */ (optInStartValue > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ if( optInOffsetOnReverse == TA_REAL_DEFAULT )
/* Generated */ optInOffsetOnReverse = 0.000000e+0;
/* Generated */ else if( (optInOffsetOnReverse < 0.000000e+0) ||/* Generated */ (optInOffsetOnReverse > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ if( optInAccelerationInitLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationInitLong = 2.000000e-2;
/* Generated */ else if( (optInAccelerationInitLong < 0.000000e+0) ||/* Generated */ (optInAccelerationInitLong > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ if( optInAccelerationLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationLong = 2.000000e-2;
/* Generated */ else if( (optInAccelerationLong < 0.000000e+0) ||/* Generated */ (optInAccelerationLong > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ if( optInAccelerationMaxLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationMaxLong = 2.000000e-1;
/* Generated */ else if( (optInAccelerationMaxLong < 0.000000e+0) ||/* Generated */ (optInAccelerationMaxLong > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ if( optInAccelerationInitShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationInitShort = 2.000000e-2;
/* Generated */ else if( (optInAccelerationInitShort < 0.000000e+0) ||/* Generated */ (optInAccelerationInitShort > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ if( optInAccelerationShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationShort = 2.000000e-2;
/* Generated */ else if( (optInAccelerationShort < 0.000000e+0) ||/* Generated */ (optInAccelerationShort > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */
/* Generated */ if( optInAccelerationMaxShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationMaxShort = 2.000000e-1;
/* Generated */ else if( (optInAccelerationMaxShort < 0.000000e+0) ||/* Generated */ (optInAccelerationMaxShort > 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. */
/* This function is the same as TA_SAR, except that the caller has
* greater control on the SAR dynamic and initial state.
*
* In additon, the TA_SAREXT returns negative values when the position
* is short. This allow to distinguish when the SAR do actually reverse.
*/
/* Implementation of the SAR has been a little bit open to interpretation
* since Wilder (the original author) did not define a precise algorithm
* on how to bootstrap the algorithm. Take any existing software application
* and you will see slight variation on how the algorithm was adapted.
*
* What is the initial trade direction? Long or short?
* ===================================================
* The interpretation of what should be the initial SAR values is
* open to interpretation, particularly since the caller to the function
* does not specify the initial direction of the trade.
*
* In TA-Lib, the following default logic is used:
* - Calculate +DM and -DM between the first and
* second bar. The highest directional indication will
* indicate the assumed direction of the trade for the second
* price bar.
* - In the case of a tie between +DM and -DM,
* the direction is LONG by default.
*
* What is the initial "extreme point" and thus SAR?
* =================================================
* The following shows how different people took different approach:
* - Metastock use the first price bar high/low depending of
* the direction. No SAR is calculated for the first price
* bar.
* - Tradestation use the closing price of the second bar. No
* SAR are calculated for the first price bar.
* - Wilder (the original author) use the SIP from the
* previous trade (cannot be implement here since the
* direction and length of the previous trade is unknonw).
* - The Magazine TASC seems to follow Wilder approach which
* is not practical here.
*
* TA-Lib "consume" the first price bar and use its high/low as the
* initial SAR of the second price bar. I found that approach to be
* the closest to Wilders idea of having the first entry day use
* the previous extreme point, except that here the extreme point is
* derived solely from the first price bar. I found the same approach
* to be used by Metastock.
*
*
* Can I force the initial SAR?
* ============================
* Yes. Using the optInStartValue_0 parameter:
* optInStartValue_0 > 0 : SAR is long at optInStartValue_0.
* optInStartValue_0 < 0 : SAR is short at fabs(optInStartValue_0).
*
* And when optInStartValue_0 == 0, the logic is the same as for TA_SAR
* (See previous two sections).
*/
/* Identify the minimum number of price bar needed
* to calculate at least one output.
*
* Move up the start index if there is not
* enough initial data.
*/
if( startIdx < 1 )
startIdx = 1;
/* 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);
}
/* Check if the acceleration factors are being defined by the user.
* Make sure the acceleration and maximum are coherent.
* If not, correct the acceleration.
* Default afLong = 0.02
* Default afShort = 0.02
*/
afLong = optInAccelerationInitLong;
afShort = optInAccelerationInitShort;
if( afLong > optInAccelerationMaxLong )
afLong = optInAccelerationInitLong = optInAccelerationMaxLong;
if( optInAccelerationLong > optInAccelerationMaxLong )
optInAccelerationLong = optInAccelerationMaxLong;
if( afShort > optInAccelerationMaxShort)
afShort = optInAccelerationInitShort = optInAccelerationMaxShort;
if( optInAccelerationShort > optInAccelerationMaxShort )
optInAccelerationShort = optInAccelerationMaxShort;
/* Initialise SAR calculations */
if(optInStartValue == 0) /* Default action */
{
/* Identify if the initial direction is long or short.
* (ep is just used as a temp buffer here, the name
* of the parameter is not significant).
*/
retCode = FUNCTION_CALL(MINUS_DM)( startIdx, startIdx, inHigh, inLow, 1,
VALUE_HANDLE_OUT(tempInt), VALUE_HANDLE_OUT(tempInt),
ep_temp );
if( ep_temp[0] > 0 )
isLong = 0;
else
isLong = 1;
if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
{
VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
return retCode;
}
}
else if( optInStartValue > 0 ) /* Start Long */
{
isLong = 1;
}
else /* optInStartValue_0 < 0 => Start Short */
{
isLong = 0;
}
VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
outIdx = 0;
/* Write the first SAR. */
todayIdx = startIdx;
newHigh = inHigh[todayIdx-1];
newLow = inLow[todayIdx-1];
SAR_ROUNDING(newHigh);
SAR_ROUNDING(newLow);
if(optInStartValue == 0) /* Default action */
{
if( isLong == 1 )
{
ep = inHigh[todayIdx];
sar = newLow;
}
else
{
ep = inLow[todayIdx];
sar = newHigh;
}
}
else if ( optInStartValue > 0 ) /* Start Long at specified value. */
{
ep = inHigh[todayIdx];
sar = optInStartValue;
}
else /* if optInStartValue < 0 => Start Short at specified value. */
{
ep = inLow[todayIdx];
sar = std_fabs(optInStartValue);
}
SAR_ROUNDING(sar);
/* Cheat on the newLow and newHigh for the
* first iteration.
*/
newLow = inLow[todayIdx];
newHigh = inHigh[todayIdx];
while( todayIdx <= endIdx )
{
prevLow = newLow;
prevHigh = newHigh;
newLow = inLow[todayIdx];
newHigh = inHigh[todayIdx];
todayIdx++;
SAR_ROUNDING(newLow);
SAR_ROUNDING(newHigh);
if( isLong == 1 )
{
/* Switch to short if the low penetrates the SAR value. */
if( newLow <= sar )
{
/* Switch and Overide the SAR with the ep */
isLong = 0;
sar = ep;
/* Make sure the overide SAR is within
* yesterday's and today's range.
*/
if( sar < prevHigh )
sar = prevHigh;
if( sar < newHigh )
sar = newHigh;
/* Output the overide SAR */
if( optInOffsetOnReverse != 0.0 )
sar += sar * optInOffsetOnReverse;
outReal[outIdx++] = -sar;
/* Adjust afShort and ep */
afShort = optInAccelerationInitShort;
ep = newLow;
/* Calculate the new SAR */
sar = sar + afShort * (ep - sar);
SAR_ROUNDING( sar );
/* Make sure the new SAR is within
* yesterday's and today's range.
*/
if( sar < prevHigh )
sar = prevHigh;
if( sar < newHigh )
sar = newHigh;
}
else
{
/* No switch */
/* Output the SAR (was calculated in the previous iteration) */
outReal[outIdx++] = sar;
/* Adjust afLong and ep. */
if( newHigh > ep )
{
ep = newHigh;
afLong += optInAccelerationLong;
if( afLong > optInAccelerationMaxLong )
afLong = optInAccelerationMaxLong;
}
/* Calculate the new SAR */
sar = sar + afLong * (ep - sar);
SAR_ROUNDING( sar );
/* Make sure the new SAR is within
* yesterday's and today's range.
*/
if( sar > prevLow )
sar = prevLow;
if( sar > newLow )
sar = newLow;
}
}
else
{
/* Switch to long if the high penetrates the SAR value. */
if( newHigh >= sar )
{
/* Switch and Overide the SAR with the ep */
isLong = 1;
sar = ep;
/* Make sure the overide SAR is within
* yesterday's and today's range.
*/
if( sar > prevLow )
sar = prevLow;
if( sar > newLow )
sar = newLow;
/* Output the overide SAR */
if( optInOffsetOnReverse != 0.0 )
sar -= sar * optInOffsetOnReverse;
outReal[outIdx++] = sar;
/* Adjust afLong and ep */
afLong = optInAccelerationInitLong;
ep = newHigh;
/* Calculate the new SAR */
sar = sar + afLong * (ep - sar);
SAR_ROUNDING( sar );
/* Make sure the new SAR is within
* yesterday's and today's range.
*/
if( sar > prevLow )
sar = prevLow;
if( sar > newLow )
sar = newLow;
}
else
{
/* No switch */
/* Output the SAR (was calculated in the previous iteration) */
outReal[outIdx++] = -sar;
/* Adjust afShort and ep. */
if( newLow < ep )
{
ep = newLow;
afShort += optInAccelerationShort;
if( afShort > optInAccelerationMaxShort )
afShort = optInAccelerationMaxShort;
}
/* Calculate the new SAR */
sar = sar + afShort * (ep - sar);
SAR_ROUNDING( sar );
/* Make sure the new SAR is within
* yesterday's and today's range.
*/
if( sar < prevHigh )
sar = prevHigh;
if( sar < newHigh )
sar = newHigh;
}
}
}
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::SarExt( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<float>^ inHigh,
/* Generated */ SubArray<float>^ inLow,
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::SarExt( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<float>^ inHigh,
/* Generated */ cli::array<float>^ inLow,
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode sarExt( int startIdx,
/* Generated */ int endIdx,
/* Generated */ float inHigh[],
/* Generated */ float inLow[],
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 to TA_REAL_MAX */
/* Generated */ MInteger outBegIdx,
/* Generated */ MInteger outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_S_SAREXT( int startIdx,
/* Generated */ int endIdx,
/* Generated */ const float inHigh[],
/* Generated */ const float inLow[],
/* Generated */ double optInStartValue, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ double optInOffsetOnReverse, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxLong, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationInitShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationShort, /* From 0 to TA_REAL_MAX */
/* Generated */ double optInAccelerationMaxShort, /* From 0 to TA_REAL_MAX */
/* Generated */ int *outBegIdx,
/* Generated */ int *outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #endif
/* Generated */ {
/* Generated */ ENUM_DECLARATION(RetCode) retCode;
/* Generated */ int isLong;
/* Generated */ int todayIdx, outIdx;
/* Generated */ VALUE_HANDLE_INT(tempInt);
/* Generated */ double newHigh, newLow, prevHigh, prevLow;
/* Generated */ double afLong, afShort, ep, sar;
/* Generated */ ARRAY_LOCAL(ep_temp,1);
/* 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)
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ #endif
/* Generated */ if( optInStartValue == TA_REAL_DEFAULT )
/* Generated */ optInStartValue = 0.000000e+0;
/* Generated */ else if( (optInStartValue < -3.000000e+37) || (optInStartValue > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( optInOffsetOnReverse == TA_REAL_DEFAULT )
/* Generated */ optInOffsetOnReverse = 0.000000e+0;
/* Generated */ else if( (optInOffsetOnReverse < 0.000000e+0) || (optInOffsetOnReverse > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( optInAccelerationInitLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationInitLong = 2.000000e-2;
/* Generated */ else if( (optInAccelerationInitLong < 0.000000e+0) || (optInAccelerationInitLong > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( optInAccelerationLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationLong = 2.000000e-2;
/* Generated */ else if( (optInAccelerationLong < 0.000000e+0) || (optInAccelerationLong > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( optInAccelerationMaxLong == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationMaxLong = 2.000000e-1;
/* Generated */ else if( (optInAccelerationMaxLong < 0.000000e+0) || (optInAccelerationMaxLong > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( optInAccelerationInitShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationInitShort = 2.000000e-2;
/* Generated */ else if( (optInAccelerationInitShort < 0.000000e+0) || (optInAccelerationInitShort > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( optInAccelerationShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationShort = 2.000000e-2;
/* Generated */ else if( (optInAccelerationShort < 0.000000e+0) || (optInAccelerationShort > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ if( optInAccelerationMaxShort == TA_REAL_DEFAULT )
/* Generated */ optInAccelerationMaxShort = 2.000000e-1;
/* Generated */ else if( (optInAccelerationMaxShort < 0.000000e+0) || (optInAccelerationMaxShort > 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 */ if( startIdx < 1 )
/* Generated */ startIdx = 1;
/* 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 */ afLong = optInAccelerationInitLong;
/* Generated */ afShort = optInAccelerationInitShort;
/* Generated */ if( afLong > optInAccelerationMaxLong )
/* Generated */ afLong = optInAccelerationInitLong = optInAccelerationMaxLong;
/* Generated */ if( optInAccelerationLong > optInAccelerationMaxLong )
/* Generated */ optInAccelerationLong = optInAccelerationMaxLong;
/* Generated */ if( afShort > optInAccelerationMaxShort)
/* Generated */ afShort = optInAccelerationInitShort = optInAccelerationMaxShort;
/* Generated */ if( optInAccelerationShort > optInAccelerationMaxShort )
/* Generated */ optInAccelerationShort = optInAccelerationMaxShort;
/* Generated */ if(optInStartValue == 0)
/* Generated */ {
/* Generated */ retCode = FUNCTION_CALL(MINUS_DM)( startIdx, startIdx, inHigh, inLow, 1,
/* Generated */ VALUE_HANDLE_OUT(tempInt), VALUE_HANDLE_OUT(tempInt),
/* Generated */ ep_temp );
/* Generated */ if( ep_temp[0] > 0 )
/* Generated */ isLong = 0;
/* Generated */ else
/* Generated */ isLong = 1;
/* Generated */ if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
/* Generated */ {
/* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
/* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
/* Generated */ return retCode;
/* Generated */ }
/* Generated */ }
/* Generated */ else if( optInStartValue > 0 )
/* Generated */ {
/* Generated */ isLong = 1;
/* Generated */ }
/* Generated */ else
/* Generated */ {
/* Generated */ isLong = 0;
/* Generated */ }
/* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
/* Generated */ outIdx = 0;
/* Generated */ todayIdx = startIdx;
/* Generated */ newHigh = inHigh[todayIdx-1];
/* Generated */ newLow = inLow[todayIdx-1];
/* Generated */ SAR_ROUNDING(newHigh);
/* Generated */ SAR_ROUNDING(newLow);
/* Generated */ if(optInStartValue == 0)
/* Generated */ {
/* Generated */ if( isLong == 1 )
/* Generated */ {
/* Generated */ ep = inHigh[todayIdx];
/* Generated */ sar = newLow;
/* Generated */ }
/* Generated */ else
/* Generated */ {
/* Generated */ ep = inLow[todayIdx];
/* Generated */ sar = newHigh;
/* Generated */ }
/* Generated */ }
/* Generated */ else if ( optInStartValue > 0 )
/* Generated */ {
/* Generated */ ep = inHigh[todayIdx];
/* Generated */ sar = optInStartValue;
/* Generated */ }
/* Generated */ else
/* Generated */ {
/* Generated */ ep = inLow[todayIdx];
/* Generated */ sar = std_fabs(optInStartValue);
/* Generated */ }
/* Generated */ SAR_ROUNDING(sar);
/* Generated */ newLow = inLow[todayIdx];
/* Generated */ newHigh = inHigh[todayIdx];
/* Generated */ while( todayIdx <= endIdx )
/* Generated */ {
/* Generated */ prevLow = newLow;
/* Generated */ prevHigh = newHigh;
/* Generated */ newLow = inLow[todayIdx];
/* Generated */ newHigh = inHigh[todayIdx];
/* Generated */ todayIdx++;
/* Generated */ SAR_ROUNDING(newLow);
/* Generated */ SAR_ROUNDING(newHigh);
/* Generated */ if( isLong == 1 )
/* Generated */ {
/* Generated */ if( newLow <= sar )
/* Generated */ {
/* Generated */ isLong = 0;
/* Generated */ sar = ep;
/* Generated */ if( sar < prevHigh )
/* Generated */ sar = prevHigh;
/* Generated */ if( sar < newHigh )
/* Generated */ sar = newHigh;
/* Generated */ if( optInOffsetOnReverse != 0.0 )
/* Generated */ sar += sar * optInOffsetOnReverse;
/* Generated */ outReal[outIdx++] = -sar;
/* Generated */ afShort = optInAccelerationInitShort;
/* Generated */ ep = newLow;
/* Generated */ sar = sar + afShort * (ep - sar);
/* Generated */ SAR_ROUNDING( sar );
/* Generated */ if( sar < prevHigh )
/* Generated */ sar = prevHigh;
/* Generated */ if( sar < newHigh )
/* Generated */ sar = newHigh;
/* Generated */ }
/* Generated */ else
/* Generated */ {
/* Generated */ outReal[outIdx++] = sar;
/* Generated */ if( newHigh > ep )
/* Generated */ {
/* Generated */ ep = newHigh;
/* Generated */ afLong += optInAccelerationLong;
/* Generated */ if( afLong > optInAccelerationMaxLong )
/* Generated */ afLong = optInAccelerationMaxLong;
/* Generated */ }
/* Generated */ sar = sar + afLong * (ep - sar);
/* Generated */ SAR_ROUNDING( sar );
/* Generated */ if( sar > prevLow )
/* Generated */ sar = prevLow;
/* Generated */ if( sar > newLow )
/* Generated */ sar = newLow;
/* Generated */ }
/* Generated */ }
/* Generated */ else
/* Generated */ {
/* Generated */ if( newHigh >= sar )
/* Generated */ {
/* Generated */ isLong = 1;
/* Generated */ sar = ep;
/* Generated */ if( sar > prevLow )
/* Generated */ sar = prevLow;
/* Generated */ if( sar > newLow )
/* Generated */ sar = newLow;
/* Generated */ if( optInOffsetOnReverse != 0.0 )
/* Generated */ sar -= sar * optInOffsetOnReverse;
/* Generated */ outReal[outIdx++] = sar;
/* Generated */ afLong = optInAccelerationInitLong;
/* Generated */ ep = newHigh;
/* Generated */ sar = sar + afLong * (ep - sar);
/* Generated */ SAR_ROUNDING( sar );
/* Generated */ if( sar > prevLow )
/* Generated */ sar = prevLow;
/* Generated */ if( sar > newLow )
/* Generated */ sar = newLow;
/* Generated */ }
/* Generated */ else
/* Generated */ {
/* Generated */ outReal[outIdx++] = -sar;
/* Generated */ if( newLow < ep )
/* Generated */ {
/* Generated */ ep = newLow;
/* Generated */ afShort += optInAccelerationShort;
/* Generated */ if( afShort > optInAccelerationMaxShort )
/* Generated */ afShort = optInAccelerationMaxShort;
/* Generated */ }
/* Generated */ sar = sar + afShort * (ep - sar);
/* Generated */ SAR_ROUNDING( sar );
/* Generated */ if( sar < prevHigh )
/* Generated */ sar = prevHigh;
/* Generated */ if( sar < newHigh )
/* Generated */ sar = newHigh;
/* Generated */ }
/* Generated */ }
/* 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 ****/