RTAPI: dmitry_env/ATP/robotrader/robotrader/ITechnicalAnalysisHelper.h Source File

00001 /***************************************************************************
00002 *    
00003 *                       Copyright (c) 2007-2010  Argo SE, Inc. All rights reserved. 
00004 *
00005 * The following source code, and the ideas, expressions and concepts
00006 * incorporated therein, as well as the ideas, expressions and concepts of
00007 * any other material (whether tangible or intangible) disclosed in
00008 * conjunction with this source code, are the exclusive and proprietary
00009 * property, and constitutes confidential information, of Argo SE, Inc.
00010 * Accordingly, the user of this source code
00011 * agrees that it shall continue to be bound by the terms and conditions of
00012 * any and all confidentiality agreements executed with Argo SE, Inc.
00013 * concerning the disclosure of the source code and any other materials in 
00014 * conjunction therewith. 
00015 *
00016 */
00017 
00023 #pragma once
00024 
00025 #include "RobotHelperInterfaces.h"
00026 
00027 namespace corelib
00028 {
00029 struct security_identifier_t;
00030 }
00031 
00032 
00033 namespace RT
00034 {
00035 
00036 enum MAType
00037 {
00038         SIMPLE = 1,
00039         EXPONENTIAL = 2,
00040         TIME_SERIES = 3,
00041         VARIABLE = 4,
00042         TRIANGULAR = 5,
00043         WEIGHTED = 6,
00044         VOLATILITY = 7
00045 };
00046 
00055 class ITechnicalAnalysisHelper
00056 {
00057 public:
00058         virtual void setMarketDataHelper(IMarketDataHelper*) = 0;
00059 
00071         virtual int SimpleMovingAverage(const std::string&      symbol,
00072                 TAHistDataType                                  type,
00073                 int          optInTimePeriod,   // time period
00074                 double&       outValue,
00075                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00076         
00078         virtual int ExponentialMovingAverage(const std::string& symbol,
00079                 TAHistDataType  type,
00080                 int          optInTimePeriod, /* From 2 to 100000 */
00081                 double&       outValue,
00082                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00083         
00085         virtual int TriangularMovingAverage(
00086         const std::string&      symbol,
00087                 TAHistDataType                           type,
00088                 int          optInTimePeriod, /* From 2 to 100000 */
00089                 double&       outValue,
00090                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00091         
00093         virtual int WeightedMovingAverage(  
00094         const std::string&      symbol,
00095                 TAHistDataType                           type,
00096                 int          optInTimePeriod, /* From 2 to 100000 */
00097                 double&       outValue,
00098                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00099         
00100         // Linear Regression Functions
00101 
00103         virtual int RSquared(   
00104         const std::string&      symbol,
00105                 TAHistDataType  type,
00106                 int          optInTimePeriod, /* From 2 to 100000 */
00107                 double&       outValue,
00108                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00109         
00111         virtual int Slope(
00112         const std::string&      symbol,
00113                 TAHistDataType  type,
00114                 int          optInTimePeriod, /* From 2 to 100000 */
00115                 double&       outValue,
00116                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00117 
00119         virtual int Forecast(
00120         const std::string&      symbol,
00121                 TAHistDataType                                  type,
00122                 int          optInTimePeriod, /* From 2 to 100000 */
00123                 double&       outValue,
00124                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00125         
00127         virtual int Intercept(  
00128         const std::string&      symbol,
00129                 TAHistDataType                                  type,
00130                 int          optInTimePeriod, /* From 2 to 100000 */
00131                 double&       outValue,
00132                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00133 
00134 
00135 
00136         // Band Functions
00138         virtual int BollingerBands(
00139         const std::string&      symbol,
00140                 TAHistDataType                           type,
00141                 int          optInTimePeriod, /* From 2 to 100000 */
00142                 double        optInNbDevUp, /* From TA_REAL_MIN to TA_REAL_MAX */
00143                 double        optInNbDevDn, /* From TA_REAL_MIN to TA_REAL_MAX */
00144                 MAType       optInMAType,
00145                 double&       outRealUpperBand,
00146                 double&       outRealMiddleBand,
00147                 double&       outRealLowerBand,
00148                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00149 
00150 
00151         
00152         //Oscillator Functions
00153 
00155         virtual int MomentumOscillator(
00156         const std::string&      symbol,
00157                 TAHistDataType                           type,
00158                 int          optInTimePeriod, /* From 2 to 100000 */
00159                 double&       outValue,
00160                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00161         
00163         virtual int ChandeMomentumOscillator(
00164         const std::string&      symbol,
00165                 TAHistDataType                                  type,
00166                 int          optInTimePeriod, /* From 2 to 100000 */
00167                 MAType       optInMAType,
00168                 double&       outValue,
00169                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00170         
00172         virtual int PriceOscillator(
00173         const std::string&      symbol,
00174                 TAHistDataType                           type,
00175                 int           optInFastPeriod, /* From 2 to 100000 */
00176                 int           optInSlowPeriod, /* From 2 to 100000 */
00177                 MAType       optInMAType,
00178                 double&       outValue,
00179                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00180         
00182         virtual int AbsolutePriceOscillator( 
00183         const std::string&      symbol,
00184                 TAHistDataType                           type,
00185                 int           optInFastPeriod, /* From 2 to 100000 */
00186                 int           optInSlowPeriod, /* From 2 to 100000 */
00187                 MAType           optInMAType,
00188                 double&       outValue,
00189                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00190         
00192         virtual int TRIX(
00193         const std::string&      symbol,
00194                 TAHistDataType                                  type,
00195                 int          optInTimePeriod, /* From 2 to 100000 */
00196                 double&       outValue,
00197                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00198         
00200         virtual int WilliamsPctR(
00201         const std::string&      symbol,
00202                 int          optInTimePeriod, /* From 2 to 100000 */
00203                 double&       outValue,
00204                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00205         
00207         virtual int ChaikinADOscillator(
00208         const std::string&      symbol,
00209                 int           optInFastPeriod, /* From 2 to 100000 */
00210                 int           optInSlowPeriod, /* From 2 to 100000 */
00211                 double&       outValue,
00212                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00213 
00214 
00215         
00217         virtual int Aroon(      
00218         const std::string&      symbol,
00219                 int          optInTimePeriod, /* From 2 to 100000 */
00220                 double&        outAroonDown,
00221                 double&       outAroonUp,
00222                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00223 
00225         virtual int MACD(
00226         const std::string&      symbol,
00227                 TAHistDataType                                  type,
00228                 int           optInFastPeriod, /* From 2 to 100000 */
00229                 int           optInSlowPeriod, /* From 2 to 100000 */
00230                 int           optInSignalPeriod, /* From 1 to 100000 */
00231                 double&        outMACD,
00232                 double&        outMACDSignal,
00233                 double&        outMACDHist,
00234                 int                       offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00235         
00237         virtual int STOCH( 
00238         const std::string&      symbol,
00239                 int          optInFastK_Period, /* From 1 to 100000 */
00240                 int          optInSlowK_Period, /* From 1 to 100000 */
00241                 MAType           optInSlowK_MAType,
00242                 int          optInSlowD_Period, /* From 1 to 100000 */
00243                 MAType           optInSlowD_MAType,
00244                 double&       outSlowK,
00245                 double&       outSlowD,
00246                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00247 
00248         //    Index Functions
00249 
00251         virtual int     StandardDeviation( 
00252         const std::string&      symbol,
00253                 TAHistDataType                           type,
00254                 int          optInTimePeriod, /* From 2 to 100000 */
00255                 double       optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
00256                 double&       outValue,
00257                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00258 
00259 
00261         virtual int MoneyFlowIndex( 
00262         const std::string&      symbol,
00263                 int          optInTimePeriod, /* From 2 to 100000 */
00264                 double&       outValue,
00265                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00266 
00268         virtual int RelativeStrengthIndex(      
00269         const std::string&      symbol,
00270                 TAHistDataType                           type,
00271                 int          optInTimePeriod, /* From 2 to 100000 */
00272                 double&       outValue,
00273                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00274         
00275 
00277         virtual int DirectionalMovementIndex(
00278         const std::string&      symbol,
00279                 int          optInTimePeriod, /* From 2 to 100000 */
00280                 double&       outValue,
00281                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00282 
00284         virtual int OnBalanceVolume(
00285         const std::string&      symbol,
00286                 TAHistDataType                           type,
00287                 double&       outValue,
00288                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00289         
00291         virtual int CommodityChannelIndex(
00292         const std::string&      symbol,
00293                 TAHistDataType                           type,
00294                 int          optInTimePeriod, /* From 2 to 100000 */
00295                 double&       outValue,
00296                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00297         
00299         virtual int ParabolicSAR(
00300         const std::string&      symbol,
00301                 double        optInAcceleration, /* From 0 to TA_REAL_MAX */
00302                 double        optInMaximum, /* From 0 to TA_REAL_MAX */
00303                 double&       outValue,
00304                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00305         
00306         //General Indicator Functions
00307 
00309         virtual int MEDIANPRICE(
00310         const std::string&      symbol,
00311                 double&       outValue,
00312                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00313         
00315         virtual int WeightedClose(  
00316         const std::string&      symbol,
00317                 double&       outValue,
00318                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00319         
00321         virtual int VolumeRateOfChange(
00322         const std::string&      symbol,
00323                 TAHistDataType                           type,
00324                 int          optInTimePeriod, /* From 2 to 100000 */
00325                 double&       outValue,
00326                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00327         
00329         virtual int LowestLowValue(const std::string&   symbol,
00330                 //TAHistDataType                                 type, == low
00331                 int          optInTimePeriod, /* From 2 to 100000 */
00332                 double&       outValue,
00333                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00334         
00336         virtual int HighestHighValue(const std::string& symbol,
00337                 //TAHistDataType                                 type, == High
00338                 int          optInTimePeriod, /* From 2 to 100000 */
00339                 double&       outValue,
00340                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00341 
00342         
00344         virtual int CorrelationAnalysis(
00345                 const std::string& symbol0,
00346                 TAHistDataType                           type0,
00347                 const std::string& symbol1,
00348                 TAHistDataType                           type1,
00349                 int          optInTimePeriod, /* From 2 to 100000 */
00350                 double&       outValue,
00351                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00352 
00354         virtual int CandlestickPattern( 
00355         const std::string&      symbol,
00356                 double           optInPenetration, 
00357                 int          optInTimePeriod, /* From 2 to 100000 */
00358                 int                      outIntVector[],
00359                 int                      offset = 0, ohlc_interv_t interval = ohlc_1_day) = 0;
00360 };
00361 
00362 
00363 }