TALib wrapper - Githubissues

femtotrader commented 8 years ago

Hello,

it will be nice to have a Julia TALib wrapper like https://github.com/mrjbq7/ta-lib for Python Pinging @mrjbq7

Here is function supported by TALib http://ta-lib.org/

AD                  Chaikin A/D Line
ADOSC               Chaikin A/D Oscillator
ADX                 Average Directional Movement Index
ADXR                Average Directional Movement Index Rating
APO                 Absolute Price Oscillator
AROON               Aroon
AROONOSC            Aroon Oscillator
ATR                 Average True Range
AVGPRICE            Average Price
BBANDS              Bollinger Bands
BETA                Beta
BOP                 Balance Of Power
CCI                 Commodity Channel Index
CDL2CROWS           Two Crows
CDL3BLACKCROWS      Three Black Crows
CDL3INSIDE          Three Inside Up/Down
CDL3LINESTRIKE      Three-Line Strike 
CDL3OUTSIDE         Three Outside Up/Down
CDL3STARSINSOUTH    Three Stars In The South
CDL3WHITESOLDIERS   Three Advancing White Soldiers
CDLABANDONEDBABY    Abandoned Baby
CDLADVANCEBLOCK     Advance Block
CDLBELTHOLD         Belt-hold
CDLBREAKAWAY        Breakaway
CDLCLOSINGMARUBOZU  Closing Marubozu
CDLCONCEALBABYSWALL Concealing Baby Swallow
CDLCOUNTERATTACK    Counterattack
CDLDARKCLOUDCOVER   Dark Cloud Cover
CDLDOJI             Doji
CDLDOJISTAR         Doji Star
CDLDRAGONFLYDOJI    Dragonfly Doji
CDLENGULFING        Engulfing Pattern
CDLEVENINGDOJISTAR  Evening Doji Star
CDLEVENINGSTAR      Evening Star
CDLGAPSIDESIDEWHITE Up/Down-gap side-by-side white lines
CDLGRAVESTONEDOJI   Gravestone Doji
CDLHAMMER           Hammer
CDLHANGINGMAN       Hanging Man
CDLHARAMI           Harami Pattern
CDLHARAMICROSS      Harami Cross Pattern
CDLHIGHWAVE         High-Wave Candle
CDLHIKKAKE          Hikkake Pattern
CDLHIKKAKEMOD       Modified Hikkake Pattern
CDLHOMINGPIGEON     Homing Pigeon
CDLIDENTICAL3CROWS  Identical Three Crows
CDLINNECK           In-Neck Pattern
CDLINVERTEDHAMMER   Inverted Hammer
CDLKICKING          Kicking
CDLKICKINGBYLENGTH  Kicking - bull/bear determined by the longer marubozu
CDLLADDERBOTTOM     Ladder Bottom
CDLLONGLEGGEDDOJI   Long Legged Doji
CDLLONGLINE         Long Line Candle
CDLMARUBOZU         Marubozu
CDLMATCHINGLOW      Matching Low
CDLMATHOLD          Mat Hold
CDLMORNINGDOJISTAR  Morning Doji Star
CDLMORNINGSTAR      Morning Star
CDLONNECK           On-Neck Pattern
CDLPIERCING         Piercing Pattern
CDLRICKSHAWMAN      Rickshaw Man
CDLRISEFALL3METHODS Rising/Falling Three Methods
CDLSEPARATINGLINES  Separating Lines
CDLSHOOTINGSTAR     Shooting Star
CDLSHORTLINE        Short Line Candle
CDLSPINNINGTOP      Spinning Top
CDLSTALLEDPATTERN   Stalled Pattern
CDLSTICKSANDWICH    Stick Sandwich
CDLTAKURI           Takuri (Dragonfly Doji with very long lower shadow)
CDLTASUKIGAP        Tasuki Gap
CDLTHRUSTING        Thrusting Pattern
CDLTRISTAR          Tristar Pattern
CDLUNIQUE3RIVER     Unique 3 River
CDLUPSIDEGAP2CROWS  Upside Gap Two Crows
CDLXSIDEGAP3METHODS Upside/Downside Gap Three Methods
CMO                 Chande Momentum Oscillator
CORREL              Pearson's Correlation Coefficient (r)
DEMA                Double Exponential Moving Average
DX                  Directional Movement Index
EMA                 Exponential Moving Average
HT_DCPERIOD         Hilbert Transform - Dominant Cycle Period
HT_DCPHASE          Hilbert Transform - Dominant Cycle Phase
HT_PHASOR           Hilbert Transform - Phasor Components
HT_SINE             Hilbert Transform - SineWave
HT_TRENDLINE        Hilbert Transform - Instantaneous Trendline
HT_TRENDMODE        Hilbert Transform - Trend vs Cycle Mode
KAMA                Kaufman Adaptive Moving Average
LINEARREG           Linear Regression
LINEARREG_ANGLE     Linear Regression Angle
LINEARREG_INTERCEPT Linear Regression Intercept
LINEARREG_SLOPE     Linear Regression Slope
MA                  All Moving Average
MACD                Moving Average Convergence/Divergence
MACDEXT             MACD with controllable MA type
MACDFIX             Moving Average Convergence/Divergence Fix 12/26
MAMA                MESA Adaptive Moving Average
MAX                 Highest value over a specified period
MAXINDEX            Index of highest value over a specified period
MEDPRICE            Median Price
MFI                 Money Flow Index
MIDPOINT            MidPoint over period
MIDPRICE            Midpoint Price over period
MIN                 Lowest value over a specified period
MININDEX            Index of lowest value over a specified period
MINMAX              Lowest and highest values over a specified period
MINMAXINDEX         Indexes of lowest and highest values over a specified period
MINUS_DI            Minus Directional Indicator
MINUS_DM            Minus Directional Movement
MOM                 Momentum
NATR                Normalized Average True Range
OBV                 On Balance Volume
PLUS_DI             Plus Directional Indicator
PLUS_DM             Plus Directional Movement
PPO                 Percentage Price Oscillator
ROC                 Rate of change : ((price/prevPrice)-1)*100
ROCP                Rate of change Percentage: (price-prevPrice)/prevPrice
ROCR                Rate of change ratio: (price/prevPrice)
ROCR100             Rate of change ratio 100 scale: (price/prevPrice)*100
RSI                 Relative Strength Index
SAR                 Parabolic SAR
SAREXT              Parabolic SAR - Extended
SMA                 Simple Moving Average
STDDEV              Standard Deviation
STOCH               Stochastic
STOCHF              Stochastic Fast
STOCHRSI            Stochastic Relative Strength Index
SUM                 Summation
T3                  Triple Exponential Moving Average (T3)
TEMA                Triple Exponential Moving Average
TRANGE              True Range
TRIMA               Triangular Moving Average
TRIX                1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
TSF                 Time Series Forecast
TYPPRICE            Typical Price
ULTOSC              Ultimate Oscillator
VAR                 Variance
WCLPRICE            Weighted Close Price
WILLR               Williams' %R
WMA                 Weighted Moving Average

Kind regards

femtotrader commented 8 years ago

A Node wrapper can be found at https://github.com/oransel/node-talib A Go wrapper can be found at https://github.com/d4l3k/talib

milktrader commented 8 years ago

This package is currently pure Julia code, but I see no problem creating a new one that does wrap TALib. If you'd like to start on it we can add it to the JuliaQuant organization as TALib.jl.

femtotrader commented 8 years ago

I don't feel very confortable with calling C code from Julia. I've found http://docs.julialang.org/en/release-0.4/manual/calling-c-and-fortran-code/

I'm using Mac OS X and installed TALib through brew

$ sudo ls -la /usr/local/lib/libta*
lrwxr-xr-x  1 femto  admin  48 23 avr 09:27 /usr/local/lib/libta_lib.0.0.0.dylib -> ../Cellar/ta-lib/0.4.0/lib/libta_lib.0.0.0.dylib
lrwxr-xr-x  1 femto  admin  44 23 avr 09:27 /usr/local/lib/libta_lib.0.dylib -> ../Cellar/ta-lib/0.4.0/lib/libta_lib.0.dylib
lrwxr-xr-x  1 femto  admin  38 23 avr 09:27 /usr/local/lib/libta_lib.a -> ../Cellar/ta-lib/0.4.0/lib/libta_lib.a
lrwxr-xr-x  1 femto  admin  42 23 avr 09:27 /usr/local/lib/libta_lib.dylib -> ../Cellar/ta-lib/0.4.0/lib/libta_lib.dylib

$ ls /usr/local/Cellar/ta-lib/0.4.0/
CHANGELOG.TXT        HISTORY.TXT          INSTALL_RECEIPT.json bin                  include              lib

Do you have some experience about calling C code from Julia and could you help on this ?

milktrader commented 8 years ago

Yeah, it's a lot easier than you think. The language is designed to accept calls to C and Fortran libraries so wrapping isn't a snarly mess like in other languages.

One suggestion is to look over some other Julia libraries that wrap C code.

femtotrader commented 8 years ago

I've found an example here https://github.com/aviks/PiGPIO.jl/blob/master/src/PiGPIO.jl

milktrader commented 8 years ago

Sweet! Yeah @aviks knows the code, solid reference to start

femtotrader commented 8 years ago

Maybe we could first try to do in Julia same than in Python:

import talib
import numpy as np
talib.SIN(np.array([0.0, np.pi/2, np.pi, 3*np.pi/2]))

which output

array([  0.00000000e+00,   1.00000000e+00,   1.22464680e-16,
        -1.00000000e+00])

with Julia

sin([0.0, pi/2, pi, 3pi/2])

should be (approximately) same as

TA_SIN([0.0, pi/2, pi, 3pi/2])

Unfortunately, in PiGPIO.jl, no array is passed to C functions.

femtotrader commented 8 years ago

I try this:

julia> SIN(a) = ccall( (:SIN, "/usr/local/lib/libta_lib.0.0.0.dylib"), Int32, (Cfloat,), a)
SIN (generic function with 1 method)

julia> SIN(0.0)
ERROR: ccall: could not find function SIN in library /usr/local/lib/libta_lib.0.0.0.dylib
 in SIN at none:1

so function is not named SIN

I did (according http://stackoverflow.com/questions/4506121/how-to-print-a-list-of-symbols-exported-from-a-dynamic-library )

nm -gU /usr/local/lib/libta_lib.0.0.0.dylib > out.txt

and get

0000000000004f4a T _TA_ACOS
0000000000001d65 T _TA_ACOS_FramePP
0000000000001d84 T _TA_ACOS_FramePPLB
0000000000004f42 T _TA_ACOS_Lookback
00000000000050a0 T _TA_AD
0000000000005290 T _TA_ADD
0000000000001de3 T _TA_ADD_FramePP
0000000000001e19 T _TA_ADD_FramePPLB
0000000000005288 T _TA_ADD_Lookback
00000000000053d2 T _TA_ADOSC
0000000000001e23 T _TA_ADOSC_FramePP
0000000000001e83 T _TA_ADOSC_FramePPLB
0000000000005388 T _TA_ADOSC_Lookback
0000000000005a3c T _TA_ADX
0000000000006773 T _TA_ADXR
0000000000001ef8 T _TA_ADXR_FramePP
0000000000001f4a T _TA_ADXR_FramePPLB
0000000000006732 T _TA_ADXR_Lookback
0000000000001e96 T _TA_ADX_FramePP
0000000000001ee8 T _TA_ADX_FramePPLB
0000000000005a06 T _TA_ADX_Lookback
0000000000001d8e T _TA_AD_FramePP
0000000000001dd9 T _TA_AD_FramePPLB
0000000000005098 T _TA_AD_Lookback
0000000000006b5e T _TA_APO
0000000000001f5a T _TA_APO_FramePP
0000000000001fa7 T _TA_APO_FramePPLB
0000000000006b03 T _TA_APO_Lookback
000000000000709b T _TA_AROON
00000000000074dc T _TA_AROONOSC
0000000000002019 T _TA_AROONOSC_FramePP
000000000000205c T _TA_AROONOSC_FramePPLB
00000000000074b5 T _TA_AROONOSC_Lookback
0000000000001fbd T _TA_AROON_FramePP
0000000000002009 T _TA_AROON_FramePPLB
0000000000007074 T _TA_AROON_Lookback
000000000000789a T _TA_ASIN
000000000000206c T _TA_ASIN_FramePP
000000000000208b T _TA_ASIN_FramePPLB
0000000000007892 T _TA_ASIN_Lookback
00000000000079f0 T _TA_ATAN
0000000000002095 T _TA_ATAN_FramePP
00000000000020b4 T _TA_ATAN_FramePPLB
00000000000079e8 T _TA_ATAN_Lookback
0000000000007b72 T _TA_ATR
00000000000020be T _TA_ATR_FramePP
0000000000002110 T _TA_ATR_FramePPLB
0000000000007b3e T _TA_ATR_Lookback
0000000000008144 T _TA_AVGPRICE
0000000000002120 T _TA_AVGPRICE_FramePP
000000000000216a T _TA_AVGPRICE_FramePPLB
000000000000813c T _TA_AVGPRICE_Lookback
000000000000838a T _TA_BBANDS
0000000000002174 T _TA_BBANDS_FramePP
00000000000021d3 T _TA_BBANDS_FramePPLB
0000000000008303 T _TA_BBANDS_Lookback
0000000000008a92 T _TA_BETA
00000000000021f0 T _TA_BETA_FramePP
0000000000002232 T _TA_BETA_FramePPLB
0000000000008a6b T _TA_BETA_Lookback
00000000000090cd T _TA_BOP
0000000000002242 T _TA_BOP_FramePP
000000000000228c T _TA_BOP_FramePPLB
00000000000090c5 T _TA_BOP_Lookback
00000000000092e9 T _TA_CCI
0000000000002296 T _TA_CCI_FramePP
00000000000022e8 T _TA_CCI_FramePPLB
00000000000092c0 T _TA_CCI_Lookback
0000000000009972 T _TA_CDL2CROWS
00000000000022f8 T _TA_CDL2CROWS_FramePP
0000000000002342 T _TA_CDL2CROWS_FramePPLB
0000000000009959 T _TA_CDL2CROWS_Lookback
000000000000a1f2 T _TA_CDL3BLACKCROWS
000000000000234c T _TA_CDL3BLACKCROWS_FramePP
0000000000002396 T _TA_CDL3BLACKCROWS_FramePPLB
000000000000a1d9 T _TA_CDL3BLACKCROWS_Lookback
000000000000afbb T _TA_CDL3INSIDE
00000000000023a0 T _TA_CDL3INSIDE_FramePP
00000000000023ea T _TA_CDL3INSIDE_FramePPLB
000000000000af97 T _TA_CDL3INSIDE_Lookback
000000000000bfc6 T _TA_CDL3LINESTRIKE
00000000000023f4 T _TA_CDL3LINESTRIKE_FramePP
000000000000243e T _TA_CDL3LINESTRIKE_FramePPLB
000000000000bfad T _TA_CDL3LINESTRIKE_Lookback
000000000000cf70 T _TA_CDL3OUTSIDE
0000000000002448 T _TA_CDL3OUTSIDE_FramePP
0000000000002492 T _TA_CDL3OUTSIDE_FramePPLB
000000000000cf65 T _TA_CDL3OUTSIDE_Lookback
000000000000d26b T _TA_CDL3STARSINSOUTH
000000000000249c T _TA_CDL3STARSINSOUTH_FramePP
00000000000024e6 T _TA_CDL3STARSINSOUTH_FramePPLB
000000000000d231 T _TA_CDL3STARSINSOUTH_Lookback
000000000000f2a8 T _TA_CDL3WHITESOLDIERS
00000000000024f0 T _TA_CDL3WHITESOLDIERS_FramePP
000000000000253a T _TA_CDL3WHITESOLDIERS_FramePPLB
000000000000f26e T _TA_CDL3WHITESOLDIERS_Lookback
0000000000011b28 T _TA_CDLABANDONEDBABY
0000000000002544 T _TA_CDLABANDONEDBABY_FramePP
000000000000259a T _TA_CDLABANDONEDBABY_FramePPLB
0000000000011ad5 T _TA_CDLABANDONEDBABY_Lookback
0000000000013266 T _TA_CDLADVANCEBLOCK
00000000000025ac T _TA_CDLADVANCEBLOCK_FramePP
00000000000025f6 T _TA_CDLADVANCEBLOCK_FramePPLB
0000000000013221 T _TA_CDLADVANCEBLOCK_Lookback
000000000001681c T _TA_CDLBELTHOLD
0000000000002600 T _TA_CDLBELTHOLD_FramePP
000000000000264a T _TA_CDLBELTHOLD_FramePPLB
00000000000167fb T _TA_CDLBELTHOLD_Lookback
000000000001780b T _TA_CDLBREAKAWAY
0000000000002654 T _TA_CDLBREAKAWAY_FramePP
000000000000269e T _TA_CDLBREAKAWAY_FramePPLB
00000000000177f2 T _TA_CDLBREAKAWAY_Lookback
0000000000018363 T _TA_CDLCLOSINGMARUBOZU
00000000000026a8 T _TA_CDLCLOSINGMARUBOZU_FramePP
00000000000026f2 T _TA_CDLCLOSINGMARUBOZU_FramePPLB
0000000000018342 T _TA_CDLCLOSINGMARUBOZU_Lookback
0000000000019328 T _TA_CDLCONCEALBABYSWALL
00000000000026fc T _TA_CDLCONCEALBABYSWALL_FramePP
0000000000002746 T _TA_CDLCONCEALBABYSWALL_FramePPLB
000000000001930f T _TA_CDLCONCEALBABYSWALL_Lookback
000000000001a39d T _TA_CDLCOUNTERATTACK
0000000000002750 T _TA_CDLCOUNTERATTACK_FramePP
000000000000279a T _TA_CDLCOUNTERATTACK_FramePPLB
000000000001a37a T _TA_CDLCOUNTERATTACK_Lookback
000000000001b71c T _TA_CDLDARKCLOUDCOVER
00000000000027a4 T _TA_CDLDARKCLOUDCOVER_FramePP
00000000000027fa T _TA_CDLDARKCLOUDCOVER_FramePPLB
000000000001b6e0 T _TA_CDLDARKCLOUDCOVER_Lookback
000000000001c002 T _TA_CDLDOJI
000000000001c89b T _TA_CDLDOJISTAR
0000000000002860 T _TA_CDLDOJISTAR_FramePP
00000000000028aa T _TA_CDLDOJISTAR_FramePPLB
000000000001c878 T _TA_CDLDOJISTAR_Lookback
000000000000280c T _TA_CDLDOJI_FramePP
0000000000002856 T _TA_CDLDOJI_FramePPLB
000000000001bfec T _TA_CDLDOJI_Lookback
000000000001d83e T _TA_CDLDRAGONFLYDOJI
00000000000028b4 T _TA_CDLDRAGONFLYDOJI_FramePP
00000000000028fe T _TA_CDLDRAGONFLYDOJI_FramePPLB
000000000001d81d T _TA_CDLDRAGONFLYDOJI_Lookback
000000000001e83d T _TA_CDLENGULFING
0000000000002908 T _TA_CDLENGULFING_FramePP
0000000000002952 T _TA_CDLENGULFING_FramePPLB
000000000001e832 T _TA_CDLENGULFING_Lookback
000000000001eafa T _TA_CDLEVENINGDOJISTAR
000000000000295c T _TA_CDLEVENINGDOJISTAR_FramePP
00000000000029b2 T _TA_CDLEVENINGDOJISTAR_FramePPLB
000000000001eaa7 T _TA_CDLEVENINGDOJISTAR_Lookback
0000000000020217 T _TA_CDLEVENINGSTAR
00000000000029c4 T _TA_CDLEVENINGSTAR_FramePP
0000000000002a1a T _TA_CDLEVENINGSTAR_FramePPLB
00000000000201cf T _TA_CDLEVENINGSTAR_Lookback
000000000002188f T _TA_CDLGAPSIDESIDEWHITE
0000000000002a2c T _TA_CDLGAPSIDESIDEWHITE_FramePP
0000000000002a76 T _TA_CDLGAPSIDESIDEWHITE_FramePPLB
000000000002186b T _TA_CDLGAPSIDESIDEWHITE_Lookback
0000000000022bbc T _TA_CDLGRAVESTONEDOJI
0000000000002a80 T _TA_CDLGRAVESTONEDOJI_FramePP
0000000000002aca T _TA_CDLGRAVESTONEDOJI_FramePPLB
0000000000022b9b T _TA_CDLGRAVESTONEDOJI_Lookback
0000000000023c3d T _TA_CDLHAMMER
0000000000002ad4 T _TA_CDLHAMMER_FramePP
0000000000002b1e T _TA_CDLHAMMER_FramePPLB
0000000000023c04 T _TA_CDLHAMMER_Lookback
00000000000259b6 T _TA_CDLHANGINGMAN
0000000000002b28 T _TA_CDLHANGINGMAN_FramePP
0000000000002b72 T _TA_CDLHANGINGMAN_FramePPLB
000000000002597d T _TA_CDLHANGINGMAN_Lookback
00000000000276fb T _TA_CDLHARAMI
0000000000028660 T _TA_CDLHARAMICROSS
0000000000002bd0 T _TA_CDLHARAMICROSS_FramePP
0000000000002c1a T _TA_CDLHARAMICROSS_FramePPLB
000000000002863d T _TA_CDLHARAMICROSS_Lookback
0000000000002b7c T _TA_CDLHARAMI_FramePP
0000000000002bc6 T _TA_CDLHARAMI_FramePPLB
00000000000276d8 T _TA_CDLHARAMI_Lookback
00000000000295c3 T _TA_CDLHIGHWAVE
0000000000002c24 T _TA_CDLHIGHWAVE_FramePP
0000000000002c6e T _TA_CDLHIGHWAVE_FramePPLB
00000000000295a2 T _TA_CDLHIGHWAVE_Lookback
000000000002a608 T _TA_CDLHIKKAKE
000000000002ab9f T _TA_CDLHIKKAKEMOD
0000000000002ccc T _TA_CDLHIKKAKEMOD_FramePP
0000000000002d16 T _TA_CDLHIKKAKEMOD_FramePPLB
000000000002ab7c T _TA_CDLHIKKAKEMOD_Lookback
0000000000002c78 T _TA_CDLHIKKAKE_FramePP
0000000000002cc2 T _TA_CDLHIKKAKE_FramePPLB
000000000002a5fd T _TA_CDLHIKKAKE_Lookback
000000000002c116 T _TA_CDLHOMINGPIGEON
0000000000002d20 T _TA_CDLHOMINGPIGEON_FramePP
0000000000002d6a T _TA_CDLHOMINGPIGEON_FramePPLB
000000000002c0f3 T _TA_CDLHOMINGPIGEON_Lookback
000000000002cfc2 T _TA_CDLIDENTICAL3CROWS
0000000000002d74 T _TA_CDLIDENTICAL3CROWS_FramePP
0000000000002dbe T _TA_CDLIDENTICAL3CROWS_FramePPLB
000000000002cf9e T _TA_CDLIDENTICAL3CROWS_Lookback
000000000002e804 T _TA_CDLINNECK
0000000000002dc8 T _TA_CDLINNECK_FramePP
0000000000002e12 T _TA_CDLINNECK_FramePPLB
000000000002e7e1 T _TA_CDLINNECK_Lookback
000000000002f737 T _TA_CDLINVERTEDHAMMER
0000000000002e1c T _TA_CDLINVERTEDHAMMER_FramePP
0000000000002e66 T _TA_CDLINVERTEDHAMMER_FramePPLB
000000000002f709 T _TA_CDLINVERTEDHAMMER_Lookback
0000000000030d91 T _TA_CDLKICKING
000000000003249a T _TA_CDLKICKINGBYLENGTH
0000000000002ec4 T _TA_CDLKICKINGBYLENGTH_FramePP
0000000000002f0e T _TA_CDLKICKINGBYLENGTH_FramePPLB
0000000000032477 T _TA_CDLKICKINGBYLENGTH_Lookback
0000000000002e70 T _TA_CDLKICKING_FramePP
0000000000002eba T _TA_CDLKICKING_FramePPLB
0000000000030d6e T _TA_CDLKICKING_Lookback
0000000000033c66 T _TA_CDLLADDERBOTTOM
0000000000002f18 T _TA_CDLLADDERBOTTOM_FramePP
0000000000002f62 T _TA_CDLLADDERBOTTOM_FramePPLB
0000000000033c4d T _TA_CDLLADDERBOTTOM_Lookback
000000000003458d T _TA_CDLLONGLEGGEDDOJI
0000000000002f6c T _TA_CDLLONGLEGGEDDOJI_FramePP
0000000000002fb6 T _TA_CDLLONGLEGGEDDOJI_FramePPLB
000000000003456c T _TA_CDLLONGLEGGEDDOJI_Lookback
00000000000355f2 T _TA_CDLLONGLINE
0000000000002fc0 T _TA_CDLLONGLINE_FramePP
000000000000300a T _TA_CDLLONGLINE_FramePPLB
00000000000355d1 T _TA_CDLLONGLINE_Lookback
000000000003664d T _TA_CDLMARUBOZU
0000000000003014 T _TA_CDLMARUBOZU_FramePP
000000000000305e T _TA_CDLMARUBOZU_FramePPLB
000000000003662c T _TA_CDLMARUBOZU_Lookback
000000000003769f T _TA_CDLMATCHINGLOW
0000000000003068 T _TA_CDLMATCHINGLOW_FramePP
00000000000030b2 T _TA_CDLMATCHINGLOW_FramePPLB
0000000000037687 T _TA_CDLMATCHINGLOW_Lookback
0000000000038093 T _TA_CDLMATHOLD
00000000000030bc T _TA_CDLMATHOLD_FramePP
0000000000003112 T _TA_CDLMATHOLD_FramePPLB
000000000003804b T _TA_CDLMATHOLD_Lookback
0000000000039866 T _TA_CDLMORNINGDOJISTAR
0000000000003124 T _TA_CDLMORNINGDOJISTAR_FramePP
000000000000317a T _TA_CDLMORNINGDOJISTAR_FramePPLB
0000000000039813 T _TA_CDLMORNINGDOJISTAR_Lookback
000000000003af80 T _TA_CDLMORNINGSTAR
000000000000318c T _TA_CDLMORNINGSTAR_FramePP
00000000000031e2 T _TA_CDLMORNINGSTAR_FramePPLB
000000000003af38 T _TA_CDLMORNINGSTAR_Lookback
000000000003c5f4 T _TA_CDLONNECK
00000000000031f4 T _TA_CDLONNECK_FramePP
000000000000323e T _TA_CDLONNECK_FramePPLB
000000000003c5d1 T _TA_CDLONNECK_Lookback
000000000003d690 T _TA_CDLPIERCING
0000000000003248 T _TA_CDLPIERCING_FramePP
0000000000003292 T _TA_CDLPIERCING_FramePPLB
000000000003d678 T _TA_CDLPIERCING_Lookback
000000000003e24d T _TA_CDLRICKSHAWMAN
000000000000329c T _TA_CDLRICKSHAWMAN_FramePP
00000000000032e6 T _TA_CDLRICKSHAWMAN_FramePPLB
000000000003e221 T _TA_CDLRICKSHAWMAN_Lookback
000000000003f9a7 T _TA_CDLRISEFALL3METHODS
00000000000032f0 T _TA_CDLRISEFALL3METHODS_FramePP
000000000000333a T _TA_CDLRISEFALL3METHODS_FramePPLB
000000000003f983 T _TA_CDLRISEFALL3METHODS_Lookback
000000000004163c T _TA_CDLSEPARATINGLINES
0000000000003344 T _TA_CDLSEPARATINGLINES_FramePP
000000000000338e T _TA_CDLSEPARATINGLINES_FramePPLB
000000000004160e T _TA_CDLSEPARATINGLINES_Lookback
0000000000042f12 T _TA_CDLSHOOTINGSTAR
0000000000003398 T _TA_CDLSHOOTINGSTAR_FramePP
00000000000033e2 T _TA_CDLSHOOTINGSTAR_FramePPLB
0000000000042ee4 T _TA_CDLSHOOTINGSTAR_Lookback
000000000004456a T _TA_CDLSHORTLINE
00000000000033ec T _TA_CDLSHORTLINE_FramePP
0000000000003436 T _TA_CDLSHORTLINE_FramePPLB
0000000000044549 T _TA_CDLSHORTLINE_Lookback
00000000000455ba T _TA_CDLSPINNINGTOP
0000000000003440 T _TA_CDLSPINNINGTOP_FramePP
000000000000348a T _TA_CDLSPINNINGTOP_FramePPLB
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0000000000065def T _TA_S_SIN
0000000000065f45 T _TA_S_SINH
0000000000066153 T _TA_S_SMA
000000000006630d T _TA_S_SQRT
00000000000665b9 T _TA_S_STDDEV
0000000000066c86 T _TA_S_STOCH
0000000000067476 T _TA_S_STOCHF
0000000000067a8d T _TA_S_STOCHRSI
0000000000067d47 T _TA_S_SUB
0000000000067f21 T _TA_S_SUM
00000000000686c7 T _TA_S_T3
0000000000068d84 T _TA_S_TAN
0000000000068eda T _TA_S_TANH
000000000006924c T _TA_S_TEMA
00000000000695e8 T _TA_S_TRANGE
0000000000069aca T _TA_S_TRIMA
000000000006a185 T _TA_S_TRIX
000000000006a5e5 T _TA_S_TSF
000000000006a84f T _TA_S_TYPPRICE
000000000006b03d T _TA_S_ULTOSC
000000000006b9cf T _TA_S_VAR
000000000006bc47 T _TA_S_WCLPRICE
000000000006bf4b T _TA_S_WILLR
000000000006c362 T _TA_S_WMA
000000000006c656 T _TA_SetCandleSettings
000000000006b7a5 T _TA_SetCompatibility
0000000000001923 T _TA_SetInputParamIntegerPtr
0000000000001a0d T _TA_SetInputParamPricePtr
0000000000001998 T _TA_SetInputParamRealPtr
0000000000001aef T _TA_SetOptInputParamInteger
0000000000001b54 T _TA_SetOptInputParamReal
0000000000001bb6 T _TA_SetOutputParamIntegerPtr
0000000000001c2c T _TA_SetOutputParamRealPtr
000000000006c693 T _TA_SetRetCodeInfo
000000000006b723 T _TA_SetUnstablePeriod
000000000006c630 T _TA_Shutdown
00000000000680c0 T _TA_T3
0000000000004b21 T _TA_T3_FramePP
0000000000004b5e T _TA_T3_FramePPLB
0000000000068060 T _TA_T3_Lookback
0000000000068cdd T _TA_TAN
0000000000068e33 T _TA_TANH
0000000000004b9c T _TA_TANH_FramePP
0000000000004bbb T _TA_TANH_FramePPLB
0000000000068e2b T _TA_TANH_Lookback
0000000000004b73 T _TA_TAN_FramePP
0000000000004b92 T _TA_TAN_FramePPLB
0000000000068cd5 T _TA_TAN_Lookback
0000000000068fb0 T _TA_TEMA
0000000000004bc5 T _TA_TEMA_FramePP
0000000000004bfd T _TA_TEMA_FramePPLB
0000000000068f81 T _TA_TEMA_Lookback
00000000000694f3 T _TA_TRANGE
0000000000004c0d T _TA_TRANGE_FramePP
0000000000004c4d T _TA_TRANGE_FramePPLB
00000000000694e8 T _TA_TRANGE_Lookback
000000000006970d T _TA_TRIMA
0000000000004c57 T _TA_TRIMA_FramePP
0000000000004c8f T _TA_TRIMA_FramePPLB
00000000000696e4 T _TA_TRIMA_Lookback
0000000000069ef8 T _TA_TRIX
0000000000004c9f T _TA_TRIX_FramePP
0000000000004cd7 T _TA_TRIX_FramePPLB
0000000000069eb6 T _TA_TRIX_Lookback
000000000006a43b T _TA_TSF
0000000000004ce7 T _TA_TSF_FramePP
0000000000004d1f T _TA_TSF_FramePPLB
000000000006a412 T _TA_TSF_Lookback
000000000006a797 T _TA_TYPPRICE
0000000000004d2f T _TA_TYPPRICE_FramePP
0000000000004d6f T _TA_TYPPRICE_FramePPLB
000000000006a78f T _TA_TYPPRICE_Lookback
00000000000998b8 S _TA_TotalNbFunction
000000000006a984 T _TA_ULTOSC
0000000000004d79 T _TA_ULTOSC_FramePP
0000000000004dd9 T _TA_ULTOSC_FramePPLB
000000000006a910 T _TA_ULTOSC_Lookback
000000000006b81f T _TA_VAR
0000000000004def T _TA_VAR_FramePP
0000000000004e2c T _TA_VAR_FramePPLB
000000000006b7cd T _TA_VAR_Lookback
000000000006bb87 T _TA_WCLPRICE
0000000000004e41 T _TA_WCLPRICE_FramePP
0000000000004e81 T _TA_WCLPRICE_FramePPLB
000000000006bb7f T _TA_WCLPRICE_Lookback
000000000006bd39 T _TA_WILLR
0000000000004e8b T _TA_WILLR_FramePP
0000000000004edd T _TA_WILLR_FramePPLB
000000000006bd10 T _TA_WILLR_Lookback
000000000006c18a T _TA_WMA
0000000000004eed T _TA_WMA_FramePP
0000000000004f25 T _TA_WMA_FramePPLB
000000000006c161 T _TA_WMA_Lookback
00000000000a9348 S _ta_theGlobals

So function seems to be named _TA_SIN

I did

julia> SIN(a) = ccall( (:_TA_SIN, "/usr/local/lib/libta_lib.0.0.0.dylib"), Int32, (Cfloat,), a)
SIN (generic function with 1 method)
julia> SIN(0.0)
ERROR: ccall: could not find function _TA_SIN in library /usr/local/lib/libta_lib.0.0.0.dylib
 in SIN at none:1

I also try:

julia> SIN(a) = ccall( (:TA_SIN, "/usr/local/lib/libta_lib.0.0.0.dylib"), Int32, (Cfloat,), a)
SIN (generic function with 1 method)

julia> SIN(0.0)

signal (11): Segmentation fault: 11
TA_SIN at /usr/local/lib/libta_lib.0.0.0.dylib (unknown line)
SIN at none:1
jlcall_SIN_22301 at  (unknown line)
jl_apply at /Users/osx/buildbot/slave/package_osx10_9-x64/build/src/gf.c:1691
jl_apply at /Users/osx/buildbot/slave/package_osx10_9-x64/build/src/interpreter.c:55
eval at /Users/osx/buildbot/slave/package_osx10_9-x64/build/src/interpreter.c:213
jl_toplevel_eval_flex at /Users/osx/buildbot/slave/package_osx10_9-x64/build/src/toplevel.c:527
jl_toplevel_eval_in at /Users/osx/buildbot/slave/package_osx10_9-x64/build/src/builtins.c:579
eval_user_input at REPL.jl:62
jlcall_eval_user_input_21247 at  (unknown line)
jl_apply at /Users/osx/buildbot/slave/package_osx10_9-x64/build/src/./julia.h:1325
anonymous at REPL.jl:92
jl_apply at /Users/osx/buildbot/slave/package_osx10_9-x64/build/src/./julia.h:1325

Segmentation fault: 11

Not sure a segfault is great!

Any idea ?

femtotrader commented 8 years ago

Here is how TA_SIN prototype is defined in ta_SIN.c

TA_RetCode TA_SIN( int    startIdx,
                   int    endIdx,
                   const double inReal[],
                   int          *outBegIdx,
                   int          *outNBElement,
                   double        outReal[] )

See https://github.com/stoni/ta-lib/blob/master/src/ta_common/ta_retcode.c for return code

femtotrader commented 8 years ago

Good news...


julia> _TA_COS(startIdx, endIdx, inReal, outBegIdx, outNBElement, outReal) = ccall( (:TA_COS, "/usr/local/lib/libta_lib.0.0.0.dylib"), Cint, (Cint, Cint, Ptr{Cdouble}, Ptr{Cint}, Ptr{Cint}, Ptr{Cdouble}), startIdx, endIdx, inReal, outBegIdx, outNBElement, outReal)
_TA_COS (generic function with 1 method)

julia> startIdx = 0
0

julia> inReal = [0.0, pi/2, pi, 3pi/2, 0.0, pi/2, pi, 3pi/2]
8-element Array{Float64,1}:
 0.0
 1.5708
 3.14159
 4.71239
 0.0
 1.5708
 3.14159
 4.71239

julia> endIdx = length(inReal) - 1
7

julia> outBegIdx = Ref{Cint}(0)
Base.RefValue{Int32}(0)

julia> outNBElement = Ref{Cint}(0)
Base.RefValue{Int32}(0)

julia> outReal = zeros(length(inReal))
8-element Array{Float64,1}:
 0.0
 0.0
 0.0
 0.0
 0.0
 0.0
 0.0
 0.0

julia> _TA_COS(startIdx, endIdx, inReal, outBegIdx, outNBElement, outReal)
0

julia> println(outReal)
[1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16,1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16]

julia> function TA_COS(inReal::Array{Float64,1})
           N = length(inReal)
           outReal = zeros(N)
           retCode = _TA_COS(0, N - 1, inReal, Ref{Cint}(0), Ref{Cint}(0), outReal)
           if retCode == 0
               outReal
           else
               error("Bad return code")
           end
       end

TA_COS (generic function with 1 method)

julia> outReal = TA_COS(inReal)
8-element Array{Float64,1}:
  1.0
  6.12323e-17
 -1.0
 -1.83697e-16
  1.0
  6.12323e-17
 -1.0
 -1.83697e-16

julia> println(outReal)
[1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16,1.0,6.123233995736766e-17,-1.0,-1.8369701987210297e-16]

femtotrader commented 8 years ago

Many functions have suffix like _FramePP, _FramePPLB and _Lookback I don't understand what it means. Maybe https://github.com/mrjbq7/ta-lib/blob/master/talib/func.pyx could help to understand this. Any idea ?

mrjbq7 commented 8 years ago

See the API docs for discussions on how look back works and how to call the functions efficiently:

http://ta-lib.org/d_api/d_api.html

femtotrader commented 8 years ago

Thanks @mrjbq7 for this. Work In Progress available at https://github.com/femtotrader/TALib.jl

femtotrader commented 8 years ago

Closing here I'd be pleased if you join https://github.com/femtotrader/TALib.jl/issues/1

milktrader commented 8 years ago

Looking forward to benchmarking TALib against MarketTechnicals, with both DataFrames and TimeArrays.

JuliaQuant / MarketTechnicals.jl

TALib wrapper #51