ATR — Average True Range¶
Measures market volatility by averaging the true range (the greatest of: high-low, |high-prev_close|, |low-prev_close|) over period bars.
Inputs: [high, low, close] | Options: [period] | Outputs: [atr]
Basic¶
use tulip_rs::indicators::atr::{Atr, Indicator, TIndicatorState};
let high = vec![82.15, 81.89, 83.03, 83.30, 83.85,
83.90, 83.33, 84.30, 84.84, 85.00_f64];
let low = vec![81.29, 80.64, 81.31, 82.65, 83.07,
83.11, 82.49, 82.30, 84.15, 84.11_f64];
let close = vec![81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36_f64];
let inputs = [high.as_slice(), low.as_slice(), close.as_slice()];
let (outputs, mut state) = Atr::indicator(&inputs, &[14.0], None).unwrap();
println!("{:?}", outputs[0]); // ATR values
// State continuation — feed new bars without reprocessing history
let partial_high = high[..8].to_vec();
let partial_low = low[..8].to_vec();
let partial_close = close[..8].to_vec();
let (outputs2, mut state) = Atr::indicator(&[partial_high.as_slice(), partial_low.as_slice(), partial_close.as_slice()], &[14.0], None).unwrap();
println!("{:?}", outputs2[0]);
let new_high = vec![85.90_f64];
let new_low = vec![84.03_f64];
let new_close = vec![85.53_f64];
let continued = state.batch_indicator(
&[new_high.as_slice(), new_low.as_slice(), new_close.as_slice()],
None,
).unwrap();
println!("{:?}", continued[0]);
#include "tulip_rs_ffi.h"
double high[] = {82.15, 81.89, 83.03, 83.30, 83.85,
83.90, 83.33, 84.30, 84.84, 85.00};
double low[] = {81.29, 80.64, 81.31, 82.65, 83.07,
83.11, 82.49, 82.30, 84.15, 84.11};
double close[] = {81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36};
double options[ATR_OPTIONS] = {14.0}; // period
const double *inputs[ATR_INPUTS] = {high, low, close};
/* Full computation (check r.error == C_INDICATOR_ERROR_OK in real code) */
CIndicatorResult r = atr_indicator(inputs, 10, options, NULL, 0);
/* r.outputs[0] -> the ATR series, length r.output_lens[0] */
tulip_ffi_result_free(r);
atr_state_free(r.state);
/* Partial computation + state continuation */
CIndicatorResult pr = atr_indicator(inputs, 8, options, NULL, 0);
double new_high[] = {85.90};
double new_low[] = {84.03};
double new_close[] = {85.53};
const double *new_inputs[ATR_INPUTS] = {new_high, new_low, new_close};
CBatchResult br = atr_batch(pr.state, new_inputs, 1, NULL, 0);
/* br.outputs[0] -> ATR values for just the new bar */
tulip_ffi_batch_result_free(br);
tulip_ffi_result_free(pr);
atr_state_free(pr.state);
import "github.com/me60732/tulip_rs_go/indicators"
high := []float64{82.15, 81.89, 83.03, 83.30, 83.85,
83.90, 83.33, 84.30, 84.84, 85.00}
low := []float64{81.29, 80.64, 81.31, 82.65, 83.07,
83.11, 82.49, 82.30, 84.15, 84.11}
close := []float64{81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36}
options := []float64{14.0} // period
// Full computation — Rows are zero-copy views, valid until Close.
res, st, _ := indicators.Atr.Indicator(high, low, close, options, nil)
fmt.Println(res.Rows[0]) // ATR values
res.Close()
st.Close()
// Partial computation + state continuation.
res2, st2, _ := indicators.Atr.Indicator(high[:8], low[:8], close[:8], options, nil)
res2.Close() // outputs consumed or closed; state stays live
batch, _ := st2.Batch(high[8:], low[8:], close[8:], nil)
fmt.Println(batch.Rows[0]) // continued ATR values
batch.Close()
st2.Close()
import org.tuliprs.*;
import org.tuliprs.indicators.Atr;
double[] high = {82.15, 81.89, 83.03, 83.30, 83.85,
83.90, 83.33, 84.30, 84.84, 85.00};
double[] low = {81.29, 80.64, 81.31, 82.65, 83.07,
83.11, 82.49, 82.30, 84.15, 84.11};
double[] close = {81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36};
double[] options = {14.0}; // period
// Full computation — output rows are zero-copy views, valid until close().
Outcome oc = Atr.indicator(new double[][] {high, low, close}, options);
try (Result res = oc.result(); State st = oc.state()) {
System.out.println(java.util.Arrays.toString(res.toDoubleArray(0))); // ATR values
}
// Partial computation + state continuation.
int n = 8;
Outcome p = Atr.indicator(new double[][] {
java.util.Arrays.copyOfRange(high, 0, n),
java.util.Arrays.copyOfRange(low, 0, n),
java.util.Arrays.copyOfRange(close, 0, n)}, options);
try (Result pr = p.result(); State st = p.state()) {
Result br = st.batch(new double[][] {
java.util.Arrays.copyOfRange(high, n, 10),
java.util.Arrays.copyOfRange(low, n, 10),
java.util.Arrays.copyOfRange(close, n, 10)});
try (br) {
System.out.println(java.util.Arrays.toString(br.toDoubleArray(0))); // continued ATR
}
}
import numpy as np
import tulip_rs
high = np.array([82.15, 81.89, 83.03, 83.30, 83.85,
83.90, 83.33, 84.30, 84.84, 85.00], dtype=np.float64)
low = np.array([81.29, 80.64, 81.31, 82.65, 83.07,
83.11, 82.49, 82.30, 84.15, 84.11], dtype=np.float64)
close = np.array([81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36], dtype=np.float64)
outputs, state = tulip_rs.indicators.atr.indicator([high, low, close], [14.0])
print(outputs[0]) # ATR values
# State continuation
new_high = np.array([85.20], dtype=np.float64)
new_low = np.array([84.50], dtype=np.float64)
new_close = np.array([85.00], dtype=np.float64)
continued = state.batch_indicator([new_high, new_low, new_close])
print(continued[0])
import * as ti from 'tulip-rs-node';
const high = Float64Array.from([82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00, 85.90, 86.58, 86.98, 88.00, 87.87]);
const low = Float64Array.from([81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11, 84.03, 85.39, 85.76, 87.17, 87.01]);
const close = Float64Array.from([81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36, 85.53, 86.54, 86.89, 87.77, 87.29]);
const [outputs, state] = ti.atr.indicator([high, low, close], [14]);
console.log('ATR(14):', outputs[0]);
// State continuation
const n = high.length - 5;
const [, state2] = ti.atr.indicator([high.slice(0, n), low.slice(0, n), close.slice(0, n)], [14]);
const continued = state2.batchIndicator([high.slice(n), low.slice(n), close.slice(n)]);
console.log('Continued ATR:', continued[0]);
import { init } from 'tulip-rs-wasm';
import * as ti from 'tulip-rs-wasm';
await init(); // bundler resolves the WASM asset automatically
const high = [82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00, 85.90, 86.58, 86.98, 88.00, 87.87];
const low = [81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11, 84.03, 85.39, 85.76, 87.17, 87.01];
const close = [81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36, 85.53, 86.54, 86.89, 87.77, 87.29];
const [outputs, state] = ti.atr.indicator([high, low, close], [14]);
console.log('ATR(14):', outputs[0]);
// State continuation
const n = high.length - 5;
const [, state2] = ti.atr.indicator([high.slice(0, n), low.slice(0, n), close.slice(0, n)], [14]);
const continued = state2.batchIndicator([high.slice(n), low.slice(n), close.slice(n)]);
console.log('Continued ATR:', continued[0]);
Optional Outputs¶
atr exposes 1 optional output: "tr". Pass a boolean mask as the third argument — one bool per optional output, in order.
use tulip_rs::indicators::atr::{Atr, Indicator, TIndicatorState};
let high = vec![82.59, 82.06, 83.87, 84.00, 84.61,
84.15, 83.84, 84.99, 85.55, 85.36_f64];
let low = vec![80.59, 80.06, 81.87, 82.00, 82.61,
82.15, 81.84, 82.99, 83.55, 83.36_f64];
let close = vec![81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36_f64];
let mask = [true]; // request tr
let (outputs, _state) = Atr::indicator(
&[high.as_slice(), low.as_slice(), close.as_slice()],
&[14.0],
Some(&mask),
).unwrap();
let atr = &outputs[0]; // atr (primary)
let tr = &outputs[1]; // tr (optional — requested)
#include "tulip_rs_ffi.h"
double high[] = {82.59, 82.06, 83.87, 84.00, 84.61,
84.15, 83.84, 84.99, 85.55, 85.36};
double low[] = {80.59, 80.06, 81.87, 82.00, 82.61,
82.15, 81.84, 82.99, 83.55, 83.36};
double close[] = {81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36};
double options[ATR_OPTIONS] = {14.0}; // period
const double *inputs[ATR_INPUTS] = {high, low, close};
/* request the optional tr output */
bool optional_outputs[1] = {true};
CIndicatorResult r = atr_indicator(inputs, 10, options, optional_outputs, 1);
if (r.error != C_INDICATOR_ERROR_OK) {
fprintf(stderr, "atr_indicator failed: error=%d\n", r.error);
return 1;
}
/* r.outputs[0] -> atr (primary) */
/* r.outputs[1] -> tr (optional — requested) */
tulip_ffi_result_free(r);
atr_state_free(r.state);
import "github.com/me60732/tulip_rs_go/indicators"
high := []float64{82.59, 82.06, 83.87, 84.00, 84.61,
84.15, 83.84, 84.99, 85.55, 85.36}
low := []float64{80.59, 80.06, 81.87, 82.00, 82.61,
82.15, 81.84, 82.99, 83.55, 83.36}
close := []float64{81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36}
options := []float64{14.0} // period
// request the optional tr output (mask order matches optional_outputs)
mask := []bool{true}
res, st, _ := indicators.Atr.Indicator(high, low, close, options, mask)
atr := res.Rows[0] // atr (primary)
tr := res.Rows[1] // tr (optional — requested)
fmt.Println("atr:", atr)
fmt.Println("tr:", tr)
res.Close()
st.Close()
import org.tuliprs.*;
import org.tuliprs.indicators.Atr;
// (high/low/close series as in the Basic tab)
boolean[] mask = {true}; // request tr
Outcome oc = Atr.indicator(new double[][] {high, low, close}, new double[] {14.0}, mask);
try (Result res = oc.result()) {
System.out.println(java.util.Arrays.toString(res.toDoubleArray(0))); // atr (primary)
System.out.println(java.util.Arrays.toString(res.toDoubleArray(1))); // tr (optional — requested)
}
oc.state().close();
import numpy as np
import tulip_rs
high = np.array([82.59, 82.06, 83.87, 84.00, 84.61,
84.15, 83.84, 84.99, 85.55, 85.36], dtype=np.float64)
low = np.array([80.59, 80.06, 81.87, 82.00, 82.61,
82.15, 81.84, 82.99, 83.55, 83.36], dtype=np.float64)
close = np.array([81.59, 81.06, 82.87, 83.00, 83.61,
83.15, 82.84, 83.99, 84.55, 84.36], dtype=np.float64)
outputs, state = tulip_rs.indicators.atr.indicator(
[high, low, close], [14.0],
optional_outputs=[True],
)
atr = outputs[0] # atr (primary)
tr = outputs[1] # tr (optional — requested)
atr exposes 1 optional output: tr.
SIMD¶
By assets — same options, N assets in parallel:
use tulip_rs::indicators::atr::{Atr, Indicator};
let inputs: [&[&[f64]; 3]; 4] = [
&[h1.as_slice(), l1.as_slice(), c1.as_slice()],
&[h2.as_slice(), l2.as_slice(), c2.as_slice()],
&[h3.as_slice(), l3.as_slice(), c3.as_slice()],
&[h4.as_slice(), l4.as_slice(), c4.as_slice()],
];
let results = Atr::indicator_by_assets::<4>(&inputs, &[14.0], None).unwrap();
for (i, asset_outputs) in results.iter().enumerate() {
println!("Asset {}: {:?}", i + 1, asset_outputs[0]);
}
By options — same asset, N option sets in parallel:
By assets — same options applied to 4 assets in one call (N must be 2/4/8/16):
double h1[] = {82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00};
double l1[] = {81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11};
double c1[] = {81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36};
double h2[] = {72.15, 71.89, 73.03, 73.30, 73.85, 73.90, 73.33, 74.30, 74.84, 75.00};
double l2[] = {71.29, 70.64, 71.31, 72.65, 73.07, 73.11, 72.49, 72.30, 74.15, 74.11};
double c2[] = {71.59, 71.06, 72.87, 73.00, 73.61, 73.15, 72.84, 73.99, 74.55, 74.36};
double h3[] = {52.15, 51.89, 53.03, 53.30, 53.85, 53.90, 53.33, 54.30, 54.84, 55.00};
double l3[] = {51.29, 50.64, 51.31, 52.65, 53.07, 53.11, 52.49, 52.30, 54.15, 54.11};
double c3[] = {51.59, 51.06, 52.87, 53.00, 53.61, 53.15, 52.84, 53.99, 54.55, 54.36};
double h4[] = {102.15, 101.89, 103.03, 103.30, 103.85, 103.90, 103.33, 104.30, 104.84, 105.00};
double l4[] = {101.29, 100.64, 101.31, 102.65, 103.07, 103.11, 102.49, 102.30, 104.15, 104.11};
double c4[] = {101.59, 101.06, 102.87, 103.00, 103.61, 103.15, 102.84, 103.99, 104.55, 104.36};
/* one [INPUTS]-long pointer array per asset */
const double *asset1[ATR_INPUTS] = {h1, l1, c1};
const double *asset2[ATR_INPUTS] = {h2, l2, c2};
const double *asset3[ATR_INPUTS] = {h3, l3, c3};
const double *asset4[ATR_INPUTS] = {h4, l4, c4};
const double *const *const simd_inputs[4] = {asset1, asset2, asset3, asset4};
CSimdResult r = atr_simd_by_assets(simd_inputs, 4, 10, options, NULL, 0);
for (uintptr_t i = 0; i < r.num_results; i++) {
/* r.outputs[i][0] -> asset i's ATR series */
atr_state_free(r.states[i]);
}
tulip_ffi_simd_result_free(r);
By options — same asset, 4 different periods in one call:
double o7[] = {7.0};
double o14[] = {14.0};
double o21[] = {21.0};
double o28[] = {28.0};
const double *const simd_opts[4] = {o7, o14, o21, o28};
CSimdResult r = atr_simd_by_options(inputs, 10, simd_opts, 4, NULL, 0);
/* r.outputs[i][0] -> ATR for period set i */
for (uintptr_t i = 0; i < r.num_results; i++) atr_state_free(r.states[i]);
tulip_ffi_simd_result_free(r);
By assets — same options applied to 4 assets in parallel (lane counts 2/4/8/16):
h1 := []float64{82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00}
l1 := []float64{81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11}
c1 := []float64{81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36}
// Reuse the same data for assets 2–4 in this example
h2, l2, c2 := h1, l1, c1
h3, l3, c3 := h1, l1, c1
h4, l4, c4 := h1, l1, c1
assets := [][indicators.AtrInputs][]float64{{h1, l1, c1}, {h2, l2, c2}, {h3, l3, c3}, {h4, l4, c4}}
sim, _ := indicators.Atr.SimdByAssets(assets, []float64{14.0}, nil)
for i, lanes := range sim.Results {
fmt.Printf("Asset %d: %v\n", i+1, lanes[0])
}
sim.Close() // frees every lane state, then the SIMD buffers
By options — same asset, 4 different periods in parallel:
high := []float64{82.15, 81.89, 83.03, 83.30, 83.85, 83.90, 83.33, 84.30, 84.84, 85.00}
low := []float64{81.29, 80.64, 81.31, 82.65, 83.07, 83.11, 82.49, 82.30, 84.15, 84.11}
close := []float64{81.59, 81.06, 82.87, 83.00, 83.61, 83.15, 82.84, 83.99, 84.55, 84.36}
sim2, _ := indicators.Atr.SimdByOptions(high, low, close, [][]float64{{7.0}, {14.0}, {21.0}, {28.0}}, nil)
for i, lanes := range sim2.Results {
fmt.Printf("Period %d: %v\n", i+1, lanes[0])
}
sim2.Close()
By assets — same options applied to 4 assets in parallel (N must be 2, 4, 8, or 16):
import org.tuliprs.*;
import org.tuliprs.indicators.Atr;
// Each entry lists one asset's input series (h1..c4 as in the C tab).
double[][][] assets = {{h1, l1, c1}, {h2, l2, c2}, {h3, l3, c3}, {h4, l4, c4}};
try (SimdResult sim = Atr.simdByAssets(assets, new double[] {14.0}, null)) {
for (int i = 0; i < sim.numResults(); i++) {
System.out.printf("Asset %d: %s%n", i + 1,
java.util.Arrays.toString(sim.toDoubleArray(i, 0)));
}
} // frees every lane state, then the SIMD buffers (contractual order)
By options — same asset, 4 different periods in parallel:
import org.tuliprs.*;
import org.tuliprs.indicators.Atr;
// (high/low/close series as in the Basic tab)
try (SimdResult sim = Atr.simdByOptions(new double[][] {high, low, close},
new double[][] {{7.0}, {14.0}, {21.0}, {28.0}}, null)) {
for (int i = 0; i < sim.numResults(); i++) {
System.out.printf("Period %d: %s%n", i + 1,
java.util.Arrays.toString(sim.toDoubleArray(i, 0)));
}
}
By assets — same options, N assets in parallel (must be 2, 4, 8, or 16):
simd_inputs = [
[h1, l1, c1],
[h2, l2, c2],
[h3, l3, c3],
[h4, l4, c4],
]
outputs_list, states = tulip_rs.indicators.atr.simd_by_assets(simd_inputs, [14.0])
for i, asset_outputs in enumerate(outputs_list):
print(f"Asset {i+1}: {asset_outputs[0]}")
By options — same asset, N option sets in parallel:
By assets — same period applied to 4 assets in parallel:
const simdInputs = [
[high.slice(), low.slice(), close.slice()],
[high.map(v => v * 1.1), low.map(v => v * 1.1), close.map(v => v * 1.1)],
[high.map(v => v * 0.9), low.map(v => v * 0.9), close.map(v => v * 0.9)],
[high.map(v => v * 1.02), low.map(v => v * 1.02), close.map(v => v * 1.02)],
];
const [results] = ti.atr.simdByAssets(simdInputs, [14]);
results.forEach((out, i) => console.log(`Asset ${i + 1}:`, out[0]));
By options — same asset, 4 different periods in parallel: