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GoAT

Compile and Test Coverage

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.