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// Commodity Channel Index
//
// cci - CCI
//
// (TP - SMA(TP)) / (0.015 * MAD(TP)), where TP = (H+L+C)/3
//
// Inputs: 4 (OHLC)
// Outputs: 1 (CCI)
// Constants: 0
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_cci_params_t;
ts_parameter_t const ts_cci_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_cci_params_t) };
uint_t ts_cci_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_cci_params_t const *)c)->k - 1 : 0 );
}
int ts_cci(
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_cci_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_cci_params_t const *)c)->k;
if (k == 0 || n < k) return -1;
// Compute initial typical prices
fp_t tp_sum = 0;
for( uint_t j = 0; j < k; ++j )
{
tp_sum += ( ts_h( x, j ) + ts_l( x, j ) + ts_c( x, j ) ) / 3.0;
}
fp_t tp_sma = tp_sum / (fp_t)k;
// Compute initial MAD
fp_t mad_sum = 0;
for( uint_t j = 0; j < k; ++j )
{
fp_t tp = ( ts_h( x, j ) + ts_l( x, j ) + ts_c( x, j ) ) / 3.0;
mad_sum += fabs( tp - tp_sma );
}
fp_t mad = mad_sum / (fp_t)k;
{
fp_t tp = ( ts_h( x, k - 1 ) + ts_l( x, k - 1 ) + ts_c( x, k - 1 ) ) / 3.0;
if( mad == 0 )
y[0][k - 1] = 0;
else
y[0][k - 1] = ( tp - tp_sma ) / ( 0.015 * mad );
}
// Sliding window: incremental tp_sum, but MAD needs recompute when tp_sma changes
// MAD depends on tp_sma which changes each step, so we can't fully incremental MAD
// However, we can still use incremental tp_sum
for( uint_t i = k; i < n; ++i )
{
fp_t tp_new = ( ts_h( x, i ) + ts_l( x, i ) + ts_c( x, i ) ) / 3.0;
fp_t tp_old = ( ts_h( x, i - k ) + ts_l( x, i - k ) + ts_c( x, i - k ) ) / 3.0;
tp_sum = tp_sum + tp_new - tp_old;
tp_sma = tp_sum / (fp_t)k;
mad_sum = 0;
for( uint_t j = 0; j < k; ++j )
{
fp_t tp = ( ts_h( x, i - k + 1 + j ) + ts_l( x, i - k + 1 + j ) + ts_c( x, i - k + 1 + j ) ) / 3.0;
mad_sum += fabs( tp - tp_sma );
}
mad = mad_sum / (fp_t)k;
if( mad == 0 )
y[0][i] = 0;
else
y[0][i] = ( tp_new - tp_sma ) / ( 0.015 * mad );
}
return 0;
}
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