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// Mfi
//
// mfi
//
// Money Flow Index
//
// 100 - 100/(1 + MF_ratio), volume-weighted RSI
//
// Inputs: 5
// Outputs: 1
// Constants: 1
#include <stdlib.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_mfi_params_t;
ts_parameter_t const ts_mfi_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_mfi_params_t) };
uint_t ts_mfi_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_mfi_params_t *)c)->k : 0 );
}
int ts_mfi(
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_mfi_p );
if ( !c ) return -1;
uint_t k = ((ts_mfi_params_t *)c)->k;
if (k == 0 || n <= k) return -1;
fp_t *tp = calloc( n, sizeof( fp_t ) );
if ( !tp ) return -1;
for( uint_t i = 0; i < n; ++i )
{
tp[i] = ( ts_h( x, i ) + ts_l( x, i ) + ts_c( x, i ) ) / 3.0;
}
fp_t pos_sum = 0;
fp_t neg_sum = 0;
for (uint_t i = 0; i < k; ++i) y[0][i] = 0;
for( uint_t i = 1; i <= k; ++i )
{
fp_t raw_mf = tp[i] * ts_v( x, i );
if( tp[i] > tp[i - 1] )
pos_sum += raw_mf;
else
neg_sum += raw_mf;
}
y[0][k] = ( neg_sum == 0 ) ? 100.0 : 100.0 - 100.0 / ( 1.0 + pos_sum / neg_sum );
for( uint_t i = k + 1; i < n; ++i )
{
fp_t cur_raw_mf = tp[i] * ts_v( x, i );
if( tp[i] > tp[i - 1] )
pos_sum += cur_raw_mf;
else
neg_sum += cur_raw_mf;
fp_t old_raw_mf = tp[i - k] * ts_v( x, i - k );
if( tp[i - k] > tp[i - k - 1] )
pos_sum -= old_raw_mf;
else
neg_sum -= old_raw_mf;
y[0][i] = ( neg_sum == 0 ) ? 100.0 : 100.0 - 100.0 / ( 1.0 + pos_sum / neg_sum );
}
free( tp );
return 0;
}
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