lib/envelope.c


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// Price Envelope
//
// envelope - ENV
//
// Upper: SMA * (1 + pct), Lower: SMA * (1 - pct)
//
// Inputs:    1
// Outputs:   2 (Upper, Lower)
// Constants: 2 (period, percentage)

#include <math.h>
#include "ts.h"

typedef struct {
    uint_t k;
    fp_t pct;
} ts_envelope_params_t;

ts_parameter_t const ts_envelope_p = { .n_inputs = 1, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_envelope_params_t) };

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

int ts_envelope(
	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_envelope_p );
	if ( !c ) return -1;
    uint_t k = ((ts_envelope_params_t *)c)->k;
    fp_t pct = ((ts_envelope_params_t *)c)->pct;
    if (k == 0 || n < k) return -1;

    fp_t sum = 0;
    for ( uint_t i = 0; i < k; ++i )
    {
        sum += x[0][i];
    }

    fp_t sma = sum / ( fp_t )k;

    for ( uint_t i = k - 1; i < n; ++i )
    {
        if ( i >= k )
        {
            sma = sma + ( x[0][i] - x[0][i - k] ) / ( fp_t )k;
        }

        y[0][i] = sma * ( 1.0 + pct );
        y[1][i] = sma * ( 1.0 - pct );
    }
	return 0;
}