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ta_ADX.c
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ta_ADX.c
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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
* AM Adrian Michel
* MIF Mirek Fontan ([email protected])
* GC [email protected]
*
* Change history:
*
* MMDDYY BY Description
* -------------------------------------------------------------------
* 010802 MF Template creation.
* 052603 MF Adapt code to compile with .NET Managed C++
* 082303 MF Fix #792298. Remove rounding. Bug reported by AM.
* 062704 MF Fix #965557. Div by zero bug reported by MIF.
* 082206 MF Fix #1544555. Div by zero bug reported by GC.
*/
/**** 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::AdxLookback( int optInTimePeriod ) /* From 2 to 100000 */
/* Generated */
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int adxLookback( int optInTimePeriod ) /* From 2 to 100000 */
/* Generated */
/* Generated */ #else
/* Generated */ TA_LIB_API int TA_ADX_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 (2 * optInTimePeriod) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_ADX,Adx) - 1;
}
/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
* TA_ADX - Average Directional Movement 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::Adx( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<double>^ inHigh,
/* Generated */ SubArray<double>^ inLow,
/* Generated */ SubArray<double>^ inClose,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::Adx( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<double>^ inHigh,
/* Generated */ cli::array<double>^ inLow,
/* Generated */ cli::array<double>^ inClose,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode adx( 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_LIB_API TA_RetCode TA_ADX( 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 */
int today, lookbackTotal, outIdx;
double prevHigh, prevLow, prevClose;
double prevMinusDM, prevPlusDM, prevTR;
double tempReal, tempReal2, diffP, diffM;
double minusDI, plusDI, sumDX, prevADX;
int i;
#define TRUE_RANGE(TH,TL,YC,OUT) {\
OUT = TH-TL; \
tempReal2 = std_fabs(TH-YC); \
if( tempReal2 > OUT ) \
OUT = tempReal2; \
tempReal2 = std_fabs(TL-YC); \
if( tempReal2 > OUT ) \
OUT = tempReal2; \
}
/**** 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. */
/*
* The DM1 (one period) is base on the largest part of
* today's range that is outside of yesterdays range.
*
* The following 7 cases explain how the +DM and -DM are
* calculated on one period:
*
* Case 1: Case 2:
* C| A|
* | | C|
* | +DM1 = (C-A) B| | +DM1 = 0
* | -DM1 = 0 | -DM1 = (B-D)
* A| | D|
* | D|
* B|
*
* Case 3: Case 4:
* C| C|
* | A| |
* | +DM1 = (C-A) | | +DM1 = 0
* | -DM1 = 0 B| | -DM1 = (B-D)
* A| | |
* | | D|
* B| |
* D|
*
* Case 5: Case 6:
* A| A| C|
* | C| +DM1 = 0 | | +DM1 = 0
* | | -DM1 = 0 | | -DM1 = 0
* | D| | |
* B| B| D|
*
*
* Case 7:
*
* C|
* A| |
* | | +DM=0
* B| | -DM=0
* D|
*
* In case 3 and 4, the rule is that the smallest delta between
* (C-A) and (B-D) determine which of +DM or -DM is zero.
*
* In case 7, (C-A) and (B-D) are equal, so both +DM and -DM are
* zero.
*
* The rules remain the same when A=B and C=D (when the highs
* equal the lows).
*
* When calculating the DM over a period > 1, the one-period DM
* for the desired period are initialy sum. In other word,
* for a -DM14, sum the -DM1 for the first 14 days (that's
* 13 values because there is no DM for the first day!)
* Subsequent DM are calculated using the Wilder's
* smoothing approach:
*
* Previous -DM14
* Today's -DM14 = Previous -DM14 - -------------- + Today's -DM1
* 14
*
* (Same thing for +DM14)
*
* Calculation of a -DI14 is as follow:
*
* -DM14
* -DI14 = --------
* TR14
*
* (Same thing for +DI14)
*
* Calculation of the TR14 is:
*
* Previous TR14
* Today's TR14 = Previous TR14 - -------------- + Today's TR1
* 14
*
* The first TR14 is the summation of the first 14 TR1. See the
* TA_TRANGE function on how to calculate the true range.
*
* Calculation of the DX14 is:
*
* diffDI = ABS( (-DI14) - (+DI14) )
* sumDI = (-DI14) + (+DI14)
*
* DX14 = 100 * (diffDI / sumDI)
*
* Calculation of the first ADX:
*
* ADX14 = SUM of the first 14 DX
*
* Calculation of subsequent ADX:
*
* ((Previous ADX14)*(14-1))+ Today's DX
* ADX14 = -------------------------------------
* 14
*
* Reference:
* New Concepts In Technical Trading Systems, J. Welles Wilder Jr
*/
/* Original implementation from Wilder's book was doing some integer
* rounding in its calculations.
*
* This was understandable in the context that at the time the book
* was written, most user were doing the calculation by hand.
*
* For a computer, rounding is unnecessary (and even problematic when inputs
* are close to 1).
*
* TA-Lib does not do the rounding. Still, if you want to reproduce Wilder's examples,
* you can comment out the following #undef/#define and rebuild the library.
*/
#undef round_pos
#define round_pos(x) (x)
lookbackTotal = (2*optInTimePeriod) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_ADX,Adx) - 1;
/* Adjust startIdx to account for the lookback period. */
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);
}
/* Indicate where the next output should be put
* in the outReal.
*/
outIdx = 0;
/* Process the initial DM and TR */
VALUE_HANDLE_DEREF(outBegIdx) = today = startIdx;
prevMinusDM = 0.0;
prevPlusDM = 0.0;
prevTR = 0.0;
today = startIdx - lookbackTotal;
prevHigh = inHigh[today];
prevLow = inLow[today];
prevClose = inClose[today];
i = optInTimePeriod-1;
while( i-- > 0 )
{
/* Calculate the prevMinusDM and prevPlusDM */
today++;
tempReal = inHigh[today];
diffP = tempReal-prevHigh; /* Plus Delta */
prevHigh = tempReal;
tempReal = inLow[today];
diffM = prevLow-tempReal; /* Minus Delta */
prevLow = tempReal;
if( (diffM > 0) && (diffP < diffM) )
{
/* Case 2 and 4: +DM=0,-DM=diffM */
prevMinusDM += diffM;
}
else if( (diffP > 0) && (diffP > diffM) )
{
/* Case 1 and 3: +DM=diffP,-DM=0 */
prevPlusDM += diffP;
}
TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
prevTR += tempReal;
prevClose = inClose[today];
}
/* Add up all the initial DX. */
sumDX = 0.0;
i = optInTimePeriod;
while( i-- > 0 )
{
/* Calculate the prevMinusDM and prevPlusDM */
today++;
tempReal = inHigh[today];
diffP = tempReal-prevHigh; /* Plus Delta */
prevHigh = tempReal;
tempReal = inLow[today];
diffM = prevLow-tempReal; /* Minus Delta */
prevLow = tempReal;
prevMinusDM -= prevMinusDM/optInTimePeriod;
prevPlusDM -= prevPlusDM/optInTimePeriod;
if( (diffM > 0) && (diffP < diffM) )
{
/* Case 2 and 4: +DM=0,-DM=diffM */
prevMinusDM += diffM;
}
else if( (diffP > 0) && (diffP > diffM) )
{
/* Case 1 and 3: +DM=diffP,-DM=0 */
prevPlusDM += diffP;
}
/* Calculate the prevTR */
TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
prevTR = prevTR - (prevTR/optInTimePeriod) + tempReal;
prevClose = inClose[today];
/* Calculate the DX. The value is rounded (see Wilder book). */
if( !TA_IS_ZERO(prevTR) )
{
minusDI = round_pos(100.0*(prevMinusDM/prevTR));
plusDI = round_pos(100.0*(prevPlusDM/prevTR));
/* This loop is just to accumulate the initial DX */
tempReal = minusDI+plusDI;
if( !TA_IS_ZERO(tempReal) )
sumDX += round_pos( 100.0 * (std_fabs(minusDI-plusDI)/tempReal) );
}
}
/* Calculate the first ADX */
prevADX = round_pos( sumDX / optInTimePeriod );
/* Skip the unstable period */
i = TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_ADX,Adx);
while( i-- > 0 )
{
/* Calculate the prevMinusDM and prevPlusDM */
today++;
tempReal = inHigh[today];
diffP = tempReal-prevHigh; /* Plus Delta */
prevHigh = tempReal;
tempReal = inLow[today];
diffM = prevLow-tempReal; /* Minus Delta */
prevLow = tempReal;
prevMinusDM -= prevMinusDM/optInTimePeriod;
prevPlusDM -= prevPlusDM/optInTimePeriod;
if( (diffM > 0) && (diffP < diffM) )
{
/* Case 2 and 4: +DM=0,-DM=diffM */
prevMinusDM += diffM;
}
else if( (diffP > 0) && (diffP > diffM) )
{
/* Case 1 and 3: +DM=diffP,-DM=0 */
prevPlusDM += diffP;
}
/* Calculate the prevTR */
TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
prevTR = prevTR - (prevTR/optInTimePeriod) + tempReal;
prevClose = inClose[today];
if( !TA_IS_ZERO(prevTR) )
{
/* Calculate the DX. The value is rounded (see Wilder book). */
minusDI = round_pos(100.0*(prevMinusDM/prevTR));
plusDI = round_pos(100.0*(prevPlusDM/prevTR));
tempReal = minusDI+plusDI;
if( !TA_IS_ZERO(tempReal) )
{
tempReal = round_pos(100.0*(std_fabs(minusDI-plusDI)/tempReal));
/* Calculate the ADX */
prevADX = round_pos(((prevADX*(optInTimePeriod-1))+tempReal)/optInTimePeriod);
}
}
}
/* Output the first ADX */
outReal[0] = prevADX;
outIdx = 1;
/* Calculate and output subsequent ADX */
while( today < endIdx )
{
/* Calculate the prevMinusDM and prevPlusDM */
today++;
tempReal = inHigh[today];
diffP = tempReal-prevHigh; /* Plus Delta */
prevHigh = tempReal;
tempReal = inLow[today];
diffM = prevLow-tempReal; /* Minus Delta */
prevLow = tempReal;
prevMinusDM -= prevMinusDM/optInTimePeriod;
prevPlusDM -= prevPlusDM/optInTimePeriod;
if( (diffM > 0) && (diffP < diffM) )
{
/* Case 2 and 4: +DM=0,-DM=diffM */
prevMinusDM += diffM;
}
else if( (diffP > 0) && (diffP > diffM) )
{
/* Case 1 and 3: +DM=diffP,-DM=0 */
prevPlusDM += diffP;
}
/* Calculate the prevTR */
TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
prevTR = prevTR - (prevTR/optInTimePeriod) + tempReal;
prevClose = inClose[today];
if( !TA_IS_ZERO(prevTR) )
{
/* Calculate the DX. The value is rounded (see Wilder book). */
minusDI = round_pos(100.0*(prevMinusDM/prevTR));
plusDI = round_pos(100.0*(prevPlusDM/prevTR));
tempReal = minusDI+plusDI;
if( !TA_IS_ZERO(tempReal) )
{
tempReal = round_pos(100.0*(std_fabs(minusDI-plusDI)/tempReal));
/* Calculate the ADX */
prevADX = round_pos(((prevADX*(optInTimePeriod-1))+tempReal)/optInTimePeriod);
}
}
/* Output the ADX */
outReal[outIdx++] = prevADX;
}
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::Adx( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<float>^ inHigh,
/* Generated */ SubArray<float>^ inLow,
/* Generated */ SubArray<float>^ inClose,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::Adx( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<float>^ inHigh,
/* Generated */ cli::array<float>^ inLow,
/* Generated */ cli::array<float>^ inClose,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode adx( 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_ADX( 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 */ int today, lookbackTotal, outIdx;
/* Generated */ double prevHigh, prevLow, prevClose;
/* Generated */ double prevMinusDM, prevPlusDM, prevTR;
/* Generated */ double tempReal, tempReal2, diffP, diffM;
/* Generated */ double minusDI, plusDI, sumDX, prevADX;
/* Generated */ int i;
/* Generated */ #define TRUE_RANGE(TH,TL,YC,OUT) {\
/* Generated */ OUT = TH-TL; \
/* Generated */ tempReal2 = std_fabs(TH-YC); \
/* Generated */ if( tempReal2 > OUT ) \
/* Generated */ OUT = tempReal2; \
/* Generated */ tempReal2 = std_fabs(TL-YC); \
/* Generated */ if( tempReal2 > OUT ) \
/* Generated */ OUT = tempReal2; \
/* Generated */ }
/* 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 */ #undef round_pos
/* Generated */ #define round_pos(x) (x)
/* Generated */ lookbackTotal = (2*optInTimePeriod) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_ADX,Adx) - 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 */ outIdx = 0;
/* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = today = startIdx;
/* Generated */ prevMinusDM = 0.0;
/* Generated */ prevPlusDM = 0.0;
/* Generated */ prevTR = 0.0;
/* Generated */ today = startIdx - lookbackTotal;
/* Generated */ prevHigh = inHigh[today];
/* Generated */ prevLow = inLow[today];
/* Generated */ prevClose = inClose[today];
/* Generated */ i = optInTimePeriod-1;
/* Generated */ while( i-- > 0 )
/* Generated */ {
/* Generated */ today++;
/* Generated */ tempReal = inHigh[today];
/* Generated */ diffP = tempReal-prevHigh;
/* Generated */ prevHigh = tempReal;
/* Generated */ tempReal = inLow[today];
/* Generated */ diffM = prevLow-tempReal;
/* Generated */ prevLow = tempReal;
/* Generated */ if( (diffM > 0) && (diffP < diffM) )
/* Generated */ {
/* Generated */ prevMinusDM += diffM;
/* Generated */ }
/* Generated */ else if( (diffP > 0) && (diffP > diffM) )
/* Generated */ {
/* Generated */ prevPlusDM += diffP;
/* Generated */ }
/* Generated */ TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
/* Generated */ prevTR += tempReal;
/* Generated */ prevClose = inClose[today];
/* Generated */ }
/* Generated */ sumDX = 0.0;
/* Generated */ i = optInTimePeriod;
/* Generated */ while( i-- > 0 )
/* Generated */ {
/* Generated */ today++;
/* Generated */ tempReal = inHigh[today];
/* Generated */ diffP = tempReal-prevHigh;
/* Generated */ prevHigh = tempReal;
/* Generated */ tempReal = inLow[today];
/* Generated */ diffM = prevLow-tempReal;
/* Generated */ prevLow = tempReal;
/* Generated */ prevMinusDM -= prevMinusDM/optInTimePeriod;
/* Generated */ prevPlusDM -= prevPlusDM/optInTimePeriod;
/* Generated */ if( (diffM > 0) && (diffP < diffM) )
/* Generated */ {
/* Generated */ prevMinusDM += diffM;
/* Generated */ }
/* Generated */ else if( (diffP > 0) && (diffP > diffM) )
/* Generated */ {
/* Generated */ prevPlusDM += diffP;
/* Generated */ }
/* Generated */ TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
/* Generated */ prevTR = prevTR - (prevTR/optInTimePeriod) + tempReal;
/* Generated */ prevClose = inClose[today];
/* Generated */ if( !TA_IS_ZERO(prevTR) )
/* Generated */ {
/* Generated */ minusDI = round_pos(100.0*(prevMinusDM/prevTR));
/* Generated */ plusDI = round_pos(100.0*(prevPlusDM/prevTR));
/* Generated */ tempReal = minusDI+plusDI;
/* Generated */ if( !TA_IS_ZERO(tempReal) )
/* Generated */ sumDX += round_pos( 100.0 * (std_fabs(minusDI-plusDI)/tempReal) );
/* Generated */ }
/* Generated */ }
/* Generated */ prevADX = round_pos( sumDX / optInTimePeriod );
/* Generated */ i = TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_ADX,Adx);
/* Generated */ while( i-- > 0 )
/* Generated */ {
/* Generated */ today++;
/* Generated */ tempReal = inHigh[today];
/* Generated */ diffP = tempReal-prevHigh;
/* Generated */ prevHigh = tempReal;
/* Generated */ tempReal = inLow[today];
/* Generated */ diffM = prevLow-tempReal;
/* Generated */ prevLow = tempReal;
/* Generated */ prevMinusDM -= prevMinusDM/optInTimePeriod;
/* Generated */ prevPlusDM -= prevPlusDM/optInTimePeriod;
/* Generated */ if( (diffM > 0) && (diffP < diffM) )
/* Generated */ {
/* Generated */ prevMinusDM += diffM;
/* Generated */ }
/* Generated */ else if( (diffP > 0) && (diffP > diffM) )
/* Generated */ {
/* Generated */ prevPlusDM += diffP;
/* Generated */ }
/* Generated */ TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
/* Generated */ prevTR = prevTR - (prevTR/optInTimePeriod) + tempReal;
/* Generated */ prevClose = inClose[today];
/* Generated */ if( !TA_IS_ZERO(prevTR) )
/* Generated */ {
/* Generated */ minusDI = round_pos(100.0*(prevMinusDM/prevTR));
/* Generated */ plusDI = round_pos(100.0*(prevPlusDM/prevTR));
/* Generated */ tempReal = minusDI+plusDI;
/* Generated */ if( !TA_IS_ZERO(tempReal) )
/* Generated */ {
/* Generated */ tempReal = round_pos(100.0*(std_fabs(minusDI-plusDI)/tempReal));
/* Generated */ prevADX = round_pos(((prevADX*(optInTimePeriod-1))+tempReal)/optInTimePeriod);
/* Generated */ }
/* Generated */ }
/* Generated */ }
/* Generated */ outReal[0] = prevADX;
/* Generated */ outIdx = 1;
/* Generated */ while( today < endIdx )
/* Generated */ {
/* Generated */ today++;
/* Generated */ tempReal = inHigh[today];
/* Generated */ diffP = tempReal-prevHigh;
/* Generated */ prevHigh = tempReal;
/* Generated */ tempReal = inLow[today];
/* Generated */ diffM = prevLow-tempReal;
/* Generated */ prevLow = tempReal;
/* Generated */ prevMinusDM -= prevMinusDM/optInTimePeriod;
/* Generated */ prevPlusDM -= prevPlusDM/optInTimePeriod;
/* Generated */ if( (diffM > 0) && (diffP < diffM) )
/* Generated */ {
/* Generated */ prevMinusDM += diffM;
/* Generated */ }
/* Generated */ else if( (diffP > 0) && (diffP > diffM) )
/* Generated */ {
/* Generated */ prevPlusDM += diffP;
/* Generated */ }
/* Generated */ TRUE_RANGE(prevHigh,prevLow,prevClose,tempReal);
/* Generated */ prevTR = prevTR - (prevTR/optInTimePeriod) + tempReal;
/* Generated */ prevClose = inClose[today];
/* Generated */ if( !TA_IS_ZERO(prevTR) )
/* Generated */ {
/* Generated */ minusDI = round_pos(100.0*(prevMinusDM/prevTR));
/* Generated */ plusDI = round_pos(100.0*(prevPlusDM/prevTR));
/* Generated */ tempReal = minusDI+plusDI;
/* Generated */ if( !TA_IS_ZERO(tempReal) )
/* Generated */ {
/* Generated */ tempReal = round_pos(100.0*(std_fabs(minusDI-plusDI)/tempReal));
/* Generated */ prevADX = round_pos(((prevADX*(optInTimePeriod-1))+tempReal)/optInTimePeriod);
/* Generated */ }
/* Generated */ }
/* Generated */ outReal[outIdx++] = prevADX;
/* 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 ****/