lib/vwap_period.c


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
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 const *)c)->k > 0 ? ((ts_vwap_period_params_t const *)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 const *)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;
}