class AlpacaTrader(Trader):
def __init__(self, qm: QueueMapper = None):
self.market_open: Optional[datetime]
self.market_close: Optional[datetime]
self.alpaca_rest_client = REST(
base_url=URL(config.alpaca_base_url),
key_id=config.alpaca_api_key,
secret_key=config.alpaca_api_secret,
)
if not self.alpaca_rest_client:
raise AssertionError(
"Failed to authenticate Alpaca RESTful client"
)
if qm:
self.alpaca_ws_client = Stream(
base_url=URL(config.alpaca_base_url),
key_id=config.alpaca_api_key,
secret_key=config.alpaca_api_secret,
)
if not self.alpaca_ws_client:
raise AssertionError(
"Failed to authenticate Alpaca web_socket client"
)
self.alpaca_ws_client.subscribe_trade_updates(
AlpacaTrader.trade_update_handler
)
self.running_task: Optional[asyncio.Task] = None
now = datetime.now(nyc)
calendar = self.alpaca_rest_client.get_calendar(
start=now.strftime("%Y-%m-%d"), end=now.strftime("%Y-%m-%d")
)[0]
if now.date() >= calendar.date.date():
self.market_open = now.replace(
hour=calendar.open.hour,
minute=calendar.open.minute,
second=0,
microsecond=0,
)
self.market_close = now.replace(
hour=calendar.close.hour,
minute=calendar.close.minute,
second=0,
microsecond=0,
)
else:
self.market_open = self.market_close = None
super().__init__(qm)
async def is_order_completed(self, order) -> Tuple[bool, float]:
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
status = self.alpaca_rest_client.get_order(order_id=order.id)
if status.filled_qty == order.qty:
return True, float(status.filled_avg_price)
return False, 0.0
def get_market_schedule(
self,
) -> Tuple[Optional[datetime], Optional[datetime]]:
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
return self.market_open, self.market_close
def get_trading_days(
self, start_date: date, end_date: date = date.today()
) -> pd.DataFrame:
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
calendars = self.alpaca_rest_client.get_calendar(
start=str(start_date), end=str(end_date)
)
_df = pd.DataFrame.from_dict([calendar._raw for calendar in calendars])
_df["date"] = pd.to_datetime(_df.date)
return _df.set_index("date")
def get_position(self, symbol: str) -> float:
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
return self.alpaca_rest_client.get_position(symbol)
async def get_order(self, order_id: str):
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
return self.alpaca_rest_client.get_order(order_id)
def is_market_open_today(self) -> bool:
return self.market_open is not None
def get_time_market_close(self) -> Optional[timedelta]:
if not self.is_market_open_today():
raise AssertionError("Market closed today")
return (
self.market_close - datetime.now(nyc)
if self.market_close
else None
)
async def reconnect(self):
self.alpaca_rest_client = REST(
key_id=config.alpaca_api_key, secret_key=config.alpaca_api_secret
)
if not self.alpaca_rest_client:
raise AssertionError(
"Failed to authenticate Alpaca RESTful client"
)
async def run(self) -> Optional[asyncio.Task]:
if not self.running_task:
tlog("starting Alpaca listener")
self.running_task = asyncio.create_task(
self.alpaca_ws_client._trading_ws._run_forever()
)
return self.running_task
async def close(self):
if not self.alpaca_ws_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
if self.running_task:
await self.alpaca_ws_client.stop_ws()
async def get_tradeable_symbols(self) -> List[str]:
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
data = self.alpaca_rest_client.list_assets()
return [asset.symbol for asset in data if asset.tradable]
async def get_shortable_symbols(self) -> List[str]:
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
data = self.alpaca_rest_client.list_assets()
return [
asset.symbol
for asset in data
if asset.tradable and asset.easy_to_borrow and asset.shortable
]
async def is_shortable(self, symbol) -> bool:
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
asset = self.alpaca_rest_client.get_asset(symbol)
return (
asset.tradable is not False
and asset.shortable is not False
and asset.status != "inactive"
and asset.easy_to_borrow is not False
)
async def cancel_order(self, order_id: str):
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
self.alpaca_rest_client.cancel_order(order_id)
async def submit_order(
self,
symbol: str,
qty: float,
side: str,
order_type: str,
time_in_force: str,
limit_price: str = None,
stop_price: str = None,
client_order_id: str = None,
extended_hours: bool = None,
order_class: str = None,
take_profit: dict = None,
stop_loss: dict = None,
trail_price: str = None,
trail_percent: str = None,
):
if not self.alpaca_rest_client:
raise AssertionError("Must call w/ authenticated Alpaca client")
return self.alpaca_rest_client.submit_order(
symbol,
str(qty),
side,
order_type,
time_in_force,
limit_price,
stop_price,
client_order_id,
extended_hours,
order_class,
take_profit,
stop_loss,
trail_price,
trail_percent,
)
@classmethod
async def trade_update_handler(cls, data):
symbol = data.__dict__["_raw"]["order"]["symbol"]
data.__dict__["_raw"]["EV"] = "trade_update"
data.__dict__["_raw"]["symbol"] = symbol
try:
cls.get_instance().queues[symbol].put(
data.__dict__["_raw"], timeout=1
)
except queue.Full as f:
tlog(
f"[EXCEPTION] process_message(): queue for {symbol} is FULL:{f}, sleeping for 2 seconds and re-trying."
)
raise
except AssertionError:
for q in cls.get_instance().queues.get_allqueues():
q.put(data.__dict__["_raw"], timeout=1)
except Exception as e:
tlog(f"[EXCEPTION] process_message(): exception {e}")
traceback.print_exc()
def main():
rest = REST(API_KEY,
SECRET_KEY,
base_url='https://paper-api.alpaca.markets')
all_assets = rest.list_assets()
working_symbols = [
x.symbol for x in all_assets if x.tradable and x.status == 'active'
]
positions = {}
trading = False
today = datetime.datetime.today()
start = datetime.datetime(today.year, today.month, today.day, 6, 30, 30)
end = datetime.datetime(today.year, today.month, today.day, 7, 0, 0)
total_cash = float(rest.get_account().equity)
cash_per_trade = (total_cash - 25000) / NUM_TRADES
current_trades = 0
while True:
now = datetime.datetime.today()
if now > start:
trading = True
if now > end:
break
if trading and current_trades < NUM_TRADES:
snapshots = rest.get_snapshots(working_symbols)
for stock, data in snapshots.items():
try:
prev_close = float(data.prev_daily_bar.c)
today_open = float(data.daily_bar.o)
current = float(data.daily_bar.c)
except:
continue
if (today_open - prev_close) / prev_close > 0.15:
working_symbols.remove(stock)
continue
if current < today_open * 0.9 and current < 40 and current_trades < NUM_TRADES:
qty = cash_per_trade // (today_open * 0.9)
order = rest.submit_order(
symbol=stock,
side="buy",
qty=qty,
type="limit",
time_in_force="gtc",
limit_price=today_open * 0.9,
order_class="bracket",
stop_loss={"stop_price": today_open * 0.6},
take_profit={"limit_price": today_open * 0.95})
print(order)
if order.status in [
"new", "accepted", "filled", "partially_filled"
]:
positions[stock] = order.id
working_symbols.remove(stock)
current_trades += 1
time.sleep(20)
actual_positions = [x.symbol for x in rest.list_positions()]
for stock, order_id in positions.items():
if stock not in actual_positions:
rest.cancel_order(order_id)
