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);
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
_sockClient.ConnectAsync().SynchronouslyAwaitTask();
if (_handlesMarketData)
{
_polygonStreamingClient.ConnectAndAuthenticateAsync().SynchronouslyAwaitTask();
}
_isConnected = true;
// create new thread to manage disconnections and reconnections
var connectionMonitorStartedEvent = new AutoResetEvent(false);
_cancellationTokenSource = new CancellationTokenSource();
_connectionMonitorThread = new Thread(() =>
{
connectionMonitorStartedEvent.Set();
var nextReconnectionAttemptSeconds = 1;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
var isAlive = true;
try
{
isAlive = _sockClient.IsAlive;
}
catch (Exception)
{
// ignored
}
if (isAlive && _connectionLost)
{
_connectionLost = false;
nextReconnectionAttemptSeconds = 1;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with Alpaca server restored."));
}
else if (!isAlive)
{
if (_connectionLost)
{
try
{
Thread.Sleep(TimeSpan.FromSeconds(nextReconnectionAttemptSeconds));
_sockClient.ConnectAsync().SynchronouslyAwaitTask();
}
catch (Exception exception)
{
// double the interval between attempts (capped to 1 minute)
nextReconnectionAttemptSeconds = Math.Min(nextReconnectionAttemptSeconds * 2, 60);
Log.Error(exception);
}
}
else
{
_connectionLost = true;
OnMessage(
BrokerageMessageEvent.Disconnected(
"Connection with Alpaca server lost. " +
"This could be because of internet connectivity issues. "));
}
}
Thread.Sleep(1000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
})
{
IsBackground = true
};
_connectionMonitorThread.Start();
connectionMonitorStartedEvent.WaitOne();
}
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);
}