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// Volatility System
//
// volatility_system
//
// Volatility System
//
//
//
// Inputs: 4
// Outputs: 1
// Constants: 1
#include <math.h>
#include "ts.h"
typedef struct {
uint_t k;
} ts_volatility_system_params_t;
ts_parameter_t const ts_volatility_system_p = { .n_inputs = 4, .n_outputs = 1, .n_constants = 1, .params_size = sizeof(ts_volatility_system_params_t) };
uint_t ts_volatility_system_offset( ts_constant_t const *c )
{
( void )c;
return ( c ? 2 * ((ts_volatility_system_params_t const *)c)->k : 0 );
}
int ts_volatility_system(
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_volatility_system_p );
if ( !c ) return -1;
TS_CHECK_INPUT(x, x_n, n);
uint_t k = ((ts_volatility_system_params_t const *)c)->k;
if (k == 0 || n < k) return -1;
uint_t range_period = 2 * k;
if (n < range_period) return -1;
for ( uint_t i = 0; i < range_period; ++i )
y[0][i] = NAN;
fp_t ema = (ts_c(x, range_period - 2) + ts_c(x, range_period - 1)) / 2.0;
for( uint_t i = range_period; i < n; ++i )
{
if( i == range_period )
ema = (ts_c(x, i-1) + ts_c(x, i)) / 2.0;
else
ema = ema * 0.5 + ts_c(x, i) * 0.5;
y[0][i] = ema;
}
return 0;
}
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