lib/cumulative_volume_delta.c


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// 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;
}