/// <summary>
/// Initializes a new instance of the <see cref="AlpacaBrokerage"/> class.
/// </summary>
/// <param name="orderProvider">The order provider.</param>
/// <param name="securityProvider">The holdings provider.</param>
/// <param name="accountKeyId">The Alpaca api key id</param>
/// <param name="secretKey">The api secret key</param>
/// <param name="tradingMode">The Alpaca trading mode. paper/live</param>
public AlpacaBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string accountKeyId, string secretKey, string tradingMode)
: base("Alpaca Brokerage")
{
var baseUrl = "api.alpaca.markets";
if (tradingMode.Equals("paper"))
{
baseUrl = "paper-" + baseUrl;
}
baseUrl = "https://" + baseUrl;
_orderProvider = orderProvider;
_securityProvider = securityProvider;
_marketHours = MarketHoursDatabase.FromDataFolder();
// api client for alpaca
_restClient = new RestClient(accountKeyId, secretKey, baseUrl);
// websocket client for alpaca
_sockClient = new SockClient(accountKeyId, secretKey, baseUrl);
_sockClient.OnTradeUpdate += OnTradeUpdate;
_sockClient.OnError += OnSockClientError;
// polygon client for alpaca
_natsClient = new NatsClient(accountKeyId, baseUrl.Contains("staging"));
_natsClient.QuoteReceived += OnQuoteReceived;
_natsClient.TradeReceived += OnTradeReceived;
_natsClient.OnError += OnNatsClientError;
}
public SmppInternalConnection(SmppSettings Settings)
{
TcpConnection = new SockClient();
PendingResponse = new ListDictionary();
PendingQueue = new ArrayList(15);
PendingBind = new ArrayList(10);
ReleasedDateTime = DateTime.Now;
LastReceptionTime = DateTime.Now;
ClientGuid = Guid.NewGuid();
this.Settings = Settings;
TcpConnection.DataReceived += TcpConnection_DataReceived;
TcpConnection.CloseConnection += TcpConnection_CloseConnection;
}
/// <summary>
/// Initializes a new instance of the <see cref="AlpacaBrokerage"/> class.
/// </summary>
/// <param name="orderProvider">The order provider.</param>
/// <param name="securityProvider">The holdings provider.</param>
/// <param name="accountKeyId">The Alpaca api key id</param>
/// <param name="secretKey">The api secret key</param>
/// <param name="tradingMode">The Alpaca trading mode. paper/live</param>
/// <param name="handlesMarketData">true if market data subscriptions will be handled by Alpaca</param>
/// <param name="aggregator">consolidate ticks</param>
public AlpacaBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string accountKeyId, string secretKey, string tradingMode, bool handlesMarketData, IDataAggregator aggregator)
: base("Alpaca Brokerage")
{
_handlesMarketData = handlesMarketData;
_aggregator = aggregator;
var httpScheme = "https://";
var alpacaBaseUrl = "api.alpaca.markets";
if (tradingMode.Equals("paper"))
{
alpacaBaseUrl = "paper-" + alpacaBaseUrl;
}
var httpAlpacaBaseUrl = httpScheme + alpacaBaseUrl;
_orderProvider = orderProvider;
_securityProvider = securityProvider;
_marketHours = MarketHoursDatabase.FromDataFolder();
// Alpaca trading client
_alpacaTradingClient = new AlpacaTradingClient(new AlpacaTradingClientConfiguration
{
ApiEndpoint = tradingMode.Equals("paper") ? Environments.Paper.AlpacaTradingApi : Environments.Live.AlpacaTradingApi,
SecurityId = new SecretKey(accountKeyId, secretKey)
});
// api client for alpaca data
_polygonDataClient = new PolygonDataClient(new PolygonDataClientConfiguration
{
ApiEndpoint = Environments.Live.PolygonDataApi,
KeyId = accountKeyId
});
// websocket client for alpaca
_sockClient = new SockClient(accountKeyId, secretKey, httpAlpacaBaseUrl);
_sockClient.OnTradeUpdate += OnTradeUpdate;
_sockClient.OnError += OnSockClientError;
// Polygon Streaming client for Alpaca (streams trade and quote data)
_polygonStreamingClient = new PolygonStreamingClient(new PolygonStreamingClientConfiguration
{
ApiEndpoint = Environments.Live.PolygonStreamingApi,
KeyId = accountKeyId,
WebSocketFactory = new WebSocketClientFactory()
});
_polygonStreamingClient.QuoteReceived += OnQuoteReceived;
_polygonStreamingClient.TradeReceived += OnTradeReceived;
_polygonStreamingClient.OnError += OnPolygonStreamingClientError;
}
/// <summary>
/// Initializes a new instance of the <see cref="AlpacaBrokerage"/> class.
/// </summary>
/// <param name="orderProvider">The order provider.</param>
/// <param name="securityProvider">The holdings provider.</param>
/// <param name="mapFileProvider">representing all the map files</param>
/// <param name="accountKeyId">The Alpaca api key id</param>
/// <param name="secretKey">The api secret key</param>
/// <param name="tradingMode">The Alpaca trading mode. paper/live</param>
public AlpacaBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, IMapFileProvider mapFileProvider, string accountKeyId, string secretKey, string tradingMode)
: base("Alpaca Brokerage")
{
var httpScheme = "https://";
var alpacaBaseUrl = "api.alpaca.markets";
if (tradingMode.Equals("paper"))
{
alpacaBaseUrl = "paper-" + alpacaBaseUrl;
}
var httpAlpacaBaseUrl = httpScheme + alpacaBaseUrl;
_orderProvider = orderProvider;
_securityProvider = securityProvider;
_symbolMapper = new AlpacaSymbolMapper(mapFileProvider);
_marketHours = MarketHoursDatabase.FromDataFolder();
// Alpaca trading client
_alpacaTradingClient = new AlpacaTradingClient(new AlpacaTradingClientConfiguration
{
ApiEndpoint = tradingMode.Equals("paper") ? Environments.Paper.AlpacaTradingApi : Environments.Live.AlpacaTradingApi,
SecurityId = new SecretKey(accountKeyId, secretKey)
});
// api client for alpaca data
_polygonDataClient = new PolygonDataClient(new PolygonDataClientConfiguration
{
ApiEndpoint = Environments.Live.PolygonDataApi,
KeyId = accountKeyId
});
// websocket client for alpaca
_sockClient = new SockClient(accountKeyId, secretKey, httpAlpacaBaseUrl);
_sockClient.OnTradeUpdate += OnTradeUpdate;
_sockClient.OnError += OnSockClientError;
}
public async Task Run()
{
restClient = new RestClient(API_KEY, API_SECRET, API_URL, apiVersion: 2);
// Connect to Alpaca's websocket and listen for updates on our orders.
sockClient = new SockClient(API_KEY, API_SECRET, API_URL);
sockClient.ConnectAndAuthenticateAsync().Wait();
sockClient.OnTradeUpdate += HandleTradeUpdate;
// First, cancel any existing orders so they don't impact our buying power.
var orders = await restClient.ListOrdersAsync();
foreach (var order in orders)
{
await restClient.DeleteOrderAsync(order.OrderId);
}
// Figure out when the market will close so we can prepare to sell beforehand.
var calendars = (await restClient.ListCalendarAsync(DateTime.Today)).ToList();
var calendarDate = calendars.First().TradingDate;
var closingTime = calendars.First().TradingCloseTime;
closingTime = new DateTime(calendarDate.Year, calendarDate.Month, calendarDate.Day, closingTime.Hour, closingTime.Minute, closingTime.Second);
var today = DateTime.Today;
// Get the first group of bars from today if the market has already been open.
var bars = await restClient.ListMinuteAggregatesAsync(symbol, 1, today, today.AddDays(1));
var lastBars = bars.Items.Skip(Math.Max(0, bars.Items.Count() - 20));
foreach (var bar in lastBars)
{
if (bar.Time.Date == today)
{
closingPrices.Add(bar.Close);
}
}
Console.WriteLine("Waiting for market open...");
await AwaitMarketOpen();
Console.WriteLine("Market opened.");
// Connect to Polygon's websocket and listen for price updates.
polygonSockClient = new PolygonSockClient(API_KEY);
polygonSockClient.ConnectAndAuthenticateAsync().Wait();
Console.WriteLine("Polygon client opened.");
polygonSockClient.MinuteAggReceived += async(agg) =>
{
// If the market's close to closing, exit position and stop trading.
TimeSpan minutesUntilClose = closingTime - DateTime.UtcNow;
if (minutesUntilClose.TotalMinutes < 15)
{
Console.WriteLine("Reached the end of trading window.");
await ClosePositionAtMarket();
await polygonSockClient.DisconnectAsync();
}
else
{
// Decide whether to buy or sell and submit orders.
await HandleMinuteAgg(agg);
}
};
polygonSockClient.SubscribeSecondAgg(symbol);
}
public async void Run()
{
restClient = new RestClient(API_KEY, API_SECRET, API_URL, apiVersion: 2);
// First, cancel any existing orders so they don't impact our buying power.
var orders = restClient.ListOrdersAsync().Result;
foreach (var order in orders)
{
restClient.DeleteOrderAsync(order.OrderId);
}
// Figure out when the market will close so we can prepare to sell beforehand.
var calendars = restClient.ListCalendarAsync(DateTime.Today).Result;
var calendarDate = calendars.First().TradingDate;
var closingTime = calendars.First().TradingCloseTime;
closingTime = new DateTime(calendarDate.Year, calendarDate.Month, calendarDate.Day, closingTime.Hour, closingTime.Minute, closingTime.Second);
// Get the first group of bars from today if the market has already been open.
var bars = restClient.ListMinuteAggregatesAsync(symbol: symbol, limit: 20).Result.Items;
foreach (var bar in bars)
{
if (bar.Time.Date == DateTime.Now.Date)
{
closingPrices.Add(bar.Close);
}
}
Console.WriteLine("Waiting for market open...");
AwaitMarketOpen();
Console.WriteLine("Market opened.");
// Connect to Polygon and listen for price updates.
var natsClient = new NatsClient(API_KEY, false);
natsClient.Open();
Console.WriteLine("Polygon client opened.");
natsClient.AggReceived += (agg) =>
{
// If the market's close to closing, exit position and stop trading.
TimeSpan minutesUntilClose = closingTime - DateTime.UtcNow;
if (minutesUntilClose.TotalMinutes < 15)
{
Console.WriteLine("Reached the end of trading window.");
ClosePositionAtMarket();
natsClient.Close();
}
else
{
// Decide whether to buy or sell and submit orders.
HandleMinuteAgg(agg);
}
};
natsClient.SubscribeMinuteAgg(symbol);
// Connect to Alpaca and listen for updates on our orders.
var sockClient = new SockClient(API_KEY, API_SECRET, API_URL);
await sockClient.ConnectAsync();
Console.WriteLine("Socket client opened.");
sockClient.OnTradeUpdate += (trade) =>
{
HandleTradeUpdate(trade);
};
}
public void RemoveClient(SockClient client)
{
// ( client as DBClientHandler ).Logout();
clients.Remove(client);
}
