initial commit: ts time series analysis library v0.1.0

- 354 financial and mathematical time-series indicators
- Uniform C11 API with consistent function signatures
- 349 passing tests with -Werror
- Static and shared library builds
- pkg-config integration
- Python bindings
- Fuzzing and sanitizer support
- Security hardening flags

1 files changed, 78 insertions, 0 deletions

diff --git a/lib/average_weighted_series.c b/lib/average_weighted_series.c
new file mode 100644
index 0000000..d7e2ccb
--- /dev/null
+++ b/lib/average_weighted_series.c
@@ -0,0 +1,78 @@
+// Average Weighted Series
+//
+// average_weighted_series - aws
+//
+// SMA of the product of two series: SMA(x0 * x1, k)
+//
+// Inputs:    1
+// Outputs:   1
+// Constants: 1 (period)
+
+#include <math.h>
+#include <stdlib.h>
+#include "ts.h"
+
+
+typedef struct {
+    uint_t k;
+} ts_average_weighted_series_params_t;
+
+ts_parameter_t const ts_average_weighted_series_p = { .n_inputs = 2, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_average_weighted_series_params_t) };
+
+
+uint_t ts_average_weighted_series_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_average_weighted_series_params_t *)c)->k - 1 : 0 );
+}
+
+int ts_average_weighted_series(
+	fp_t * const *y, uint_t y_n,
+	fp_t const * const *x, uint_t x_n,
+	uint_t n, ts_constant_t const *c
+)
+{
+	TS_PROLOGUE( ts_average_weighted_series_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_average_weighted_series_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	uint_t xi = 0;
+	uint_t yi = k;
+
+    fp_t *b = malloc(k * sizeof(fp_t));
+    if (!b) return -1;
+    uint_t bi = 0;
+
+	fp_t sum = 0;
+
+	while( xi < k )
+		{
+        	b[bi] = x[0][xi] * x[1][xi];
+			sum += b[bi];
+
+			++xi;
+			bi = _ts_circle_increment( bi, k );
+		}
+
+		y[0][k - 1] = sum / k;
+	uint_t tmp;
+
+	while( xi < n )
+	{
+		tmp = b[bi];
+		b[bi] = x[0][xi] * x[1][xi];
+
+		y[0][yi] = y[0][yi - 1] + ( b[bi] - tmp ) / k;
+
+		++xi;
+		++yi;
+		bi = _ts_circle_increment( bi, k );
+	}
+
+    free(b);
+	return 0;
+}
+
+
+