class Streamer:
conn = None
def __init__(self,
q,
api_key='',
api_secret='',
instrument='',
method: StreamingMethod = StreamingMethod.AccountUpdate,
base_url='',
data_url='',
data_feed='iex',
*args,
**kwargs):
try:
# make sure we have an event loop, if not create a new one
asyncio.get_event_loop()
except RuntimeError:
asyncio.set_event_loop(asyncio.new_event_loop())
self.conn = Stream(api_key,
api_secret,
base_url,
data_stream_url=data_url,
data_feed=data_feed)
self.instrument = instrument
self.method = method
self.q = q
def run(self):
if self.method == StreamingMethod.AccountUpdate:
self.conn.subscribe_trade_updates(self.on_trade)
elif self.method == StreamingMethod.MinuteAgg:
self.conn.subscribe_bars(self.on_agg_min, self.instrument)
elif self.method == StreamingMethod.Quote:
self.conn.subscribe_quotes(self.on_quotes, self.instrument)
# this code runs in a new thread. we need to set the loop for it
loop = asyncio.new_event_loop()
asyncio.set_event_loop(loop)
self.conn.run()
async def on_listen(self, conn, stream, msg):
pass
async def on_quotes(self, msg):
msg._raw['time'] = msg.timestamp
self.q.put(msg._raw)
async def on_agg_min(self, msg):
msg._raw['time'] = msg.timestamp
self.q.put(msg._raw)
async def on_account(self, msg):
self.q.put(msg)
async def on_trade(self, msg):
self.q.put(msg)
class AlpacaStream(StreamingAPI):
def __init__(self, queues: QueueMapper):
self.alpaca_ws_client = Stream(
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(
AlpacaStream.trade_update_handler
)
self.alpaca_ws_client.run()
super().__init__(queues)
@classmethod
async def trade_update_handler(cls, msg):
print(f"trade_update_handler:{msg}")
@classmethod
async def bar_handler(cls, msg):
print(f"bar_handler:{msg}")
@classmethod
async def trades_handler(cls, msg):
print(f"trades_handler:{msg}")
@classmethod
async def quotes_handler(cls, msg):
print(f"quotes_handler:{msg}")
async def subscribe(
self, symbols: List[str], events: List[WSEventType]
) -> bool:
for event in events:
if event == WSEventType.SEC_AGG:
raise NotImplementedError(
f"event {event} not implemente in Alpaca"
)
elif event == WSEventType.MIN_AGG:
self.alpaca_ws_client.subscribe_bars(
AlpacaStream.bar_handler, symbols
)
elif event == WSEventType.TRADE:
self.alpaca_ws_client.subscribe_trades(
AlpacaStream.trades_handler, symbols
)
elif event == WSEventType.QUOTE:
self.alpaca_ws_client.subscribe_quotes(
AlpacaStream.quotes_handler, symbols
)
return True
class AlpacaStream(StreamingAPI):
def __init__(self, queues: QueueMapper):
self.alpaca_ws_client = Stream(
base_url=URL(config.alpaca_base_url),
key_id=config.alpaca_api_key,
secret_key=config.alpaca_api_secret,
data_feed="sip", # config.alpaca_data_feed,
)
if not self.alpaca_ws_client:
raise AssertionError(
"Failed to authenticate Alpaca web_socket client")
self.running = False
super().__init__(queues)
async def run(self):
if not self.running:
if not self.queues:
raise AssertionError(
"can't call `AlpacaStream.run()` without queues")
asyncio.create_task(self.alpaca_ws_client._run_forever())
self.running = True
@classmethod
async def bar_handler(cls, msg):
try:
event = {
"symbol": msg.symbol,
"open": msg.open,
"close": msg.close,
"high": msg.high,
"low": msg.low,
"start": int(msg.timestamp // 1000000),
"volume": msg.volume,
"count": 0.0,
"vwap": 0.0,
"average": 0.0,
"totalvolume": None,
"EV": "AM",
}
cls.get_instance().queues[msg.symbol].put(event, timeout=1)
except queue.Full as f:
tlog(
f"[EXCEPTION] process_message(): queue for {event['sym']} is FULL:{f}, sleeping for 2 seconds and re-trying."
)
raise
except Exception as e:
tlog(
f"[EXCEPTION] process_message(): exception of type {type(e).__name__} with args {e.args}"
)
traceback.print_exc()
@classmethod
async def trades_handler(cls, msg):
try:
event = {
"symbol": msg.symbol,
"price": msg.price,
"timestamp": pd.to_datetime(msg.timestamp),
"volume": msg.size,
"exchange": msg.exchange,
"conditions": msg.conditions,
"tape": msg.tape,
"EV": "T",
}
cls.get_instance().queues[msg.symbol].put(event, timeout=1)
except queue.Full as f:
tlog(
f"[EXCEPTION] process_message(): queue for {event['sym']} is FULL:{f}, sleeping for 2 seconds and re-trying."
)
raise
except Exception as e:
tlog(
f"[EXCEPTION] process_message(): exception of type {type(e).__name__} with args {e.args}"
)
traceback.print_exc()
@classmethod
async def quotes_handler(cls, msg):
print(f"quotes_handler:{msg}")
async def subscribe(self, symbols: List[str],
events: List[WSEventType]) -> bool:
for event in events:
if event == WSEventType.SEC_AGG:
tlog(f"event {event} not implemented in Alpaca")
elif event == WSEventType.MIN_AGG:
self.alpaca_ws_client._data_ws._running = False
self.alpaca_ws_client.subscribe_bars(AlpacaStream.bar_handler,
*symbols)
elif event == WSEventType.TRADE:
self.alpaca_ws_client.subscribe_trades(
AlpacaStream.trades_handler, *symbols)
elif event == WSEventType.QUOTE:
self.alpaca_ws_client.subscribe_quotes(
AlpacaStream.quotes_handler, *symbols)
return True
def start_trading(self):
conn = Stream(
self.key_id,
self.secret_key,
base_url=self.base_url,
data_feed='iex') # <- replace to SIP if you have PRO subscription
# Listen for second aggregates and perform trading logic
async def handle_bar(bar):
self.tick_index = (self.tick_index + 1) % self.tick_size
if self.tick_index == 0:
# It's time to update
# Update price info
tick_open = self.last_price
tick_close = bar.close
self.last_price = tick_close
self.process_current_tick(tick_open, tick_close)
conn.subscribe_bars(handle_bar, self.symbol)
# Listen for quote data and perform trading logic
async def handle_trades(trade):
now = datetime.datetime.utcnow()
if now - self.last_trade_time < datetime.timedelta(seconds=1):
# don't react every tick unless at least 1 second past
return
self.last_trade_time = now
self.tick_index = (self.tick_index + 1) % self.tick_size
if self.tick_index == 0:
# It's time to update
# Update price info
tick_open = self.last_price
tick_close = trade.price
self.last_price = tick_close
self.process_current_tick(tick_open, tick_close)
conn.subscribe_trades(handle_trades, self.symbol)
# Listen for updates to our orders
async def handle_trade_updates(data):
symbol = data.order['symbol']
if symbol != self.symbol:
# The order was for a position unrelated to this script
return
event_type = data.event
qty = int(data.order['filled_qty'])
side = data.order['side']
oid = data.order['id']
if event_type == 'fill' or event_type == 'partial_fill':
# Our position size has changed
self.position = int(data.position_qty)
print(f'New position size due to order fill: {self.position}')
if (event_type == 'fill' and self.current_order
and self.current_order.id == oid):
self.current_order = None
elif event_type == 'rejected' or event_type == 'canceled':
if self.current_order and self.current_order.id == oid:
# Our last order should be removed
self.current_order = None
elif event_type != 'new':
print(f'Unexpected order event type {event_type} received')
conn.subscribe_trade_updates(handle_trade_updates)
conn.run()
