// Vwap Period // // vwap_period // // Period VWAP // // // // Inputs: 5 // Outputs: 1 // Constants: 1 #include "ts.h" typedef struct { uint_t k; } ts_vwap_period_params_t; ts_parameter_t const ts_vwap_period_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_vwap_period_params_t) }; uint_t ts_vwap_period_offset( ts_constant_t const *c ) { ( void )c; return ( c ? ((ts_vwap_period_params_t *)c)->k > 0 ? ((ts_vwap_period_params_t *)c)->k - 1 : 0 : 0 ); } int ts_vwap_period( 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_period_p ); if ( !c ) return -1; uint_t k = ((ts_vwap_period_params_t *)c)->k; if (k == 0 || n < k) return -1; /* Periodic VWAP: reset cumulative sums every k bars */ fp_t sum_pv = 0; fp_t sum_vol = 0; for (uint_t i = 0; i < n; ++i) { sum_pv += ts_c( x, i ) * ts_v( x, i ); sum_vol += ts_v( x, i ); y[0][i] = sum_vol != 0 ? sum_pv / sum_vol : 0; if ((i + 1) % k == 0 || i == n - 1) { sum_pv = 0; sum_vol = 0; } } return 0; }