class TickerFilter:
def __init__(self, key, secret):
self.api = Alpaca(key, secret, 'https://paper-api.alpaca.markets')
self.cached_tickers = {}
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
def filter_pass(self, comment):
words = alnum.sub('', comment).split()
tickers = [word for word in words if word.isupper() and len(word) in RedditSentimentSource._VALID_TICKER_LENGTHS]
for word in words:
if self.ticker_exists(word):
return True
return False
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