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, 56 insertions, 0 deletions

diff --git a/lib/donchian_width.c b/lib/donchian_width.c
new file mode 100644
index 0000000..c69936f
--- /dev/null
+++ b/lib/donchian_width.c
@@ -0,0 +1,56 @@
+// Donchian Width
+//
+// donchian_width - DW
+//
+// Highest high - lowest low over k periods
+//
+// Inputs:    5 (OHLCV)
+// Outputs:   1 (Width)
+// Constants: 1 (period)
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_donchian_width_params_t;
+
+ts_parameter_t const ts_donchian_width_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_donchian_width_params_t) };
+
+uint_t ts_donchian_width_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_donchian_width_params_t *)c)->k > 0 ? ((ts_donchian_width_params_t *)c)->k - 1 : 0 : 0 );
+}
+
+int ts_donchian_width(
+	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_donchian_width_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_donchian_width_params_t *)c)->k;
+    if (k == 0 || n < k) return -1;
+
+    for ( uint_t i = k - 1; i < n; ++i )
+    {
+        fp_t upper = ts_h( x, i - k + 1 );
+        fp_t lower = ts_l( x, i - k + 1 );
+
+        for ( uint_t j = i - k + 1; j <= i; ++j )
+        {
+            if ( ts_h( x, j ) > upper )
+                upper = ts_h( x, j );
+            if ( ts_l( x, j ) < lower )
+                lower = ts_l( x, j );
+        }
+
+        y[0][i] = upper - lower;
+    }
+	return 0;
+}
+
+
+