File size: 14,968 Bytes
46590b0 |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 |
"""
Alpaca Broker Integration for Algorithmic Trading
This module provides integration with Alpaca Markets for real trading capabilities,
including paper trading and live trading support.
"""
import os
import logging
import time
from typing import Dict, Any, Optional, List
from datetime import datetime, timedelta
import pandas as pd
import numpy as np
try:
from alpaca.trading.client import TradingClient
from alpaca.trading.requests import MarketOrderRequest, LimitOrderRequest
from alpaca.trading.enums import OrderSide, TimeInForce
from alpaca.data.historical import StockHistoricalDataClient
from alpaca.data.requests import StockBarsRequest
from alpaca.data.timeframe import TimeFrame
from alpaca.data.enums import Adjustment
from alpaca.account import Account
ALPACA_AVAILABLE = True
except ImportError:
ALPACA_AVAILABLE = False
logging.warning("Alpaca SDK not available. Install with: pip install alpaca-py")
logger = logging.getLogger(__name__)
class AlpacaBroker:
"""
Alpaca broker integration for algorithmic trading
"""
def __init__(self, config: Dict[str, Any]):
"""
Initialize Alpaca broker connection
Args:
config: Configuration dictionary containing Alpaca settings
"""
self.config = config
self.alpaca_config = config.get('alpaca', {})
# Get API credentials from environment or config
self.api_key = os.getenv('ALPACA_API_KEY') or self.alpaca_config.get('api_key', '')
self.secret_key = os.getenv('ALPACA_SECRET_KEY') or self.alpaca_config.get('secret_key', '')
# Determine if using paper or live trading
self.paper_trading = self.alpaca_config.get('paper_trading', True)
self.account_type = self.alpaca_config.get('account_type', 'paper')
# Set URLs based on account type
if self.account_type == 'live':
self.base_url = self.alpaca_config.get('live_url', 'https://api.alpaca.markets')
self.data_url = self.alpaca_config.get('data_url', 'https://data.alpaca.markets')
else:
self.base_url = self.alpaca_config.get('base_url', 'https://paper-api.alpaca.markets')
self.data_url = self.alpaca_config.get('data_url', 'https://data.alpaca.markets')
# Initialize clients
self.trading_client = None
self.data_client = None
self.account = None
# Initialize connection
self._initialize_connection()
logger.info(f"Alpaca broker initialized for {self.account_type} trading")
def _initialize_connection(self):
"""Initialize Alpaca API connections"""
if not ALPACA_AVAILABLE:
logger.error("Alpaca SDK not available")
return False
if not self.api_key or not self.secret_key:
logger.error("Alpaca API credentials not provided")
return False
try:
# Initialize trading client
self.trading_client = TradingClient(
api_key=self.api_key,
secret_key=self.secret_key,
paper=self.paper_trading
)
# Initialize data client
self.data_client = StockHistoricalDataClient(
api_key=self.api_key,
secret_key=self.secret_key
)
# Get account information
self.account = self.trading_client.get_account()
logger.info(f"Connected to Alpaca {self.account_type} account: {self.account.id}")
logger.info(f"Account status: {self.account.status}")
logger.info(f"Buying power: ${self.account.buying_power}")
return True
except Exception as e:
logger.error(f"Failed to initialize Alpaca connection: {e}")
return False
def get_account_info(self) -> Dict[str, Any]:
"""Get account information"""
if not self.account:
return {}
return {
'account_id': self.account.id,
'status': self.account.status,
'buying_power': float(self.account.buying_power),
'cash': float(self.account.cash),
'portfolio_value': float(self.account.portfolio_value),
'equity': float(self.account.equity),
'daytrade_count': self.account.daytrade_count,
'trading_blocked': self.account.trading_blocked,
'transfers_blocked': self.account.transfers_blocked,
'account_blocked': self.account.account_blocked
}
def get_positions(self) -> List[Dict[str, Any]]:
"""Get current positions"""
if not self.trading_client:
return []
try:
positions = self.trading_client.get_all_positions()
return [
{
'symbol': pos.symbol,
'quantity': int(pos.qty),
'market_value': float(pos.market_value),
'unrealized_pl': float(pos.unrealized_pl),
'current_price': float(pos.current_price)
}
for pos in positions
]
except Exception as e:
logger.error(f"Error getting positions: {e}")
return []
def get_market_data(self, symbol: str, timeframe: str = '1Min',
start_date: Optional[str] = None,
end_date: Optional[str] = None,
limit: int = 1000) -> Optional[pd.DataFrame]:
"""
Get historical market data from Alpaca
Args:
symbol: Stock symbol
timeframe: Timeframe for data (1Min, 5Min, 15Min, 1Hour, 1Day)
start_date: Start date (ISO format)
end_date: End date (ISO format)
limit: Maximum number of bars to return
Returns:
DataFrame with OHLCV data or None if error
"""
if not self.data_client:
logger.error("Data client not initialized")
return None
try:
# Convert timeframe string to TimeFrame enum
tf_map = {
'1Min': TimeFrame.Minute,
'5Min': TimeFrame.Minute_5,
'15Min': TimeFrame.Minute_15,
'1Hour': TimeFrame.Hour,
'1Day': TimeFrame.Day
}
time_frame = tf_map.get(timeframe, TimeFrame.Minute)
# Set default dates if not provided
if not end_date:
end_date = datetime.now().isoformat()
if not start_date:
start_date = (datetime.now() - timedelta(days=30)).isoformat()
# Create request
request = StockBarsRequest(
symbol_or_symbols=symbol,
timeframe=time_frame,
start=start_date,
end=end_date,
adjustment=Adjustment.ALL,
limit=limit
)
# Get data
bars = self.data_client.get_stock_bars(request)
if bars and symbol in bars:
# Convert to DataFrame
df = bars[symbol].df
df = df.reset_index()
df.columns = ['timestamp', 'open', 'high', 'low', 'close', 'volume', 'vwap', 'trade_count']
# Select relevant columns
df = df[['timestamp', 'open', 'high', 'low', 'close', 'volume']]
logger.info(f"Retrieved {len(df)} bars for {symbol}")
return df
else:
logger.warning(f"No data returned for {symbol}")
return None
except Exception as e:
logger.error(f"Error getting market data for {symbol}: {e}")
return None
def place_market_order(self, symbol: str, quantity: int, side: str) -> Dict[str, Any]:
"""
Place a market order
Args:
symbol: Stock symbol
quantity: Number of shares
side: 'buy' or 'sell'
Returns:
Order result dictionary
"""
if not self.trading_client:
return {'success': False, 'error': 'Trading client not initialized'}
try:
# Convert side to Alpaca enum
order_side = OrderSide.BUY if side.lower() == 'buy' else OrderSide.SELL
# Create order request
order_request = MarketOrderRequest(
symbol=symbol,
qty=quantity,
side=order_side,
time_in_force=TimeInForce.DAY
)
# Place order
order = self.trading_client.submit_order(order_request)
# Wait for order to be processed
time.sleep(1)
# Get updated order status
order = self.trading_client.get_order_by_id(order.id)
result = {
'success': order.status == 'filled',
'order_id': order.id,
'status': order.status,
'symbol': order.symbol,
'quantity': int(order.qty),
'side': order.side.value,
'filled_quantity': int(order.filled_qty) if order.filled_qty else 0,
'filled_avg_price': float(order.filled_avg_price) if order.filled_avg_price else 0,
'submitted_at': order.submitted_at.isoformat() if order.submitted_at else None,
'filled_at': order.filled_at.isoformat() if order.filled_at else None,
'error': None
}
if order.status == 'rejected':
result['error'] = 'Order rejected'
logger.info(f"Market order placed: {result}")
return result
except Exception as e:
logger.error(f"Error placing market order: {e}")
return {
'success': False,
'order_id': None,
'status': 'error',
'error': str(e)
}
def place_limit_order(self, symbol: str, quantity: int, side: str,
limit_price: float) -> Dict[str, Any]:
"""
Place a limit order
Args:
symbol: Stock symbol
quantity: Number of shares
side: 'buy' or 'sell'
limit_price: Limit price for the order
Returns:
Order result dictionary
"""
if not self.trading_client:
return {'success': False, 'error': 'Trading client not initialized'}
try:
# Convert side to Alpaca enum
order_side = OrderSide.BUY if side.lower() == 'buy' else OrderSide.SELL
# Create order request
order_request = LimitOrderRequest(
symbol=symbol,
qty=quantity,
side=order_side,
time_in_force=TimeInForce.DAY,
limit_price=limit_price
)
# Place order
order = self.trading_client.submit_order(order_request)
result = {
'success': True,
'order_id': order.id,
'status': order.status,
'symbol': order.symbol,
'quantity': int(order.qty),
'side': order.side.value,
'limit_price': float(order.limit_price),
'submitted_at': order.submitted_at.isoformat() if order.submitted_at else None,
'error': None
}
logger.info(f"Limit order placed: {result}")
return result
except Exception as e:
logger.error(f"Error placing limit order: {e}")
return {
'success': False,
'order_id': None,
'status': 'error',
'error': str(e)
}
def cancel_order(self, order_id: str) -> Dict[str, Any]:
"""Cancel an existing order"""
if not self.trading_client:
return {'success': False, 'error': 'Trading client not initialized'}
try:
self.trading_client.cancel_order_by_id(order_id)
return {'success': True, 'order_id': order_id, 'status': 'cancelled'}
except Exception as e:
logger.error(f"Error cancelling order {order_id}: {e}")
return {'success': False, 'order_id': order_id, 'error': str(e)}
def get_orders(self, status: str = 'all') -> List[Dict[str, Any]]:
"""Get order history"""
if not self.trading_client:
return []
try:
orders = self.trading_client.get_orders(status=status)
return [
{
'order_id': order.id,
'symbol': order.symbol,
'quantity': int(order.qty),
'side': order.side.value,
'status': order.status,
'order_type': order.order_type.value,
'submitted_at': order.submitted_at.isoformat() if order.submitted_at else None,
'filled_at': order.filled_at.isoformat() if order.filled_at else None
}
for order in orders
]
except Exception as e:
logger.error(f"Error getting orders: {e}")
return []
def is_market_open(self) -> bool:
"""Check if market is currently open"""
if not self.trading_client:
return False
try:
clock = self.trading_client.get_clock()
return clock.is_open
except Exception as e:
logger.error(f"Error checking market status: {e}")
return False
def get_market_hours(self) -> Dict[str, Any]:
"""Get market hours information"""
if not self.trading_client:
return {}
try:
clock = self.trading_client.get_clock()
return {
'is_open': clock.is_open,
'next_open': clock.next_open.isoformat() if clock.next_open else None,
'next_close': clock.next_close.isoformat() if clock.next_close else None,
'timestamp': clock.timestamp.isoformat() if clock.timestamp else None
}
except Exception as e:
logger.error(f"Error getting market hours: {e}")
return {} |