private static void Subscribe()
{
Unsubscribe();
Logger.LogDebug("PolygonStreamingClient minute agg subscribe");
PolygonStreamingClient.SubscribeMinuteAgg(Securities.Keys);
PolygonStreamingClient_Subscribed = true;
}
private static void Unsubscribe()
{
// PolygonStreamingClient minute agg subscribe
if (PolygonStreamingClient_Subscribed)
{
Logger.LogDebug("PolygonStreamingClient minute agg unsubscribe");
PolygonStreamingClient.UnsubscribeMinuteAgg(Securities.Keys);
}
}
public static async Task StopAsync()
{
// TODO: Should we liquidate on stop?
await Disconnect();
AlpacaTradingClient?.Dispose();
AlpacaStreamingClient?.Dispose();
PolygonDataClient?.Dispose();
PolygonStreamingClient?.Dispose();
await Scheduler?.Shutdown();
}
/// <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;
}
internal static async Task Connect()
{
if (!AlpacaStreamingClient_IsConnected)
{
Logger.LogDebug("AlpacaStreamingClient connect");
// AlpacaStreamingClient connect
await AlpacaStreamingClient.ConnectAsync();
}
if (!PolygonStreamingClient_IsConnected)
{
Logger.LogDebug("PolygonStreamingClient connect");
// PolygonStreamingClient connect
await PolygonStreamingClient.ConnectAsync();
Subscribe();
}
}
internal static async Task Disconnect()
{
if (AlpacaStreamingClient_IsConnected)
{
Logger.LogDebug("AlpacaStreamingClient disconnect");
// AlpacaStreamingClient disconnect
await AlpacaStreamingClient.DisconnectAsync();
}
if (PolygonStreamingClient_IsConnected)
{
Logger.LogDebug("PolygonStreamingClient disconnect");
// PolygonStreamingClient disconnect
await PolygonStreamingClient.DisconnectAsync();
Unsubscribe();
}
}
public async Task Run()
{
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(new SecretKey(API_KEY, API_SECRET)) as AlpacaTradingClient;
polygonDataClient = Environments.Paper.GetPolygonDataClient(API_KEY) as PolygonDataClient;
// Connect to Alpaca's websocket and listen for updates on our orders.
alpacaStreamingClient = Environments.Paper.GetAlpacaStreamingClient(new SecretKey(API_KEY, API_SECRET)) as AlpacaStreamingClient;
alpacaStreamingClient.ConnectAndAuthenticateAsync().Wait();
alpacaStreamingClient.OnTradeUpdate += HandleTradeUpdate;
var sort = new ListOrdersRequest();
sort.OrderListSorting = SortDirection.Ascending;
// Kill Switch part one
// First, cancel any existing orders so they don't impact our buying power.
var orders = await alpacaTradingClient.ListOrdersAsync(sort, Token);
foreach (var order in orders)
{
await alpacaTradingClient.DeleteOrderAsync(order.OrderId);
}
// Figure out when the market will close so we can prepare to sell beforehand.
var calendars = (await alpacaTradingClient
.ListCalendarAsync(new CalendarRequest().SetTimeInterval(DateTime.Today.GetInclusiveIntervalFromThat())))
.ToList();
var calendarDate = calendars.First().TradingDateEst;
var closingTime = calendars.First().TradingCloseTimeEst;
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 polygonDataClient.ListAggregatesAsync(
new AggregatesRequest(symbol, new AggregationPeriod(1, AggregationPeriodUnit.Minute))
.SetInclusiveTimeInterval(today, today.AddDays(1)));
var lastBars = bars.Items.Skip(Math.Max(0, bars.Items.Count() - 20));
foreach (var bar in lastBars)
{
Debug.Assert(bar.TimeUtc != null, "bar.TimeUtc != null");
if (bar.TimeUtc.Value.Add(TimeSpan.FromHours(3)) == 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.
polygonStreamingClient = (PolygonStreamingClient)Environments.Live.GetPolygonStreamingClient(API_KEY);
polygonStreamingClient.ConnectAndAuthenticateAsync().Wait();
Console.WriteLine("Polygon client opened.");
polygonStreamingClient.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 polygonStreamingClient.DisconnectAsync();
}
else
{
// Decide whether to buy or sell and submit orders.
await HandleMinuteAgg(agg);
}
};
polygonStreamingClient.SubscribeMinuteAgg(symbol);
}
public async Task Run()
{
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(API_KEY, new SecretKey(API_SECRET));
polygonDataClient = Environments.Paper.GetPolygonDataClient(API_KEY);
// Connect to Alpaca's websocket and listen for updates on our orders.
alpacaStreamingClient = Environments.Paper.GetAlpacaStreamingClient(API_KEY, API_SECRET);
alpacaStreamingClient.ConnectAndAuthenticateAsync().Wait();
alpacaStreamingClient.OnTradeUpdate += HandleTradeUpdate;
// First, cancel any existing orders so they don't impact our buying power.
var orders = await alpacaTradingClient.ListOrdersAsync();
foreach (var order in orders)
{
await alpacaTradingClient.DeleteOrderAsync(order.OrderId);
}
// Figure out when the market will close so we can prepare to sell beforehand.
var calendars = (await alpacaTradingClient.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 polygonDataClient.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.
polygonStreamingClient = Environments.Live.GetPolygonStreamingClient(API_KEY);
polygonStreamingClient.ConnectAndAuthenticateAsync().Wait();
Console.WriteLine("Polygon client opened.");
polygonStreamingClient.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 polygonStreamingClient.DisconnectAsync();
}
else
{
// Decide whether to buy or sell and submit orders.
await HandleMinuteAgg(agg);
}
};
polygonStreamingClient.SubscribeSecondAgg(symbol);
}
