lib/price_channel.c


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// Price Channel
//
// price_channel
//
// Price Channel
//
// 
//
// Inputs:    1
// Outputs:   3
// Constants: 1


#include "ts.h"

typedef struct {
    uint_t k;
} ts_price_channel_params_t;

ts_parameter_t const ts_price_channel_p = { .n_inputs = 1, .n_outputs = 3, .n_constants = 1, .params_size = sizeof(ts_price_channel_params_t) };

uint_t ts_price_channel_offset( ts_constant_t const *c )
{
	( void )c;
	return ( c ? ((ts_price_channel_params_t *)c)->k - 1 : 0 );
}

int ts_price_channel(
	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_price_channel_p );
	if ( !c ) return -1;
    uint_t k = ((ts_price_channel_params_t *)c)->k;
    if (k == 0 || n < k) return -1;

    for( uint_t i = k - 1; i < n; ++i )
    {
        fp_t hh = x[0][i - k + 1];
        fp_t ll = x[0][i - k + 1];
        fp_t sum = x[0][i - k + 1];

        for( uint_t j = i - k + 2; j <= i; ++j )
        {
            if( x[0][j] > hh ) hh = x[0][j];
            if( x[0][j] < ll ) ll = x[0][j];
            sum += x[0][j];
        }

        y[0][i] = hh;
        y[1][i] = sum / (fp_t)k;
        y[2][i] = ll;
    }
	return 0;
}