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// 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 const *)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 const *)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;
}
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