diff options
Diffstat (limited to 'lib/vwap.c')
| -rw-r--r-- | lib/vwap.c | 44 |
1 files changed, 44 insertions, 0 deletions
diff --git a/lib/vwap.c b/lib/vwap.c new file mode 100644 index 0000000..50308c7 --- /dev/null +++ b/lib/vwap.c @@ -0,0 +1,44 @@ +// Vwap +// +// vwap +// +// Volume Weighted Average Price +// +// +// +// Inputs: 5 +// Outputs: 1 +// Constants: 0 + + +#include "ts.h" + + +ts_parameter_t const ts_vwap_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 0, .params_size = 0 }; + +uint_t ts_vwap_offset( ts_constant_t const *c ) +{ + ( void )c; + return ( 0 ); +} + +int ts_vwap( + 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_p ); + (void)c; + fp_t cum_pv = 0; + fp_t cum_v = 0; + + for( uint_t i = 0; i < n; ++i ) + { + cum_pv += ts_c( x, i ) * ts_v( x, i ); + cum_v += ts_v( x, i ); + y[0][i] = cum_v != 0 ? cum_pv / cum_v : 0; + } + return 0; +} + |