GoAT

Introduction

GoAT(Go Algo Trade) is inspired by PyAlgoTrade. It added support for live strategy execution.

Design

There are several reasons for me proposing this GoAT as a GO alternative of PyAlgoTrade.

• Python code debugging at runtime is a headache
• Python is slow
• Dynamic typing is hard to debug
• PyAlgoTrade has not been updated for a long time.

However, I love using PyAlgoTrade. PyAlgoTrade is lightweight compared with Zipline. Zipline is not very flexible when I want to make some small changes to meet my own needs.

Features

GoAT currently supports the following features:

• User strategy Javascript support
• Multiple data frequencies support
• Live strategy support
• Data format conversion support

Broker, strategy & portfolio analysis are not there yet. I will add them in the future.

Build

# On Linux
run-build.sh compile

# On MacOS
make compile

Test

run-build.sh test

Format Code

# format go and js code
run-build.sh format

Run Strategy

Live Mode

In live mode, the strategy will be executed in real time.

# Generate some fake data
./goat live -p fake -f samples/strategies/simple.js -S GLD

# Run strategy with real data
./goat live -p goldpriceorg -f samples/strategies/simple.js -S XAUUSD

# Multi providers are also supported
./goat live -p "goldpriceorg,fake" -f samples/strategies/simple.js -S XAUUSD

# Run recovery mode
./goat live -p "goldpriceorg,fake" -f samples/strategies/simple.js -S XAUUSD \
    -r samples/data/strategy_data.dumpdb

Backtest Mode

In backtest mode, the strategy will be executed with historical data.

# Run a simple strategy with a csv file
./goat run -f samples/strategies/simple.js -s \
    file://$(pwd)/samples/data/DBC-2007-yahoofinance.csv

# read data from yahoo finance
./goat run -f samples/strategies/simple.js -s remote://yahoo -S GLD

# By default, if the source is not an url, it will try to treat it at a file path.
./goat run -f samples/strategies/simple.js -s \
    samples/data/DBC-2007-yahoofinance.csv

Convert Other DB to GoAT sqlite DB

# convert a sqlite db to GoAT sqlite db
./goat convert -f samples/convert/mappings.js -s ./samples/data/strategy_data.sqlite -t sqlite \
    -o ./samples/data/strategy_data.dumpdb

Contributions

If you are interested in this project and want to contribute, please contact me.