1 files changed, 44 insertions, 0 deletions
diff --git a/lib/cumulative_volume_delta.c b/lib/cumulative_volume_delta.c
new file mode 100644
index 0000000..d76da1c
--- /dev/null
+++ b/lib/cumulative_volume_delta.c
@@ -0,0 +1,44 @@
+// Cumulative Volume Delta
+//
+// cumulative_volume_delta - CVD
+//
+// Running sum of volume weighted by close-open direction
+//
+// Inputs:    5 (OHLCV)
+// Outputs:   1 (CVD)
+// Constants: 0
+
+#include <math.h>
+#include "ts.h"
+
+
+ts_parameter_t const ts_cumulative_volume_delta_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 0, .params_size = 0 };
+
+uint_t ts_cumulative_volume_delta_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( 0 );
+}
+
+int ts_cumulative_volume_delta(
+	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_cumulative_volume_delta_p );
+	(void)c;
+    fp_t cum = 0;
+
+    for( uint_t i = 0; i < n; ++i )
+    {
+        fp_t diff = x[3][i] - x[0][i];
+        fp_t sign = ( diff > 0 ) ? 1.0 : ( diff < 0 ) ? -1.0 : 0.0;
+        cum += x[4][i] * sign;
+        y[0][i] = cum;
+    }
+	return 0;
+}
+
+
+