public static async Task StopAsync()
{
// TODO: Should we liquidate on stop?
await Disconnect();
AlpacaTradingClient?.Dispose();
AlpacaStreamingClient?.Dispose();
PolygonDataClient?.Dispose();
PolygonStreamingClient?.Dispose();
await Scheduler?.Shutdown();
}
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 AlpacaStreamingClient AlpacaClientStreaming()
{
_alpacaStreamingClient = Environments.Paper.GetAlpacaStreamingClient(new SecretKey(API_KEY, API_SECRET));
return(_alpacaStreamingClient);
}
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);
}
