ta_sarext.c

股票主要技术指标源码

/* 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<double>^  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 */
   {