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, 105 insertions, 0 deletions

diff --git a/lib/kvo.c b/lib/kvo.c
new file mode 100644
index 0000000..229fad8
--- /dev/null
+++ b/lib/kvo.c
@@ -0,0 +1,105 @@
+// Kvo
+//
+// kvo
+//
+// Klinger Volume Oscillator
+//
+// Volume-weighted price direction oscillator
+//
+// Inputs:    5
+// Outputs:   2
+// Constants: 2
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k1;
+    fp_t f0;
+} ts_kvo_params_t;
+
+ts_parameter_t const ts_kvo_p = { .n_inputs = 5, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_kvo_params_t) };
+
+uint_t ts_kvo_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_kvo_params_t *)c)->k1 > 10 ? ((ts_kvo_params_t *)c)->k1 : 10 : 0 );
+}
+
+int ts_kvo(
+	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_kvo_p );
+	if ( !c ) return -1;
+    uint_t k1 = ((ts_kvo_params_t *)c)->k1;
+    fp_t f0_raw = ((ts_kvo_params_t *)c)->f0;
+    if (isnan(f0_raw) || isinf(f0_raw) || f0_raw < 0) return -1;
+    uint_t k10 = (uint_t)f0_raw;
+    if (k1 == 0) return -1;
+    k10 = k1 > 10 ? k1 : 10;
+
+    fp_t ema_short_dvm = 0;
+    fp_t ema_long_absdvm = 0;
+    fp_t ema_signal = 0;
+    fp_t kvo_val = 0;
+
+    fp_t short_a = 2.0 / (k1 + 1);
+    fp_t long_a = 2.0 / (k10 + 1);
+    fp_t sig_a = 2.0 / (k1 + 1);
+
+    uint_t offset = k10;
+
+    for (uint_t i = 0; i < offset; ++i) { y[0][i] = 0; y[1][i] = 0; }
+
+    for( uint_t i = offset; i < n; ++i )
+    {
+        fp_t dvm_i = 0;
+        fp_t absdvm_i = 0;
+
+        if( i >= 1 )
+        {
+            fp_t dm = (ts_c(x, i) - ts_o(x, i)) - (ts_c(x, i-1) - ts_o(x, i-1));
+            fp_t vol = ts_v(x, i);
+            if( dm > 0 )
+            {
+                dvm_i = dm * vol;
+                absdvm_i = dm * vol;
+            }
+            else if( dm < 0 )
+            {
+                dvm_i = dm * vol;
+                absdvm_i = (-dm) * vol;
+            }
+        }
+
+        if( i == offset )
+        {
+            ema_short_dvm = dvm_i;
+            ema_long_absdvm = absdvm_i;
+        }
+        else
+        {
+            ema_short_dvm = ema_short_dvm + short_a * (dvm_i - ema_short_dvm);
+            ema_long_absdvm = ema_long_absdvm + long_a * (absdvm_i - ema_long_absdvm);
+        }
+
+        if( ema_long_absdvm != 0 )
+            kvo_val = ema_short_dvm / ema_long_absdvm;
+
+        if( i == offset )
+            ema_signal = kvo_val;
+        else
+            ema_signal = ema_signal + sig_a * (kvo_val - ema_signal);
+
+        y[0][i] = kvo_val;
+        y[1][i] = ema_signal;
+    }
+	return 0;
+}
+
+
+