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, 69 insertions, 0 deletions

diff --git a/lib/di_plus.c b/lib/di_plus.c
new file mode 100644
index 0000000..fb3c076
--- /dev/null
+++ b/lib/di_plus.c
@@ -0,0 +1,69 @@
+// Plus Directional Indicator
+//
+// di_plus - DI+
+//
+// 100 * EMA(+DM) / (EMA(+DM) + EMA(-DM)), measures upward pressure
+//
+// Inputs:    4 (OHLC)
+// Outputs:   1 (DI+)
+// Constants: 1 (period)
+
+#include <math.h>
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_di_plus_params_t;
+
+ts_parameter_t const ts_di_plus_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_di_plus_params_t) };
+
+uint_t ts_di_plus_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_di_plus_params_t *)c)->k : 0 );
+}
+
+int ts_di_plus(
+	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_di_plus_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_di_plus_params_t *)c)->k;
+	if (k == 0 || n < 2) return -1;
+	fp_t *ema_plus = calloc( n, sizeof( fp_t ) );
+	fp_t *ema_minus = calloc( n, sizeof( fp_t ) );
+	if( !ema_plus || !ema_minus ) { free( ema_plus ); free( ema_minus ); return -1; }
+
+	for( uint_t i = 1; i < n; ++i )
+	{
+		fp_t hdmd = ts_h( x, i ) - ts_h( x, i - 1 );
+		fp_t ldml = ts_l( x, i - 1 ) - ts_l( x, i );
+
+		fp_t plus_dm = hdmd > ldml && hdmd > 0 ? hdmd : 0;
+		fp_t minus_dm = ldml > hdmd && ldml > 0 ? ldml : 0;
+
+		ema_plus[i] = i == 1 ? plus_dm
+		                     : ema_plus[i - 1] + ( 1.0 / k ) * ( plus_dm - ema_plus[i - 1] );
+		ema_minus[i] = i == 1 ? minus_dm
+		                      : ema_minus[i - 1] + ( 1.0 / k ) * ( minus_dm - ema_minus[i - 1] );
+	}
+
+	for (uint_t j = 0; j < n && j < k; ++j) y[0][j] = 0;
+
+	for( uint_t i = k; i < n; ++i )
+	{
+		fp_t denom = ema_plus[i] + ema_minus[i];
+		y[0][i] = denom != 0 ? 100.0 * ema_plus[i] / denom : 0;
+	}
+
+	free( ema_plus );
+	free( ema_minus );
+	return 0;
+}
+
+
+