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, 74 insertions, 0 deletions

diff --git a/lib/on_balance_volume_rate.c b/lib/on_balance_volume_rate.c
new file mode 100644
index 0000000..7183c23
--- /dev/null
+++ b/lib/on_balance_volume_rate.c
@@ -0,0 +1,74 @@
+// On Balance Volume Rate
+//
+// on_balance_volume_rate
+//
+// OBV Rate of Change
+//
+// 
+//
+// Inputs:    5
+// Outputs:   1
+// Constants: 1
+
+
+#include <stdlib.h>
+#include "ts.h"
+
+typedef struct {
+    fp_t f0;
+} ts_on_balance_volume_rate_params_t;
+
+ts_parameter_t const ts_on_balance_volume_rate_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_on_balance_volume_rate_params_t) };
+
+uint_t ts_on_balance_volume_rate_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? (uint_t)((ts_on_balance_volume_rate_params_t *)c)->f0 + 1 : 0 );
+}
+
+int ts_on_balance_volume_rate(
+	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_on_balance_volume_rate_p );
+	if ( !c ) return -1;
+    uint_t k = (uint_t)((ts_on_balance_volume_rate_params_t *)c)->f0;
+    if (k == 0 || k >= n) return -1;
+
+    fp_t obv = 0;
+
+    fp_t *obv_history = NULL;
+    if( n > 0 )
+    {
+        obv_history = calloc( n, sizeof( fp_t ) );
+        if( !obv_history ) return -1;
+    }
+
+    for( uint_t i = 1; i < n; ++i )
+    {
+        if( x[3][i] > x[3][i - 1] )
+        {
+            obv += x[4][i];
+        }
+        else if( x[3][i] < x[3][i - 1] )
+        {
+            obv -= x[4][i];
+        }
+        obv_history[i] = obv;
+    }
+
+    for (uint_t i = 0; i <= k; ++i) y[0][i] = 0;
+
+    for( uint_t i = k + 1; i < n; ++i )
+    {
+        fp_t obv_prev = obv_history[i - k];
+        y[0][i] = obv_prev != 0 ? ( obv_history[i] - obv_prev ) / obv_prev * 100 : 0;
+    }
+
+    free( obv_history );
+
+	return 0;
+}
+