Gekko has in-built help files. If you install and open Gekko, you can click the "help" tab, and get access to the help files from there. Alternatively, from the Gekko command prompt, you may type "help <command>" (for instance "help upd"), to access the help file associated with a particular command.

There is a pretty outdated introductory Word-document available here, but in general it is better to use the in-built help system.

Regarding the Gekko source code and its documentation, see here.