/* 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 * ------------------------------------------------------------------- * 031202 MF Template creation. * 052603 MF Port to managed C++. Change to use CIRCBUF macros. * 061704 MF Lower limit for period to 2, and correct algorithm * to avoid cummulative error when value are close to * the floating point epsilon. */ /**** 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::CciLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int cciLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_CCI_Lookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #endif /**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ /**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK /* Generated */ /* min/max are checked for optInTimePeriod. */ /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 14; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return -1; /* Generated */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/ /* insert lookback code here. */ return (optInTimePeriod-1); } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_CCI - Commodity Channel Index * * Input = High, Low, Close * Output = double * * Optional Parameters * ------------------- * optInTimePeriod:(From 2 to 100000) * Number of period * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::Cci( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inHigh, /* Generated */ SubArray^ inLow, /* Generated */ SubArray^ inClose, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Cci( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inHigh, /* Generated */ cli::array^ inLow, /* Generated */ cli::array^ inClose, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode cci( int startIdx, /* Generated */ int endIdx, /* Generated */ double inHigh[], /* Generated */ double inLow[], /* Generated */ double inClose[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_CCI( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inHigh[], /* Generated */ const double inLow[], /* Generated */ const double inClose[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ { /* insert local variable here */ double tempReal, tempReal2, theAverage, lastValue; int i, j, outIdx, lookbackTotal; /* This ptr will points on a circular buffer of * at least "optInTimePeriod" element. */ CIRCBUF_PROLOG(circBuffer,double,30); /**** 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) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #endif /* !defined(_JAVA)*/ /* Generated */ /* min/max are checked for optInTimePeriod. */ /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 14; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #if !defined(_JAVA) /* Generated */ if( !outReal ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ /* Generated */ #endif /* !defined(_JAVA) */ /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */ /* Generated */ /**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/ /* Insert TA function code here. */ /* Identify the minimum number of price bar needed * to calculate at least one output. */ lookbackTotal = (optInTimePeriod-1); /* Move up the start index if there is not * enough initial data. */ if( startIdx < lookbackTotal ) startIdx = lookbackTotal; /* Make sure there is still something to evaluate. */ if( startIdx > endIdx ) { VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); return ENUM_VALUE(RetCode,TA_SUCCESS,Success); } /* Allocate a circular buffer equal to the requested * period. */ CIRCBUF_INIT( circBuffer, double, optInTimePeriod ); /* Do the MA calculation using tight loops. */ /* Add-up the initial period, except for the last value. * Fill up the circular buffer at the same time. */ i=startIdx-lookbackTotal; if( optInTimePeriod > 1 ) { while( i < startIdx ) { circBuffer[circBuffer_Idx] = (inHigh[i]+inLow[i]+inClose[i])/3; i++; CIRCBUF_NEXT(circBuffer); } } /* Proceed with the calculation for the requested range. * Note that this algorithm allows the inReal and * outReal to be the same buffer. */ outIdx = 0; do { lastValue = (inHigh[i]+inLow[i]+inClose[i])/3; circBuffer[circBuffer_Idx] = lastValue; /* Calculate the average for the whole period. */ theAverage = 0; for( j=0; j < optInTimePeriod; j++ ) theAverage += circBuffer[j]; theAverage /= optInTimePeriod; /* Do the summation of the ABS(TypePrice-average) * for the whole period. */ tempReal2 = 0; for( j=0; j < optInTimePeriod; j++ ) tempReal2 += std_fabs(circBuffer[j]-theAverage); /* And finally, the CCI... */ tempReal = lastValue-theAverage; if( (tempReal != 0.0) && (tempReal2 != 0.0) ) { outReal[outIdx++] = tempReal/(0.015*(tempReal2/optInTimePeriod)); } else outReal[outIdx++] = 0.0; /* Move forward the circular buffer indexes. */ CIRCBUF_NEXT(circBuffer); i++; } while( i <= endIdx ); /* All done. Indicate the output limits and return. */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Free the circular buffer if it was dynamically allocated. */ CIRCBUF_DESTROY(circBuffer); 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::Cci( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inHigh, /* Generated */ cli::array^ inLow, /* Generated */ cli::array^ inClose, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode cci( int startIdx, /* Generated */ int endIdx, /* Generated */ float inHigh[], /* Generated */ float inLow[], /* Generated */ float inClose[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_CCI( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inHigh[], /* Generated */ const float inLow[], /* Generated */ const float inClose[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ double tempReal, tempReal2, theAverage, lastValue; /* Generated */ int i, j, outIdx, lookbackTotal; /* Generated */ CIRCBUF_PROLOG(circBuffer,double,30); /* 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) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 14; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #if !defined(_JAVA) /* Generated */ if( !outReal ) /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ #endif /* Generated */ lookbackTotal = (optInTimePeriod-1); /* Generated */ if( startIdx < lookbackTotal ) /* Generated */ startIdx = lookbackTotal; /* Generated */ if( startIdx > endIdx ) /* Generated */ { /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success); /* Generated */ } /* Generated */ CIRCBUF_INIT( circBuffer, double, optInTimePeriod ); /* Generated */ i=startIdx-lookbackTotal; /* Generated */ if( optInTimePeriod > 1 ) /* Generated */ { /* Generated */ while( i < startIdx ) /* Generated */ { /* Generated */ circBuffer[circBuffer_Idx] = (inHigh[i]+inLow[i]+inClose[i])/3; /* Generated */ i++; /* Generated */ CIRCBUF_NEXT(circBuffer); /* Generated */ } /* Generated */ } /* Generated */ outIdx = 0; /* Generated */ do /* Generated */ { /* Generated */ lastValue = (inHigh[i]+inLow[i]+inClose[i])/3; /* Generated */ circBuffer[circBuffer_Idx] = lastValue; /* Generated */ theAverage = 0; /* Generated */ for( j=0; j < optInTimePeriod; j++ ) /* Generated */ theAverage += circBuffer[j]; /* Generated */ theAverage /= optInTimePeriod; /* Generated */ tempReal2 = 0; /* Generated */ for( j=0; j < optInTimePeriod; j++ ) /* Generated */ tempReal2 += std_fabs(circBuffer[j]-theAverage); /* Generated */ tempReal = lastValue-theAverage; /* Generated */ if( (tempReal != 0.0) && (tempReal2 != 0.0) ) /* Generated */ { /* Generated */ outReal[outIdx++] = tempReal/(0.015*(tempReal2/optInTimePeriod)); /* Generated */ } /* Generated */ else /* Generated */ outReal[outIdx++] = 0.0; /* Generated */ CIRCBUF_NEXT(circBuffer); /* Generated */ i++; /* Generated */ } while( i <= endIdx ); /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx; /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx; /* Generated */ CIRCBUF_DESTROY(circBuffer); /* 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 ****/