private static async Task connectAndAuthenticate(
PolygonSockClient client)
{
var waitObject = new AutoResetEvent(false);
client.Connected += (status) =>
{
Assert.Equal(AuthStatus.Authorized, status);
waitObject.Set();
};
await client.ConnectAsync();
Assert.True(waitObject.WaitOne(
TimeSpan.FromSeconds(10)));
}
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);
}