TALib wrapper #51
Comments
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A Node wrapper can be found at https://github.com/oransel/node-talib |
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This package is currently pure Julia code, but I see no problem creating a new one that does wrap TALib. If you'd like to start on it we can add it to the JuliaQuant organization as TALib.jl. |
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I don't feel very confortable with calling C code from Julia. I'm using Mac OS X and installed TALib through Do you have some experience about calling C code from Julia and could you help on this ? |
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Yeah, it's a lot easier than you think. The language is designed to accept calls to C and Fortran libraries so wrapping isn't a snarly mess like in other languages. One suggestion is to look over some other Julia libraries that wrap C code. |
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I've found an example here https://github.com/aviks/PiGPIO.jl/blob/master/src/PiGPIO.jl |
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Sweet! Yeah @aviks knows the code, solid reference to start |
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Maybe we could first try to do in Julia same than in Python: import talib
import numpy as np
talib.SIN(np.array([0.0, np.pi/2, np.pi, 3*np.pi/2]))which output array([ 0.00000000e+00, 1.00000000e+00, 1.22464680e-16,
-1.00000000e+00])with Julia sin([0.0, pi/2, pi, 3pi/2])should be (approximately) same as TA_SIN([0.0, pi/2, pi, 3pi/2])Unfortunately, in |
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I try this: julia> SIN(a) = ccall( (:SIN, "/usr/local/lib/libta_lib.0.0.0.dylib"), Int32, (Cfloat,), a)
SIN (generic function with 1 method)
julia> SIN(0.0)
ERROR: ccall: could not find function SIN in library /usr/local/lib/libta_lib.0.0.0.dylib
in SIN at none:1so function is not named I did (according http://stackoverflow.com/questions/4506121/how-to-print-a-list-of-symbols-exported-from-a-dynamic-library ) and get So function seems to be named I did I also try: Not sure a segfault is great! Any idea ? |
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Here is how TA_RetCode TA_SIN( int startIdx,
int endIdx,
const double inReal[],
int *outBegIdx,
int *outNBElement,
double outReal[] )See |
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Good news... julia> _TA_COS(startIdx, endIdx, inReal, outBegIdx, outNBElement, outReal) = ccall( (:TA_COS, "/usr/local/lib/libta_lib.0.0.0.dylib"), Cint, (Cint, Cint, Ptr{Cdouble}, Ptr{Cint}, Ptr{Cint}, Ptr{Cdouble}), startIdx, endIdx, inReal, outBegIdx, outNBElement, outReal)
_TA_COS (generic function with 1 method)
julia> startIdx = 0
0
julia> inReal = [0.0, pi/2, pi, 3pi/2, 0.0, pi/2, pi, 3pi/2]
8-element Array{Float64,1}:
0.0
1.5708
3.14159
4.71239
0.0
1.5708
3.14159
4.71239
julia> endIdx = length(inReal) - 1
7
julia> outBegIdx = Ref{Cint}(0)
Base.RefValue{Int32}(0)
julia> outNBElement = Ref{Cint}(0)
Base.RefValue{Int32}(0)
julia> outReal = zeros(length(inReal))
8-element Array{Float64,1}:
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
julia> _TA_COS(startIdx, endIdx, inReal, outBegIdx, outNBElement, outReal)
0
julia> println(outReal)
[1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16,1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16]
julia> function TA_COS(inReal::Array{Float64,1})
N = length(inReal)
outReal = zeros(N)
retCode = _TA_COS(0, N - 1, inReal, Ref{Cint}(0), Ref{Cint}(0), outReal)
if retCode == 0
outReal
else
error("Bad return code")
end
end
TA_COS (generic function with 1 method)
julia> outReal = TA_COS(inReal)
8-element Array{Float64,1}:
1.0
6.12323e-17
-1.0
-1.83697e-16
1.0
6.12323e-17
-1.0
-1.83697e-16
julia> println(outReal)
[1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16,1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16]
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Many functions have suffix like |
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See the API docs for discussions on how look back works and how to call the functions efficiently: |
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Thanks @mrjbq7 for this. Work In Progress available at https://github.com/femtotrader/TALib.jl |
25 tasks
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Closing here |
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Looking forward to benchmarking TALib against MarketTechnicals, with both DataFrames and TimeArrays. |
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Hello,
it will be nice to have a Julia TALib wrapper like https://github.com/mrjbq7/ta-lib for Python
Pinging @mrjbq7
Here is function supported by TALib http://ta-lib.org/
Kind regards
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