private async Task TestStrategyOnStock(Strategy strategy, string stock, bool useHistoricaData)
{
var data = (await _alpacaClient.GetStockData(stock)).OrderByDescending(x => x.Time).ToList();
var sizeOfTestSet = useHistoricaData ? data.Count / 5 : data.Count;
var testData = data.Take(sizeOfTestSet);
strategy.HistoricalData = data.Skip(sizeOfTestSet).ToList();
var ownTheStock = false;
foreach (var min in testData)
{
bool?calledBuy = null;
//Mock out client so if we want to buy or sell, we are buying or selling only one share
_mockAlpacaClient
.Setup(x => x.EnsurePositionExists(min.StockSymbol, min.ClosingPrice))
.Callback(() => calledBuy = true)
.ReturnsAsync(ownTheStock ? 0 : min.ClosingPrice);
_mockAlpacaClient
.Setup(x => x.EnsurePostionCleared(min.StockSymbol))
.Callback(() => calledBuy = false)
.ReturnsAsync(ownTheStock ? min.ClosingPrice : 0);
await strategy.HandleMinuteAgg(min);
ownTheStock = calledBuy ?? ownTheStock;
}
}
public async Task Execute(IJobExecutionContext context)
{
_logger.LogInformation($"Starting {GetType().Name} job");
foreach (var strategy in _strategies)
{
var stockData = await _alpacaClient.GetStockData(strategy.StockStrategy.StockSymbol, strategy.StockStrategy.TradingFrequency);
if ((stockData?.Count ?? 0) == 0)
{
throw new ArgumentException($"You stock symbol {strategy.StockStrategy.StockSymbol} is not valid.");
}
//TODO: Check if pattern day trader is true. If so do the below
//If not, pull the last order time for a stock from alpaca directly to ensure we do not intra day trade.
var orders = _trackingRepository.GetCompletedOrders(strategy.StockStrategy);
if (orders.Any())
{
var lastCompletedOrder = orders.Max(x => x.OrderPlacedTime);
var waitTime = lastCompletedOrder.AddDays(1).AddMinutes(1) - DateTime.UtcNow;
if (waitTime.TotalMilliseconds > 0)
{
await Task.Delay((int)Math.Ceiling(waitTime.TotalMilliseconds));
}
}
await strategy.RunStrategy(stockData);
}
_logger.LogInformation($"Finished {GetType().Name} job");
}
public async Task Execute(IJobExecutionContext context)
{
_logger.LogInformation($"Starting {GetType().Name} job");
if (!_strategies.Any())
{
//TODO: Move this somewhere better
throw new ArgumentException($"No strategies given. You must provide at least on strategy.");
}
if (!await _alpacaClient.ConnectStreamApis())
{
throw new UnauthorizedAccessException("Failed to connect to streaming API. Authorization failed.");
}
_alpacaClient.SubscribeToTradeUpdates(async order => await _trackingRepository.CompleteOrder(order));
foreach (var strategy in _strategies.Where(x => x.StockStrategy.TradingFrequency == Domain.TradingFrequency.Minute))
{
var stockData = await _alpacaClient.GetStockData(strategy.StockStrategy.StockSymbol, strategy.StockStrategy.TradingFrequency);
if ((stockData?.Count ?? 0) == 0)
{
throw new ArgumentException($"You stock symbol {strategy.StockStrategy.StockSymbol} is not valid.");
}
strategy.HistoricalData.AddRange(stockData);
_alpacaClient.AddPendingMinuteAggSubscription(strategy.StockStrategy.StockSymbol, async y => await strategy.HandleNewData(y));
}
_alpacaClient.SubscribeToMinuteAgg();
_logger.LogInformation($"Finished {GetType().Name} job");
}
public async Task Execute(IJobExecutionContext context)
{
_logger.LogInformation($"Starting {GetType().Name} job");
await _alpacaClient.DisconnectStreamApis();
foreach (var strategy in _strategies.Where(x => x.StockStrategy.TradingFrequency == Domain.TradingFrequency.Minute))
{
var position = await _trackingRepository.GetOrCreateEmptyPosition(strategy.StockStrategy);
if (position.NumberOfShares > 0)
{
var marketPriceTask = _alpacaClient.GetStockData(position.StockSymbol, strategy.StockStrategy.TradingFrequency, 1);
await _alpacaClient.PlaceOrder(new Domain.Order
{
StockSymbol = strategy.StockStrategy.StockSymbol,
MarketPrice = (await marketPriceTask).FirstOrDefault()?.ClosingPrice ?? 0,
OrderPlacedTime = DateTime.UtcNow,
SharesBought = position.NumberOfShares * (-1)
});
}
}
_logger.LogInformation($"Finished {GetType().Name} job");
}
private static async Task AutoTradeStocks(IAlpacaClient alpacaClient, StockConfig stockConfig, MLConfig mlConfig)
{
if ((stockConfig.Stock_List?.Count ?? 0) == 0)
{
throw new ArgumentException("You must pass an least one valid stock symbol", nameof(stockConfig));
}
var strategies = new List <Strategy>()
{
new MeanReversionStrategy(alpacaClient),
new MLStrategy(alpacaClient, mlConfig),
new MicrotrendStrategy(alpacaClient),
//new NewsStrategy(alpacaClient, config.Get<NewsSearchConfig>()),
};
var strategy = strategies
.SingleOrDefault(x => string.Equals(x.GetType().Name, stockConfig.Stock_Strategy, StringComparison.OrdinalIgnoreCase));
if (strategy == null)
{
throw new ArgumentException($"Could not find any strategies with the name '{stockConfig.Stock_Strategy}'", nameof(stockConfig));
}
if (!await alpacaClient.ConnectStreamApi())
{
throw new UnauthorizedAccessException("Failed to connect to streaming API. Authorization failed.");
}
foreach (var stockSymbol in stockConfig.Stock_List)
{
var stockData = await alpacaClient.GetStockData(stockSymbol);
if ((stockData?.Count ?? 0) == 0)
{
throw new ArgumentException($"You stock symbol {stockSymbol} is not valid.", nameof(stockConfig));
}
strategy.HistoricalData = stockData;
alpacaClient.SubscribeMinuteAgg(stockSymbol, async y => await strategy.HandleMinuteAgg(y));
}
}
