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, 84 insertions, 0 deletions

diff --git a/lib/mfi.c b/lib/mfi.c
new file mode 100644
index 0000000..c93803c
--- /dev/null
+++ b/lib/mfi.c
@@ -0,0 +1,84 @@
+// Mfi
+//
+// mfi
+//
+// Money Flow Index
+//
+// 100 - 100/(1 + MF_ratio), volume-weighted RSI
+//
+// Inputs:    5
+// Outputs:   1
+// Constants: 1
+
+
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_mfi_params_t;
+
+ts_parameter_t const ts_mfi_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_mfi_params_t) };
+
+uint_t ts_mfi_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_mfi_params_t *)c)->k : 0 );
+}
+
+int ts_mfi(
+	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_mfi_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_mfi_params_t *)c)->k;
+	if (k == 0 || n <= k) return -1;
+
+	fp_t *tp = calloc( n, sizeof( fp_t ) );
+	if ( !tp ) return -1;
+
+	for( uint_t i = 0; i < n; ++i )
+	{
+		tp[i] = ( ts_h( x, i ) + ts_l( x, i ) + ts_c( x, i ) ) / 3.0;
+	}
+
+	fp_t pos_sum = 0;
+	fp_t neg_sum = 0;
+
+	for (uint_t i = 0; i < k; ++i) y[0][i] = 0;
+
+	for( uint_t i = 1; i <= k; ++i )
+	{
+		fp_t raw_mf = tp[i] * ts_v( x, i );
+		if( tp[i] > tp[i - 1] )
+			pos_sum += raw_mf;
+		else
+			neg_sum += raw_mf;
+	}
+
+	y[0][k] = ( neg_sum == 0 ) ? 100.0 : 100.0 - 100.0 / ( 1.0 + pos_sum / neg_sum );
+
+	for( uint_t i = k + 1; i < n; ++i )
+	{
+		fp_t cur_raw_mf = tp[i] * ts_v( x, i );
+		if( tp[i] > tp[i - 1] )
+			pos_sum += cur_raw_mf;
+		else
+			neg_sum += cur_raw_mf;
+
+		fp_t old_raw_mf = tp[i - k] * ts_v( x, i - k );
+		if( tp[i - k] > tp[i - k - 1] )
+			pos_sum -= old_raw_mf;
+		else
+			neg_sum -= old_raw_mf;
+
+		y[0][i] = ( neg_sum == 0 ) ? 100.0 : 100.0 - 100.0 / ( 1.0 + pos_sum / neg_sum );
+	}
+
+	free( tp );
+	return 0;
+}
+