public async Task ProcessBatch(List <NightlyBarsModel> stocks, DateTime processDate)
{
var minDate = stocks.Min(e => e.MaxDate);
var limit = (processDate - minDate).Days;
if (limit > 1000)
{
limit = 1000;
}
var queryParams = new BarSetRequest(stocks.Select(e => e.Symbol), TimeFrame.Day)
{
Limit = limit
};
try
{
var bars = await alpacaDataClient.GetBarSetAsync(queryParams);
foreach (var candles in bars)
{
var date = stocks.Where(e => e.Symbol == candles.Key).Select(e => e.MaxDate).FirstOrDefault();
var symbolId = stocks.Where(e => e.Symbol == candles.Key).Select(e => e.SymbolId).FirstOrDefault();
var barsToInsert = candles.Value.Where(e => e.Time.Date > date.Date).ToList();
if (barsToInsert.Count > 0)
{
await InsertStockBars(barsToInsert, symbolId);
}
}
}
catch (Exception exc)
{
}
}
public async void CallApi()
{
var limit = 1;
var queryParams = new BarSetRequest(Symbols, TimeFrame.FiveMinutes)
{
Limit = limit
};
try
{
var bars = await AlpacaDataClient.GetBarSetAsync(queryParams);
foreach (var candles in bars)
{
var pair = new KeyValuePair <string, IAgg>(candles.Key, candles.Value.FirstOrDefault());
IAgg agg = pair.Value;
RefreshResult.AddOrUpdate(pair.Key, agg, (key, agg) => { return(agg); });
//pair.Key = candles.Key;
//UpdateDictionary(pair);
//var loop = candles;
//var list = loop.ToKeyValuePairs().ToList();
//foreach (var item in list)
//{
// var testvar = item;//RefreshResult =
//}
}
}
catch (Exception exc)
{
Logger.Info(exc.ToString());
}
}
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.ListAllOrdersAsync();
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().TradingDate;
var closingTime = calendars.First().TradingCloseTime;
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.
int 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;
}
int qtyToBuy = (int)(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;
int qtyToSell = (int)(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 async Task Run()
{
Console.WriteLine("Updating VIX and SPX data");
await ApplyUpdates(true, false);
Console.WriteLine("Loading VIX file");
vixPrices = CSVProcessor.ProcessVIXFile(VIXPath);
Console.WriteLine("Connecting to alpaca trading API");
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(API_KEY, new SecretKey(API_SECRET));
Console.WriteLine("Connecting to alpaca data API");
alpacaDataClient = Environments.Paper.GetAlpacaDataClient(API_KEY, new SecretKey(API_SECRET));
Console.WriteLine("Getting Market Calendars");
var calendars = (await alpacaTradingClient.ListCalendarAsync(StartDate, EndDate)).ToList();
Console.WriteLine("Writing header line in output file");
using (StreamWriter w = File.CreateText(OutputPath))
{
w.WriteLine("Symbol, Date, StartTime, EndTime, PatternAlgFound, PatternVisFound, PosOpenTime, PosCloseTime, PosLong, PosReturn");
}
foreach (var calDate in calendars)
{
List <DateTime> startTimes = new List <DateTime>();
DateTime loopTime = calDate.TradingOpenTime.AddMinutes(15);
TimeSpan timeUntilClose = calDate.TradingCloseTime.Subtract(loopTime);
while (timeUntilClose.TotalMinutes >= 30)
{
startTimes.Add(loopTime);
loopTime = loopTime.Add(new TimeSpan(0, 30, 0));
timeUntilClose = calDate.TradingCloseTime.Subtract(loopTime);
}
// High volatility only.
if (!vixPrices.ContainsKey(calDate.TradingDate.ToString("yyyy-MM-dd")))
{
continue;
}
if (vixPrices[calDate.TradingDate.ToString("yyyy-MM-dd")].Open < 28)
{
continue;
}
foreach (DateTime dateTime in startTimes)
{
var barSet = (await alpacaDataClient.GetBarSetAsync(symbols, TimeFrame.Minute, 60, true, dateTime.Subtract(TimeSpan.FromMinutes(14)), calDate.TradingCloseTime));
foreach (string sym in symbols)
{
if (!barSet.ContainsKey(sym))
{
continue;
}
var bars = barSet[sym].ToList();
// Pattern matching algorithm:
if (bars.Count < 44)
{
continue;
}
int istr = 14;
int endtime = 14;
bool gr = false;
bool found = false;
for (int i = 14; i < 44; i++)
{
var price = bars[i];
if (price.Close - price.Open > 0)
{
if (gr)
{
continue;
}
if (i - istr >= 4)
{
found = true;
endtime = i;
break;
}
istr = i;
gr = true;
}
else
{
if (!gr)
{
continue;
}
if (i - istr >= 6)
{
found = true;
endtime = i;
break;
}
istr = i;
gr = false;
}
}
if (!found)
{
continue;
}
bool lng = !gr;
decimal entPrice = bars[endtime].Close;
decimal exPrice = bars[43].Close;
decimal profit = lng ? exPrice - entPrice : entPrice - exPrice;
decimal pct = profit / entPrice;
// End of Algorithm - Should be a pattern match now
List <PriceData> prices = new List <PriceData>();
for (int i = 0; i < 30; i++)
{
var price = bars[i + 14];
prices.Add(new PriceData(price.Time.ToString("HH:mm"), i, price.Open, price.Close, price.High, price.Low));
}
AlgoResult match = new AlgoResult(prices, sym, dateTime, dateTime.AddMinutes(30), true, res => {
//WriteToOutput(res);
}, dateTime.AddMinutes(14 + endtime), dateTime.AddMinutes(44), lng, pct);
ChartManager.SendToChartQueue(match);
match.PatternVisFound = true;
WriteToOutput(match);
}
}
}
ChartManager.DoneProcessing();
}