public AlpacaClient(AlpacaConfig config)
{
_config = config;
_alpacaTradingClient = config.Alpaca_Use_Live_Api
? Environments.Live.GetAlpacaTradingClient(new SecretKey(_config.Alpaca_Live_App_Id, _config.Alpaca_Live_Secret_Key))
: Environments.Paper.GetAlpacaTradingClient(new SecretKey(_config.Alpaca_Paper_App_Id, _config.Alpaca_Paper_Secret_Key));
_alpacaDataClient = config.Alpaca_Use_Live_Api
? Environments.Live.GetAlpacaDataClient(new SecretKey(_config.Alpaca_Live_App_Id, _config.Alpaca_Live_Secret_Key))
: Environments.Paper.GetAlpacaDataClient(new SecretKey(_config.Alpaca_Paper_App_Id, _config.Alpaca_Paper_Secret_Key));
_alpacaStreamingClient = config.Alpaca_Use_Live_Api
? Environments.Live.GetAlpacaDataStreamingClient(new SecretKey(_config.Alpaca_Live_App_Id, _config.Alpaca_Live_Secret_Key))
: Environments.Paper.GetAlpacaDataStreamingClient(new SecretKey(_config.Alpaca_Paper_App_Id, _config.Alpaca_Paper_Secret_Key));
}
public AlpacaClient(
IAlpacaTradingClient alpacaTradingClient,
IAlpacaStreamingClient alpacaTradingStreamingClient,
IAlpacaDataClient alpacaDataClient,
IAlpacaDataStreamingClient alpacaDataStreamingClient
)
{
_alpacaTradingClient = alpacaTradingClient ?? throw new ArgumentNullException(nameof(alpacaTradingClient));
_alpacaTradingStreamingClient = alpacaTradingStreamingClient ?? throw new ArgumentNullException(nameof(alpacaTradingStreamingClient));
_alpacaDataClient = alpacaDataClient ?? throw new ArgumentNullException(nameof(alpacaDataClient));
_alpacaDataStreamingClient = alpacaDataStreamingClient ?? throw new ArgumentNullException(nameof(alpacaDataStreamingClient));
_stockActions = new Dictionary <string, List <Action <StockInput> > >(StringComparer.OrdinalIgnoreCase);
}
public async Task <object> GetData_Daily(Data.Asset asset, int limit = 500)
{
try {
IAlpacaDataClient data = null;
if (!String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Key) && !String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Secret))
{
data = Environments.Live.GetAlpacaDataClient(new SecretKey(Settings.API_Alpaca_Live_Key, Settings.API_Alpaca_Live_Secret));
}
else if (!String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Key) && !String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Secret))
{
data = Environments.Paper.GetAlpacaDataClient(new SecretKey(Settings.API_Alpaca_Paper_Key, Settings.API_Alpaca_Paper_Secret));
}
else
{
return(new ArgumentNullException());
}
// Maximum 1000 bars per API call
var bars = await data.GetBarSetAsync(new BarSetRequest(asset.Symbol, TimeFrame.Day) { Limit = limit });
Data.Daily ds = new Data.Daily();
foreach (var bar in bars[asset.Symbol])
{
if (bar.TimeUtc != null)
{
ds.Prices.Add(new Data.Daily.Price()
{
Date = bar.TimeUtc ?? new DateTime(),
Open = bar.Open,
High = bar.High,
Low = bar.Low,
Close = bar.Close,
Volume = bar.Volume
});
}
}
return(ds);
} catch (Exception ex) {
if (ex.Message != "Too Many Requests") // This is handled elsewhere- does not need to be error logged
{
await Log.Error($"{MethodBase.GetCurrentMethod().DeclaringType}: {MethodBase.GetCurrentMethod().Name}", ex);
}
return(ex.Message);
}
}
public async Task <object> GetOrders_Open(Data.Format format)
{
IAlpacaTradingClient trading = null;
IAlpacaDataClient data = null;
try {
if (format == Data.Format.Live)
{
if (String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Key) || String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Secret))
{
return(null);
}
trading = Environments.Live.GetAlpacaTradingClient(new SecretKey(Settings.API_Alpaca_Live_Key, Settings.API_Alpaca_Live_Secret));
data = Environments.Live.GetAlpacaDataClient(new SecretKey(Settings.API_Alpaca_Live_Key, Settings.API_Alpaca_Live_Secret));
}
else if (format == Data.Format.Paper)
{
if (String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Key) || String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Secret))
{
return(null);
}
trading = Environments.Paper.GetAlpacaTradingClient(new SecretKey(Settings.API_Alpaca_Paper_Key, Settings.API_Alpaca_Paper_Secret));
data = Environments.Paper.GetAlpacaDataClient(new SecretKey(Settings.API_Alpaca_Paper_Key, Settings.API_Alpaca_Paper_Secret));
}
return((await trading.ListOrdersAsync(
new ListOrdersRequest()
{
OrderStatusFilter = OrderStatusFilter.Open, LimitOrderNumber = 1000
}))
.Select <IOrder, Data.Order>((q) => {
return new Data.Order()
{
Symbol = q.Symbol,
Transaction = q.OrderSide == OrderSide.Buy ? Data.Order.Direction.Buy : Data.Order.Direction.Sell,
Quantity = (int)q.Quantity
};
})
.ToList());
} catch (Exception ex) {
await Log.Error($"{MethodBase.GetCurrentMethod().DeclaringType}: {MethodBase.GetCurrentMethod().Name}", ex);
return(ex.Message);
}
}
public async Task <Trading.OrderResult> PlaceOrder_BuyMarket(
Data.Format format, string symbol, int shares, TimeInForce timeInForce = TimeInForce.Gtc, bool useMargin = false)
{
IAlpacaTradingClient trading = null;
IAlpacaDataClient data = null;
try {
if (format == Data.Format.Live)
{
if (String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Key) || String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Secret))
{
return(Trading.OrderResult.Fail);
}
trading = Environments.Live.GetAlpacaTradingClient(new SecretKey(Settings.API_Alpaca_Live_Key, Settings.API_Alpaca_Live_Secret));
data = Environments.Live.GetAlpacaDataClient(new SecretKey(Settings.API_Alpaca_Live_Key, Settings.API_Alpaca_Live_Secret));
}
else if (format == Data.Format.Paper)
{
if (String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Key) || String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Secret))
{
return(Trading.OrderResult.Fail);
}
trading = Environments.Paper.GetAlpacaTradingClient(new SecretKey(Settings.API_Alpaca_Paper_Key, Settings.API_Alpaca_Paper_Secret));
data = Environments.Paper.GetAlpacaDataClient(new SecretKey(Settings.API_Alpaca_Paper_Key, Settings.API_Alpaca_Paper_Secret));
}
var account = await trading.GetAccountAsync();
if (trading == null || account == null ||
account.IsAccountBlocked || account.IsTradingBlocked ||
account.TradeSuspendedByUser)
{
return(Trading.OrderResult.Fail);
}
var order = await trading.PostOrderAsync(MarketOrder.Buy(symbol, shares).WithDuration(timeInForce));
return(Trading.OrderResult.Success);
} catch (Exception ex) {
await Log.Error($"{MethodBase.GetCurrentMethod().DeclaringType}: {MethodBase.GetCurrentMethod().Name}", ex);
return(Trading.OrderResult.Fail);
}
}
/// <summary>
/// Gets all items provided by <see cref="IAlpacaDataClient.ListHistoricalBarsAsync"/> in pagination
/// mode as single stream of items (in form of <see cref="IAsyncEnumerable{IAgg}"/> interface) so they
/// can be consumed by the <c>await foreach</c> statement on the caller side.
/// </summary>
/// <param name="client">Target instance of the <see cref="IAlpacaDataClient"/> interface.</param>
/// <param name="request">Original historical minute bars request (with empty next page token).</param>
/// <param name="cancellationToken">A cancellation token that can be used by other objects or threads to receive notice of cancellation.</param>
/// <returns></returns>
public static IAsyncEnumerable <IAgg> GetHistoricalBarsAsAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalBarsRequest request,
CancellationToken cancellationToken = default) =>
getPaginatedResponsesAsAsyncEnumerable(
public async Task Run()
{
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(new SecretKey(API_KEY, API_SECRET));
alpacaDataClient = Environments.Paper.GetAlpacaDataClient(new SecretKey(API_KEY, API_SECRET));
// Connect to Alpaca's websocket and listen for updates on our orders.
alpacaStreamingClient = Environments.Paper.GetAlpacaStreamingClient(new SecretKey(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(new ListOrdersRequest());
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().TradingDateUtc;
var closingTime = calendars.First().TradingCloseTimeUtc;
closingTime = new DateTime(calendarDate.Year, calendarDate.Month, calendarDate.Day, closingTime.Hour, closingTime.Minute, closingTime.Second);
var today = DateTime.Today;
// TODO: olegra - temporary disable for the transition period
// Get the first group of bars from today if the market has already been open.
//var bars = await alpacaDataClient.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)
//{
// if (bar.TimeUtc?.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.
alpacaDataStreamingClient = Environments.Live.GetAlpacaDataStreamingClient(new SecretKey(API_KEY, API_SECRET));
alpacaDataStreamingClient.ConnectAndAuthenticateAsync().Wait();
Console.WriteLine("Polygon client opened.");
var subscription = alpacaDataStreamingClient.GetMinuteAggSubscription(symbol);
subscription.Received += 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 alpacaDataStreamingClient.DisconnectAsync();
}
else
{
// Decide whether to buy or sell and submit orders.
await HandleMinuteAgg(agg);
}
};
alpacaDataStreamingClient.Subscribe(subscription);
}
public static IAsyncEnumerable <IReadOnlyList <IBar> > GetHistoricalBarsPagesAsAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalBarsRequest request) =>
GetHistoricalBarsPagesAsAsyncEnumerable(client, request, CancellationToken.None);
public static IReadOnlyDictionary <String, IAsyncEnumerable <IBar> > GetHistoricalBarsDictionaryOfAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalBarsRequest request,
CancellationToken cancellationToken) =>
getValidatedRequestWithoutPageToken(request.EnsureNotNull(nameof(request)))
.GetResponsesByItems(client.EnsureNotNull(nameof(client)).GetHistoricalBarsAsync, cancellationToken);
public static IReadOnlyDictionary <String, IAsyncEnumerable <IBar> > GetHistoricalBarsDictionaryOfAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalBarsRequest request) =>
GetHistoricalBarsDictionaryOfAsyncEnumerable(client, request, CancellationToken.None);
public AlpacaDataClientTest(PaperEnvironmentClientsFactoryFixture clientsFactory)
{
_clientsFactory = clientsFactory;
_alpacaDataClient = clientsFactory.GetAlpacaDataClient();
}
public static IAsyncEnumerable <IReadOnlyDictionary <String, IReadOnlyList <ITrade> > > GetHistoricalTradesMultiPagesAsAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalTradesRequest request,
CancellationToken cancellationToken) =>
getValidatedRequestWithoutPageToken(request.EnsureNotNull(nameof(request)))
.GetResponsesByPages(client.EnsureNotNull(nameof(client)).GetHistoricalTradesAsync, cancellationToken);
public static IAsyncEnumerable <IReadOnlyDictionary <String, IReadOnlyList <ITrade> > > GetHistoricalTradesMultiPagesAsAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalTradesRequest request) =>
GetHistoricalTradesMultiPagesAsAsyncEnumerable(client, request, CancellationToken.None);
public static IAsyncEnumerable <ITrade> GetHistoricalTradesAsAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalTradesRequest request,
CancellationToken cancellationToken) =>
getValidatedRequestWithoutPageToken(request.EnsureNotNull(nameof(request)))
.GetResponsesByItems(client.EnsureNotNull(nameof(client)).ListHistoricalTradesAsync, cancellationToken);
public static IAsyncEnumerable <ITrade> GetHistoricalTradesAsAsyncEnumerable(
this IAlpacaDataClient client,
HistoricalTradesRequest request) =>
GetHistoricalTradesAsAsyncEnumerable(client, request, CancellationToken.None);
public static Task <(Decimal, UInt32)> GetAverageDailyTradeVolumeAsync(
this IAlpacaDataClient client,
String symbol,
DateTime from,
DateTime into) =>
public static IAsyncEnumerable <IReadOnlyList <INewsArticle> > GetNewsArticlesPagesAsAsyncEnumerable(
this IAlpacaDataClient client,
NewsArticlesRequest request) =>
GetNewsArticlesPagesAsAsyncEnumerable(client, request, CancellationToken.None);
public async Task Run()
{
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(new SecretKey(API_KEY, API_SECRET));
alpacaDataClient = Environments.Paper.GetAlpacaDataClient(new SecretKey(API_KEY, API_SECRET));
// First, cancel any existing orders so they don't impact our buying power.
var orders = await alpacaTradingClient.ListOrdersAsync(new ListOrdersRequest());
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().TradingDateUtc;
var closingTime = calendars.First().TradingCloseTimeUtc;
closingTime = new DateTime(calendarDate.Year, calendarDate.Month, calendarDate.Day, closingTime.Hour, closingTime.Minute, closingTime.Second);
Console.WriteLine("Waiting for market open...");
await AwaitMarketOpen();
Console.WriteLine("Market opened.");
// Check every minute for price updates.
TimeSpan timeUntilClose = closingTime - DateTime.UtcNow;
while (timeUntilClose.TotalMinutes > 15)
{
// Cancel old order if it's not already been filled.
await alpacaTradingClient.DeleteOrderAsync(lastTradeId);
// Get information about current account value.
var account = await alpacaTradingClient.GetAccountAsync();
Decimal buyingPower = account.BuyingPower;
Decimal portfolioValue = account.Equity;
// Get information about our existing position.
Int32 positionQuantity = 0;
Decimal positionValue = 0;
try
{
var currentPosition = await alpacaTradingClient.GetPositionAsync(symbol);
positionQuantity = currentPosition.Quantity;
positionValue = currentPosition.MarketValue;
}
catch (Exception)
{
// No position exists. This exception can be safely ignored.
}
var barSet = await alpacaDataClient.GetBarSetAsync(
new BarSetRequest(symbol, TimeFrame.Minute) { Limit = 20 });
var bars = barSet[symbol].ToList();
Decimal avg = bars.Average(item => item.Close);
Decimal currentPrice = bars.Last().Close;
Decimal diff = avg - currentPrice;
if (diff <= 0)
{
// Above the 20 minute average - exit any existing long position.
if (positionQuantity > 0)
{
Console.WriteLine("Setting position to zero.");
await SubmitOrder(positionQuantity, currentPrice, OrderSide.Sell);
}
else
{
Console.WriteLine("No position to exit.");
}
}
else
{
// Allocate a percent of our portfolio to this position.
Decimal portfolioShare = diff / currentPrice * scale;
Decimal targetPositionValue = portfolioValue * portfolioShare;
Decimal amountToAdd = targetPositionValue - positionValue;
if (amountToAdd > 0)
{
// Buy as many shares as we can without going over amountToAdd.
// Make sure we're not trying to buy more than we can.
if (amountToAdd > buyingPower)
{
amountToAdd = buyingPower;
}
Int32 qtyToBuy = (Int32)(amountToAdd / currentPrice);
await SubmitOrder(qtyToBuy, currentPrice, OrderSide.Buy);
}
else
{
// Sell as many shares as we can without going under amountToAdd.
// Make sure we're not trying to sell more than we have.
amountToAdd *= -1;
Int32 qtyToSell = (Int32)(amountToAdd / currentPrice);
if (qtyToSell > positionQuantity)
{
qtyToSell = positionQuantity;
}
await SubmitOrder(qtyToSell, currentPrice, OrderSide.Sell);
}
}
// Wait another minute.
Thread.Sleep(60000);
timeUntilClose = closingTime - DateTime.UtcNow;
}
Console.WriteLine("Market nearing close; closing position.");
await ClosePositionAtMarket();
}
public static IAsyncEnumerable <IReadOnlyList <INewsArticle> > GetNewsArticlesPagesAsAsyncEnumerable(
this IAlpacaDataClient client,
NewsArticlesRequest request,
CancellationToken cancellationToken) =>
getValidatedRequestWithoutPageToken(request.EnsureNotNull(nameof(request)))
.GetResponsesByPages(client.EnsureNotNull(nameof(client)).ListNewsArticlesAsync, cancellationToken);
