Initial

.github/workflows/ci.yaml

@@ -0,0 +1,31 @@
+on: [push, pull_request]
+name: CI
+jobs:
+  test:
+    strategy:
+      matrix:
+        go-version: [1.13.x, 1.14.x, 1.15.x]
+        platform: [ubuntu-latest, macos-latest, windows-latest]
+    runs-on: ${{ matrix.platform }}
+    steps:
+    - name: Install Go
+      uses: actions/setup-go@v2
+      with:
+        go-version: ${{ matrix.go-version }}
+    - name: Checkout code
+      uses: actions/checkout@v2
+    - name: Test
+      run: go test -race -covermode atomic -coverprofile profile.cov ./...
+    - name: Send coverage
+      uses: shogo82148/actions-goveralls@v1
+      with:
+        path-to-profile: profile.cov
+        flag-name: Go-${{ matrix.go-version }}
+        parallel: true
+  finish:
+    needs: test
+    runs-on: ubuntu-latest
+    steps:
+      - uses: shogo82148/actions-goveralls@v1
+        with:
+          parallel-finished: true

.gitignore

@@ -13,3 +13,6 @@
 
 # Dependency directories (remove the comment below to include it)
 # vendor/
+.vscode/*
+.gotrader.yaml
+data_dir/*

README.md

@@ -1,2 +1,14 @@
+[![CI](https://github.com/SlashGordon/gotrader/actions/workflows/ci.yaml/badge.svg?branch=master)](https://github.com/SlashGordon/gotrader/actions/workflows/ci.yaml)
+[![Coverage Status](https://coveralls.io/repos/github/SlashGordon/gotrader/badge.svg?branch=master)](https://coveralls.io/github/SlashGordon/gotrader?branch=master)
 # gotrader
 Alpaca trader
+
+## config
+
+Add a file named `.gotrader.yaml` to your workspace with the following content:
+
+```yaml
+APCA_API_KEY_ID: "alpacaid"
+APCA_API_SECRET_KEY: "alpacakey"
+APCA_API: "https://paper-api.alpaca.markets"
+`````

backtest/backtest.go

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+package backtest
+
+import (
+	"github.com/dirkolbrich/gobacktest"
+	"github.com/dirkolbrich/gobacktest/data"
+	"github.com/dirkolbrich/gobacktest/strategy"
+)
+
+func Run(symbols []string, dataDir string) {
+	// initiate a new backtester
+	test := gobacktest.New()
+
+	test.SetSymbols(symbols)
+
+	// create a data provider and load the data into the backtest
+	data := &data.BarEventFromCSVFile{FileDir: dataDir}
+	data.Load(symbols)
+	test.SetData(data)
+
+	// choose a strategy
+	strategy := strategy.BuyAndHold()
+
+	// create an asset and append it to the strategy
+	strategy.SetChildren(gobacktest.NewAsset("SHOP"))
+
+	// load the strategy into the backtest
+	test.SetStrategy(strategy)
+
+	// run the backtest
+	test.Run()
+
+	// print the results of the test
+	test.Stats().PrintResult()
+}

cmd/backtest.go

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+package cmd
+
+import (
+	"github.com/SlashGordon/gotrader/backtest"
+	"github.com/spf13/cobra"
+)
+
+func init() {
+
+	var (
+		strategyName  string
+		symbols       []string
+		dataDir       string
+		days          int
+		portfolioCash float64
+	)
+
+	startCmd := &cobra.Command{
+		Use:   "backtest",
+		Short: "Start backtest for given strategy",
+		Run: func(cmd *cobra.Command, args []string) {
+			backtest.Run(symbols, dataDir)
+		},
+	}
+	configFlag := startCmd.PersistentFlags()
+	configFlag.StringVarP(&strategyName, "strategy", "s", "", "name of strategy")
+	configFlag.StringVarP(&dataDir, "data", "d", "data", "data dir")
+	configFlag.IntVarP(&days, "days", "l", 300, "lookback in days. If lookback is set to 300 the backtest runs from now -300 until now.")
+	configFlag.Float64VarP(&portfolioCash, "portfolioCash", "c", 1000.0, "Initial cash of the porfolio.")
+	configFlag.StringSliceVarP(&symbols, "symbols", "y", nil, "list of symbols")
+	cobra.MarkFlagRequired(configFlag, "config")
+
+	RootCmd.AddCommand(startCmd)
+}

cmd/cmd.go

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+package cmd
+
+import (
+	"fmt"
+	"log"
+	"os"
+
+	"github.com/SlashGordon/gotrader/utils"
+	"github.com/alpacahq/alpaca-trade-api-go/alpaca"
+	"github.com/alpacahq/alpaca-trade-api-go/common"
+	homedir "github.com/mitchellh/go-homedir"
+	"github.com/spf13/cobra"
+	"github.com/spf13/viper"
+)
+
+var cfgFile string
+
+// RootCmd global entry point
+var RootCmd = &cobra.Command{
+	Use: "gotrader",
+}
+
+// Execute ...
+func Execute() {
+
+	if err := RootCmd.Execute(); err != nil {
+		log.Fatal(err)
+		os.Exit(1)
+	}
+}
+
+func init() {
+	cobra.OnInitialize(initConfig)
+	RootCmd.PersistentFlags().StringVar(&cfgFile, "config", "", "config file (default is $HOME/.gotrader.yaml)")
+}
+
+// initConfig reads in config file and ENV variables if set.
+func initConfig() {
+	if cfgFile != "" {
+		// Use config file from the flag.
+		viper.SetConfigFile(cfgFile)
+	} else {
+		// Find home directory.
+		home, err := homedir.Dir()
+		if err != nil {
+			fmt.Println(err)
+			os.Exit(1)
+		}
+
+		// Search config in home directory with name ".cobra-example" (without extension).
+		viper.AddConfigPath(home)
+		viper.SetConfigName(".gotrader")
+	}
+
+	viper.AutomaticEnv() // read in environment variables that match
+
+	// If a config file is found, read it in.
+	if err := viper.ReadInConfig(); err == nil {
+		utils.Logger.Info("Using config file:", viper.ConfigFileUsed())
+		// Check for environment variables
+		if common.Credentials().ID == "" {
+			os.Setenv(common.EnvApiKeyID, viper.GetString(common.EnvApiKeyID))
+		}
+		if common.Credentials().Secret == "" {
+			os.Setenv(common.EnvApiSecretKey, viper.GetString(common.EnvApiSecretKey))
+		}
+		alpaca.SetBaseUrl(viper.GetString("APCA_API"))
+		utils.Logger.Infof("Running w/ credentials [%v %v]\n", common.Credentials().ID, common.Credentials().Secret)
+	}
+}

cmd/dump.go

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+package cmd
+
+import (
+	"github.com/SlashGordon/gotrader/trader"
+	"github.com/SlashGordon/gotrader/utils"
+	"github.com/spf13/cobra"
+)
+
+func init() {
+
+	var (
+		symbols []string
+		dataDir string
+		days    int
+	)
+
+	startCmd := &cobra.Command{
+		Use:   "dump",
+		Short: "downloads price infos for given stocks",
+		Run: func(cmd *cobra.Command, args []string) {
+			client := trader.NewTrader()
+			for _, sym := range symbols {
+				utils.Logger.Info("Dump data for " + sym)
+				if err := client.WriteBarToCSV(sym, days, dataDir); err != nil {
+					utils.Logger.Error(err)
+				}
+			}
+		},
+	}
+	configFlag := startCmd.PersistentFlags()
+	configFlag.StringSliceVarP(&symbols, "symbols", "s", nil, "list of symbols")
+	configFlag.StringVarP(&dataDir, "data", "d", "data", "data dir")
+	configFlag.IntVarP(&days, "days", "l", 300, "Set history data size")
+	cobra.MarkFlagRequired(configFlag, "config")
+
+	RootCmd.AddCommand(startCmd)
+}

go.mod

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+module github.com/SlashGordon/gotrader
+
+go 1.15
+
+require (
+	github.com/alpacahq/alpaca-trade-api-go v1.8.2
+	github.com/common-nighthawk/go-figure v0.0.0-20210622060536-734e95fb86be
+	github.com/dirkolbrich/gobacktest v0.3.0
+	github.com/iamjinlei/go-tart v0.0.0-20210623083942-ceb57e98706b
+	github.com/mchirico/date v0.0.2
+	github.com/mitchellh/go-homedir v1.1.0
+	github.com/sirupsen/logrus v1.6.0
+	github.com/spf13/cobra v1.2.1
+	github.com/spf13/viper v1.8.1
+	github.com/stretchr/testify v1.7.0
+	gonum.org/v1/gonum v0.9.3 // indirect
+)