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// Kvo
//
// kvo
//
// Klinger Volume Oscillator
//
// Volume-weighted price direction oscillator
//
// Inputs: 5
// Outputs: 2
// Constants: 2
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k1;
fp_t f0;
} ts_kvo_params_t;
ts_parameter_t const ts_kvo_p = { .n_inputs = 5, .n_outputs = 2, .n_constants = 2, .params_size = sizeof(ts_kvo_params_t) };
uint_t ts_kvo_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? ((ts_kvo_params_t *)c)->k1 > 10 ? ((ts_kvo_params_t *)c)->k1 : 10 : 0 );
}
int ts_kvo(
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_kvo_p );
if ( !c ) return -1;
uint_t k1 = ((ts_kvo_params_t *)c)->k1;
fp_t f0_raw = ((ts_kvo_params_t *)c)->f0;
if (isnan(f0_raw) || isinf(f0_raw) || f0_raw < 0) return -1;
uint_t k10 = (uint_t)f0_raw;
if (k1 == 0) return -1;
k10 = k1 > 10 ? k1 : 10;
fp_t ema_short_dvm = 0;
fp_t ema_long_absdvm = 0;
fp_t ema_signal = 0;
fp_t kvo_val = 0;
fp_t short_a = 2.0 / (k1 + 1);
fp_t long_a = 2.0 / (k10 + 1);
fp_t sig_a = 2.0 / (k1 + 1);
uint_t offset = k10;
for (uint_t i = 0; i < offset; ++i) { y[0][i] = 0; y[1][i] = 0; }
for( uint_t i = offset; i < n; ++i )
{
fp_t dvm_i = 0;
fp_t absdvm_i = 0;
if( i >= 1 )
{
fp_t dm = (ts_c(x, i) - ts_o(x, i)) - (ts_c(x, i-1) - ts_o(x, i-1));
fp_t vol = ts_v(x, i);
if( dm > 0 )
{
dvm_i = dm * vol;
absdvm_i = dm * vol;
}
else if( dm < 0 )
{
dvm_i = dm * vol;
absdvm_i = (-dm) * vol;
}
}
if( i == offset )
{
ema_short_dvm = dvm_i;
ema_long_absdvm = absdvm_i;
}
else
{
ema_short_dvm = ema_short_dvm + short_a * (dvm_i - ema_short_dvm);
ema_long_absdvm = ema_long_absdvm + long_a * (absdvm_i - ema_long_absdvm);
}
if( ema_long_absdvm != 0 )
kvo_val = ema_short_dvm / ema_long_absdvm;
if( i == offset )
ema_signal = kvo_val;
else
ema_signal = ema_signal + sig_a * (kvo_val - ema_signal);
y[0][i] = kvo_val;
y[1][i] = ema_signal;
}
return 0;
}
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