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, 88 insertions, 0 deletions

diff --git a/lib/ravi.c b/lib/ravi.c
new file mode 100644
index 0000000..fcb3095
--- /dev/null
+++ b/lib/ravi.c
@@ -0,0 +1,88 @@
+// Ravi
+//
+// ravi
+//
+// Rogers Average True Range
+//
+// 
+//
+// Inputs:    4
+// Outputs:   2
+// Constants: 2
+
+
+#include <math.h>
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+    fp_t k2;
+} ts_ravi_params_t;
+
+ts_parameter_t const ts_ravi_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_ravi_params_t) };
+
+uint_t ts_ravi_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_ravi_params_t *)c)->k + (uint_t)((ts_ravi_params_t *)c)->k2 - 2 : 0 );
+}
+
+int ts_ravi(
+	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_ravi_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_ravi_params_t *)c)->k;
+    fp_t k2 = ((ts_ravi_params_t *)c)->k2;
+
+    if( k == 0 || k2 == 0 ) return -1;
+
+    fp_t *num_buf = calloc( n, sizeof( fp_t ) );
+    fp_t *den_buf = calloc( n, sizeof( fp_t ) );
+    if( !num_buf || !den_buf ) { free( num_buf ); free( den_buf ); return -1; }
+
+    for( uint_t i = 0; i < n; ++i )
+    {
+        num_buf[i] = (x[3][i] - x[0][i]) + (x[3][i] - (i > 0 ? x[3][i - 1] : x[3][i]));
+        den_buf[i] = fabs(x[1][i] - x[2][i]) + fabs(x[3][i] - x[0][i]);
+    }
+
+    fp_t num_sum = 0;
+    fp_t den_sum = 0;
+
+    for( uint_t i = 0; i < k; ++i )
+    {
+        num_sum += num_buf[i];
+        den_sum += den_buf[i];
+    }
+
+    fp_t rvi = ( den_sum != 0 ) ? num_sum / den_sum : 0;
+    fp_t sig = rvi;
+    fp_t sig_a = 1.0 / k2;
+    uint_t offset = k + (uint_t)k2 - 2;
+
+    for (uint_t i = 0; i < offset; ++i) { y[0][i] = 0; y[1][i] = 0; }
+
+    for( uint_t i = k; i < n; ++i )
+    {
+        num_sum = num_sum - num_buf[i - k] + num_buf[i];
+        den_sum = den_sum - den_buf[i - k] + den_buf[i];
+        rvi = ( den_sum != 0 ) ? num_sum / den_sum : 0;
+        sig = sig + sig_a * (rvi - sig);
+
+        if( i >= offset )
+        {
+            y[0][i] = rvi;
+            y[1][i] = sig;
+        }
+    }
+
+    free( num_buf );
+    free( den_buf );
+	return 0;
+}
+