1 files changed, 64 insertions, 0 deletions
diff --git a/lib/channel.c b/lib/channel.c
new file mode 100644
index 0000000..a2d8bd9
--- /dev/null
+++ b/lib/channel.c
@@ -0,0 +1,64 @@
+// Channel
+//
+// channel - Donchian-style channel
+//
+// Upper: rolling highest high, Lower: rolling lowest low over period k
+//
+// Inputs:    4 (OHLC)
+// Outputs:   2 (Upper, Lower)
+// Constants: 1 (period)
+
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_channel_params_t;
+
+ts_parameter_t const ts_channel_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_channel_params_t) };
+
+uint_t ts_channel_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_channel_params_t *)c)->k - 1 : 0 );
+}
+
+int ts_channel(
+	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_channel_p );
+	if ( !c ) return -1;
+	uint_t k = ((ts_channel_params_t *)c)->k;
+	if (k == 0 || n < k) return -1;
+
+	uint_t xi = k - 1;
+	uint_t xj = 0;
+	uint_t yi = k - 1;
+
+	for( ; xi < n; xi++, xj++, yi++ )
+	{
+		y[0][yi] = x[1][xj];
+		for( uint_t i = xj; i <= xi; i++ )
+		{
+			if( x[1][i] > y[0][yi] )
+			{
+				y[0][yi] = x[1][i];
+			}
+		}
+
+		y[1][yi] = x[2][xj];
+		for( uint_t i = xj; i <= xi; i++ )
+		{
+			if( x[2][i] < y[1][yi] )
+			{
+				y[1][yi] = x[2][i];
+			}
+		}
+	}
+	return 0;
+}
+
+
+