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

@@ -4,6 +4,7 @@ import (
 	"math"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -11,7 +12,7 @@ import (
 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)

pkg/indicator/fisher.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"math"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -11,7 +12,7 @@ type FisherTransform struct {
 	types.SeriesBase
 	types.IntervalWindow
 	prices *types.Queue
-	Values types.Float64Slice
+	Values floats.Slice
 
 	UpdateCallbacks []func(value float64)
 }

pkg/indicator/low.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -11,7 +12,7 @@ type Low struct {
 	types.IntervalWindow
 	types.SeriesBase
 
-	Values  types.Float64Slice
+	Values  floats.Slice
 	EndTime time.Time
 
 	updateCallbacks []func(value float64)

pkg/indicator/macd.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -19,11 +20,11 @@ type MACD struct {
 	types.IntervalWindow     // 9
 	ShortPeriod          int // 12
 	LongPeriod           int // 26
-	Values               types.Float64Slice
-	FastEWMA             *EWMA
+	Values     floats.Slice
+	FastEWMA   *EWMA
 	SlowEWMA             *EWMA
-	SignalLine           *EWMA
-	Histogram            types.Float64Slice
+	SignalLine *EWMA
+	Histogram  floats.Slice
 
 	EndTime time.Time
 

pkg/indicator/obv.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 @@ On-Balance Volume (OBV) Definition
 type OBV struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values   types.Float64Slice
+	Values   floats.Slice
 	PrePrice float64
 	EndTime  time.Time
 

pkg/indicator/obv_test.go

@@ -6,6 +6,7 @@ import (
 
 	"github.com/stretchr/testify/assert"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -30,7 +31,7 @@ func Test_calculateOBV(t *testing.T) {
 		name   string
 		kLines []types.KLine
 		window int
-		want   types.Float64Slice
+		want   floats.Slice
 	}{
 		{
 			name: "trivial_case",
@@ -38,13 +39,13 @@ func Test_calculateOBV(t *testing.T) {
 				[]fixedpoint.Value{fixedpoint.Zero}, []fixedpoint.Value{fixedpoint.One},
 			),
 			window: 0,
-			want:   types.Float64Slice{1.0},
+			want:   floats.Slice{1.0},
 		},
 		{
 			name:   "easy_case",
 			kLines: buildKLines(input1, input2),
 			window: 0,
-			want:   types.Float64Slice{3, 1, -1, 5},
+			want:   floats.Slice{3, 1, -1, 5},
 		},
 	}
 

pkg/indicator/pivot.go

@@ -6,6 +6,7 @@ import (
 
 	log "github.com/sirupsen/logrus"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -15,8 +16,8 @@ type Pivot struct {
 	types.IntervalWindow
 
 	// Values
-	Lows  types.Float64Slice // higher low
-	Highs types.Float64Slice // lower high
+	Lows  floats.Slice // higher low
+	Highs floats.Slice // lower high
 
 	EndTime time.Time
 
@@ -96,8 +97,8 @@ func calculatePivot(klines []types.KLine, window int, valLow KLineValueMapper, v
 		return 0., 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
 	}
 
-	var lows types.Float64Slice
-	var highs types.Float64Slice
+	var lows floats.Slice
+	var highs floats.Slice
 	for _, k := range klines {
 		lows.Push(valLow(k))
 		highs.Push(valHigh(k))

pkg/indicator/pivot_low.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -12,8 +13,8 @@ type PivotLow struct {
 
 	types.IntervalWindow
 
-	Lows    types.Float64Slice
-	Values  types.Float64Slice
+	Lows    floats.Slice
+	Values  floats.Slice
 	EndTime time.Time
 
 	updateCallbacks []func(value float64)
@@ -62,7 +63,7 @@ func (inc *PivotLow) PushK(k types.KLine) {
 	inc.EmitUpdate(inc.Last())
 }
 
-func calculatePivotF(values types.Float64Slice, left, right int, f func(a, pivot float64) bool) (float64, bool) {
+func calculatePivotF(values floats.Slice, left, right int, f func(a, pivot float64) bool) (float64, bool) {
 	length := len(values)
 
 	if right == 0 {
@@ -91,13 +92,13 @@ func calculatePivotF(values types.Float64Slice, left, right int, f func(a, pivot
 	return val, true
 }
 
-func calculatePivotHigh(highs types.Float64Slice, left, right int) (float64, bool) {
+func calculatePivotHigh(highs floats.Slice, left, right int) (float64, bool) {
 	return calculatePivotF(highs, left, right, func(a, pivot float64) bool {
 		return a < pivot
 	})
 }
 
-func calculatePivotLow(lows types.Float64Slice, left, right int) (float64, bool) {
+func calculatePivotLow(lows floats.Slice, left, right int) (float64, bool) {
 	return calculatePivotF(lows, left, right, func(a, pivot float64) bool {
 		return a > pivot
 	})

pkg/indicator/rma.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -14,7 +15,7 @@ type RMA struct {
 	types.SeriesBase
 	types.IntervalWindow
 
-	Values  types.Float64Slice
+	Values  floats.Slice
 	EndTime time.Time
 
 	counter int

pkg/indicator/rsi.go

@@ -4,6 +4,7 @@ import (
 	"math"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -16,8 +17,8 @@ https://www.investopedia.com/terms/r/rsi.asp
 type RSI struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values          types.Float64Slice
-	Prices          types.Float64Slice
+	Values          floats.Slice
+	Prices          floats.Slice
 	PreviousAvgLoss float64
 	PreviousAvgGain float64
 

pkg/indicator/rsi_test.go

@@ -6,6 +6,7 @@ import (
 
 	"github.com/stretchr/testify/assert"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -26,13 +27,13 @@ func Test_calculateRSI(t *testing.T) {
 		name   string
 		kLines []types.KLine
 		window int
-		want   types.Float64Slice
+		want   floats.Slice
 	}{
 		{
 			name:   "RSI",
 			kLines: buildKLines(values),
 			window: 14,
-			want: types.Float64Slice{
+			want: floats.Slice{
 				70.46413502109704,
 				66.24961855355505,
 				66.48094183471265,

pkg/indicator/sma.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -14,7 +15,7 @@ const MaxNumOfSMATruncateSize = 100
 type SMA struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values    types.Float64Slice
+	Values    floats.Slice
 	rawValues *types.Queue
 	EndTime   time.Time
 

pkg/indicator/ssf.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"math"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -27,7 +28,7 @@ type SSF struct {
 	c2     float64
 	c3     float64
 	c4     float64
-	Values types.Float64Slice
+	Values floats.Slice
 
 	UpdateCallbacks []func(value float64)
 }
@@ -45,7 +46,7 @@ func (inc *SSF) Update(value float64) {
 			inc.c3 = -c0 * (1. + b0)
 			inc.c2 = c0 + b0
 			inc.c1 = 1. - inc.c2 - inc.c3 - inc.c4
-			inc.Values = types.Float64Slice{}
+			inc.Values = floats.Slice{}
 		}
 
 		result := inc.c1*value +
@@ -61,7 +62,7 @@ func (inc *SSF) Update(value float64) {
 			inc.c3 = -a0 * a0
 			inc.c2 = 2. * a0 * math.Cos(x)
 			inc.c1 = 1. - inc.c2 - inc.c3
-			inc.Values = types.Float64Slice{}
+			inc.Values = floats.Slice{}
 		}
 		result := inc.c1*value +
 			inc.c2*inc.Values.Index(0) +

pkg/indicator/stddev.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -10,7 +11,7 @@ import (
 type StdDev struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values    types.Float64Slice
+	Values    floats.Slice
 	rawValues *types.Queue
 
 	EndTime         time.Time

pkg/indicator/stoch.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -17,11 +18,11 @@ Stochastic Oscillator
 //go:generate callbackgen -type STOCH
 type STOCH struct {
 	types.IntervalWindow
-	K types.Float64Slice
-	D types.Float64Slice
+	K floats.Slice
+	D floats.Slice
 
-	HighValues types.Float64Slice
-	LowValues  types.Float64Slice
+	HighValues floats.Slice
+	LowValues  floats.Slice
 
 	EndTime         time.Time
 	UpdateCallbacks []func(k float64, d float64)

pkg/indicator/supertrend.go

@@ -6,6 +6,7 @@ import (
 
 	"github.com/sirupsen/logrus"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -19,7 +20,7 @@ type Supertrend struct {
 
 	AverageTrueRange *ATR
 
-	trendPrices types.Float64Slice
+	trendPrices floats.Slice
 
 	closePrice             float64
 	previousClosePrice     float64

pkg/indicator/tema.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 TEMA struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values types.Float64Slice
+	Values floats.Slice
 	A1     *EWMA
 	A2     *EWMA
 	A3     *EWMA

pkg/indicator/vidya.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"math"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -12,8 +13,8 @@ import (
 type VIDYA struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values types.Float64Slice
-	input  types.Float64Slice
+	Values floats.Slice
+	input  floats.Slice
 
 	updateCallbacks []func(value float64)
 }

pkg/indicator/volatility.go

@@ -7,6 +7,7 @@ import (
 
 	log "github.com/sirupsen/logrus"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -19,7 +20,7 @@ const MaxNumOfVOLTruncateSize = 100
 type Volatility struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values  types.Float64Slice
+	Values  floats.Slice
 	EndTime time.Time
 
 	UpdateCallbacks []func(value float64)

pkg/indicator/vwap.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -19,9 +20,9 @@ Volume-Weighted Average Price (VWAP) Explained
 type VWAP struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values      types.Float64Slice
-	Prices      types.Float64Slice
-	Volumes     types.Float64Slice
+	Values      floats.Slice
+	Prices      floats.Slice
+	Volumes     floats.Slice
 	WeightedSum float64
 	VolumeSum   float64
 

pkg/indicator/vwma.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -21,7 +22,7 @@ type VWMA struct {
 	types.SeriesBase
 	types.IntervalWindow
 
-	Values         types.Float64Slice
+	Values         floats.Slice
 	PriceVolumeSMA *SMA
 	VolumeSMA      *SMA
 

pkg/indicator/wdrift.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 WeightedDrift struct {
 	types.SeriesBase
 	types.IntervalWindow
-	chng            *types.Queue
-	Values          types.Float64Slice
-	MA              types.UpdatableSeriesExtend
+	chng   *types.Queue
+	Values floats.Slice
+	MA     types.UpdatableSeriesExtend
 	Weight          *types.Queue
 	LastValue       float64
 	UpdateCallbacks []func(value float64)

pkg/indicator/wwma.go

@@ -3,6 +3,7 @@ package indicator
 import (
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -17,7 +18,7 @@ const MaxNumOfWWMATruncateSize = 100
 type WWMA struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Values       types.Float64Slice
+	Values       floats.Slice
 	LastOpenTime time.Time
 
 	UpdateCallbacks []func(value float64)

pkg/indicator/zlema.go

@@ -1,6 +1,7 @@
 package indicator
 
 import (
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -12,7 +13,7 @@ type ZLEMA struct {
 	types.SeriesBase
 	types.IntervalWindow
 
-	data  types.Float64Slice
+	data  floats.Slice
 	zlema *EWMA
 	lag   int
 

pkg/strategy/drift/strategy.go

@@ -15,6 +15,7 @@ import (
 	"github.com/wcharczuk/go-chart/v2"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/interact"
@@ -647,10 +648,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		method.Bind(session, s.GeneralOrderExecutor)
 	}
 
-	profit := types.Float64Slice{1., 1.}
+	profit := floats.Slice{1., 1.}
 	price, _ := s.Session.LastPrice(s.Symbol)
 	initAsset := s.CalcAssetValue(price).Float64()
-	cumProfit := types.Float64Slice{initAsset, initAsset}
+	cumProfit := floats.Slice{initAsset, initAsset}
 	modify := func(p float64) float64 {
 		return p
 	}

pkg/strategy/factorzoo/factors/momentum.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -18,7 +19,7 @@ type MOM struct {
 	types.IntervalWindow
 
 	// Values
-	Values    types.Float64Slice
+	Values    floats.Slice
 	LastValue float64
 
 	opens  *types.Queue

pkg/strategy/factorzoo/factors/price_mean_reversion.go

@@ -3,9 +3,11 @@ package factorzoo
 import (
 	"time"
 
+	"gonum.org/v1/gonum/stat"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"gonum.org/v1/gonum/stat"
 )
 
 // price mean reversion
@@ -17,8 +19,8 @@ type PMR struct {
 	types.IntervalWindow
 	types.SeriesBase
 
-	Values  types.Float64Slice
-	SMA     *indicator.SMA
+	Values floats.Slice
+	SMA    *indicator.SMA
 	EndTime time.Time
 
 	updateCallbacks []func(value float64)

pkg/strategy/factorzoo/factors/price_volume_divergence.go

@@ -3,9 +3,11 @@ package factorzoo
 import (
 	"time"
 
+	"gonum.org/v1/gonum/stat"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"gonum.org/v1/gonum/stat"
 )
 
 // price volume divergence
@@ -21,8 +23,8 @@ type PVD struct {
 	types.IntervalWindow
 	types.SeriesBase
 
-	Values  types.Float64Slice
-	Prices  *types.Queue
+	Values floats.Slice
+	Prices *types.Queue
 	Volumes *types.Queue
 	EndTime time.Time
 

pkg/strategy/factorzoo/factors/return_rate.go

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

pkg/strategy/factorzoo/factors/volume_momentum.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -18,7 +19,7 @@ type VMOM struct {
 	types.IntervalWindow
 
 	// Values
-	Values    types.Float64Slice
+	Values    floats.Slice
 	LastValue float64
 
 	volumes *types.Queue

pkg/strategy/factorzoo/linear_regression.go

@@ -4,6 +4,7 @@ import (
 	"context"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/strategy/factorzoo/factors"
@@ -76,7 +77,7 @@ func (s *Linear) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.General
 
 		// take past window days' values to predict future return
 		// (e.g., 5 here in default configuration file)
-		a := []types.Float64Slice{
+		a := []floats.Slice{
 			s.divergence.Values[len(s.divergence.Values)-s.Window-2 : len(s.divergence.Values)-2],
 			s.reversion.Values[len(s.reversion.Values)-s.Window-2 : len(s.reversion.Values)-2],
 			s.drift.Values[len(s.drift.Values)-s.Window-2 : len(s.drift.Values)-2],
@@ -87,7 +88,7 @@ func (s *Linear) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.General
 		// factors array from day -4 to day 0, [[0.1, 0.2, 0.35, 0.3 , 0.25], [1.1, -0.2, 1.35, -0.3 , -0.25], ...]
 		// the binary(+/-) daily return rate from day -3 to day 1, [0, 1, 1, 0, 0]
 		// then we take the latest available factors array into linear regression model
-		b := []types.Float64Slice{filter(s.irr.Values[len(s.irr.Values)-s.Window-1:len(s.irr.Values)-1], binary)}
+		b := []floats.Slice{filter(s.irr.Values[len(s.irr.Values)-s.Window-1:len(s.irr.Values)-1], binary)}
 		var x []types.Series
 		var y []types.Series
 

pkg/strategy/fmaker/A18.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type A18
@@ -12,7 +14,7 @@ type A18 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -76,7 +78,7 @@ func calculateA18(klines []types.KLine, valClose KLineValueMapper) (float64, err
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var closes types.Float64Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		closes.Push(valClose(k))

pkg/strategy/fmaker/A2.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type A2
@@ -12,7 +14,7 @@ type A2 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -76,9 +78,9 @@ func calculateA2(klines []types.KLine, valLow KLineValueMapper, valHigh KLineVal
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var lows types.Float64Slice
-	var highs types.Float64Slice
-	var closes types.Float64Slice
+	var lows floats.Slice
+	var highs floats.Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		lows.Push(valLow(k))

pkg/strategy/fmaker/A3.go

@@ -2,10 +2,12 @@ package fmaker
 
 import (
 	"fmt"
-	"github.com/c9s/bbgo/pkg/indicator"
-	"github.com/c9s/bbgo/pkg/types"
 	"math"
 	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/indicator"
+	"github.com/c9s/bbgo/pkg/types"
 )
 
 //go:generate callbackgen -type A3
@@ -13,7 +15,7 @@ type A3 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -77,9 +79,9 @@ func calculateA3(klines []types.KLine, valLow KLineValueMapper, valHigh KLineVal
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var lows types.Float64Slice
-	var highs types.Float64Slice
-	var closes types.Float64Slice
+	var lows floats.Slice
+	var highs floats.Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		lows.Push(valLow(k))

pkg/strategy/fmaker/A34.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type A34
@@ -12,7 +14,7 @@ type A34 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -75,7 +77,7 @@ func calculateA34(klines []types.KLine, valClose KLineValueMapper) (float64, err
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var closes types.Float64Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		closes.Push(valClose(k))

pkg/strategy/fmaker/R.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 var zeroTime time.Time
@@ -16,7 +18,7 @@ type R struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -79,8 +81,8 @@ func calculateR(klines []types.KLine, valOpen KLineValueMapper, valClose KLineVa
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var opens types.Float64Slice
-	var closes types.Float64Slice
+	var opens floats.Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		opens.Push(valOpen(k))

pkg/strategy/fmaker/S0.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type S0
@@ -12,7 +14,7 @@ type S0 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -75,13 +77,13 @@ func calculateS0(klines []types.KLine, valClose KLineValueMapper) (float64, erro
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var closes types.Float64Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		closes.Push(valClose(k))
 	}
 
-	sma := types.Float64Slice.Sum(closes[len(closes)-window:len(closes)-1]) / float64(window)
+	sma := floats.Slice.Sum(closes[len(closes)-window:len(closes)-1]) / float64(window)
 	alpha := sma / closes.Last()
 
 	return alpha, nil

pkg/strategy/fmaker/S1.go

@@ -5,6 +5,7 @@ import (
 	"math"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -12,7 +13,7 @@ import (
 //go:generate callbackgen -type S1
 type S1 struct {
 	types.IntervalWindow
-	Values  types.Float64Slice
+	Values  floats.Slice
 	EndTime time.Time
 
 	UpdateCallbacks []func(value float64)

pkg/strategy/fmaker/S2.go

@@ -5,6 +5,7 @@ import (
 	"math"
 	"time"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -12,7 +13,7 @@ import (
 //go:generate callbackgen -type S2
 type S2 struct {
 	types.IntervalWindow
-	Values  types.Float64Slice
+	Values  floats.Slice
 	EndTime time.Time
 
 	UpdateCallbacks []func(value float64)

pkg/strategy/fmaker/S3.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type S3
@@ -12,7 +14,7 @@ type S3 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -75,8 +77,8 @@ func calculateS3(klines []types.KLine, valClose KLineValueMapper, valOpen KLineV
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var closes types.Float64Slice
-	var opens types.Float64Slice
+	var closes floats.Slice
+	var opens floats.Slice
 
 	for _, k := range klines {
 		closes.Push(valClose(k))

pkg/strategy/fmaker/S4.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type S4
@@ -12,7 +14,7 @@ type S4 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -75,7 +77,7 @@ func calculateS4(klines []types.KLine, valClose KLineValueMapper) (float64, erro
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var closes types.Float64Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		closes.Push(valClose(k))

pkg/strategy/fmaker/S5.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type S5
@@ -12,7 +14,7 @@ type S5 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -75,7 +77,7 @@ func calculateS5(klines []types.KLine, valVolume KLineValueMapper) (float64, err
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var volumes types.Float64Slice
+	var volumes floats.Slice
 
 	for _, k := range klines {
 		volumes.Push(valVolume(k))

pkg/strategy/fmaker/S6.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type S6
@@ -12,7 +14,7 @@ type S6 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -75,10 +77,10 @@ func calculateS6(klines []types.KLine, valHigh KLineValueMapper, valLow KLineVal
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var highs types.Float64Slice
-	var lows types.Float64Slice
-	var closes types.Float64Slice
-	var volumes types.Float64Slice
+	var highs floats.Slice
+	var lows floats.Slice
+	var closes floats.Slice
+	var volumes floats.Slice
 
 	for _, k := range klines {
 		highs.Push(valHigh(k))

pkg/strategy/fmaker/S7.go

@@ -2,9 +2,11 @@ package fmaker
 
 import (
 	"fmt"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 //go:generate callbackgen -type S7
@@ -12,7 +14,7 @@ type S7 struct {
 	types.IntervalWindow
 
 	// Values
-	Values types.Float64Slice
+	Values floats.Slice
 
 	EndTime time.Time
 
@@ -75,8 +77,8 @@ func calculateS7(klines []types.KLine, valOpen KLineValueMapper, valClose KLineV
 	if length == 0 || length < window {
 		return 0., fmt.Errorf("insufficient elements for calculating  with window = %d", window)
 	}
-	var opens types.Float64Slice
-	var closes types.Float64Slice
+	var opens floats.Slice
+	var closes floats.Slice
 
 	for _, k := range klines {
 		opens.Push(valOpen(k))

pkg/strategy/fmaker/strategy.go

@@ -10,6 +10,7 @@ import (
 	"gonum.org/v1/gonum/floats"
 
 	"github.com/c9s/bbgo/pkg/bbgo"
+	floats2 "github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -322,7 +323,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 			a34 := s.A34.Values[len(s.A34.Values)-i-outlook]
 
 			ret := s.R.Values[len(s.R.Values)-i]
-			rdps = append(rdps, regression.DataPoint(ret, types.Float64Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
+			rdps = append(rdps, regression.DataPoint(ret, floats2.Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
 		}
 		// for i := 40; i > 20; i-- {
 		//	s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
@@ -341,7 +342,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		// }
 		r.Train(rdps...)
 		r.Run()
-		er, _ := r.Predict(types.Float64Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last()})
+		er, _ := r.Predict(floats2.Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last()})
 		log.Infof("Expected Return Rate: %f", er)
 
 		q := new(regression.Regression)
@@ -377,7 +378,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 			ret := s.R.Values[len(s.R.Values)-i]
 			qty := math.Abs(ret)
-			qdps = append(qdps, regression.DataPoint(qty, types.Float64Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
+			qdps = append(qdps, regression.DataPoint(qty, floats2.Slice{s0, s1, s2, s4, s5, s6, s7, a2, a3, a18, a34}))
 		}
 		// for i := 40; i > 20; i-- {
 		//	s0 := preprocessing(s.S0.Values[len(s.S0.Values)-i : len(s.S0.Values)-i+20-outlook])
@@ -416,7 +417,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 		// a34 := preprocessing(s.A18.Values[len(s.A18.Values)-20 : len(s.A18.Values)-1-outlook])
 		// er, _ := r.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
 		// eq, _ := q.Predict(types.Float64Slice{s0, s1, s2, s4, s5, a2, a3, a18, a34})
-		eq, _ := q.Predict(types.Float64Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last(), er})
+		eq, _ := q.Predict(floats2.Slice{s.S0.Last(), s.S1.Last(), s.S2.Last(), s.S4.Last(), s.S5.Last(), s.S6.Last(), s.S7.Last(), s.A2.Last(), s.A3.Last(), s.A18.Last(), s.A34.Last(), er})
 		log.Infof("Expected Order Quantity: %f", eq)
 		// if float64(s.Position.GetBase().Sign())*er < 0 {
 		//	s.ClosePosition(ctx, fixedpoint.One, kline.Close)

pkg/strategy/marketcap/strategy.go

@@ -9,6 +9,7 @@ import (
 
 	"github.com/c9s/bbgo/pkg/bbgo"
 	"github.com/c9s/bbgo/pkg/datasource/glassnode"
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 	"github.com/c9s/bbgo/pkg/types"
 )
@@ -171,7 +172,7 @@ func (s *Strategy) generateSubmitOrders(ctx context.Context, session *bbgo.Excha
 }
 
 func (s *Strategy) getTargetWeights(ctx context.Context) types.ValueMap {
-	m := types.FloatMap{}
+	m := floats.Map{}
 
 	// get market cap values
 	for _, currency := range s.TargetCurrencies {

pkg/strategy/supertrend/linreg.go

@@ -1,9 +1,11 @@
 package supertrend
 
 import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/indicator"
 	"github.com/c9s/bbgo/pkg/types"
-	"time"
 )
 
 // LinReg is Linear Regression baseline
@@ -11,8 +13,8 @@ type LinReg struct {
 	types.SeriesBase
 	types.IntervalWindow
 	// Values are the slopes of linear regression baseline
-	Values  types.Float64Slice
-	klines  types.KLineWindow
+	Values floats.Slice
+	klines types.KLineWindow
 	EndTime time.Time
 }
 

pkg/strategy/supertrend/strategy.go

@@ -3,11 +3,13 @@ package supertrend
 import (
 	"context"
 	"fmt"
-	"github.com/c9s/bbgo/pkg/data/tsv"
-	"github.com/c9s/bbgo/pkg/risk"
 	"os"
 	"sync"
 
+	"github.com/c9s/bbgo/pkg/data/tsv"
+	"github.com/c9s/bbgo/pkg/datatype/floats"
+	"github.com/c9s/bbgo/pkg/risk"
+
 	"github.com/pkg/errors"
 	"github.com/sirupsen/logrus"
 
@@ -48,25 +50,25 @@ type AccumulatedProfitReport struct {
 
 	// Accumulated profit
 	accumulatedProfit         fixedpoint.Value
-	accumulatedProfitPerDay   types.Float64Slice
+	accumulatedProfitPerDay   floats.Slice
 	previousAccumulatedProfit fixedpoint.Value
 
 	// Accumulated profit MA
 	accumulatedProfitMA       *indicator.SMA
-	accumulatedProfitMAPerDay types.Float64Slice
+	accumulatedProfitMAPerDay floats.Slice
 
 	// Daily profit
-	dailyProfit types.Float64Slice
+	dailyProfit floats.Slice
 
 	// Accumulated fee
 	accumulatedFee       fixedpoint.Value
-	accumulatedFeePerDay types.Float64Slice
+	accumulatedFeePerDay floats.Slice
 
 	// Win ratio
-	winRatioPerDay types.Float64Slice
+	winRatioPerDay floats.Slice
 
 	// Profit factor
-	profitFactorPerDay types.Float64Slice
+	profitFactorPerDay floats.Slice
 }
 
 func (r *AccumulatedProfitReport) Initialize() {

pkg/types/float_map.go

@@ -1,42 +1,5 @@
 package types
 
-type FloatMap map[string]float64
+import "github.com/c9s/bbgo/pkg/datatype/floats"
 
-func (m FloatMap) Sum() float64 {
-	sum := 0.0
-	for _, v := range m {
-		sum += v
-	}
-	return sum
-}
-
-func (m FloatMap) MulScalar(x float64) FloatMap {
-	o := FloatMap{}
-	for k, v := range m {
-		o[k] = v * x
-	}
-
-	return o
-}
-func (m FloatMap) DivScalar(x float64) FloatMap {
-	o := FloatMap{}
-	for k, v := range m {
-		o[k] = v / x
-	}
-
-	return o
-}
-
-func (m FloatMap) Normalize() FloatMap {
-	sum := m.Sum()
-	if sum == 0 {
-		panic("zero sum")
-	}
-
-	o := FloatMap{}
-	for k, v := range m {
-		o[k] = v / sum
-	}
-
-	return o
-}
+var _ Series = floats.Slice([]float64{}).Addr()

pkg/types/float_slice.go

@@ -1,148 +0,0 @@
-package types
-
-import (
-	"math"
-
-	"gonum.org/v1/gonum/floats"
-)
-
-type Float64Slice []float64
-
-func (s *Float64Slice) Push(v float64) {
-	*s = append(*s, v)
-}
-
-func (s *Float64Slice) Update(v float64) {
-	*s = append(*s, v)
-}
-
-func (s *Float64Slice) Pop(i int64) (v float64) {
-	v = (*s)[i]
-	*s = append((*s)[:i], (*s)[i+1:]...)
-	return v
-}
-
-func (s Float64Slice) Max() float64 {
-	return floats.Max(s)
-}
-
-func (s Float64Slice) Min() float64 {
-	return floats.Min(s)
-}
-
-func (s Float64Slice) Sum() (sum float64) {
-	return floats.Sum(s)
-}
-
-func (s Float64Slice) Mean() (mean float64) {
-	length := len(s)
-	if length == 0 {
-		panic("zero length slice")
-	}
-	return s.Sum() / float64(length)
-}
-
-func (s Float64Slice) Tail(size int) Float64Slice {
-	length := len(s)
-	if length <= size {
-		win := make(Float64Slice, length)
-		copy(win, s)
-		return win
-	}
-
-	win := make(Float64Slice, size)
-	copy(win, s[length-size:])
-	return win
-}
-
-func (s Float64Slice) Diff() (values Float64Slice) {
-	for i, v := range s {
-		if i == 0 {
-			values.Push(0)
-			continue
-		}
-		values.Push(v - s[i-1])
-	}
-	return values
-}
-
-func (s Float64Slice) PositiveValuesOrZero() (values Float64Slice) {
-	for _, v := range s {
-		values.Push(math.Max(v, 0))
-	}
-	return values
-}
-
-func (s Float64Slice) NegativeValuesOrZero() (values Float64Slice) {
-	for _, v := range s {
-		values.Push(math.Min(v, 0))
-	}
-	return values
-}
-
-func (s Float64Slice) Abs() (values Float64Slice) {
-	for _, v := range s {
-		values.Push(math.Abs(v))
-	}
-	return values
-}
-
-func (s Float64Slice) MulScalar(x float64) (values Float64Slice) {
-	for _, v := range s {
-		values.Push(v * x)
-	}
-	return values
-}
-
-func (s Float64Slice) DivScalar(x float64) (values Float64Slice) {
-	for _, v := range s {
-		values.Push(v / x)
-	}
-	return values
-}
-
-func (s Float64Slice) Mul(other Float64Slice) (values Float64Slice) {
-	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 Float64Slice) Dot(other Float64Slice) float64 {
-	return floats.Dot(s, other)
-}
-
-func (s Float64Slice) Normalize() Float64Slice {
-	return s.DivScalar(s.Sum())
-}
-
-func (a *Float64Slice) Last() float64 {
-	length := len(*a)
-	if length > 0 {
-		return (*a)[length-1]
-	}
-	return 0.0
-}
-
-func (a *Float64Slice) Index(i int) float64 {
-	length := len(*a)
-	if length-i <= 0 || i < 0 {
-		return 0.0
-	}
-	return (*a)[length-i-1]
-}
-
-func (a *Float64Slice) Length() int {
-	return len(*a)
-}
-
-func (a Float64Slice) Addr() *Float64Slice {
-	return &a
-}
-
-var _ Series = Float64Slice([]float64{}).Addr()

pkg/types/indicator.go

@@ -8,6 +8,8 @@ import (
 
 	"github.com/wcharczuk/go-chart/v2"
 	"gonum.org/v1/gonum/stat"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 )
 
 // Super basic Series type that simply holds the float64 data
@@ -94,7 +96,7 @@ type SeriesExtend interface {
 	Mul(b interface{}) SeriesExtend
 	Dot(b interface{}, limit ...int) float64
 	Array(limit ...int) (result []float64)
-	Reverse(limit ...int) (result Float64Slice)
+	Reverse(limit ...int) (result floats.Slice)
 	Change(offset ...int) SeriesExtend
 	PercentageChange(offset ...int) SeriesExtend
 	Stdev(params ...int) float64
@@ -649,7 +651,7 @@ func Array(a Series, limit ...int) (result []float64) {
 // the then reuse the result in multiple places (so that no recalculation will be triggered)
 //
 // notice that the return type is a Float64Slice, which implements the Series interface
-func Reverse(a Series, limit ...int) (result Float64Slice) {
+func Reverse(a Series, limit ...int) (result floats.Slice) {
 	l := a.Length()
 	if len(limit) > 0 && l > limit[0] {
 		l = limit[0]

pkg/types/indicator_test.go

@@ -8,6 +8,8 @@ import (
 	"github.com/stretchr/testify/assert"
 	"github.com/wcharczuk/go-chart/v2"
 	"gonum.org/v1/gonum/stat"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 )
 
 func TestFloat(t *testing.T) {
@@ -19,7 +21,7 @@ func TestFloat(t *testing.T) {
 func TestNextCross(t *testing.T) {
 	var a Series = NumberSeries(1.2)
 
-	var b Series = &Float64Slice{100., 80., 60.}
+	var b Series = &floats.Slice{100., 80., 60.}
 	// index                       2    1    0
 	// predicted                                40  20  0
 	// offset                                   1   2   3
@@ -31,8 +33,8 @@ func TestNextCross(t *testing.T) {
 }
 
 func TestFloat64Slice(t *testing.T) {
-	var a = Float64Slice{1.0, 2.0, 3.0}
-	var b = Float64Slice{1.0, 2.0, 3.0}
+	var a = floats.Slice{1.0, 2.0, 3.0}
+	var b = floats.Slice{1.0, 2.0, 3.0}
 	var c Series = Minus(&a, &b)
 	a = append(a, 4.0)
 	b = append(b, 3.0)
@@ -51,8 +53,8 @@ print(s1.corr(s2, method='kendall'))
 print(s1.rank())
 */
 func TestCorr(t *testing.T) {
-	var a = Float64Slice{.2, .0, .6, .2}
-	var b = Float64Slice{.3, .6, .0, .1}
+	var a = floats.Slice{.2, .0, .6, .2}
+	var b = floats.Slice{.3, .6, .0, .1}
 	corr := Correlation(&a, &b, 4, Pearson)
 	assert.InDelta(t, corr, -0.8510644, 0.001)
 	out := Rank(&a, 4)
@@ -71,8 +73,8 @@ s2 = pd.Series([.3, .6, .0, .1])
 print(s1.cov(s2, ddof=0))
 */
 func TestCov(t *testing.T) {
-	var a = Float64Slice{.2, .0, .6, .2}
-	var b = Float64Slice{.3, .6, .0, .1}
+	var a = floats.Slice{.2, .0, .6, .2}
+	var b = floats.Slice{.3, .6, .0, .1}
 	cov := Covariance(&a, &b, 4)
 	assert.InDelta(t, cov, -0.042499, 0.001)
 }
@@ -85,37 +87,37 @@ s1 = pd.Series([.2, 0., .6, .2, .2])
 print(s1.skew())
 */
 func TestSkew(t *testing.T) {
-	var a = Float64Slice{.2, .0, .6, .2}
+	var a = floats.Slice{.2, .0, .6, .2}
 	sk := Skew(&a, 4)
 	assert.InDelta(t, sk, 1.129338, 0.001)
 }
 
 func TestEntropy(t *testing.T) {
-	var a = Float64Slice{.2, .0, .6, .2}
+	var a = floats.Slice{.2, .0, .6, .2}
 	e := stat.Entropy(a)
 	assert.InDelta(t, e, Entropy(&a, a.Length()), 0.0001)
 }
 
 func TestCrossEntropy(t *testing.T) {
-	var a = Float64Slice{.2, .0, .6, .2}
-	var b = Float64Slice{.3, .6, .0, .1}
+	var a = floats.Slice{.2, .0, .6, .2}
+	var b = floats.Slice{.3, .6, .0, .1}
 	e := stat.CrossEntropy(a, b)
 	assert.InDelta(t, e, CrossEntropy(&a, &b, a.Length()), 0.0001)
 }
 
 func TestSoftmax(t *testing.T) {
-	var a = Float64Slice{3.0, 1.0, 0.2}
+	var a = floats.Slice{3.0, 1.0, 0.2}
 	out := Softmax(&a, a.Length())
-	r := Float64Slice{0.8360188027814407, 0.11314284146556013, 0.05083835575299916}
+	r := floats.Slice{0.8360188027814407, 0.11314284146556013, 0.05083835575299916}
 	for i := 0; i < out.Length(); i++ {
 		assert.InDelta(t, r.Index(i), out.Index(i), 0.001)
 	}
 }
 
 func TestSigmoid(t *testing.T) {
-	a := Float64Slice{3.0, 1.0, 2.1}
+	a := floats.Slice{3.0, 1.0, 2.1}
 	out := Sigmoid(&a)
-	r := Float64Slice{0.9525741268224334, 0.7310585786300049, 0.8909031788043871}
+	r := floats.Slice{0.9525741268224334, 0.7310585786300049, 0.8909031788043871}
 	for i := 0; i < out.Length(); i++ {
 		assert.InDelta(t, r.Index(i), out.Index(i), 0.001)
 	}
@@ -123,8 +125,8 @@ func TestSigmoid(t *testing.T) {
 
 // from https://en.wikipedia.org/wiki/Logistic_regression
 func TestLogisticRegression(t *testing.T) {
-	a := []Float64Slice{{0.5, 0.75, 1., 1.25, 1.5, 1.75, 1.75, 2.0, 2.25, 2.5, 2.75, 3., 3.25, 3.5, 4., 4.25, 4.5, 4.75, 5., 5.5}}
-	b := Float64Slice{0, 0, 0, 0, 0, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1}
+	a := []floats.Slice{{0.5, 0.75, 1., 1.25, 1.5, 1.75, 1.75, 2.0, 2.25, 2.5, 2.75, 3., 3.25, 3.5, 4., 4.25, 4.5, 4.75, 5., 5.5}}
+	b := floats.Slice{0, 0, 0, 0, 0, 0, 1, 0, 1, 0, 1, 0, 1, 0, 1, 1, 1, 1, 1, 1}
 	var x []Series
 	x = append(x, &a[0])
 
@@ -139,8 +141,8 @@ func TestLogisticRegression(t *testing.T) {
 }
 
 func TestDot(t *testing.T) {
-	a := Float64Slice{7, 6, 5, 4, 3, 2, 1, 0}
-	b := Float64Slice{200., 201., 203., 204., 203., 199.}
+	a := floats.Slice{7, 6, 5, 4, 3, 2, 1, 0}
+	b := floats.Slice{200., 201., 203., 204., 203., 199.}
 	out1 := Dot(&a, &b, 3)
 	assert.InDelta(t, out1, 611., 0.001)
 	out2 := Dot(&a, 3., 2)
@@ -160,7 +162,7 @@ func TestClone(t *testing.T) {
 
 func TestPlot(t *testing.T) {
 	ct := NewCanvas("test", Interval5m)
-	a := Float64Slice{200., 205., 230., 236}
+	a := floats.Slice{200., 205., 230., 236}
 	ct.Plot("test", &a, Time(time.Now()), 4)
 	assert.Equal(t, ct.Interval, Interval5m)
 	assert.Equal(t, ct.Series[0].(chart.TimeSeries).Len(), 4)

pkg/types/omega_test.go

@@ -1,12 +1,15 @@
 package types
 
 import (
-	"github.com/stretchr/testify/assert"
 	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 )
 
 func TestOmega(t *testing.T) {
-	var a Series = &Float64Slice{0.08, 0.09, 0.07, 0.15, 0.02, 0.03, 0.04, 0.05, 0.06, 0.01}
+	var a Series = &floats.Slice{0.08, 0.09, 0.07, 0.15, 0.02, 0.03, 0.04, 0.05, 0.06, 0.01}
 	output := Omega(a)
 	assert.InDelta(t, output, 1, 0.0001)
 }

pkg/types/seriesbase_imp.go

@@ -1,5 +1,7 @@
 package types
 
+import "github.com/c9s/bbgo/pkg/datatype/floats"
+
 func (s *SeriesBase) Index(i int) float64 {
 	if s.Series == nil {
 		return 0
@@ -81,7 +83,7 @@ func (s *SeriesBase) Array(limit ...int) (result []float64) {
 	return Array(s, limit...)
 }
 
-func (s *SeriesBase) Reverse(limit ...int) (result Float64Slice) {
+func (s *SeriesBase) Reverse(limit ...int) (result floats.Slice) {
 	return Reverse(s, limit...)
 }
 

pkg/types/sharpe_test.go

@@ -1,8 +1,11 @@
 package types
 
 import (
-	"github.com/stretchr/testify/assert"
 	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 )
 
 /*
@@ -16,7 +19,7 @@ print(qx.stats.sharpe(pd.Series([0.01, 0.1, 0.001]), 0, 252, False, False))
 print(qx.stats.sharpe(pd.Series([0.01, 0.1, 0.001]), 0, 252, True, False))
 */
 func TestSharpe(t *testing.T) {
-	var a Series = &Float64Slice{0.01, 0.1, 0.001}
+	var a Series = &floats.Slice{0.01, 0.1, 0.001}
 	output := Sharpe(a, 0, false, false)
 	assert.InDelta(t, output, 0.67586, 0.0001)
 	output = Sharpe(a, 252, false, false)

pkg/types/sortino_test.go

@@ -1,8 +1,11 @@
 package types
 
 import (
-	"github.com/stretchr/testify/assert"
 	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 )
 
 /*
@@ -16,7 +19,7 @@ print(qx.stats.sortino(pd.Series([0.01, -0.03, 0.1, -0.02, 0.001]), 0.03, 252, F
 print(qx.stats.sortino(pd.Series([0.01, -0.03, 0.1, -0.02, 0.001]), 0.03, 252, True, False))
 */
 func TestSortino(t *testing.T) {
-	var a Series = &Float64Slice{0.01, -0.03, 0.1, -0.02, 0.001}
+	var a Series = &floats.Slice{0.01, -0.03, 0.1, -0.02, 0.001}
 	output := Sortino(a, 0.03, 0, false, false)
 	assert.InDelta(t, output, 0.75661, 0.0001)
 	output = Sortino(a, 0.03, 252, false, false)

pkg/types/trade_stats.go

@@ -8,18 +8,19 @@ import (
 
 	"gopkg.in/yaml.v3"
 
+	"github.com/c9s/bbgo/pkg/datatype/floats"
 	"github.com/c9s/bbgo/pkg/fixedpoint"
 )
 
 type IntervalProfitCollector struct {
 	Interval  Interval      `json:"interval"`
-	Profits   *Float64Slice `json:"profits"`
-	Timestamp *Float64Slice `json:"timestamp"`
+	Profits   *floats.Slice `json:"profits"`
+	Timestamp *floats.Slice `json:"timestamp"`
 	tmpTime   time.Time     `json:"tmpTime"`
 }
 
 func NewIntervalProfitCollector(i Interval, startTime time.Time) *IntervalProfitCollector {
-	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &Float64Slice{1.}, Timestamp: &Float64Slice{float64(startTime.Unix())}}
+	return &IntervalProfitCollector{Interval: i, tmpTime: startTime, Profits: &floats.Slice{1.}, Timestamp: &floats.Slice{float64(startTime.Unix())}}
 }
 
 // Update the collector by every traded profit