Alpaca_trading_example_ws.py

import logging
from time import sleep

import alpaca_trade_api as tradeapi
import pandas as pd

# init
logging.basicConfig(
	filename='errlog.log',
	level=logging.WARNING,
	format='%(asctime)s:%(levelname)s:%(message)s',
)

api_key = 'insert_api_key'
api_secret = 'insert_api_secret'
base_url = 'https://paper-api.alpaca.markets'
data_url = 'wss://data.alpaca.markets'


# instantiate REST API
api = tradeapi.REST(api_key, api_secret, base_url, api_version='v2')

# init WebSocket
conn = tradeapi.stream2.StreamConn(
	api_key,
	api_secret,
	base_url=base_url,
	data_url=data_url,
	data_stream='alpacadatav1',
)


def time_to_market_close():
	clock = api.get_clock()
	return (clock.next_close - clock.timestamp).total_seconds()


def wait_for_market_open():
	clock = api.get_clock()
	if not clock.is_open:
		time_to_open = (clock.next_open - clock.timestamp).total_seconds()
		sleep(round(time_to_open))


def set_trade_params(df):
	return {
		'high': df.high.tail(10).max(),
		'low': df.low.tail(10).min(),
		'trade_taken': False,
	}


def send_order(direction, bar):
	if time_to_market_close() > 120:
		print(f'sent {direction} trade')
		range_size = trade_params['high'] - trade_params['low']

		if direction == 'buy':
			sl = bar.high - range_size
			tp = bar.high + range_size
		elif direction == 'sell':
			sl = bar.low + range_size
			tp = bar.low - range_size

			api.submit_order(
			symbol='AAPL',
			qty=100,
			side=direction,
			type='market',
			time_in_force='day',
			order_class='bracket',
			stop_loss=dict(stop_price=str(sl)),
			take_profit=dict(limit_price=str(tp)),
		)

		return True

	wait_for_market_open()
	return False


@conn.on(r'^AM.AAPL$')
async def on_minute_bars(conn, channel, bar):
	if isinstance(candlesticks.df, pd.DataFrame):
		ts = pd.to_datetime(bar.timestamp, unit='ms')
		candlesticks.df.loc[ts] = [bar.open, bar.high, bar.low, bar.close, bar.volume]

	if not trade_params['trade_taken']:
		if bar.high > trade_params['high']:
			trade_params['trade_taken'] = send_order('buy', bar)

		elif bar.low < trade_params['low']:
			trade_params['trade_taken'] = send_order('sell', bar)

	if time_to_market_close() > 120:
		wait_for_market_open()


@conn.on(r'^trade_updates$')
async def on_trade_updates(conn, channel, trade):
	if trade.order['order_type'] != 'market' and trade.order['filled_qty'] == '100':
		# trade closed - look for new trade
		trade_params = set_trade_params(candlesticks.df.AAPL)


candlesticks = api.get_barset('AAPL', 'minute', limit=10)
trade_params = set_trade_params(candlesticks.df.AAPL)
conn.run(['AM.AAPL', 'trade_updates'])