The easiest way to make a local development setup is to use Docker Compose.
docker-compose up
make all testall
export DATA_SOURCE_NAME='admin:admin@tcp(127.0.0.1:16032)/'
./proxysql_exporter
testall make target will run integration tests and also leave ProxySQL inside Docker container in configured state.
We use dep to vendor dependencies.
Please use released version of dep (i.e. do not go get from master branch).