Fix atr window function

Author: joaocosta

src/ta_atr_win.c

@@ -8,6 +8,7 @@
 
 #include <mysql.h>
 #include <ctype.h>
+#include <float.h>
 #include "ta_libmysqludf_ta.h"
 
 /*
@@ -19,6 +20,8 @@ typedef struct ta_atr_win_data_ {
     int current;
     double previous_close;
     double current_close;
+    double group_high;
+    double group_low;
     double previous_period_atr;
     double current_period_atr;
     double next_period_previous_atr;
@@ -69,6 +72,8 @@ DLLEXP my_bool ta_atr_win_init(UDF_INIT *initid, UDF_ARGS *args, char *message)
     }
 
     data->current = -1;
+    data->group_high = DBL_MIN;
+    data->group_low = DBL_MAX;
     data->previous_close = 0.0;
     data->current_period_atr = 0.0;
     data->previous_period_atr = 0.0;
@@ -89,36 +94,33 @@ DLLEXP void ta_atr_win_deinit(UDF_INIT *initid)
 DLLEXP double ta_atr_win(UDF_INIT *initid, UDF_ARGS *args, char *is_null, char *error)
 {
     ta_atr_win_data *data = (ta_atr_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];
     double sum = 0.0;
     int *periods = (int *)args->args[3];
 
-    if (close == NULL) {
-        *is_null = 1;
-        return 0.0;
-    }
-
     if (data->current > *periods) {
-        double current_period_tr = (*high > data->previous_close ? *high : data->previous_close) - (*low < data->previous_close ? *low : data->previous_close);
+        double current_period_tr = (data->group_high > data->previous_close ? data->group_high : data->previous_close) - (data->group_low < data->previous_close ? data->group_low : data->previous_close);
         double current_period_atr = ((data->previous_period_atr * (*periods-1)) + current_period_tr) / *periods;
         data->next_period_previous_atr = current_period_atr;
         //fprintf(stderr, "atr\tprevious_atr=%f,current_tr=%f,calc_current_atr=%f\n", data->previous_period_atr, current_period_tr, current_period_atr);
         return current_period_atr;
     } else if (data->current == *periods) {
-        data->values[data->current-1] = (*high > data->previous_close ? *high : data->previous_close) - (*low < data->previous_close ? *low : data->previous_close);
+        data->values[data->current-1] = (data->group_high > data->previous_close ? data->group_high : data->previous_close) - (data->group_low < data->previous_close ? data->group_low : data->previous_close);
         for (int i = 0; i < *periods; i++) {
             sum += data->values[i];
-            //fprintf(stderr, "values[%i] = %f\n", i, data->values[i]);
+            //fprintf(stderr, "FIRST CALC values[%i] = %f\n", i, data->values[i]);
         }
         data->current_period_atr = sum / *periods;
         data->previous_period_atr = data->current_period_atr;
         data->next_period_previous_atr = data->current_period_atr;
         //fprintf(stderr, "avg = %f\n", data->current_period_atr );
         return data->current_period_atr;
     } else if (data->current > 0) {
-        data->values[data->current-1] = (*high > data->previous_close ? *high : data->previous_close) - (*low < data->previous_close ? *low : data->previous_close);
+        data->values[data->current-1] = (data->group_high > data->previous_close ? data->group_high : data->previous_close) - (data->group_low < data->previous_close ? data->group_low : data->previous_close);
+        //fprintf(stderr, "atr current value = %f\n", data->values[data->current-1]);
+        //fflush(stderr);
     } else {
         *is_null = 1;
         return 0.0;
@@ -136,7 +138,13 @@ void ta_atr_win_clear(UDF_INIT *initid, char *is_null, char *error) {
     if (data->current > 0) {
         data->previous_close = data->current_close;
         data->previous_period_atr = data->next_period_previous_atr;
+        data->group_high = DBL_MIN;
+        data->group_low = DBL_MAX;
         //fprintf(stderr,"clear\tSet previous_period_atr=%f\n", data->previous_period_atr);
+        //for (int i = 0; i < 14; i++) {
+            //fprintf(stderr, "values[%i] = %f\n", i, data->values[i]);
+        //}
+        //fflush(stderr);
     } else {
         *is_null = 1;
     }
@@ -145,11 +153,17 @@ void ta_atr_win_clear(UDF_INIT *initid, char *is_null, char *error) {
 
 void ta_atr_win_add(UDF_INIT *initid, UDF_ARGS *args, char *is_null, char *error) {
     ta_atr_win_data *data = (ta_atr_win_data *)initid->ptr;
-    //double *high = (double *)args->args[0];
-    //double *low = (double *)args->args[1];
+    double *high = (double *)args->args[0];
+    double *low = (double *)args->args[1];
     double *close = (double *)args->args[2];
 
     data->current_close = *close;
+    if (*high > data->group_high) {
+        data->group_high = *high;
+    }
+    if (*low < data->group_low) {
+        data->group_low = *low;
+    }
 
     //fprintf(stderr, "add\thigh=%f,low=%f,close=%f,last_c=%f,curr_=%f\n", *high, *low, *close, data->previous_close, data->current_close);
 }