initial commit: ts time series analysis library v0.1.0

- 354 financial and mathematical time-series indicators
- Uniform C11 API with consistent function signatures
- 349 passing tests with -Werror
- Static and shared library builds
- pkg-config integration
- Python bindings
- Fuzzing and sanitizer support
- Security hardening flags

1 files changed, 67 insertions, 0 deletions

diff --git a/lib/ad_oscillator.c b/lib/ad_oscillator.c
new file mode 100644
index 0000000..5021140
--- /dev/null
+++ b/lib/ad_oscillator.c
@@ -0,0 +1,67 @@
+// Accumulation/Distribution Oscillator
+//
+// ad_oscillator - ADX
+//
+// Difference between fast and slow EMA of the A/D line
+//
+// Inputs:    5 (OHLCV)
+// Outputs:   1 (Oscillator)
+// Constants: 2 (fast period, slow period)
+
+#include "ts.h"
+
+typedef struct {
+    fp_t fast;
+    fp_t slow;
+} ts_ad_oscillator_params_t;
+
+ts_parameter_t const ts_ad_oscillator_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 2, .params_size = sizeof(ts_ad_oscillator_params_t) };
+
+uint_t ts_ad_oscillator_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( 0 );
+}
+
+int ts_ad_oscillator(
+	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_ad_oscillator_p );
+	if ( !c ) return -1;
+    if( n == 0 ) return -1;
+
+    fp_t fast = ((ts_ad_oscillator_params_t *)c)->fast;
+    fp_t slow = ((ts_ad_oscillator_params_t *)c)->slow;
+    if (fast == 0 || slow == 0) return -1;
+    fp_t a_fast = 1.0 / fast;
+    fp_t a_slow = 1.0 / slow;
+
+    fp_t hl = ts_h( x, 0 ) - ts_l( x, 0 );
+    fp_t mf = hl != 0
+             ? ( ( ts_c( x, 0 ) - ts_l( x, 0 ) ) - ( ts_h( x, 0 ) - ts_c( x, 0 ) ) ) / hl * ts_v( x, 0 )
+             : 0;
+    fp_t ad = mf;
+    fp_t ema_f = ad;
+    fp_t ema_s = ad;
+    y[0][0] = 0;
+
+    for( uint_t i = 1; i < n; ++i )
+    {
+        hl = ts_h( x, i ) - ts_l( x, i );
+        mf = hl != 0
+            ? ( ( ts_c( x, i ) - ts_l( x, i ) ) - ( ts_h( x, i ) - ts_c( x, i ) ) ) / hl * ts_v( x, i )
+            : 0;
+        ad += mf;
+        ema_f = ema_f + a_fast * ( ad - ema_f );
+        ema_s = ema_s + a_slow * ( ad - ema_s );
+        y[0][i] = ema_f - ema_s;
+    }
+
+	return 0;
+}
+
+
+