1 files changed, 58 insertions, 0 deletions
diff --git a/lib/vwap_period.c b/lib/vwap_period.c
new file mode 100644
index 0000000..b8af2bd
--- /dev/null
+++ b/lib/vwap_period.c
@@ -0,0 +1,58 @@
+// Vwap Period
+//
+// vwap_period
+//
+// Period VWAP
+//
+// 
+//
+// Inputs:    5
+// Outputs:   1
+// Constants: 1
+
+
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_vwap_period_params_t;
+
+ts_parameter_t const ts_vwap_period_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_vwap_period_params_t) };
+
+uint_t ts_vwap_period_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_vwap_period_params_t *)c)->k > 0 ? ((ts_vwap_period_params_t *)c)->k - 1 : 0 : 0 );
+}
+
+int ts_vwap_period(
+	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_vwap_period_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_vwap_period_params_t *)c)->k;
+    if (k == 0 || n < k) return -1;
+
+    /* Periodic VWAP: reset cumulative sums every k bars */
+    fp_t sum_pv = 0;
+    fp_t sum_vol = 0;
+
+    for (uint_t i = 0; i < n; ++i)
+    {
+        sum_pv += ts_c( x, i ) * ts_v( x, i );
+        sum_vol += ts_v( x, i );
+
+        y[0][i] = sum_vol != 0 ? sum_pv / sum_vol : 0;
+
+        if ((i + 1) % k == 0 || i == n - 1)
+        {
+            sum_pv = 0;
+            sum_vol = 0;
+        }
+    }
+	return 0;
+}
+