static void buildUIRSuffix( const UIRSuffixParsing *parsedString,
TA_Timestamp *startTimestamp,
TA_Timestamp *endTimestamp,
char *output )
{
int i;
strncpy( output, parsedString->part1, parsedString->part1Length );
i = parsedString->part1Length;
sprintf( output,
"&a=%02d&b=%02d&c=%04d",
TA_GetMonth( startTimestamp )-1, /* Yahoo! month is zero base */
TA_GetDay( startTimestamp ),
TA_GetYear( startTimestamp ) );
i += 17;
strncpy( &output[i], parsedString->part2, parsedString->part2Length );
i += parsedString->part2Length;
sprintf( &output[i],
"&d=%02d&e=%02d&f=%04d",
TA_GetMonth( endTimestamp )-1, /* Yahoo! month is zero base */
TA_GetDay( endTimestamp ),
TA_GetYear( endTimestamp ) );
i += 17;
strncpy( &output[i], parsedString->part3, parsedString->part3Length );
i += parsedString->part3Length;
output[i] = '\0';
#if DEBUG_PRINTF
printf( "New UIR=[%s]\n", output );
#endif
}
TA_RetCode TA_ReadOp_Do( TA_FileHandle *fileHandle,
const TA_ReadOpInfo *readOpInfo,
TA_Period period,
const TA_Timestamp *start,
const TA_Timestamp *end,
unsigned int minimumNbBar,
TA_Field fieldToAlloc,
TA_ParamForAddData *paramForAddData,
unsigned int *nbBarAdded )
{
TA_PROLOG
TA_RetCode retCode;
TA_EstimateInfo estimationInfo;
unsigned int nbElementToAllocate;
unsigned int memoryNeeded; /* Boolean */
unsigned int timeNeeded; /* Boolean */
TA_Real *arrayReal[TA_REAL_ARRAY_SIZE];
TA_Integer *arrayInteger[TA_INTEGER_ARRAY_SIZE];
TA_Timestamp *timestamp;
TA_Real *openBeg, *highBeg, *lowBeg, *closeBeg;
TA_Integer *volumeBeg, *openInterestBeg;
TA_Timestamp *timestampBeg;
TA_Timestamp tmpTimestamp;
TA_ReadOp op;
TA_Field fieldToProcess;
unsigned int year, month, day, hour, min, sec;
TA_Integer curOp;
unsigned int nbTotalByteDone, nbTotalBarDone;
unsigned int nbBarAddedInTheBlock;
char monthChar[4];
char cnvtArray[CNVT_ARRAY_SIZE];
unsigned int cnvtArrayIdx;
unsigned int nbByteToAllocReal;
unsigned int nbByteToAllocInteger;
unsigned int fileSize;
unsigned int skipField;
unsigned int lineToSkip;
unsigned int nbByteRead;
unsigned int nbLetter;
TA_Real lastValidClose;
const char *car;
register TA_Real tmpReal;
register TA_Integer tmpInt;
register unsigned int tmpIdx;
register unsigned int nbCharToRead;
unsigned int lastOpFieldIncremented;
TA_TRACE_BEGIN( TA_PriceBarRead );
/* Initialization of local variables. */
openBeg = highBeg = lowBeg = closeBeg = NULL;
timestampBeg = NULL;
volumeBeg = openInterestBeg = NULL;
timestamp = NULL;
retCode = TA_SUCCESS;
lastValidClose = 0.0;
fieldToProcess = readOpInfo->fieldProvided & fieldToAlloc;
if( (fieldToProcess & fieldToAlloc) != fieldToAlloc )
{
/* Nothing to read because not all the requested
* fields are provided by this data source!
*/
return TA_SUCCESS;
}
/* Estimate the initial amount of memory to allocate. */
fileSize = TA_FileSize( fileHandle );
retCode = TA_EstimateAllocInit( start, end, period,
minimumNbBar, 2048,
&estimationInfo,
&nbElementToAllocate );
if( retCode != TA_SUCCESS )
{
TA_TRACE_RETURN( retCode );
}
if( nbElementToAllocate == 0 )
{
TA_TRACE_RETURN( TA_SUCCESS ); /* Nothing to read!? Just return... */
}
memset( arrayInteger, 0, sizeof( arrayInteger ) );
memset( arrayReal, 0, sizeof( arrayReal ) );
/* Set the date/time pointers to where the information will be stored. */
arrayInteger[TA_HOUR_IDX] = (TA_Integer *)&hour;
arrayInteger[TA_MIN_IDX] = (TA_Integer *)&min;
arrayInteger[TA_SEC_IDX] = (TA_Integer *)&sec;
arrayInteger[TA_MONTH_IDX] = (TA_Integer *)&month;
arrayInteger[TA_YEAR_IDX] = (TA_Integer *)&year;
arrayInteger[TA_DAY_IDX] = (TA_Integer *)&day;
/* Set default time/date. */
year = 1900;
month = day = 1;
hour = 23;
min = sec = 59;
/* Check if the processing of the time will be needed. */
timeNeeded = isTimeNeeded( readOpInfo->arrayReadOp);
/* 'car' always point to the character being currently handled. */
nbByteRead = 0;
car = TA_FileSeqRead( fileHandle, &nbByteRead );
if( (car == NULL) || (nbByteRead == 0) )
return TA_SUCCESS; /* End of file! */
--nbByteRead;
nbTotalByteDone = 0;
nbTotalBarDone = 0;
nbBarAddedInTheBlock = 0;
memoryNeeded = 1;
curOp = 0;
skipField = 0;
monthChar[3] = '\0';
/* When requested, skip header lines. */
lineToSkip = readOpInfo->nbHeaderLineToSkip;
while( lineToSkip-- )
{
while( *car != '\n' )
{
GET_CHAR;
if( car == NULL )
goto exit_loops;
}
}
line_loop: /* Always jump here when end-of-line is found (EOL). */
/* If curOp != 0, the last operations are canceled. */
REVERT_OPERATIONS;
curOp = 0;
lastOpFieldIncremented = 0;
/* Start over a new line. */
if( memoryNeeded )
{
/* Allocate the memory. */
nbByteToAllocReal = nbElementToAllocate * sizeof( TA_Real );
nbByteToAllocInteger = nbElementToAllocate * sizeof( TA_Integer );
timestamp = (TA_Timestamp *)TA_Malloc( nbElementToAllocate * sizeof( TA_Timestamp ) );
timestampBeg = timestamp;
if( !timestampBeg )
{
retCode = TA_ALLOC_ERR;
goto exit_loops;
}
#define TA_ALLOC_MEM(upperc,lowerc,typepar) \
{ \
if( fieldToProcess & TA_##upperc ) \
{ \
lowerc##Beg = (TA_##typepar *)TA_Malloc( nbByteToAlloc##typepar ); \
array##typepar[TA_##upperc##_IDX] = lowerc##Beg; \
if( !lowerc##Beg ) \
{ \
retCode = TA_ALLOC_ERR; \
goto exit_loops; \
} \
} \
}
TA_ALLOC_MEM( OPEN, open, Real );
TA_ALLOC_MEM( HIGH, high, Real );
TA_ALLOC_MEM( LOW, low, Real );
TA_ALLOC_MEM( CLOSE, close, Real );
TA_ALLOC_MEM( VOLUME, volume, Integer );
TA_ALLOC_MEM( OPENINTEREST, openInterest, Integer );
#undef TA_ALLOC_MEM
memoryNeeded = 0;
}
op_loop: /* Jump here when ready to proceed with the next command. */
op = readOpInfo->arrayReadOp[curOp];
if( !(op&TA_CMD_READ_MONTH_CHAR) )
{
/* Skip leading non-numeric character. */
SKIP_UNTIL_NUMERIC;
}
/* Shall we skip this field? */
if( TA_IS_SKIP_SET(op) )
{
if( (op&(TA_CMD_READ_REAL|TA_CMD_READ_INTEGER)) == 0 )
{
tmpInt = TA_GET_NB_NUMERIC(op);
curOp++;
while( tmpInt-- )
{
GET_CHAR;
CHECK_EOL_EOF;
}
}
else
{
if( skipField == 0 )
{
skipField = TA_GET_NB_NUMERIC(op);
TA_ASSERT( skipField > 0 );
}
if( --skipField == 0 )
curOp++;
SKIP_NUMERIC;
if( (op&TA_CMD_READ_REAL) && (*car == '.') )
{
GET_CHAR;
CHECK_EOL_EOF;
SKIP_NUMERIC;
}
}
}
else
{
cnvtArrayIdx = 0;
if( TA_IS_REAL_CMD(op) )
{
/* Extract a numeric into cnvtArray. */
READ_IN_CNVT_ARRAY;
/* This is a TA_Real. */
if( car && (*car == '.') )
{
/* Read rest of the float after the '.' */
READ_IN_CNVT_ARRAY;
}
cnvtArray[cnvtArrayIdx] = '\0';
tmpReal = atof( &cnvtArray[0] );
/* Write the TA_Real in memory. */
tmpIdx = TA_GET_IDX(op);
TA_ASSERT( tmpIdx < TA_REAL_ARRAY_SIZE );
TA_ASSERT( arrayReal[tmpIdx] != NULL );
if( tmpReal != 0.0 )
{
*(arrayReal[tmpIdx]) = tmpReal;
if( tmpIdx == TA_CLOSE_IDX )
lastValidClose = tmpReal;
}
else if( TA_IS_REPLACE_ZERO(op) )
{
/* Replace this zero value with the last known close.
* If there is no previous close, this line is ignored.
*/
if( lastValidClose != 0.0 )
*(arrayReal[tmpIdx]) = lastValidClose;
else
{
SKIP_LINE;
}
}
else
{
/* Zero are not expected, consider this as a failure
* and ignore all further data from this file.
*/
retCode = TA_PRICE_BAR_CONTAINS_ZERO;
goto exit_loops;
}
arrayReal[tmpIdx]++;
curOp++;
}
else
{
/* This is a TA_Integer. */
if( !(op&TA_CMD_READ_MONTH_CHAR) )
{
nbCharToRead = TA_GET_NB_NUMERIC(op);
if( nbCharToRead )
{
READ_N_CHAR_IN_CNVT_ARRAY(nbCharToRead);
}
else
{
READ_IN_CNVT_ARRAY;
}
cnvtArray[cnvtArrayIdx] = '\0';
tmpInt = atoi( &cnvtArray[0] );
}
else
{
/* Try to find a 3 letters month string.
* Translate it to a [1..12] integer.
*/
nbLetter = 1;
do
{
CHECK_EOL_EOF;
monthChar[nbLetter] = (char)toupper(*car);
GET_CHAR;
nbLetter++;
} while( nbLetter != 3 );
do
{
CHECK_EOL_EOF;
monthChar[0] = monthChar[1];
monthChar[1] = monthChar[2];
monthChar[2] = (char)toupper(*car);
if( strncmp("JAN",monthChar,3) == 0 )
tmpInt = 1;
else if( strncmp("FEB",monthChar,3) == 0 )
tmpInt = 2;
else if( strncmp("MAR",monthChar,3) == 0 )
tmpInt = 3;
else if( strncmp("APR",monthChar,3) == 0 )
tmpInt = 4;
else if( strncmp("MAY",monthChar,3) == 0 )
tmpInt = 5;
else if( strncmp("JUN",monthChar,3) == 0 )
tmpInt = 6;
else if( strncmp("JUL",monthChar,3) == 0 )
tmpInt = 7;
else if( strncmp("AUG",monthChar,3) == 0 )
tmpInt = 8;
else if( strncmp("SEP",monthChar,3) == 0 )
tmpInt = 9;
else if( strncmp("OCT",monthChar,3) == 0 )
tmpInt = 10;
else if( strncmp("NOV",monthChar,3) == 0 )
tmpInt = 11;
else if( strncmp("DEC",monthChar,3) == 0 )
tmpInt = 12;
else
tmpInt = 0;
GET_CHAR;
} while( tmpInt == 0 );
}
/* Write the TA_Integer in memory. */
tmpIdx = TA_GET_IDX(op);
TA_ASSERT( tmpIdx < TA_INTEGER_ARRAY_SIZE );
TA_ASSERT( arrayInteger[tmpIdx] != NULL );
*(arrayInteger[tmpIdx]) = tmpInt;
if( tmpIdx > TA_YEAR_IDX )
arrayInteger[tmpIdx]++;
curOp++;
if( TA_IS_TIMESTAMP_COMPLETE(op) )
{
/* Build the timestamp. */
retCode = TA_SetDate( year, month, day, &tmpTimestamp );
if( retCode != TA_SUCCESS )
goto exit_loops; /* Invalid date */
if( !timeNeeded )
{
/* Ignore time in comparison and use default to build the price bar. */
tmpTimestamp.time = 23595900; /* Default EOD time */
if( start && (tmpTimestamp.date < start->date) )
{
/* This price bar is not needed, jump to the next line. */
retCode = TA_SUCCESS;
SKIP_LINE;
}
if( end && (tmpTimestamp.date > end->date) )
{
/* This price bar is beyond the upper limit, just exit. */
goto exit_loops;
}
}
else
{
retCode = TA_SetTime( hour, min, sec, &tmpTimestamp );
if( retCode != TA_SUCCESS )
goto exit_loops; /* Invalid time */
if( start && TA_TimestampLess(&tmpTimestamp,start) )
{
/* This price bar is not needed, jump to the next line. */
retCode = TA_SUCCESS;
SKIP_LINE;
}
if( end && TA_TimestampGreater(&tmpTimestamp, end) )
{
/* This price bar is beyond the upper limit, just exit. */
goto exit_loops;
}
}
/* Write the timestamp in memory. */
*timestamp = tmpTimestamp;
}
}
if( TA_IS_READ_STOP_FLAG_SET(op) )
{
#ifdef DEBUG_PRINTF
printf( "(%d%d%d,%e,%e,%e,%e,%d)\n",
timestampBeg?TA_GetYear(×tampBeg[nbBarAddedInTheBlock]):0,
timestampBeg?TA_GetMonth(×tampBeg[nbBarAddedInTheBlock]):0,
timestampBeg?TA_GetDay(×tampBeg[nbBarAddedInTheBlock]):0,
openBeg?openBeg[nbBarAddedInTheBlock]:0.0,
highBeg?highBeg[nbBarAddedInTheBlock]:0.0,
lowBeg?lowBeg[nbBarAddedInTheBlock]:0.0,
closeBeg?closeBeg[nbBarAddedInTheBlock]:0.0,
volumeBeg?volumeBeg[nbBarAddedInTheBlock]:0 );
#endif
/* At this point, the price bar is completely written in memory. */
timestamp++;
curOp = 0;
nbBarAddedInTheBlock++;
if( nbBarAddedInTheBlock < nbElementToAllocate )
{
/* Go to next line. */
SKIP_LINE;
}
else
{
/* There is not enough memory for another bar, so re-allocate
* some more.
*/
retCode = TA_HistoryAddData( paramForAddData, nbBarAddedInTheBlock,
period, timestampBeg,
openBeg, highBeg, lowBeg, closeBeg,
volumeBeg, openInterestBeg );
/* TA_HistoryAddData is ALWAYS the owner of these memory block
* when called. So we set these to NULL to make sure there will
* be no attempt to free these from this function.
*/
openBeg = highBeg = lowBeg = closeBeg = NULL;
timestampBeg = NULL;
volumeBeg = openInterestBeg = NULL;
nbTotalBarDone += nbBarAddedInTheBlock;
nbBarAddedInTheBlock = 0;
if( retCode != TA_SUCCESS )
goto exit_loops;
retCode = TA_EstimateAllocNext( &estimationInfo, &nbElementToAllocate );
if( retCode != TA_SUCCESS )
goto exit_loops;
memoryNeeded = 1;
SKIP_LINE;
}
}
else
{
/* Make sure we did not hit an EOL or EOF prematurly, if yes,
* this line will be silently ignored.
*/
CHECK_EOL_EOF;
}
}
goto op_loop;
exit_loops: /* Jump here when the end-of-file is hit (or an error occured) */
/* On succesful exit, process possibly remaining data. */
if( (retCode == TA_SUCCESS) && (nbBarAddedInTheBlock != 0) )
{
retCode = TA_HistoryAddData( paramForAddData, nbBarAddedInTheBlock,
period, timestampBeg,
openBeg, highBeg, lowBeg, closeBeg,
volumeBeg, openInterestBeg );
openBeg = highBeg = lowBeg = closeBeg = NULL;
timestampBeg = NULL;
volumeBeg = openInterestBeg = NULL;
nbTotalBarDone += nbBarAddedInTheBlock;
}
/* ALWAYS verify if locally allocated memory needs to be freed. ALWAYS. */
FREE_IF_NOT_NULL( openBeg );
FREE_IF_NOT_NULL( highBeg );
FREE_IF_NOT_NULL( lowBeg );
FREE_IF_NOT_NULL( closeBeg );
FREE_IF_NOT_NULL( volumeBeg );
FREE_IF_NOT_NULL( openInterestBeg );
FREE_IF_NOT_NULL( timestampBeg );
/* An indication that no more data needs to be provided is not a failure. */
if( retCode == TA_ENOUGH_DATA )
retCode = TA_SUCCESS;
/* Return the number of added price bar to the caller. */
if( nbBarAdded )
*nbBarAdded = nbTotalBarDone;
TA_TRACE_RETURN( retCode );
}
TA_RetCode TA_TradeReportToFile( TA_TradeReport *tradeReport, FILE *out )
{
TA_TradeReportPriv *tradeReportPriv;
const TA_Timestamp *entryTimestamp;
const TA_Timestamp *exitTimestamp;
unsigned int i;
double tmpReal;
if( !tradeReport || !out )
return TA_BAD_PARAM;
/* Make sure this TA_TradeReport is a valid object */
tradeReportPriv = (TA_TradeReportPriv *)tradeReport->hiddenData;
if( !tradeReportPriv || (tradeReportPriv->magicNb != TA_TRADEREPORT_MAGIC_NB) )
return TA_BAD_OBJECT;
fprintf( out, "\n" );
fprintf( out, "[MM/DD/YYYY HH:MM:SS .. MM/DD/YYYY HH:MM:SS] [ID]\n" );
fprintf( out, " Quantity Entry($) Profit(%%) MinFE(%%) MaxFE(%%) MAE(%%)\n" );
fprintf( out, "============================================================\n" );
for( i=0; i < tradeReport->nbTrades; i++ )
{
entryTimestamp = &tradeReport->trades[i]->entryTimestamp;
exitTimestamp = &tradeReport->trades[i]->exitTimestamp;
fprintf( out, "[%02d/%02d/%04d %02d:%02d:%02d .. %02d/%02d/%04d %02d:%02d:%02d] [%s]\n",
TA_GetMonth(entryTimestamp),
TA_GetDay (entryTimestamp),
TA_GetYear (entryTimestamp),
TA_GetHour (entryTimestamp),
TA_GetMin (entryTimestamp),
TA_GetSec (entryTimestamp),
TA_GetMonth(exitTimestamp),
TA_GetDay (exitTimestamp),
TA_GetYear (exitTimestamp),
TA_GetHour (exitTimestamp),
TA_GetMin (exitTimestamp),
TA_GetSec (exitTimestamp),
tradeReport->trades[i]->id->symString );
fprintf( out, "%10d", tradeReport->trades[i]->quantity );
fprintf( out, "%10.2f", tradeReport->trades[i]->entryPrice );
fprintf( out, "%10.2f", tradeReport->trades[i]->profit );
tmpReal = tradeReport->trades[i]->minfe;
if( tmpReal != TA_REAL_DEFAULT )
fprintf( out, "%10.2f", tmpReal );
else
fprintf( out, "%10s", "N/A" );
tmpReal = tradeReport->trades[i]->maxfe;
if( tmpReal != TA_REAL_DEFAULT )
fprintf( out, "%10.2f", tmpReal );
else
fprintf( out, "%10s", "N/A" );
tmpReal = tradeReport->trades[i]->mae;
if( tmpReal != TA_REAL_DEFAULT )
fprintf( out, "%10.2f", tmpReal );
else
fprintf( out, "%10s", "N/A" );
fprintf( out, "\n\n" );
}
return TA_SUCCESS;
}
/**** Global functions definitions. ****/
TA_RetCode TA_GetHistoryDataFromWeb( TA_DataSourceHandle *handle,
TA_CategoryHandle *categoryHandle,
TA_SymbolHandle *symbolHandle,
TA_Period period,
const TA_Timestamp *start,
const TA_Timestamp *end,
TA_Field fieldToAlloc,
TA_ParamForAddData *paramForAddData )
{
TA_PROLOG
TA_RetCode retCode;
TA_StringCache *stringCache;
TA_String *yahooName;
TA_WebPage *webPage;
TA_PrivateYahooHandle *yahooHandle;
TA_DecodingParam localDecodingParam;
TA_DecodingParam directYahooDecodingParam;
const TA_DecodingParam *decodingParam;
TA_FileHandle *fileHandle;
TA_ReadOpInfo *readOpInfo;
TA_UIRSuffixParsing suffixParsing;
TA_Timestamp firstBarTimestamp, lastBarTimestamp, prevEndDate;
TA_InfoFromAddedData infoFromAddedData;
TA_DayOfWeek dayOfWeek;
TA_Timestamp curAdjustYear, lastAdjustYear;
const char *overideServerAddr;
int nbEstimateBar;
int nbField;
unsigned int nbBarAdded, nbTotalBarAdded;
int again, firstTime, nbBatch;
int zeroBarAddedAttempt;
int doAdjustment;
TA_TRACE_BEGIN( TA_GetHistoryDataFromWeb );
/* Initialize some local variables. */
stringCache = TA_GetGlobalStringCache();
yahooHandle = (TA_PrivateYahooHandle *)handle->opaqueData;
readOpInfo = NULL;
nbEstimateBar = 0;
TA_ASSERT( categoryHandle != NULL );
TA_ASSERT( symbolHandle != NULL );
TA_ASSERT( categoryHandle->string != NULL );
TA_ASSERT( symbolHandle->string != NULL );
retCode = TA_BAD_PARAM;
/* Set the initial first/last timestamp */
if( start )
TA_TimestampCopy( &firstBarTimestamp, start );
else
TA_SetDate( 1950, 1, 1, &firstBarTimestamp );
if( end )
TA_TimestampCopy( &lastBarTimestamp, end );
else
TA_SetDateNow( &lastBarTimestamp );
/* Time component is not important for Yahoo! but all end of day
* price bar use 00:00:00, so do the same here.
*/
TA_SetTime( 0, 0, 0, &firstBarTimestamp );
TA_SetTime( 0, 0, 0, &lastBarTimestamp );
/* Make sure that lastBarTimestamp is a week-day. */
dayOfWeek = TA_GetDayOfTheWeek( &lastBarTimestamp );
if( (dayOfWeek == TA_SUNDAY) || (dayOfWeek == TA_SATURDAY) )
TA_PrevWeekday( &lastBarTimestamp );
TA_ASSERT( yahooHandle != NULL );
if( yahooHandle->param->id == TA_YAHOO_ONE_SYMBOL )
{
/* User specified Yahoo! name. */
yahooName = TA_StringDup(stringCache,yahooHandle->webSiteSymbol);
TA_ASSERT( yahooName != NULL );
}
else
{
/* Map the TA-Lib name into the Yahoo! name. */
retCode = TA_AllocStringFromLibName( categoryHandle->string,
symbolHandle->string,
&yahooName );
if( retCode != TA_SUCCESS )
{
TA_TRACE_RETURN( retCode );
}
TA_ASSERT( yahooName != NULL );
}
/* Check if the user did overide the server address in the location parameter.
* (as needed, convert from TA_String to char *)
*/
if( yahooHandle->userSpecifiedServer )
overideServerAddr = TA_StringToChar(yahooHandle->userSpecifiedServer);
else
overideServerAddr = NULL;
/* Get the decoding parameter for the CSV web page. */
if( yahooHandle->param->id == TA_YAHOO_ONE_SYMBOL )
{
retCode = TA_YahooIdxDataDecoding( yahooHandle->webSiteCountry,
TA_YAHOOIDX_CSV_PAGE,
&directYahooDecodingParam );
if( retCode != TA_SUCCESS )
{
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( retCode );
}
decodingParam = &directYahooDecodingParam;
}
else
{
decodingParam = TA_YahooIdxDecodingParam( yahooHandle->index, TA_YAHOOIDX_CSV_PAGE );
if( !decodingParam )
{
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( TA_INTERNAL_ERROR(103) );
}
}
localDecodingParam = *decodingParam;
/* Check if split/value adjustment are necessary. */
if( (yahooHandle->param->flags & TA_DO_NOT_SPLIT_ADJUST) &&
(yahooHandle->param->flags & TA_DO_NOT_VALUE_ADJUST) )
{
doAdjustment = 0;
}
else
doAdjustment = 1;
/* Parse the uirSuffix so the start/end date can be changed. */
if( !setUIRSuffixParsing( decodingParam->uirSuffix, &suffixParsing ) )
{
/* This should never happen unless the
* Yahoo! index protocol has been broken.
*/
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( TA_INTERNAL_ERROR(104) );
}
/* Use a local copy of the decoding param.
* This is because the uirSuffix is replaced with
* an allocated buffer (so the date field can be
* manipulated).
*/
/* Replace the uirSuffix with a large local buffer. */
localDecodingParam.uirSuffix = TA_Malloc( suffixParsing.maxTotalLength );
if( !localDecodingParam.uirSuffix )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( TA_ALLOC_ERR );
}
/* Change the dates in the uirSuffix. */
buildUIRSuffix( &suffixParsing,
&firstBarTimestamp, &lastBarTimestamp,
(char *)localDecodingParam.uirSuffix );
/* nbBatch is a safety net to make sure that
* TA-Lib won't stay forever in the while loop
* in case Yahoo! changes their protocol.
*/
nbBatch = 0;
/* Sometime Yahoo! return an empty csv file. Make
* multiple attempts in that case.
*/
zeroBarAddedAttempt = 0;
again = 1;
firstTime = 1;
nbTotalBarAdded = 0;
while( again && (++nbBatch < 100) && (zeroBarAddedAttempt < 10) )
{
retCode = TA_DriverShouldContinue(paramForAddData);
if( retCode != TA_SUCCESS )
{
TA_StringFree( stringCache, yahooName );
TA_Free( (char *)localDecodingParam.uirSuffix );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
TA_TRACE_RETURN( retCode );
}
if( TA_TimestampLess(&lastBarTimestamp,&firstBarTimestamp) )
{
/* Get out of this loop if all the requested data
* has been retreived already.
*/
again = 0;
break;
}
retCode = TA_WebPageAllocFromYahooName( &localDecodingParam,
TA_StringToChar(yahooName),
overideServerAddr,
&webPage, paramForAddData );
if( retCode != TA_SUCCESS )
{
TA_StringFree( stringCache, yahooName );
TA_Free( (char *)localDecodingParam.uirSuffix );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
TA_TRACE_RETURN( retCode );
}
/* Disguise the webPage stream into a "file". That way the speed
* optimized ASCII decoder can be re-used (TA_ReadOp stuff).
*/
retCode = TA_FileSeqOpenFromStream( webPage->content, &fileHandle );
if( retCode != TA_SUCCESS )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_WebPageFree( webPage );
TA_Free( (char *)localDecodingParam.uirSuffix );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
TA_TRACE_RETURN( retCode );
}
if( firstTime )
{
/* Make assumption of the data provided
* base on the number of fields in the CSV file.
*/
nbField = nbCommaField( webPage->content );
switch( nbField )
{
case 2:
readOpInfo = yahooHandle->readOp2Fields;
break;
case 5:
readOpInfo = yahooHandle->readOp5Fields;
break;
default:
readOpInfo = yahooHandle->readOp6Fields;
}
#if !defined( TA_SINGLE_THREAD )
/* Must use a local copy if multi-threaded */
retCode = TA_ReadOpInfoClone(&readOpInfo, readOpInfo);
if( retCode != TA_SUCCESS )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_WebPageFree( webPage );
TA_Free( (char *)localDecodingParam.uirSuffix );
TA_TRACE_RETURN( retCode );
}
#endif
/* User asking for all the fields? */
if( fieldToAlloc == TA_ALL )
{
switch( nbField )
{
case 2:
fieldToAlloc = TA_CLOSE|TA_TIMESTAMP;
break;
case 5:
fieldToAlloc = TA_OPEN|TA_HIGH|TA_LOW|TA_CLOSE|TA_TIMESTAMP;
break;
default:
fieldToAlloc = TA_OPEN|TA_HIGH|TA_LOW|TA_CLOSE|TA_VOLUME|TA_TIMESTAMP;
}
}
/* Optimize the read op for the requested data. */
retCode = TA_ReadOp_Optimize( readOpInfo,
period,
fieldToAlloc );
if( retCode != TA_SUCCESS )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_WebPageFree( webPage );
TA_Free( (char *)localDecodingParam.uirSuffix );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
TA_TRACE_RETURN( retCode );
}
/* Make an estimation of the number of price bar. */
nbEstimateBar = TA_StreamCountChar( webPage->content, '\n' ) + 1;
if( nbEstimateBar < 100 )
nbEstimateBar = 100;
}
/* Interpret the CSV data. */
retCode = TA_ReadOp_Do( fileHandle,
readOpInfo,
period, &firstBarTimestamp, &lastBarTimestamp,
nbEstimateBar, fieldToAlloc,
paramForAddData,
&nbBarAdded );
TA_FileSeqClose( fileHandle );
TA_WebPageFree( webPage );
nbTotalBarAdded += nbBarAdded;
if( retCode != TA_SUCCESS )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_Free( (char *)localDecodingParam.uirSuffix );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
TA_TRACE_RETURN( retCode );
}
/* Yahoo! does not always return all the data it could, up to
* the requested end date. It is important to detect these occurence
* and cancel the usage of all data accumulated up to now.
*/
TA_GetInfoFromAddedData( paramForAddData, &infoFromAddedData );
if( infoFromAddedData.barAddedSinceLastCall )
{
/* Do some more checking by considering holidays, week-end etc... */
if( !isGapAcceptable(&infoFromAddedData.highestTimestampAddedSinceLastCall, &lastBarTimestamp) )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_Free( (char *)localDecodingParam.uirSuffix );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
TA_TRACE_RETURN( TA_DATA_GAP );
}
TA_TimestampCopy( &lastBarTimestamp, &infoFromAddedData.lowestTimestamp );
}
#if DEBUG_PRINTF
printf( "NB BAR ADDED=%d, TOTAL=%d\n", nbBarAdded, nbTotalBarAdded );
#endif
/* Verify if more data should be processed.
* Yahoo! sometimes slice their data, in
* batch of 200 price bars.
*/
if( firstTime && (nbBarAdded > 200) )
{
again = 0; /* Assume all the data extracted... exit the loop. */
}
else if( nbBarAdded == 0 )
{
/* Make multiple attempts when retreiving data succeed,
* but somehow there is zero bar returned.
*
* Sometimes this might be correct when there is truly no
* more data available, so choosing an algorithm before
* giving up is a comprimise between reliability and
* usability. The data source is free... and you get
* what you pay for after all ;)
*/
if( (nbTotalBarAdded < 1000) && (zeroBarAddedAttempt >= 1) && (zeroBarAddedAttempt < 7) )
{
/* I did choose to add a delay when insufficient total data is returned. When
* there is already ~5 years of data, most likely there is "Zero" returned
* because there is NO more data available, so just do the retry without delay.
*/
TA_Sleep(zeroBarAddedAttempt*2);
}
#if DEBUG_PRINTF
printf( "Retry %d", zeroBarAddedAttempt );
#endif
zeroBarAddedAttempt++;
}
else
{
zeroBarAddedAttempt = 0;
if( TA_TimestampEqual( &lastBarTimestamp, &prevEndDate ) )
{
/* prevEndDate is a "safety net" to
* exit the loop early in case Yahoo! starts
* to return always the same batch of data.
* Just ignore the repetitive data and exit.
*/
TA_Free( (char *)localDecodingParam.uirSuffix );
TA_StringFree( stringCache, yahooName );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
TA_TRACE_RETURN( TA_SUCCESS );
}
TA_TimestampCopy( &prevEndDate, &lastBarTimestamp );
/* Request the data up to the day BEFORE
* the last batch of data received.
*/
TA_PrevDay( &lastBarTimestamp );
/* Make sure that lastBarTimestamp is a week-day. */
dayOfWeek = TA_GetDayOfTheWeek( &lastBarTimestamp );
if( (dayOfWeek == TA_SUNDAY) || (dayOfWeek == TA_SATURDAY) )
TA_PrevWeekday( &lastBarTimestamp );
/* Change the dates in the uirSuffix. */
buildUIRSuffix( &suffixParsing,
&firstBarTimestamp, &lastBarTimestamp,
(char *)localDecodingParam.uirSuffix );
/* From that point, data is expected to be most likely
* sent in batch of 200.
*/
nbEstimateBar = 200;
}
firstTime = 0;
}
/* Get rid of some memory not used anymore. */
TA_Free( (char *)localDecodingParam.uirSuffix );
#if !defined( TA_SINGLE_THREAD )
if( readOpInfo )
TA_ReadOpInfoFree( readOpInfo );
#endif
/* If adjusted data is requested, use splits and dividend info from Yahoo!. */
if( doAdjustment && (nbTotalBarAdded >= 1) )
{
/* Get the decoding parameter for the adjustment page. */
if( yahooHandle->param->id == TA_YAHOO_ONE_SYMBOL )
{
retCode = TA_YahooIdxDataDecoding( yahooHandle->webSiteCountry,
TA_YAHOOIDX_ADJUSTMENT,
&directYahooDecodingParam );
if( retCode != TA_SUCCESS )
{
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( retCode );
}
decodingParam = &directYahooDecodingParam;
}
else
{
decodingParam = TA_YahooIdxDecodingParam( yahooHandle->index, TA_YAHOOIDX_ADJUSTMENT );
if( !decodingParam )
{
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( TA_INTERNAL_ERROR(140) );
}
}
localDecodingParam = *decodingParam;
if( !setUIRSuffixParsing( decodingParam->uirSuffix, &suffixParsing ) )
{
/* This should never happen unless the
* Yahoo! index protocol has been broken.
*/
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( TA_INTERNAL_ERROR(141) );
}
/* Use a local copy of the decoding param.
* This is because the uirSuffix is replaced with
* an allocated buffer (so the date field can be
* manipulated).
*/
/* Replace the uirSuffix with a large local buffer. */
localDecodingParam.uirSuffix = TA_Malloc( suffixParsing.maxTotalLength );
if( !localDecodingParam.uirSuffix )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( TA_ALLOC_ERR );
}
/* curAdjustYear indicates for which year the download is
* taking place.
*/
TA_SetDefault( &curAdjustYear );
TA_SetDateNow( &curAdjustYear );
/* Identify the oldest year for which data was downloaded */
TA_GetInfoFromAddedData( paramForAddData, &infoFromAddedData );
TA_TimestampCopy( &lastAdjustYear, &infoFromAddedData.lowestTimestamp );
TA_PrevYear( &lastAdjustYear ); /* Get one more year to be on the safe side. */
while( TA_TimestampLess( &lastAdjustYear, &curAdjustYear ) )
{
/* Set prevEndDate to two years earlier. */
TA_TimestampCopy( &prevEndDate, &curAdjustYear );
TA_PrevYear( &prevEndDate );
TA_PrevYear( &prevEndDate );
/* Change the dates in the uirSuffix. */
TA_SetDate( TA_GetYear(&curAdjustYear), 12, 31, &curAdjustYear );
TA_SetDate( TA_GetYear(&prevEndDate), 1, 1, &prevEndDate );
buildUIRSuffix( &suffixParsing,
&prevEndDate, &curAdjustYear,
(char *)localDecodingParam.uirSuffix );
retCode = doAdjustments( &localDecodingParam, yahooName,
yahooHandle, NULL, paramForAddData );
if( retCode != TA_SUCCESS )
{
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_Free( (char *)localDecodingParam.uirSuffix );
TA_TRACE_RETURN( retCode );
}
/* Move 3 years earlier. */
TA_PrevYear( &prevEndDate );
TA_TimestampCopy( &curAdjustYear, &prevEndDate );
}
/* Clean-up what was allocated for the adjustment logic. */
TA_Free( (char *)localDecodingParam.uirSuffix );
}
/* Clean-up and exit */
TA_StringFree( stringCache, yahooName );
TA_TRACE_RETURN( retCode );
}
/**** Local functions definitions. ****/
ErrorNumber test_period( TA_UDBase *unifiedDatabase )
{
TA_RetCode retCode;
TA_History *history;
const TA_Timestamp *timestamp;
unsigned int i;
ErrorNumber retValue;
TA_AddDataSourceParam addParam;
TA_HistoryAllocParam histParam;
printf( "Testing period/timeframe conversion\n" );
/* Add access to some intra-day data. */
memset( &addParam, 0, sizeof( TA_AddDataSourceParam) );
addParam.id = TA_ASCII_FILE;
addParam.location = "..\\src\\tools\\ta_regtest\\sampling\\ES.csv";
addParam.info ="[YY][MM][DD][HH][MN=5][O][H][L][C][V]";
addParam.category = "TA_SIM_REF";
retCode = TA_AddDataSource( unifiedDatabase,&addParam );
if( retCode != TA_SUCCESS )
{
printf( "Can't access [%s] (%d)\n", addParam.location, retCode );
return TA_PERIOD_HISTORYALLOC_FAILED;
}
/* Because period transformation are very
* dependend on the "delta" timestamp functions,
* let's indepedently verify some of these.
*/
retValue = testTimestampDelta();
if( retValue != TA_TEST_PASS )
return retValue;
/* Verify everything from the checkTable. */
for( i=0; i < CHECK_TABLE_SIZE; i++ )
{
/* Validate by requesting all the data in a
* different timeframe.
*/
memset( &histParam, 0, sizeof( TA_HistoryAllocParam ) );
histParam.category = "TA_SIM_REF";
histParam.symbol = checkTable[i].symbol;
histParam.field = TA_ALL;
histParam.period = checkTable[i].period;
histParam.flags = checkTable[i].flags;
retCode = TA_HistoryAlloc( unifiedDatabase, &histParam, &history );
if( retCode != TA_SUCCESS )
{
printf( "%s%d.1 [%d]\n", fail_header, i, retCode );
return TA_PERIOD_HISTORYALLOC_FAILED;
}
if( history->nbBars != checkTable[i].nbExpectedPriceBar )
{
printf( "%s%d.2 [%d != %d]\n",
fail_header, i,
history->nbBars,
checkTable[i].nbExpectedPriceBar );
TA_HistoryFree( history );
return TA_PERIOD_NBBAR_INCORRECT;
}
/* If the call is expected to return an empty history, no further check are done. */
if( checkTable[i].nbExpectedPriceBar == 0 )
{
retCode = TA_HistoryFree( history );
if( retCode != TA_SUCCESS )
{
printf( "%s%d.16 [%d]\n", fail_header, i, retCode );
return TA_PERIOD_HISTORYFREE_FAILED;
}
continue;
}
#define CHECK_VALUE_OK(varName, subtestNo ) \
{ \
if( !TA_REAL_EQ( history->varName[checkTable[i].thePriceBarToCheck], checkTable[i].expected_##varName, 0.01 ) ) \
{ \
printf( "%s%d.%d [%f != %f]\n", \
fail_header, i, subtestNo, \
(TA_Real) history->varName[checkTable[i].thePriceBarToCheck], \
(TA_Real) checkTable[i].expected_##varName ); \
TA_HistoryFree( history ); \
return TA_PERIOD_PRICE_INCORRECT; \
} \
}
CHECK_VALUE_OK( open, 3 );
CHECK_VALUE_OK( high, 4 );
CHECK_VALUE_OK( low, 5 );
CHECK_VALUE_OK( close, 6 );
CHECK_VALUE_OK( volume, 7 );
if( history->openInterest != NULL )
{
printf( "%s%d.8\n", fail_header, i );
TA_HistoryFree( history );
return TA_PERIOD_OPENINTEREST_INCORRECT;
}
timestamp = &history->timestamp[checkTable[i].thePriceBarToCheck];
if( TA_GetYear( timestamp ) != checkTable[i].expected_year )
{
printf( "%s%d.9 %d\n", fail_header, i, TA_GetYear(timestamp) );
TA_HistoryFree( history );
return TA_PERIOD_TIMESTAMP_YEAR_INCORRECT;
}
if( TA_GetMonth( timestamp ) != checkTable[i].expected_month )
{
printf( "%s%d.10 %d\n", fail_header, i, TA_GetMonth(timestamp) );
TA_HistoryFree( history );
return TA_PERIOD_TIMESTAMP_MONTH_INCORRECT;
}
if( TA_GetDay( timestamp ) != checkTable[i].expected_day )
{
printf( "%s%d.11 %d\n", fail_header, i, TA_GetDay(timestamp) );
TA_HistoryFree( history );
return TA_PERIOD_TIMESTAMP_DAY_INCORRECT;
}
if( TA_GetHour( timestamp ) != checkTable[i].expected_hour )
{
printf( "%s%d.12 %d\n", fail_header, i, TA_GetHour(timestamp) );
TA_HistoryFree( history );
return TA_PERIOD_TIMESTAMP_DAY_INCORRECT;
}
if( TA_GetMin( timestamp ) != checkTable[i].expected_min )
{
printf( "%s%d.13 %d\n", fail_header, i, TA_GetMin(timestamp) );
TA_HistoryFree( history );
return TA_PERIOD_TIMESTAMP_DAY_INCORRECT;
}
if( TA_GetSec( timestamp ) != checkTable[i].expected_sec )
{
printf( "%s%d.14 %d\n", fail_header, i, TA_GetSec(timestamp) );
TA_HistoryFree( history );
return TA_PERIOD_TIMESTAMP_DAY_INCORRECT;
}
retCode = TA_HistoryFree( history );
if( retCode != TA_SUCCESS )
{
printf( "%s%d.15 [%d]\n", fail_header, i, retCode );
return TA_PERIOD_HISTORYFREE_FAILED;
}
}
return 0; /* Succcess. */
}
static TA_RetCode equityPeriodTransform( TA_PMPriv *pmPriv,
TA_Period newPeriod, /* The new desired period. */
unsigned int *nbBars, /* Return the number of price bar */
TA_Timestamp **timestamp, /* Allocate new timestamp. */
TA_Real **equity ) /* Allocate new equity. */
{
TA_PROLOG
/* Notice that this function is very similar to the
* TA_PeriodTransform function in ta_period.c
*
* If you find a bug here, may be worth double
* checking TA_PeriodTransform as well...
*/
TA_RetCode retCode;
/* Temporaries. */
const TA_Timestamp *tempTimestamp;
unsigned int tempInt, tempInt2;
/* Variable used to identify period crossing. */
unsigned int currentWeek, currentMonth, currentYear, currentQuarter;
/* Pointer on the history being transformed. */
const TA_Timestamp *old_timestamp;
const TA_Real *old_equity;
TA_Integer old_nbBars;
/* Pointer on the transformed data. */
TA_Timestamp *new_timestamp; /* New allocated timestamp. */
TA_Real *new_equity; /* New allocated open. */
TA_Integer new_nbBars;
TA_Timestamp cur_timestamp; /* Current new timestamp of new period. */
TA_Real cur_equity; /* Current new equity of new period. */
int oldPriceBar, newPriceBar; /* Array iterators. */
unsigned int again, periodCompleted; /* Boolean */
int firstIteration;
TA_TRACE_BEGIN( TA_PeriodTransform );
/* Validate some mandatory parameter. */
TA_ASSERT( newPeriod != 0 );
TA_ASSERT( nbBars != NULL );
/* It is assume that the caller call this function
* when there is really a transform to do.
*/
TA_ASSERT( newPeriod != TA_DAILY );
/* Of course, timestamps from the source are needed. */
TA_ASSERT( pmPriv->arrayTimestamp != NULL );
/* Initialize all callers pointers to NULL.
* These will be initialize only on success.
* In the meantime, new_XXXX pointers are
* going to be used on the new allocated data.
*/
if( !timestamp || !equity )
return TA_BAD_PARAM;
*timestamp = NULL;
*equity = NULL;
*nbBars = 0;
/* Validate the supported transformation. */
/* Eliminate all the transform that
* are currently not supported.
* Identify also the major steps
* needed to perform the transformation.
*/
switch( newPeriod )
{
case TA_WEEKLY:
case TA_MONTHLY:
case TA_QUARTERLY:
case TA_YEARLY:
/* These are supported. */
break;
default:
TA_TRACE_RETURN( TA_PERIOD_NOT_AVAILABLE );
}
/* OK.. now proceed with the transformations.
* The strategy is simple:
* The equity for the whole period will be the
* equity at the last daily price bar of
* that period.
*/
old_timestamp = &pmPriv->arrayTimestamp[0];
old_equity = &pmPriv->equity[0];
old_nbBars = pmPriv->nbDailyBars;
new_timestamp = NULL;
newPriceBar = 0;
cur_timestamp.date = 0; /* Current new timestamp of new period. */
cur_timestamp.time = 0; /* Current new timestamp of new period. */
/* Overestimate the number of required new price bar. */
switch( newPeriod )
{
case TA_WEEKLY:
retCode = TA_TimestampDeltaWeek( &old_timestamp[0], &old_timestamp[old_nbBars-1], (unsigned int *)&new_nbBars );
break;
case TA_MONTHLY:
retCode = TA_TimestampDeltaMonth( &old_timestamp[0], &old_timestamp[old_nbBars-1], (unsigned int *)&new_nbBars );
break;
case TA_QUARTERLY:
retCode = TA_TimestampDeltaQuarter( &old_timestamp[0], &old_timestamp[old_nbBars-1], (unsigned int *)&new_nbBars );
break;
case TA_YEARLY:
retCode = TA_TimestampDeltaYear( &old_timestamp[0], &old_timestamp[old_nbBars-1], (unsigned int *)&new_nbBars );
break;
default:
TA_TRACE_RETURN( TA_INTERNAL_ERROR(126) );
}
if( retCode != TA_SUCCESS )
{
TA_TRACE_RETURN( retCode );
}
new_nbBars += 2; /* To be on the safe side */
/* Allocate the new data. */
new_timestamp = TA_Malloc( new_nbBars * sizeof( TA_Timestamp ) );
if( !new_timestamp )
{
TA_TRACE_RETURN( TA_ALLOC_ERR );
}
new_equity = TA_Malloc( new_nbBars * sizeof( TA_Real ) );
if( !new_equity )
{
TA_Free( new_timestamp );
TA_TRACE_RETURN( TA_ALLOC_ERR );
}
/* Allows to detect crossing of the new period. */
currentYear = TA_GetYear ( &old_timestamp[0] );
currentMonth = TA_GetMonth( &old_timestamp[0] );
currentWeek = TA_GetWeekOfTheYear( &old_timestamp[0] );
currentQuarter = TA_GetQuarterOfTheYear( &old_timestamp[0] );
/* Iterate through the old price bar. */
oldPriceBar = 0;
/* Iterate through the new price bar. */
newPriceBar = 0;
again = 1; /* Becomes false when all bars are processed. */
while( again )
{
/* Initialize cur_XXXXXX variables with the first bar in old timeframe. */
cur_timestamp = old_timestamp[oldPriceBar];
cur_equity = old_equity [oldPriceBar];
/* Go through the bars and accumulate the info
* until the end of the requested period is reach.
*/
periodCompleted = 0;
firstIteration = 1;
while( (oldPriceBar < old_nbBars) && !periodCompleted )
{
tempTimestamp = &old_timestamp[oldPriceBar];
/* Check if we reached an end of period. */
switch( newPeriod )
{
case TA_WEEKLY:
tempInt = TA_GetWeekOfTheYear( tempTimestamp );
/* Trap weeks on years boundary. */
if( (currentWeek == 52) && (tempInt == 0) )
currentWeek = 0;
else if( currentWeek != tempInt )
{
periodCompleted = 1;
currentWeek = tempInt;
}
break;
case TA_MONTHLY:
tempInt = TA_GetMonth( tempTimestamp );
tempInt2 = TA_GetYear(tempTimestamp);
if( (currentMonth != tempInt) ||
(currentYear != tempInt2) )
{
periodCompleted = 1;
currentMonth = tempInt;
currentYear = tempInt2;
}
break;
case TA_QUARTERLY:
tempInt = TA_GetQuarterOfTheYear( tempTimestamp );
tempInt2 = TA_GetYear(tempTimestamp);
if( (currentQuarter != tempInt) ||
(currentYear != tempInt2) )
{
periodCompleted = 1;
currentQuarter = tempInt;
currentYear = tempInt2;
}
break;
case TA_YEARLY:
tempInt = TA_GetYear( tempTimestamp );
if( currentYear != tempInt )
{
periodCompleted = 1;
currentYear = tempInt;
}
break;
default:
/* Do nothing */
break;
}
/* If this is not the end of a period (in the new timeframe)
* just accumulate the data. If this is the end of the period
* that while loop will be exited.
* Nothing is done on the first iteration because all the
* cur_XXXX variables have been already initialized.
*/
if( !periodCompleted )
{
if( !firstIteration )
{
/* Adjust the new price bar. */
cur_timestamp = old_timestamp[oldPriceBar];
cur_equity = old_equity [oldPriceBar];
}
else
firstIteration = 0;
/* Move to next bar. */
oldPriceBar++;
}
}
/* We got all the info needed in the cur_XXXXX variables for
* proceeding with the initialization of the new period price bar.
*/
TA_DEBUG_ASSERT( newPriceBar < new_nbBars );
/* If the timestamp is requested, some adjustment could be
* needed to cur_timestamp.
*/
switch( newPeriod )
{
case TA_WEEKLY:
/* Now something a little bit tricky, we must
* make sure that this new price bar is reported
* as being the Friday of that week (even if there
* is no price bar for that Friday).
*/
TA_JumpToDayOfWeek( &cur_timestamp, TA_FRIDAY );
break;
case TA_MONTHLY:
/* Monthly timestamp always end with the last day of
* the month. Even if there was no actual transaction
* the last day.
*/
TA_JumpToEndOfMonth( &cur_timestamp );
break;
case TA_QUARTERLY:
/* Quarterly timestamp always end with the last day of
* the quarter. Even if there was no actual transaction
* the last day.
* Quarter 1 = 3/31
* Quarter 2 = 6/30
* Quarter 3 = 9/30
* Quarter 4 = 12/31
*/
TA_JumpToEndOfQuarter( &cur_timestamp );
break;
case TA_YEARLY:
/* Yearly data always end on 12/31. */
TA_JumpToEndOfYear( &cur_timestamp );
break;
default:
/* Do nothing. */
break;
}
/* The new price bar is initialized here. */
new_timestamp[newPriceBar] = cur_timestamp;
new_equity [newPriceBar] = cur_equity;
/* This new period bar is completed, move to the next one. */
newPriceBar++;
/* Any more data to process? */
if( oldPriceBar >= old_nbBars)
again = 0; /* All bars have been processsed. */
}
/* All done! Return the final result to the caller. */
*equity = new_equity;
*timestamp = new_timestamp;
*nbBars = newPriceBar;
TA_TRACE_RETURN( TA_SUCCESS );
}
static ErrorNumber checkRangeSame( TA_UDBase *udb,
const TA_History *historyRef,
const TA_Timestamp *start,
const TA_Timestamp *end,
TA_Period period,
unsigned int startIdx,
unsigned int nbPriceBar )
{
TA_History *history;
unsigned int i;
TA_RetCode retCode;
TA_HistoryAllocParam histParam;
int retry, again;
/* Try up to 10 times to get the requested number of
* price bar (sometimes Yahoo! or the Web do fail to
* return the data).
*/
again = 1;
for( retry=0; (retry < 10) && again; retry++ )
{
memset( &histParam, 0, sizeof( TA_HistoryAllocParam ) );
histParam.category = "CA.TSE.STOCK";
histParam.symbol = "NT";
histParam.field = TA_ALL;
histParam.start = *start;
histParam.end = *end;
histParam.period = period;
retCode = TA_HistoryAlloc( udb, &histParam, &history );
if( (retCode == TA_SUCCESS) && (history->nbBars == nbPriceBar) )
again = 0;
else
{
printf( "Warning: Yahoo! history alloc retry #%d of 10\n", retry+1 );
if( retCode == TA_SUCCESS )
{
TA_HistoryFree( history );
}
TA_Sleep( 10 /* seconds */ );
}
}
if( retCode != TA_SUCCESS )
{
reportError( "TA_HistoryAlloc", retCode );
return TA_YAHOO_CRS_HISTORYALLOC_FAILED;
}
/* Check that the expected number of price bar is returned. */
if( history->nbBars != nbPriceBar )
{
printf( "Failed: nbBars (received != requested)=(%d != %d)\n",
history->nbBars, nbPriceBar );
TA_HistoryFree( history );
return TA_YAHOO_CRS_NBBARSBAD;
}
/* printf( "startIdx=%d\n", startIdx ); */
/* Check that the data is the same for the range. */
for( i=0; i < nbPriceBar; i++ )
{
if( !TA_TimestampEqual( &history->timestamp[i], &historyRef->timestamp[startIdx+i] ) ||
(history->open[i] != historyRef->open[startIdx+i]) ||
(history->high[i] != historyRef->high[startIdx+i]) ||
(history->low[i] != historyRef->low[startIdx+i]) ||
(history->close[i] != historyRef->close[startIdx+i]) ||
(history->volume[i] != historyRef->volume[startIdx+i]) )
{
printf( "Failed: Price Bar value different\n" );
printf( "Failed: Data = %d/%d/%d : %f,%f,%f,%f,%d\n",
TA_GetMonth(&history->timestamp[i]),
TA_GetDay(&history->timestamp[i]),
TA_GetYear(&history->timestamp[i]),
history->open[i],
history->high[i],
history->low[i],
history->close[i],
history->volume[i] );
printf( "Failed: Ref = %d/%d/%d : %f,%f,%f,%f,%d\n",
TA_GetMonth(&historyRef->timestamp[i]),
TA_GetDay(&historyRef->timestamp[i]),
TA_GetYear(&historyRef->timestamp[i]),
historyRef->open[startIdx+i],
historyRef->high[startIdx+i],
historyRef->low[startIdx+i],
historyRef->close[startIdx+i],
historyRef->volume[startIdx+i] );
TA_HistoryFree( history );
return TA_YAHOO_CRS_PRICEBARBAD;
}
}
retCode = TA_HistoryFree( history );
if( retCode != TA_SUCCESS )
{
reportError( "TA_HistoryFree", retCode );
return TA_YAHOO_HISTORYFREE_FAILED;
}
return TA_TEST_PASS;
}
TA_RetCode TA_EstimateAllocInit( const TA_Timestamp *start,
const TA_Timestamp *end,
TA_Period period,
unsigned int minimumSize,
unsigned int maximumSize,
TA_EstimateInfo *estimationInfo,
unsigned int *nbElementToAllocate )
{
unsigned int nbElement;
#if 0
/* Force extrems value for testing. */
*nbElementToAllocate = 1;
return TA_SUCCESS;
#endif
nbElement = minimumSize; /* Default */
if( start && end )
{
switch( period )
{
case TA_DAILY:
TA_TimestampDeltaDay( start, end, &nbElement );
break;
case TA_WEEKLY:
TA_TimestampDeltaWeek( start, end, &nbElement );
break;
case TA_MONTHLY:
TA_TimestampDeltaMonth( start, end, &nbElement );
break;
case TA_QUARTERLY:
TA_TimestampDeltaQuarter( start, end, &nbElement );
break;
case TA_YEARLY:
TA_TimestampDeltaYear( start, end, &nbElement );
break;
default:
if( (period >= TA_1SEC) && (period <= TA_1HOUR) )
{
/* Estimate the number of day */
if( (TA_GetDay (start) != TA_GetDay (end)) ||
(TA_GetMonth(start) != TA_GetMonth(end)) ||
(TA_GetYear (start) != TA_GetYear (end)) )
{
/* Estimate assuming market is open for 8 hours per day
* (it does not hurt to slightly under or over estimate)
*/
TA_TimestampDeltaDay( start, end, &nbElement );
nbElement *= (8*60*60);
nbElement /= period;
}
else
{
nbElement = (8*60*60);
nbElement /= period;
}
}
break;
}
nbElement += 2;
}
/* Make the estimation fits within the max/min provided. */
estimationInfo->maximumSize = maximumSize;
estimationInfo->minimumSize = minimumSize;
if( nbElement > maximumSize )
nbElement = maximumSize;
if( nbElement < minimumSize )
nbElement = minimumSize;
*nbElementToAllocate = nbElement;
return TA_SUCCESS;
}
