all: move float slice/map to a single package

pkg/datatype/floats/map.go

@@ -0,0 +1,42 @@
+package floats
+
+type Map map[string]float64
+
+func (m Map) Sum() float64 {
+	sum := 0.0
+	for _, v := range m {
+		sum += v
+	}
+	return sum
+}
+
+func (m Map) MulScalar(x float64) Map {
+	o := Map{}
+	for k, v := range m {
+		o[k] = v * x
+	}
+
+	return o
+}
+func (m Map) DivScalar(x float64) Map {
+	o := Map{}
+	for k, v := range m {
+		o[k] = v / x
+	}
+
+	return o
+}
+
+func (m Map) Normalize() Map {
+	sum := m.Sum()
+	if sum == 0 {
+		panic("zero sum")
+	}
+
+	o := Map{}
+	for k, v := range m {
+		o[k] = v / sum
+	}
+
+	return o
+}

pkg/datatype/floats/slice.go

@@ -0,0 +1,151 @@
+package floats
+
+import (
+	"math"
+
+	"gonum.org/v1/gonum/floats"
+)
+
+type Slice []float64
+
+func New(a ...float64) Slice {
+	return Slice(a)
+}
+
+func (s *Slice) Push(v float64) {
+	*s = append(*s, v)
+}
+
+func (s *Slice) Update(v float64) {
+	*s = append(*s, v)
+}
+
+func (s *Slice) Pop(i int64) (v float64) {
+	v = (*s)[i]
+	*s = append((*s)[:i], (*s)[i+1:]...)
+	return v
+}
+
+func (s Slice) Max() float64 {
+	return floats.Max(s)
+}
+
+func (s Slice) Min() float64 {
+	return floats.Min(s)
+}
+
+func (s Slice) Sum() (sum float64) {
+	return floats.Sum(s)
+}
+
+func (s Slice) Mean() (mean float64) {
+	length := len(s)
+	if length == 0 {
+		panic("zero length slice")
+	}
+	return s.Sum() / float64(length)
+}
+
+func (s Slice) Tail(size int) Slice {
+	length := len(s)
+	if length <= size {
+		win := make(Slice, length)
+		copy(win, s)
+		return win
+	}
+
+	win := make(Slice, size)
+	copy(win, s[length-size:])
+	return win
+}
+
+func (s Slice) Diff() (values Slice) {
+	for i, v := range s {
+		if i == 0 {
+			values.Push(0)
+			continue
+		}
+		values.Push(v - s[i-1])
+	}
+	return values
+}
+
+func (s Slice) PositiveValuesOrZero() (values Slice) {
+	for _, v := range s {
+		values.Push(math.Max(v, 0))
+	}
+	return values
+}
+
+func (s Slice) NegativeValuesOrZero() (values Slice) {
+	for _, v := range s {
+		values.Push(math.Min(v, 0))
+	}
+	return values
+}
+
+func (s Slice) Abs() (values Slice) {
+	for _, v := range s {
+		values.Push(math.Abs(v))
+	}
+	return values
+}
+
+func (s Slice) MulScalar(x float64) (values Slice) {
+	for _, v := range s {
+		values.Push(v * x)
+	}
+	return values
+}
+
+func (s Slice) DivScalar(x float64) (values Slice) {
+	for _, v := range s {
+		values.Push(v / x)
+	}
+	return values
+}
+
+func (s Slice) Mul(other Slice) (values Slice) {
+	if len(s) != len(other) {
+		panic("slice lengths do not match")
+	}
+
+	for i, v := range s {
+		values.Push(v * other[i])
+	}
+
+	return values
+}
+
+func (s Slice) Dot(other Slice) float64 {
+	return floats.Dot(s, other)
+}
+
+func (s Slice) Normalize() Slice {
+	return s.DivScalar(s.Sum())
+}
+
+func (s *Slice) Last() float64 {
+	length := len(*s)
+	if length > 0 {
+		return (*s)[length-1]
+	}
+	return 0.0
+}
+
+func (s *Slice) Index(i int) float64 {
+	length := len(*s)
+	if length-i <= 0 || i < 0 {
+		return 0.0
+	}
+	return (*s)[length-i-1]
+}
+
+func (s *Slice) Length() int {
+	return len(*s)
+}
+
+func (s Slice) Addr() *Slice {
+	return &s
+}
+

pkg/indicator/ad.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -16,7 +17,7 @@ Accumulation/Distribution Indicator (A/D)
 type AD struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values   types.Float64Slice
+	Values   floats.Slice
 	PrePrice float64
 
 	EndTime         time.Time

pkg/indicator/alma.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"math"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -19,9 +20,9 @@ type ALMA struct {
 	Sigma                int     // required: recommend to be 5
 	weight               []float64
 	sum                  float64
-	input                []float64
-	Values               types.Float64Slice
-	UpdateCallbacks      []func(value float64)
+	input           []float64
+	Values          floats.Slice
+	UpdateCallbacks []func(value float64)
 }
 
 const MaxNumOfALMA = 5_000

pkg/indicator/atr.go

@@ -4,14 +4,15 @@ import (
 	"math"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
 //go:generate callbackgen -type ATR
 type ATR struct {
 	types.SeriesBase
 	types.IntervalWindow
-	PercentageVolatility types.Float64Slice
+	PercentageVolatility floats.Slice
 
 	PreviousClose float64
 	RMA           *RMA

pkg/indicator/atrp.go

@@ -4,6 +4,7 @@ import (
 	"math"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -18,7 +19,7 @@ import (
 type ATRP struct {
 	types.SeriesBase
 	types.IntervalWindow
-	PercentageVolatility types.Float64Slice
+	PercentageVolatility floats.Slice
 
 	PreviousClose float64
 	RMA           *RMA

pkg/indicator/boll.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -29,8 +30,8 @@ type BOLL struct {
 	SMA    *SMA
 	StdDev *StdDev
 
-	UpBand   types.Float64Slice
-	DownBand types.Float64Slice
+	UpBand   floats.Slice
+	DownBand floats.Slice
 
 	EndTime time.Time
 

pkg/indicator/cci.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"math"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -13,10 +14,10 @@ import (
 type CCI struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Input        types.Float64Slice
-	TypicalPrice types.Float64Slice
-	MA           types.Float64Slice
-	Values       types.Float64Slice
+	Input        floats.Slice
+	TypicalPrice floats.Slice
+	MA           floats.Slice
+	Values       floats.Slice
 
 	UpdateCallbacks []func(value float64)
 }

pkg/indicator/cma.go

@@ -1,6 +1,7 @@
 package indicator
 
 import (
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -9,9 +10,9 @@ import (
 //go:generate callbackgen -type CA
 type CA struct {
 	types.SeriesBase
-	Interval        types.Interval
-	Values          types.Float64Slice
-	length          float64
+	Interval types.Interval
+	Values   floats.Slice
+	length   float64
 	UpdateCallbacks []func(value float64)
 }
 

pkg/indicator/dema.go

@@ -1,6 +1,7 @@
 package indicator
 
 import (
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -11,7 +12,7 @@ import (
 type DEMA struct {
 	types.IntervalWindow
 	types.SeriesBase
-	Values types.Float64Slice
+	Values floats.Slice
 	a1     *EWMA
 	a2     *EWMA
 

pkg/indicator/drift.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"math"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -13,9 +14,9 @@ import (
 type Drift struct {
 	types.SeriesBase
 	types.IntervalWindow
-	chng      *types.Queue
-	Values    types.Float64Slice
-	MA        types.UpdatableSeriesExtend
+	chng   *types.Queue
+	Values floats.Slice
+	MA     types.UpdatableSeriesExtend
 	LastValue float64
 
 	UpdateCallbacks []func(value float64)

pkg/indicator/ewma.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -15,7 +16,7 @@ type EWMA struct {
 	types.IntervalWindow
 	types.SeriesBase
 
-	Values  types.Float64Slice
+	Values  floats.Slice
 	EndTime time.Time
 
 	updateCallbacks []func(value float64)