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