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import alpaca_trade_api as tradeapi
import time
import datetime
from datetime import timedelta
from pytz import timezone
tz = timezone('EST')
import numpy as np
import pandas as pd
api = tradeapi.REST('your api key here',
'your api secret code here',
'https://paper-api.alpaca.markets')
import logging
logging.basicConfig(filename='./apca_algo.log', format='%(name)s - %(levelname)s - %(message)s')
logging.warning('{} logging started'.format(datetime.datetime.now().strftime("%x %X")))
def get_data_bars(symbols, rate, slow, fast):
data = api.get_barset(symbols, rate, limit=20).df
for x in symbols:
data.loc[:, (x, 'fast_ema')] = data[x]['close'].rolling(window=fast).mean()
data.loc[:, (x, 'slow_ema')] = data[x]['close'].rolling(window=slow).mean()
return data
def get_signal_bars(symbol_list, rate, ema_slow, ema_fast):
data = get_data_bars(symbol_list, rate, ema_slow, ema_fast)
signals = {}
for x in symbol_list:
if data[x].iloc[-1]['fast_ema'] > data[x].iloc[-1]['slow_ema']: signal = 1
else: signal = 0
signals[x] = signal
return signals
def time_to_open(current_time):
if current_time.weekday() <= 4:
d = (current_time + timedelta(days=1)).date()
else:
days_to_mon = 0 - current_time.weekday() + 7
d = (current_time + timedelta(days=days_to_mon)).date()
next_day = datetime.datetime.combine(d, datetime.time(9, 30, tzinfo=tz))
seconds = (next_day - current_time).total_seconds()
return seconds
def run_checker(stocklist):
print('run_checker started')
while True:
# Check if Monday-Friday
if datetime.datetime.now(tz).weekday() >= 0 and datetime.datetime.now(tz).weekday() <= 4:
# Checks market is open
print('Trading day')
if datetime.datetime.now(tz).time() > datetime.time(9, 30) and datetime.datetime.now(tz).time() <= datetime.time(15, 30):
signals = get_signal_bars(stocklist, '5Min', 20, 5)
for signal in signals:
if signals[signal] == 1:
if signal not in [x.symbol for x in api.list_positions()]:
logging.warning('{} {} - {}'.format(datetime.datetime.now(tz).strftime("%x %X"), signal, signals[signal]))
api.submit_order(signal, 1, 'buy', 'market', 'day')
# print(datetime.datetime.now(tz).strftime("%x %X"), 'buying', signals[signal], signal)
else:
try:
api.submit_order(signal, 1, 'sell', 'market', 'day')
logging.warning('{} {} - {}'.format(datetime.datetime.now(tz).strftime("%x %X"), signal, signals[signal]))
except Exception as e:
# print('No sell', signal, e)
pass
time.sleep(60)
else:
# Get time amount until open, sleep that amount
print('Market closed ({})'.format(datetime.datetime.now(tz)))
print('Sleeping', round(time_to_open(datetime.datetime.now(tz))/60/60, 2), 'hours')
time.sleep(time_to_open(datetime.datetime.now(tz)))
else:
# If not trading day, find out how much until open, sleep that amount
print('Market closed ({})'.format(datetime.datetime.now(tz)))
print('Sleeping', round(time_to_open(datetime.datetime.now(tz))/60/60, 2), 'hours')
time.sleep(time_to_open(datetime.datetime.now(tz)))
stocks = ['AA','AAL','AAPL','AIG','AMAT','AMC','AMD',
'AMGN','AMZN','APA','BA','BABA','BAC','BBY',
'BIDU','BP','C','CAT','CMG','COP','COST',
'CSCO','CVX','DAL','DIA','DIS','EBAY',]
print('test:')
print(get_data_bars(['AA'], '5Min', 20, 5).head())
run_checker(stocks)
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