TSAFunctions.h

/*  ===================================================================
*
*                 T R A D I N G   S Y S T E M   A P I ™
*    Copyright © 1999 - 2014 by Peter Ritter ( TradingSystemAPI.com )
*                A L L   R I G H T S   R E S E R V E D
*
*     Consult your license regarding permissions and restrictions.
*             You may obtain a copy of the License at:
*     http://www.TradingSystemAPI.com/licenses/LICENSE-TSAPI-3.0.html
*
*  ====================================================================
*/

#ifndef TSA_FUNCTIONS__INCLUDED
#define TSA_FUNCTIONS__INCLUDED

#include "TSASeriesTemplate.h"
#include "TSAString.h"
#include "TSAGlobal.h"

namespace tsa {

    /*
    ** ================================================================
    **    data / series
    ** ================================================================
    */

    size_t bars_since(const series<bool>& series, size_t period);

    size_t bars_since_nth(const series<bool>& series, size_t period, size_t n_count);

    dll_export size_t bars_since_max(const series<double>& series, size_t period);

    dll_export size_t bars_since_highest(const series<double>& series, size_t period);


    dll_export size_t bars_since_min(const series<double>& series, size_t period);

    dll_export size_t bars_since_lowest(const series<double>& series, size_t period);

    dll_export bool crosses_above(const series<double>& series_a, const series<double>& series_b);

    dll_export bool crosses_below(const series<double>& series_a, const series<double>& series_b);

    dll_export bool crosses_above(const series<double>& series, double threshold);

    dll_export bool crosses_below(const series<double>& series, double threshold);

    dll_export bool turns_neg(const series<double>& series);

    dll_export bool turns_pos(const series<double>& series);

    dll_export template<typename T>
        const series<T> shift_by(const series<T>& in_series, size_t shift_by) {
        return in_series.shift(shift_by);
    }

    // @brief Returns a series that is a 'shifted' version of the given @a in_series argument. This is the overload of
    // the template version of shift to accomodate series of type auto_series. See shift(const series<T>&, size_t).
    //dll_export const series<double> shift(const auto_series& in_series, size_t shift);


    dll_export bool is_defined(const variant& v);

    void populate_with_changes(series<double>& target, const series<double>& source, size_t period);

    void populate_with_change_ratios(series<double>& target, series<double>& source, size_t period);

    

    /*
    ** ================================================================
    **    random
    ** ================================================================
    */

    dll_export int rand_int(int low, int high);

    dll_export double rand(double low = 0.0, double high = 1.0);

    dll_export double unit_gaussian(void);

    dll_export double gaussian(double stdev);

    dll_export bool rand_bool(double probability_of_true = 0.5);

    dll_export std::string rand_string(size_t min_len = 10, size_t max_len = 10);

    // Internal Use: Returns the area between the 'median' and the 'value'. This does not include the
    // area below the median (which amounts to 50%).
    dll_export double area_under_normal_curve(double value, double median, double stdDev);

    // Internal Use: Returns the percent (area under a curve) for a given standard deviate Z
    // with a precision of 0.1. Arguments are capped and floored at 4 and -4 respectively.
    dll_export double area_under_normal_curve(double stdDeviateZ);

    // Internal Use: Returns the normal standart deviate - Z, This is equal to the
    // number of standard deviations between the MEAN and VALUE
    dll_export double StandardNormalDeviateZ(double value, double median, double stdDev);


    /*
    ** ================================================================
    **    math
    ** ================================================================
    */

    dll_export double min(const series<double>& series, size_t period);

    dll_export double lowest(const series<double>& series, size_t period);

    dll_export size_t count_pos(const series<double>& ser, size_t period);

    dll_export size_t count_neg(const series<double>& ser, size_t period);

    dll_export size_t count_zero(const series<double>& ser, size_t period);

    dll_export size_t count_non_zero(const series<double>& ser, size_t period);

    dll_export double sum_pos(const series<double>& data, size_t period);

    dll_export double sum_neg(const series<double>& data, size_t period);

    dll_export double sum(const series<double>& data, size_t period);

    dll_export double sum_squares(const series<double>& data, size_t period);

    dll_export double average(const series<double>& data, size_t period);

    // @brief  Returns the the average value of @b data with given @b period.
    //dll_export double SMA(const series<double>& data, size_t period);

    dll_export double average_variable(const series<double>& data, size_t var_period, size_t max_period);

    dll_export double stdev(const series<double>& data, size_t period);

    dll_export double variance(const series<double>& data, size_t period);

    dll_export double correlation(const series<double>& x, const series<double>& y, size_t period);

    dll_export double max(const series<double>& series, size_t period);

    dll_export double highest(const series<double>& series, size_t period);

    dll_export double average_weighted(const series<double>& data, size_t period);

    dll_export double WMA(const series<double>& data, size_t period);

    struct dll_export r_tuple {
        double slope;
        double rSquare;
        double yIntercept;
        double lastLinePoint;
    };

    dll_export r_tuple linear_regression(const series<double>& series, size_t period);

    dll_export r_tuple linear_regression(const series<double>& x, const series<double>& y, size_t period);

    dll_export double const_e(void);

    dll_export double const_phi(void);

    dll_export double const_pi(void);

    dll_export int64_t trunc(double value);

    dll_export double cap(double number, double max);

    dll_export double floor(double number, double min);

    dll_export double cap_floor(double number, double min, double max);

    dll_export double safe_divide(double numerator, double denominator, double denominator_adjust = 10e-9);

    double radians(double degrees);

    dll_export double degrees(double radians);

    dll_export double sin_r(double radians);

    dll_export double square(double arg);

    dll_export double sqrt(double arg);

    // Internal Use:
    dll_export double percent_smaller_than(double threshold, const series<double>& data, size_t period);

    // Internal Use:
    dll_export double percent_higher_than(double threshold, const series<double>& data, size_t period);



}//tsa

#endif