1 files changed, 60 insertions, 0 deletions
diff --git a/lib/volume_delta.c b/lib/volume_delta.c
new file mode 100644
index 0000000..cabd94a
--- /dev/null
+++ b/lib/volume_delta.c
@@ -0,0 +1,60 @@
+// Volume Delta
+//
+// volume_delta
+//
+// Volume Delta
+//
+// 
+//
+// Inputs:    5
+// Outputs:   1
+// Constants: 0
+
+
+#include "ts.h"
+
+
+ts_parameter_t const ts_volume_delta_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 0, .params_size = 0 };
+
+uint_t ts_volume_delta_offset( ts_constant_t const *c )
+{
+	( void )c;
+	return ( 0 );
+}
+
+int ts_volume_delta(
+	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_volume_delta_p );
+	(void)c;
+    for( uint_t i = 0; i < n; ++i )
+    {
+        fp_t hl = x[1][i] - x[2][i];
+        if( hl == 0 )
+        {
+            y[0][i] = 0;
+        }
+        else if( x[3][i] > x[0][i] )
+        {
+            fp_t buy_vol = x[4][i] * ( x[3][i] - x[2][i] ) / hl;
+            fp_t sell_vol = x[4][i] - buy_vol;
+            y[0][i] = buy_vol - sell_vol;
+        }
+        else if( x[3][i] < x[0][i] )
+        {
+            fp_t sell_vol = x[4][i] * ( x[1][i] - x[3][i] ) / hl;
+            fp_t buy_vol = x[4][i] - sell_vol;
+            y[0][i] = buy_vol - sell_vol;
+        }
+        else
+        {
+            y[0][i] = 0;
+        }
+    }
+
+	return 0;
+}
+