TA_RetCode TA_PMAlloc( const TA_Timestamp *startDate,
const TA_Timestamp *endDate,
TA_Real initialCapital,
TA_PM **allocatedPM )
{
TA_PM *pm;
TA_PMPriv *pmPriv;
unsigned int delta;
TA_RetCode retCode;
/* Check all the parameters. */
if( !allocatedPM )
return TA_BAD_PARAM;
*allocatedPM = NULL;
if( !startDate || !endDate )
return TA_BAD_PARAM;
if( TA_TimestampValidate( startDate ) )
return TA_BAD_START_DATE;
if( TA_TimestampValidate( endDate ) || TA_TimestampGreater( startDate, endDate ) )
return TA_BAD_END_DATE;
/* To keep things simple, it is assumed that
* the requested date range contains at least
* one weekday.
*/
retCode = TA_TimestampDeltaWeekday( startDate, endDate, &delta );
if( retCode != TA_SUCCESS )
return retCode;
if( delta <= 0 )
return TA_NO_WEEKDAY_IN_DATE_RANGE;
/* Allocate the public and private structure. */
pm = TA_Malloc( sizeof( TA_PM ) + sizeof( TA_PMPriv ) );
if( !pm )
return TA_ALLOC_ERR;
memset( pm, 0, sizeof( TA_PM ) + sizeof( TA_PMPriv ) );
pmPriv = (TA_PMPriv *)(((char *)pm)+sizeof(TA_PM));
pmPriv->magicNb = TA_PMPRIV_MAGIC_NB;
pmPriv->initialCapital = initialCapital;
pm->hiddenData = pmPriv;
TA_ListInit( &pmPriv->tradeLogList );
/* TA_PMFree can be safely called from this point. */
TA_TimestampCopy( &pmPriv->endDate, endDate );
TA_TimestampCopy( &pmPriv->startDate, startDate );
/* Success, return the allocated data to the caller. */
*allocatedPM = pm;
return TA_SUCCESS;
}
TA_RetCode TA_TradeLogAdd( TA_TradeLog *tradeLog,
const TA_Transaction *newTransaction )
{
TA_TradeLogPriv *tradeLogPriv;
TA_Instrument *id;
TA_Dict *theDict;
TA_DataLog *dataLog;
TA_TradeDictEntry *dictEntry;
TA_StringCache *stringCache;
TA_String *catString;
TA_String *symString;
const char *catCharPtr;
const char *symCharPtr;
TA_RetCode retCode;
int quantity, entryTradeQuantity;
TA_List *entryListToUse;
TA_DataLog *entryTradeLog;
TA_Real highestLow, highestHigh, lowestLow, lowestHigh;
TA_Real entryPrice, tempReal;
int i;
retCode = TA_INTERNAL_ERROR(120);
/* This function will transform the TA_Transaction into
* an "entry" or multiple "trades" (because an exit can
* be translated into multiple trade if there was multiple
* entry point).
*/
if( !tradeLog || !newTransaction )
return TA_BAD_PARAM;
/* Check that the TA_Transaction makes sense. */
if( (newTransaction->price <= 0.0) ||
(newTransaction->quantity <= 0) ||
(TA_TimestampValidate(&newTransaction->timestamp) != TA_SUCCESS) ||
(newTransaction->type >= TA_NB_TRADE_TYPE))
return TA_BAD_PARAM;
/* Get access to the hidden data of the TA_TradeLog. */
tradeLogPriv = (TA_TradeLogPriv *)tradeLog->hiddenData;
/* Make sure this is a valid object. */
if( !tradeLogPriv || (tradeLogPriv->magicNb != TA_TRADELOGPRIV_MAGIC_NB) )
return TA_BAD_OBJECT;
/* Find the TA_TradeDictEntry corresponding to
* the TA_Instrument.
*
* Use the dictionary corresponding to the type of
* key of the TA_Instrument.
*
* If TA_Instrument is NULL, use the pre-allocated
* default TA_TradeDictEntry.
*/
id = newTransaction->id;
if( !id )
{
dictEntry = &tradeLogPriv->defaultDictEntry;
catCharPtr = NULL;
symCharPtr = NULL;
theDict = NULL;
}
else
{
catCharPtr = id->catString;
symCharPtr = id->symString;
if( catCharPtr )
{
if( symCharPtr )
{
theDict = tradeLogPriv->tradeDictCATSYM;
dictEntry = TA_DictGetValue_S2( theDict, catCharPtr, symCharPtr );
}
else
{
theDict = tradeLogPriv->tradeDictCAT;
dictEntry = TA_DictGetValue_S( theDict, catCharPtr );
}
}
else if( symCharPtr )
{
theDict = tradeLogPriv->tradeDictCAT;
dictEntry = TA_DictGetValue_S( theDict, symCharPtr );
}
else
{
theDict = tradeLogPriv->tradeDictUserKey;
dictEntry = TA_DictGetValue_I( theDict, id->userKey );
}
}
if( !dictEntry )
{
if( !theDict )
return TA_INTERNAL_ERROR(146);
/* The TA_TradeDictEntry was not found, create it! */
dictEntry = TA_Malloc( sizeof( TA_TradeDictEntry ) );
if( !dictEntry )
return TA_ALLOC_ERR;
memset( &dictEntry->id, 0, sizeof(TA_Instrument) );
TA_ListInit( &dictEntry->shortEntryPrivList );
TA_ListInit( &dictEntry->longEntryPrivList );
/* Add the dictEntry to the corresponding dictionary. */
stringCache = TA_GetGlobalStringCache();
if( catCharPtr )
{
catString = TA_StringAlloc( stringCache, catCharPtr );
if( !catString )
{
TA_Free( dictEntry );
return TA_ALLOC_ERR;
}
if( symCharPtr )
{
symString = TA_StringAlloc( stringCache, symCharPtr );
if( !symString )
{
TA_Free( dictEntry );
TA_StringFree( stringCache, catString );
return TA_ALLOC_ERR;
}
retCode = TA_DictAddPair_S2( theDict, catString, symString, dictEntry );
dictEntry->id.symString = TA_StringToChar(symString);
}
else
retCode = TA_DictAddPair_S( theDict, catString, dictEntry );
dictEntry->id.catString = TA_StringToChar(catString);
}
else if( symCharPtr )
{
symString = TA_StringAlloc( stringCache, symCharPtr );
if( !symString )
{
TA_Free( dictEntry );
return TA_ALLOC_ERR;
}
retCode = TA_DictAddPair_S( theDict, symString, dictEntry );
dictEntry->id.symString = TA_StringToChar(symString);
}
else
{
retCode = TA_DictAddPair_I( theDict, id->userKey, dictEntry );
dictEntry->id.userKey = id->userKey;
}
/* Check the retCode of the TA_DictAddXXXXX function. */
if( retCode != TA_SUCCESS )
{
TA_Free( dictEntry );
return TA_ALLOC_ERR;
}
}
/* Identify the approriate list of entry. */
switch( newTransaction->type )
{
case TA_LONG_ENTRY:
case TA_LONG_EXIT:
entryListToUse = &dictEntry->longEntryPrivList;
break;
case TA_SHORT_ENTRY:
case TA_SHORT_EXIT:
entryListToUse = &dictEntry->shortEntryPrivList;
break;
default:
return TA_BAD_PARAM;
}
/* The sign of the quantity indicates if the
* data log is a completed trade (+) or an
* entry (-).
*/
switch( newTransaction->type )
{
case TA_LONG_ENTRY:
case TA_SHORT_ENTRY:
/* Allocate a data log and add it to the list. */
dataLog = TA_AllocatorForDataLog_Alloc( &tradeLogPriv->allocator );
if( !dataLog )
return TA_ALLOC_ERR;
dataLog->u.entry.quantity = -(newTransaction->quantity);
dataLog->u.entry.entryPrice = newTransaction->price;
TA_TimestampCopy( &dataLog->u.entry.entryTimestamp,
&newTransaction->timestamp );
TA_ListNodeAddTail( entryListToUse, &dataLog->u.entry.node, dataLog );
break;
case TA_LONG_EXIT:
case TA_SHORT_EXIT:
/* Invalidate cached calculation of this trade log. */
tradeLogPriv->flags &= ~TA_PMVALUECACHE_CALCULATED;
/* Transform this transaction into one or
* multiple trade(s).
*/
entryTradeLog = TA_ListRemoveHead( entryListToUse );
if( !entryTradeLog )
return TA_ENTRY_TRANSACTION_MISSING;
quantity = newTransaction->quantity;
while( quantity )
{
entryTradeQuantity = -entryTradeLog->u.trade.quantity;
if( entryTradeQuantity == quantity )
{
/* This entry have exactly the right amount of
* position for what needs to be closed.
* Just transform the entry into a trade.
*/
entryTradeLog->u.trade.quantity = quantity;
entryTradeLog->u.trade.id = id;
TA_TimestampCopy( &entryTradeLog->u.trade.exitTimestamp,
&newTransaction->timestamp );
/* Calculate the profit and make the entryPrice
* negative if this is a short trade.
* Both are multiplied by the quantity being
* traded.
*/
entryPrice = entryTradeLog->u.entry.entryPrice;
if( newTransaction->type == TA_LONG_EXIT )
{
entryTradeLog->u.trade.profit = (newTransaction->price-entryPrice)*quantity;
CALC_EXCURSION_LONG;
}
else
{
entryTradeLog->u.trade.profit = (entryPrice-newTransaction->price)*quantity;
entryPrice = -entryPrice;
CALC_EXCURSION_SHORT;
}
entryTradeLog->u.entry.entryPrice = entryPrice * quantity;
return TA_SUCCESS; /* Done! */
}
else if( entryTradeQuantity < quantity )
{
/* This entry have less than the amount of
* position that needs to be closed.
* Just transform the entry into a trade
* and move to the next entry.
*/
entryTradeLog->u.trade.quantity = entryTradeQuantity;
quantity -= entryTradeQuantity;
entryTradeLog->u.trade.id = id;
TA_TimestampCopy( &entryTradeLog->u.trade.exitTimestamp,
&newTransaction->timestamp );
/* Calculate the profit and make the entryPrice
* negative if this is a short trade.
* Both are multiplied by the quantity being
* traded.
*/
entryPrice = entryTradeLog->u.trade.entryPrice;
if( newTransaction->type == TA_LONG_EXIT )
{
entryTradeLog->u.trade.profit = (newTransaction->price-entryPrice)*entryTradeQuantity;
CALC_EXCURSION_LONG;
}
else
{
entryTradeLog->u.trade.profit = (entryPrice-newTransaction->price)*entryTradeQuantity;
entryPrice = -entryPrice;
CALC_EXCURSION_SHORT;
}
entryTradeLog->u.trade.entryPrice = entryPrice * entryTradeQuantity;
/* Move to the next entry. If none available, that means there
* was more "exit" than "entry" and this is considered an
* error.
*/
entryTradeLog = TA_ListRemoveHead( entryListToUse );
if( !entryTradeLog )
return TA_ENTRY_TRANSACTION_MISSING;
}
else
{
/* This entry have more position than what the
* exit requires, so the entry must be preserved.
* Consequently, a new tradeLog must be allocated.
*/
dataLog = TA_AllocatorForDataLog_Alloc( &tradeLogPriv->allocator );
if( !dataLog )
return TA_ALLOC_ERR;
TA_TimestampCopy( &dataLog->u.trade.entryTimestamp,
&entryTradeLog->u.trade.entryTimestamp );
TA_TimestampCopy( &dataLog->u.trade.exitTimestamp,
&newTransaction->timestamp );
dataLog->u.trade.quantity = quantity;
entryPrice = entryTradeLog->u.trade.entryPrice;
if( newTransaction->type == TA_LONG_EXIT )
{
dataLog->u.trade.profit = (newTransaction->price-entryPrice)*quantity;
CALC_EXCURSION_LONG;
}
else
{
dataLog->u.trade.profit = (entryPrice-newTransaction->price)*quantity;
entryPrice = -entryPrice;
CALC_EXCURSION_SHORT;
}
dataLog->u.trade.entryPrice = entryPrice*quantity;
dataLog->u.trade.id = id;
/* Adjust the entry and put it back for being process
* again later.
*/
entryTradeLog->u.trade.quantity += quantity;
TA_ListNodeAddHead( entryListToUse, &entryTradeLog->u.entry.node, entryTradeLog );
return TA_SUCCESS; /* Done! */
}
}
break;
default:
return TA_INTERNAL_ERROR(121);
}
return TA_SUCCESS;
}
static TA_Timestamp *allocTimestampArray( const TA_Timestamp *start,
const TA_Timestamp *end,
int *nbDays )
{
TA_RetCode retCode;
TA_Timestamp *array;
int outIdx;
TA_Timestamp curDate;
TA_DayOfWeek dayOfTheWeek;
TA_ASSERT_RET( TA_TimestampValidate(start) == TA_SUCCESS, (TA_Timestamp *)NULL );
TA_ASSERT_RET( TA_TimestampValidate(end ) == TA_SUCCESS, (TA_Timestamp *)NULL );
TA_ASSERT_RET( nbDays != NULL, (TA_Timestamp *)NULL );
/* Calculate the exact number of week days
* between start and end inclusive.
* Excluding week-ends.
*/
retCode = TA_TimestampDeltaWeekday( start, end, (unsigned int *)nbDays );
if( retCode != TA_SUCCESS )
return (TA_Timestamp *)NULL;
/* Allocate the array. Add two element just to be on the safe side. */
array = TA_Malloc( sizeof( TA_Timestamp ) * ((*nbDays)+2) );
if( !array )
return (TA_Timestamp *)NULL;
/* Fill up the array. */
TA_TimestampCopy( &curDate, start );
/* Write the start point, if it is a weekday. */
outIdx = 0;
dayOfTheWeek = TA_GetDayOfTheWeek( &curDate );
if( (dayOfTheWeek != TA_SUNDAY) && (dayOfTheWeek != TA_SATURDAY) )
{
TA_TimestampCopy( &array[outIdx], &curDate );
outIdx++;
TA_NextWeekday( &curDate );
TA_ASSERT_RET( TA_TimestampValidate(&curDate) == TA_SUCCESS, (TA_Timestamp *)NULL );
}
/* Count the number of weekday */
while( TA_TimestampLess( &curDate, end ) )
{
TA_TimestampCopy( &array[outIdx], &curDate );
outIdx++;
TA_NextWeekday( &curDate );
TA_ASSERT_RET( TA_TimestampValidate(&curDate) == TA_SUCCESS, (TA_Timestamp *)NULL );
}
/* Check if the ending point is a weekday. */
if( TA_TimestampEqual( &curDate, end ) )
{
dayOfTheWeek = TA_GetDayOfTheWeek( &curDate );
if( (dayOfTheWeek != TA_SUNDAY) && (dayOfTheWeek != TA_SATURDAY) )
TA_TimestampCopy( &array[outIdx++], &curDate );
}
TA_ASSERT_RET( outIdx == (*nbDays), (TA_Timestamp *)NULL );
return array;
}