Fix true range calculation when called as a window function

Author: joaocosta

src/ta_tr_win.c

@@ -8,6 +8,7 @@
 
 #include <mysql.h>
 #include <ctype.h>
+#include <float.h>
 #include "ta_libmysqludf_ta.h"
 
 /*
@@ -18,7 +19,10 @@
 typedef struct ta_tr_win_data_ {
 	double previous_close;
 	double current_close;
+	double group_high;
+	double group_low;
 	short int init;
+	short int init_group;
 } ta_tr_win_data;
 
 DLLEXP my_bool ta_tr_win_init(UDF_INIT *initid, UDF_ARGS *args, char *message)
@@ -58,8 +62,12 @@ DLLEXP my_bool ta_tr_win_init(UDF_INIT *initid, UDF_ARGS *args, char *message)
 		return 1;
 	}
 
+	data->current_close = 0.0;
+	data->group_high = DBL_MIN;
+	data->group_low = DBL_MAX;
 	data->previous_close = 0.0;
-	data->init = -1;
+	data->init = 0;
+	data->init_group = 0;
 
 	initid->ptr = (char*)data;
 /*
@@ -76,21 +84,14 @@ DLLEXP void ta_tr_win_deinit(UDF_INIT *initid)
 
 DLLEXP double ta_tr_win(UDF_INIT *initid, UDF_ARGS *args, char *is_null, char *error)
 {
-	ta_tr_win_data *data = (ta_tr_win_data *)initid->ptr;
-	double *high = (double *)args->args[0];
-	double *low = (double *)args->args[1];
-	double *close = (double *)args->args[2];
-
-	if (close == NULL) {
-		*is_null = 1;
-		return 0.0;
-	}
+    ta_tr_win_data *data = (ta_tr_win_data *)initid->ptr;
 
-    //fprintf(stderr, "tr\thigh=%f,low=%f,close=%f,previous_close=%f\n", *high, *low, *close, data->previous_close);
+
+    //fprintf(stderr, "tr\thigh=%f,low=%f,close=%f,previous_close=%f\n", data->group_high, data->group_low, data->current_close, data->previous_close);
     //fflush(stderr);
 
-    if (data->init > 0) {
-        return (*high > data->previous_close ? *high : data->previous_close) - (*low < data->previous_close ? *low : data->previous_close);
+    if (data->init_group > 0) {
+        return (data->group_high > data->previous_close ? data->group_high : data->previous_close) - (data->group_low < data->previous_close ? data->group_low : data->previous_close);
     } else {
         *is_null = 1;
         return 0.0;
@@ -101,41 +102,41 @@ void ta_tr_win_clear(UDF_INIT *initid, char *is_null, char *error) {
     ta_tr_win_data *data = (ta_tr_win_data *)initid->ptr;
 
     if (data->init > 0) {
+        data->init_group = 1;
         data->previous_close = data->current_close;
+        data->group_high = DBL_MIN;
+        data->group_low = DBL_MAX;
     } else {
         *is_null = 1;
-        data->init++;
     }
-    //fprintf(stderr, "clear\tinit=%i\n", data->init);
+    //fprintf(stderr, "clear\tinit=%i\tinit_group=%i\n", data->init, data->init_group);
     //fflush(stderr);
 }
 
 void ta_tr_win_add(UDF_INIT *initid, UDF_ARGS *args, char *is_null, char *error) {
     ta_tr_win_data *data = (ta_tr_win_data *)initid->ptr;
-    //double *high = (double *)args->args[0];
-    //double *low = (double *)args->args[1];
-	double *close = (double *)args->args[2];
+    double *high = (double *)args->args[0];
+    double *low = (double *)args->args[1];
+    double *close = (double *)args->args[2];
 
+    data->init = 1;
     data->current_close = *close;
-    if (data->init < 1) {
+    if (*high > data->group_high) {
+        data->group_high = *high;
+    }
+    if (*low < data->group_low) {
+        data->group_low = *low;
+    }
+    if (data->init_group == 0) {
+        //fprintf(stderr, "init group is false\n");
         *is_null = 1;
     }
     //fprintf(stderr, "add\thigh=%f,low=%f,close=%f,last_c=%f\n", *high, *low, *close, data->previous_close);
     //fflush(stderr);
 }
 
-void ta_tr_win_reset(UDF_INIT *initid, UDF_ARGS *args, char *is_null, char *error) {
-
-  //double *value = (double*)args->args[0];
-
-  //fprintf(stderr, "reset %f\n", *value);
-  //fflush(stderr);
-
-}
-
 void ta_tr_win_remove(UDF_INIT *initid, UDF_ARGS *args, char *is_null, char *error) {
-
-  //fprintf(stderr, "remove\n");
-  //fflush(stderr);
-
+// do not remove this function, the udf will return incorrect results if you do.
+//fprintf(stderr, "remove\n");
+//fflush(stderr);
 }