ta_macd.c

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/* 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. */  

   return FUNCTION_CALL(INT_MACD)( startIdx, endIdx, inReal,
                                   optInFastPeriod,
                                   optInSlowPeriod,
                                   optInSignalPeriod,
                                   outBegIdx,
                                   outNBElement,
                                   outMACD,
                                   outMACDSignal,
                                   outMACDHist );
}

#if defined( _MANAGED ) && defined( USE_SUBARRAY ) && !defined( USE_SINGLE_PRECISION_INPUT )
 enum class Core::RetCode Core::TA_INT_MACD( int    startIdx,
                                             int    endIdx,
											 SubArray^ inReal,
                                             int    optInFastPeriod, /* 0 is fix 12 */
                                             int    optInSlowPeriod, /* 0 is fix 26 */
                                             int    optInSignalPeriod_2,
                                             [Out]int% outBegIdx,
                                             [Out]int% outNBElement,
											 cli::array<double>^ outMACD,
                                             cli::array<double>^ outMACDSignal,
                                             cli::array<double>^ outMACDHist )
#elif defined( _MANAGED )
 enum class Core::RetCode Core::TA_INT_MACD( int    startIdx,
                                             int    endIdx,
											 cli::array<INPUT_TYPE>^ inReal,
                                             int    optInFastPeriod, /* 0 is fix 12 */
                                             int    optInSlowPeriod, /* 0 is fix 26 */
                                             int    optInSignalPeriod_2,
                                             [Out]int% outBegIdx,
                                             [Out]int% outNBElement,
											 cli::array<double>^ outMACD,
                                             cli::array<double>^ outMACDSignal,
                                             cli::array<double>^ outMACDHist )
#elif defined( _JAVA )
RetCode TA_INT_MACD( int        startIdx,
                     int        endIdx,
                     INPUT_TYPE inReal[],
                     int        optInFastPeriod, /* 0 is fix 12 */
                     int        optInSlowPeriod, /* 0 is fix 26 */
                     int        optInSignalPeriod_2,
                     MInteger   outBegIdx,
                     MInteger   outNBElement,
                     double     outMACD[],
                     double     outMACDSignal[],
                     double     outMACDHist[] )

#else
TA_RetCode TA_PREFIX(INT_MACD)( int    startIdx,
                                int    endIdx,
                                const INPUT_TYPE inReal[],
                                int    optInFastPeriod, /* 0 is fix 12 */
                                int    optInSlowPeriod, /* 0 is fix 26 */
                                int    optInSignalPeriod_2,
                                int   *outBegIdx,
                                int   *outNBElement,
                                double       outMACD[],
                                double       outMACDSignal[],
                                double       outMACDHist[] )
#endif
{
   ARRAY_REF(slowEMABuffer);
   ARRAY_REF(fastEMABuffer);
   double k1, k2;
   ENUM_DECLARATION(RetCode) retCode;
   int tempInteger;
   VALUE_HANDLE_INT(outBegIdx1);
   VALUE_HANDLE_INT(outNbElement1);
   VALUE_HANDLE_INT(outBegIdx2);
   VALUE_HANDLE_INT(outNbElement2);
   int lookbackTotal, lookbackSignal;
   int i;

   /* !!! A lot of speed optimization could be done
    * !!! with this function. 
    * !!!
    * !!! A better approach would be to use TA_INT_EMA
    * !!! just to get the seeding values for the
    * !!! fast and slow EMA. Then process the difference
    * !!! in an allocated buffer until enough data is
    * !!! available for the first signal value.
    * !!! From that point all the processing can
    * !!! be done in a tight loop.
    * !!!
    * !!! That approach will have the following
    * !!! advantage:
    * !!!   1) One mem allocation needed instead of two.
    * !!!   2) The mem allocation size will be only the
    * !!!      signal lookback period instead of the 
    * !!!      whole range of data.
    * !!!   3) Processing will be done in a tight loop.
    * !!!      allowing to avoid a lot of memory store-load
    * !!!      operation.
    * !!!   4) The memcpy at the end will be eliminated!
    * !!!
    * !!! If only I had time....
    */

   /* Make sure slow is really slower than
    * the fast period! if not, swap...
    */
   if( optInSlowPeriod < optInFastPeriod )
   {
       /* swap */
       tempInteger       = optInSlowPeriod;
       optInSlowPeriod = optInFastPeriod;
       optInFastPeriod = tempInteger;
   }

   /* Catch special case for fix 26/12 MACD. */
   if( optInSlowPeriod != 0 )
      k1 = PER_TO_K(optInSlowPeriod);
   else
   {
      optInSlowPeriod = 26;
      k1 = (double)0.075; /* Fix 26 */
   }

   if( optInFastPeriod != 0 )
      k2 = PER_TO_K(optInFastPeriod);
   else
   {
      optInFastPeriod = 12;
      k2 = (double)0.15; /* Fix 12 */
   }

   lookbackSignal = LOOKBACK_CALL(EMA)( optInSignalPeriod_2 ); 

   /* Move up the start index if there is not
    * enough initial data.
    */
   lookbackTotal =  lookbackSignal;
   lookbackTotal += LOOKBACK_CALL(EMA)( optInSlowPeriod );

   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 intermediate buffer for fast/slow EMA. */
   tempInteger = (endIdx-startIdx)+1+lookbackSignal;
   ARRAY_ALLOC( fastEMABuffer, tempInteger );
   #if !defined( _JAVA )
      if( !fastEMABuffer )
      {
         VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
         VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
         return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr);
      }
   #endif

   ARRAY_ALLOC( slowEMABuffer, tempInteger );
   #if !defined( _JAVA )
      if( !slowEMABuffer )
      {
         VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
         VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
         ARRAY_FREE( fastEMABuffer );
         return ENUM_VALUE(RetCode,TA_ALLOC_ERR,AllocErr);
      }
   #endif

   /* Calculate the slow EMA. 
    *
    * Move back the startIdx to get enough data
    * for the signal period. That way, once the
    * signal calculation is done, all the output
    * will start at the requested 'startIdx'.
    */
   tempInteger = startIdx-lookbackSignal;
   retCode = FUNCTION_CALL(INT_EMA)( tempInteger, endIdx,
                                     inReal, optInSlowPeriod, k1,
                                     VALUE_HANDLE_OUT(outBegIdx1), VALUE_HANDLE_OUT(outNbElement1), slowEMABuffer );

   if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
   {
      VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
      VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
      ARRAY_FREE( fastEMABuffer );
      ARRAY_FREE( slowEMABuffer );
      return retCode;
   }

   /* Calculate the fast EMA. */
   retCode = FUNCTION_CALL(INT_EMA)( tempInteger, endIdx,
                                     inReal, optInFastPeriod, k2,
                                     VALUE_HANDLE_OUT(outBegIdx2), VALUE_HANDLE_OUT(outNbElement2), fastEMABuffer );

   if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
   {
      VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
      VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
      ARRAY_FREE( fastEMABuffer );
      ARRAY_FREE( slowEMABuffer );
      return retCode;
   }

   /* Parano tests. Will be removed eventually. */
   if( (VALUE_HANDLE_GET(outBegIdx1) != tempInteger) || 
       (VALUE_HANDLE_GET(outBegIdx2) != tempInteger) || 
       (VALUE_HANDLE_GET(outNbElement1) != VALUE_HANDLE_GET(outNbElement2)) ||
       (VALUE_HANDLE_GET(outNbElement1) != (endIdx-startIdx)+1+lookbackSignal) )
   {
      VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
      VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
      ARRAY_FREE( fastEMABuffer );
      ARRAY_FREE( slowEMABuffer );
      return TA_INTERNAL_ERROR(119);
   }

   /* Calculate (fast EMA) - (slow EMA). */
   for( i=0; i < VALUE_HANDLE_GET(outNbElement1); i++ )
      fastEMABuffer[i] = fastEMABuffer[i] - slowEMABuffer[i];


   /* Copy the result into the output for the caller. */
   ARRAY_MEMMOVE( outMACD, 0, fastEMABuffer, lookbackSignal, (endIdx-startIdx)+1 );

   /* Calculate the signal/trigger line. */
   retCode = FUNCTION_CALL_DOUBLE(INT_EMA)( 0, VALUE_HANDLE_GET(outNbElement1)-1,
                                            fastEMABuffer, optInSignalPeriod_2, PER_TO_K(optInSignalPeriod_2), 
                                            VALUE_HANDLE_OUT(outBegIdx2), VALUE_HANDLE_OUT(outNbElement2), outMACDSignal );


   ARRAY_FREE( fastEMABuffer );
   ARRAY_FREE( slowEMABuffer );

   if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
   {
      VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
      VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
      return retCode;
   }

   /* Calculate the histogram. */
   for( i=0; i < VALUE_HANDLE_GET(outNbElement2); i++ )
      outMACDHist[i] = outMACD[i]-outMACDSignal[i];


   /* All done! Indicate the output limits and return success. */
   VALUE_HANDLE_DEREF(outBegIdx)     = startIdx;
   VALUE_HANDLE_DEREF(outNBElement)  = VALUE_HANDLE_GET(outNbElement2);

   return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
}