1 files changed, 67 insertions, 0 deletions
diff --git a/lib/cmf.c b/lib/cmf.c
new file mode 100644
index 0000000..7ac0402
--- /dev/null
+++ b/lib/cmf.c
@@ -0,0 +1,67 @@
+// Chaikin Money Flow
+//
+// cmf - CMF
+//
+// SUM(MF * V) / SUM(V) over period, where MF = ((C-L)-(H-C))/(H-L)
+//
+// Inputs:    5 (OHLCV)
+// Outputs:   1 (CMF)
+// Constants: 1 (period)
+
+#include <math.h>
+#include "ts.h"
+
+typedef struct {
+    uint_t k;
+} ts_cmf_params_t;
+
+ts_parameter_t const ts_cmf_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_cmf_params_t) };
+
+uint_t ts_cmf_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( c ? ((ts_cmf_params_t *)c)->k - 1 : 0 );
+}
+
+int ts_cmf(
+	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_cmf_p );
+	if ( !c ) return -1;
+    uint_t k = ((ts_cmf_params_t *)c)->k;
+    if (k == 0 || n < k) return -1;
+
+    fp_t sum_mf = 0;
+    fp_t sum_vol = 0;
+
+    for ( uint_t i = 0; i < k; ++i )
+    {
+        fp_t hl = ts_h( x, i ) - ts_l( x, i );
+        fp_t 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;
+        sum_mf += mf;
+        sum_vol += ts_v( x, i );
+    }
+
+    y[0][k - 1] = sum_vol != 0 ? sum_mf / sum_vol : 0;
+
+    for ( uint_t i = k; i < n; ++i )
+    {
+        fp_t hl_prev = ts_h( x, i - k ) - ts_l( x, i - k );
+        fp_t mf_prev = hl_prev != 0 ? ( ( ts_c( x, i - k ) - ts_l( x, i - k ) ) - ( ts_h( x, i - k ) - ts_c( x, i - k ) ) ) / hl_prev * ts_v( x, i - k ) : 0;
+
+        fp_t hl_cur = ts_h( x, i ) - ts_l( x, i );
+        fp_t mf_cur = hl_cur != 0 ? ( ( ts_c( x, i ) - ts_l( x, i ) ) - ( ts_h( x, i ) - ts_c( x, i ) ) ) / hl_cur * ts_v( x, i ) : 0;
+
+        sum_mf = sum_mf - mf_prev + mf_cur;
+        sum_vol = sum_vol - ts_v( x, i - k ) + ts_v( x, i );
+
+        y[0][i] = sum_vol != 0 ? sum_mf / sum_vol : 0;
+    }
+	return 0;
+}
+
+
+