/* 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 * ------------------------------------------------------------------- * 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 /* 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::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 */ 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^ inHigh, /* Generated */ SubArray^ inLow, /* Generated */ SubArray^ inClose, /* Generated */ SubArray^ 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^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::AdOsc( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inHigh, /* Generated */ cli::array^ inLow, /* Generated */ cli::array^ inClose, /* Generated */ cli::array^ 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^ 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_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 */ #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::AdOsc( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inHigh, /* Generated */ cli::array^ inLow, /* Generated */ cli::array^ inClose, /* Generated */ cli::array^ 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^ 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 ****/