go-datareader: financial datareader

go-datareader is a library for downloading financial data in a tabular form. It's written in Go and therefore aims to be a more performant counterpart of the Python's pandas-datareader.

The project currently supports the following data providers:

• Stooq
• FRED
• Bank of Canada
• Tiingo (currently only 'daily reader')

Advantages over pandas-datareader

The two main advantages of go-datareader over its counterpart are:

• better overall performance due to strong typing and a compiled nature of the Go programming langauge, compared to the interpreted, dynamically-typed Python
• faster data extraction due to the usage of goroutines to send the requests concurrently.

Getting started

Run the following command to install the go-datareader:

$ go get -u github.com/AleksanderWWW/go-datareader

Example usage

Gather quotes for a couple of tickers from the last 100 days. The returned data is in the form of the gota dataframe. Symbols for which the data could not be obtained are omitted.

Stooq

stooqReader, err := reader.NewStooqDataReader(
	reader.StooqReaderConfig{
		Symbols:   []string{"PKO", "KGH", "PZU"},
		StartDate: time.Now().AddDate(0, 0, -100),
		EndDate:   time.Now(),
		Freq:      "d",
	},
)

// error handling
// ...

data := reader.GetData(stooqReader)  // returns a DataFrame object

In this example the quotes are obtained in a "daily" mode. Other available options are:

• "w": weekly
• "m": monthly
• "q": quarterly
• "y": yearly

If no frequency is provided, the reader will default to "d".

If startDate or endDate are not provided, the reader will default to '5 years ago' and 'now' respectively.

---

FRED

fredReader, err := reader.NewFredDataReader(
		reader.FredReaderConfig{
			Symbols:   []string{"SP500", "DJIA", "VIXCLS"},
			StartDate: time.Now().AddDate(0, 0, -100),
			EndDate:   time.Now(),
		},
	)

// error handling
// ...

data := reader.GetData(fredReader)

If startDate or endDate are not provided, the reader will default to '5 years ago' and 'now' respectively.

---

Bank of Canada

bocReader, err := reader.NewBOCDataReader(
		reader.BOCReaderConfig{
			Symbols:   []string{"FXUSDCAD", "FXCADIDR", "FXCADPEN"},
			StartDate: time.Now().AddDate(0, 0, -100),
			EndDate:   time.Now(),
		},
	)

// error handling
// ...

data := reader.GetData(bocReader)

The list of available symbols can be found here.

If startDate or endDate are not provided, the reader will default to '5 years ago' and 'now' respectively.

---

Tiingo

startDate := time.Now().AddDate(0, 0, -4)
endDate := time.Now()
apiKey := "my-secret-api-key"
os.Setenv("TIINGO_API_KEY", apiKey)  // either export the key as env variable...

tiingoReader, err := reader.NewTiingoDailyReader(
	[]string{"ZZZOF", "000001"},
	tiingoReader, _ := reader.NewTiingoDailyReader(
	[]string{"ZZZOF", "000001"},
	reader.TiingoReaderConfig{
		StartDate: startDate,
		EndDate:   endDate,
		ApiKey:    apiKey  // ... or pass it here.
	},
)

)

// error handling
// ...

data := reader.GetData(tiingoReader)

The list of available symbols can be found here.

There are two ways to pass the Tiingo API token - either explicitly in the TiingoReaderConfig (takes precedence), or via a TIINGO_API_KEY envirionment variable (recommended option).

If startDate or endDate are not provided, the reader will default to '5 years ago' and 'now' respectively.