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, 64 insertions, 0 deletions

diff --git a/lib/vortex_indicator.c b/lib/vortex_indicator.c
new file mode 100644
index 0000000..39ecfbc
--- /dev/null
+++ b/lib/vortex_indicator.c
@@ -0,0 +1,64 @@
+// Vortex Indicator
+//
+// vortex_indicator
+//
+// Vortex Indicator
+//
+// 
+//
+// Inputs:    4
+// Outputs:   2
+// Constants: 1
+
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_vortex_indicator_params_t;
+
+ts_parameter_t const ts_vortex_indicator_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_vortex_indicator_params_t) };
+
+uint_t ts_vortex_indicator_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_vortex_indicator_params_t *)c)->k : 0 );
+}
+
+int ts_vortex_indicator(
+	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_vortex_indicator_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_vortex_indicator_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	for( uint_t i = k; i < n; ++i )
+	{
+		fp_t sum_vm_plus = 0;
+		fp_t sum_vm_minus = 0;
+		fp_t sum_tr = 0;
+
+		for( uint_t j = 0; j < k; ++j )
+		{
+			uint_t idx = i - k + 1 + j;
+			fp_t vm_plus = fabs( ts_h( x, idx ) - ts_l( x, idx - 1 ) );
+			fp_t vm_minus = fabs( ts_l( x, idx ) - ts_h( x, idx - 1 ) );
+			fp_t tr = fmax( ts_h( x, idx ) - ts_l( x, idx ),
+			                fmax( fabs( ts_h( x, idx ) - ts_c( x, idx - 1 ) ),
+			                       fabs( ts_l( x, idx ) - ts_c( x, idx - 1 ) ) ) );
+			sum_vm_plus += vm_plus;
+			sum_vm_minus += vm_minus;
+			sum_tr += tr;
+		}
+
+		y[0][i] = sum_tr != 0 ? sum_vm_plus / sum_tr : 0;
+		y[1][i] = sum_tr != 0 ? sum_vm_minus / sum_tr : 0;
+	}
+	return 0;
+}
+