lib/on_balance_volume_rate.c


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// On Balance Volume Rate
//
// on_balance_volume_rate
//
// OBV Rate of Change
//
// 
//
// Inputs:    5
// Outputs:   1
// Constants: 1


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

typedef struct {
    fp_t f0;
} ts_on_balance_volume_rate_params_t;

ts_parameter_t const ts_on_balance_volume_rate_p = { .n_inputs = 5, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_on_balance_volume_rate_params_t) };

uint_t ts_on_balance_volume_rate_offset( ts_constant_t const *c )
{
	( void )c;
	return ( c ? (uint_t)((ts_on_balance_volume_rate_params_t const *)c)->f0 + 1 : 0 );
}

int ts_on_balance_volume_rate(
	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_on_balance_volume_rate_p );
	if ( !c ) return -1;
    uint_t k = (uint_t)((ts_on_balance_volume_rate_params_t const *)c)->f0;
    if (k == 0 || k >= n) return -1;

    fp_t obv = 0;

    fp_t *obv_history = NULL;
    if( n > 0 )
    {
        obv_history = calloc( n, sizeof( fp_t ) );
        if( !obv_history ) return -1;
    }

    for( uint_t i = 1; i < n; ++i )
    {
        if( x[3][i] > x[3][i - 1] )
        {
            obv += x[4][i];
        }
        else if( x[3][i] < x[3][i - 1] )
        {
            obv -= x[4][i];
        }
        obv_history[i] = obv;
    }

    for (uint_t i = 0; i <= k; ++i) y[0][i] = 0;

    for( uint_t i = k + 1; i < n; ++i )
    {
        fp_t obv_prev = obv_history[i - k];
        y[0][i] = obv_prev != 0 ? ( obv_history[i] - obv_prev ) / obv_prev * 100 : 0;
    }

    free( obv_history );

	return 0;
}