lib/channel.c


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// Channel
//
// channel - Donchian-style channel
//
// Upper: rolling highest high, Lower: rolling lowest low over period k
//
// Inputs:    4 (OHLC)
// Outputs:   2 (Upper, Lower)
// Constants: 1 (period)

#include "ts.h"

typedef struct {
    uint_t k;
} ts_channel_params_t;

ts_parameter_t const ts_channel_p = { .n_inputs = 4, .n_outputs = 2, .n_constants = 1, .params_size = sizeof(ts_channel_params_t) };

uint_t ts_channel_offset( ts_constant_t const *c )
{
	( void )c;
	return ( c ? ((ts_channel_params_t *)c)->k - 1 : 0 );
}

int ts_channel(
	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_channel_p );
	if ( !c ) return -1;
	uint_t k = ((ts_channel_params_t *)c)->k;
	if (k == 0 || n < k) return -1;

	uint_t xi = k - 1;
	uint_t xj = 0;
	uint_t yi = k - 1;

	for( ; xi < n; xi++, xj++, yi++ )
	{
		y[0][yi] = x[1][xj];
		for( uint_t i = xj; i <= xi; i++ )
		{
			if( x[1][i] > y[0][yi] )
			{
				y[0][yi] = x[1][i];
			}
		}

		y[1][yi] = x[2][xj];
		for( uint_t i = xj; i <= xi; i++ )
		{
			if( x[2][i] < y[1][yi] )
			{
				y[1][yi] = x[2][i];
			}
		}
	}
	return 0;
}