def select_swing_stocks():
# Get Alpaca API key and secret
storage_client = storage.Client()
bucket = storage_client.get_bucket('derek-algo-trading-bucket')
blob = bucket.blob('alpaca-api-key.txt')
api_key = blob.download_as_text()
blob = bucket.blob('alpaca-secret-key.txt')
secret_key = blob.download_as_text()
base_url = 'https://paper-api.alpaca.markets'
api = REST(api_key, secret_key, base_url, 'v2')
# Get all stocks
assets = api.list_assets('active')
symbols = [asset.symbol for asset in assets if asset.tradable]
# Get all currently held positions
positions = api.list_positions()
if positions:
print('Current positions:')
position_symbols = [position.symbol for position in positions]
position_data = {}
for position in positions:
current_percent = (float(position.current_price) - float(position.avg_entry_price)) \
/ float(position.avg_entry_price) * 100
print('{}: {}%'.format(position.symbol, '%.2f' % current_percent))
position_data[position.symbol] = position
print()
# Get past 50 days data for all stocks
data = {}
symbols_chunked = list(chunks(list(set(symbols)), 200))
for symbol_group in symbols_chunked:
print(f'Retrieving {len(symbol_group)} symbol data')
data_group = api.get_barset(','.join(symbol_group), '1D',
limit=1000).df
for symbol in symbol_group:
data[symbol] = data_group[symbol]
buy_df = pd.DataFrame()
sell_df = pd.DataFrame()
hold_df = pd.DataFrame()
c = 0
for symbol in data.keys():
df = pd.DataFrame(data[symbol])
df = df.loc[df['close'] > 0]
if symbol not in position_symbols and len(df) == 1000:
df['symbol'] = symbol
# bullish pattern detection
# bullish = [''] * len(df)
# bullish[len(bullish) - 1] = pattern.detect_bullish_patterns(df)
df['bullish'] = pattern.detect_bullish_patterns(df)
buy_df = buy_df.append(df.loc[df.index == df.index.max()])
elif symbol in position_symbols:
print(f'\nCurrently holding {symbol}:')
df['symbol'] = symbol
df['qty'] = int(position_data[symbol].qty)
df['market_value'] = float(position_data[symbol].market_value)
latest_rsi = rsi(df).df.tail(1)['rsi'][0]
latest_cci = cci(df).df.tail(1)['cci'][0]
purchase_price = float(position_data[symbol].avg_entry_price)
latest_price = float(position_data[symbol].current_price)
df['purchase_price'] = purchase_price
df['latest_price'] = latest_price
# If it has dropped below the entry price, GET IT OUT
if latest_price < purchase_price:
print(
f'Price ${latest_price} is below entry ${purchase_price}: SELL'
)
sell_df = sell_df.append(df.loc[df.index == df.index.max()])
# Or if the RSI or CCI are too high, GET IT OUT
elif latest_rsi >= 70 or latest_cci >= 100:
print(f'Overbought, RSI={latest_rsi}, CCI={latest_cci}: SELL')
sell_df = sell_df.append(df.loc[df.index == df.index.max()])
# If price is at/above entry
# Check if the swing is still swinging
elif latest_price >= purchase_price:
print(
f'Price ${latest_price} is at/above entry ${purchase_price}'
)
obv_df = obv(df).df
obv_df['obv_ema'] = obv_df['obv'].ewm(span=20).mean()
# Is the OBV still above it's EMA
if obv_df.tail(1)['obv'][0] > obv_df.tail(1)['obv_ema'][0]:
print('OBV is still above OBV_EMA')
slope = linregress([0, 1, 2],
obv_df.tail(3)['obv'].tolist()).slope
if slope > 0:
print(
f'OBV is increasing with a slope of {slope}: HOLD')
hold_df = hold_df.append(
df.loc[df.index == df.index.max()])
print()
c += 1
if c % 100 == 0:
print(f'{c}/{len(data.keys())}')
print(f'{c}/{len(data.keys())}\n')
# END SCREENING SECTION
# Consolidate results
print('DECISION:\n')
hold_stocks = hold_df.loc[hold_df.index == hold_df.index.max()]
if not hold_stocks.empty:
print(f'Hold {len(hold_stocks)}:\n' +
'\n'.join(hold_stocks['symbol'].tolist()) + '\n')
sell_stocks = sell_df.loc[sell_df.index == sell_df.index.max()]
if not sell_stocks.empty:
print(f'Sell {len(sell_stocks)}:\n' +
'\n'.join(sell_stocks['symbol'].tolist()) + '\n')
portfolio_size = 20
purchase_size = portfolio_size - len(hold_stocks)
# If there's room in the portfolio to buy more
if purchase_size > 0:
print(f'We can purchase {purchase_size} new stocks today.')
buy_stocks = buy_df.loc[buy_df.index == buy_df.index.max()]
buy_stocks = buy_stocks[buy_stocks['bullish'] != '']
buy_stocks = buy_stocks.sort_values(
by='volume', ascending=False).head(purchase_size)
account = api.get_account()
holding_value = hold_stocks['market_value'].tolist().sum(
) if not hold_stocks.empty else 0.0
available_funds = (float(account.portfolio_value) +
float(account.cash) - holding_value) * 0.95
print(f'Available funds to buy: ${available_funds}')
# For now this will create equal-weight positions
funds_per_stock = available_funds / len(buy_stocks)
# Calculate quantity to buy for each stock
buy_qty = []
symbols = buy_stocks['symbol'].tolist()
prices = buy_stocks['close'].tolist()
for i in range(0, len(symbols)):
price = prices[i]
qty = math.floor(funds_per_stock / price)
buy_qty.append(qty)
buy_stocks['qty'] = buy_qty
buy_stocks['market_value'] = buy_stocks['close'] * buy_stocks['qty']
print(f'Buy {len(buy_stocks)}:')
print(buy_stocks)
else:
print('There is no room to buy.')
buy_stocks = pd.DataFrame()
return (buy_stocks, sell_stocks, hold_stocks)
class AlpacaExchange(Exchange):
client: REST
access_key: str
secret_key: str
@staticmethod
def build(account: Account, is_paper=False):
base_url_live = "https://api.alpaca.markets"
base_url_paper = "https://paper-api.alpaca.markets"
return AlpacaExchange(
account=account,
base_url=base_url_paper if is_paper else base_url_live)
def __init__(self, account: Account, base_url: str):
super().__init__()
self.client = REST(key_id=account.get_access_key(),
secret_key=account.get_secret_key(),
base_url=URL(base_url))
def get_day_candles(self, ticker: str, start: str,
end: str) -> List[Candle]:
pass
def get_last_candle(self, ticker: str) -> Candle:
snapshot = self.client.get_snapshot(symbol=ticker)
return BarAdapter(ticker=ticker, bar=snapshot.minute_bar)
def get_all_assets(self) -> List[Asset]:
account = self.client.get_account()
positions = self.client.list_positions()
cash = AccountAdapter(account.__dict__.get('_raw'))
stocks = [
PositionAdapter(position.__dict__.get('_raw'))
for position in positions
]
return [cash, *stocks]
def buy(self, ticker: str, amount: Decimal) -> Optional[Order]:
return self.__order(side="buy", ticker=ticker, amount=amount)
def sell(self, ticker: str, volume: Decimal) -> Optional[Order]:
return self.__order(side="sell", ticker=ticker, volume=volume)
def get_order(self, order_id: str) -> Optional[Order]:
order = self.client.get_order_by_client_order_id(
client_order_id=order_id)
return OrderAdapter(AlpacaOrder(**order.__dict__.get("_raw")))
def __order(self,
side: str,
ticker: str,
amount: Decimal = None,
volume: Decimal = None) -> Optional[Order]:
if amount is None and volume is None:
raise ValueError("order amount or volume should not be None")
if not self.__is_open_now():
return None
custom_order_id = str(uuid.uuid4())
qty = float(volume) if volume is not None else None
notional = float(amount) if amount is not None else None
order = self.client.submit_order(symbol=ticker,
qty=qty,
notional=notional,
side=side,
type="market",
client_order_id=custom_order_id)
return OrderAdapter(AlpacaOrder(**order.__dict__.get("_raw")))
def __is_open_now(self):
"""check if US exchanges (NYSE, NASDAQ, etc) are open
09:30 (EST) ~ 16:00 (EST)
"""
clock = self.client.get_clock()
return clock.is_open
class AlpacaTradeInterface(TradeInterface):
def __init__(self, key, secret, endpoint):
self.api = Alpaca(key, secret, endpoint)
self.pending_orders = {}
self.cached_tickers = {}
def initialize(self, env: Environment):
try:
# Load cash balance
account = self.api.get_account()
env.get_portfolio().cash = float(
account.cash) # We have margin but shouldn't use it
# Load open orders
orders = self.api.list_orders(status='open', limit=500)
self.pending_orders = {
order.id: Order(order.symbol,
OrderType(order.order_type),
order.qty,
order.side == 'buy',
order_id=order.id,
limit_price=order.limit_price,
stop_price=order.stop_price)
for order in orders
}
# Load open positions
positions = self.api.list_positions()
for pos in positions:
env.get_portfolio()._add_position(
Position(pos.symbol, pos.qty, pos.avg_entry_price,
pos.current_price))
except Exception:
logger.exception('Failed to pull current orders and cash balance')
return False
return True
def update(self, env: Environment):
orders = self.api.list_orders(status='closed',
after=datetime.now() - timedelta(days=2),
limit=500)
for order in orders:
if order.id in self.pending_orders:
logger.info(f'Order {order.id} executed')
env.notify_order_completed(
ExecutedOrder(order.symbol, order.filled_qty,
order.filled_avg_price, order.side == 'buy'))
def place_order(self, order: Order):
logger.info(f'Placing order for {order.quantity} {order.ticker}')
try:
result = self.api.submit_order(order.ticker,
order.quantity,
'buy' if order.is_buy else 'sell',
order.order_type.value,
'day',
limit_price=order.limit_price,
stop_price=order.stop_price)
order.order_id = result.id
self.pending_orders[result.id] = order
return True
except Exception:
logger.exception(
f'Failed to place order for {order.quantity} {order.ticker}')
return False
def cancel_order(self, order_id):
logger.info(f'Canceling order {order_id}')
try:
self.api.cancel_order(order_id)
self.pending_orders.pop(order_id, None)
return True
except Exception:
logger.exception(f'Failed to cancel order {order_id}')
return False
def market_open(self):
clock = self.api.get_clock()
return clock.is_open # TODO - we also have open/close times. May want to avoid holding overnight
def open_orders(self):
return [order for order in self.pending_orders.values()]
def ticker_exists(self, ticker):
try:
if ticker in self.cached_tickers:
return self.cached_tickers[ticker]
asset = self.api.get_asset(ticker)
self.cached_tickers[ticker] = asset.tradable
return asset.tradable
except:
self.cached_tickers[ticker] = False
return False
secret_key = blob.download_as_text()
base_url = 'https://paper-api.alpaca.markets'
api = REST(api_key, secret_key, base_url, 'v2')
# Retrieve all trade activities for the week
today = datetime.today()
monday = today - timedelta(days=4)
today_str = f'{today.date()}T23:59:59Z'
monday_str = f'{monday.date()}T00:00:00Z'
print(f'Results from {monday_str} to {today_str}')
activities = api.get_activities(activity_types='FILL',
after=monday_str,
until=today_str)
# Retrieve all currently owned symbols
positions = api.list_positions()
owned_symbols = [position.symbol for position in positions]
# Need to store the symbols that were sold out
# and the entry/exit prices
sold_symbols = []
buy_prices = {}
sell_prices = {}
# Loop through all the trades and pair up the buy/sell activities
for activity in activities:
symbol = activity.symbol
if activity.side == 'sell' \
and symbol not in owned_symbols \
and symbol not in sold_symbols:
sold_symbols.append(symbol)