first commit

2023-04-12 21:00:03 +02:00
commit af9e944928
158 changed files with 19422 additions and 0 deletions
@@ -0,0 +1,67 @@
+from alpaca.trading.enums import OrderSide, OrderType
+from threading import Lock
+from v2realbot.interfaces.general_interface import GeneralInterface
+from v2realbot.backtesting.backtester import Backtester
+from v2realbot.config import BT_DELAYS
+
+""""
+backtester methods can be called
+- within the Strategy
+- from the OrderUpdate notification callback
+
+both should be backtestable
+
+if method are called for the past self.time must be set accordingly
+"""
+class BacktestInterface(GeneralInterface):
+    def __init__(self, symbol, bt: Backtester) -> None:
+        self.symbol = symbol
+        self.bt = bt
+        #TODO time v API nejspis muzeme dat pryc a BT bude si to brat primo ze self.time (nezapomenout na + BT_DELAYS)
+        # self.time = self.bt.time
+
+    """initial checks."""
+    def start_checks(self):
+        print("start_checks")
+        
+    """buy market"""
+    def buy(self, size = 1, repeat: bool = False):
+        #add REST API latency
+        return self.bt.submit_order(time=self.bt.time + BT_DELAYS.strat_to_sub,symbol=self.symbol,side=OrderSide.BUY,size=size,order_type = OrderType.MARKET) 
+    
+    """buy limit"""
+    def buy_l(self, price: float, size: int = 1, repeat: bool = False, force: int = 0):
+        return self.bt.submit_order(time=self.bt.time + BT_DELAYS.strat_to_sub,symbol=self.symbol,side=OrderSide.BUY,size=size,price=price,order_type = OrderType.LIMIT) 
+    
+    """sell market"""
+    def sell(self, size = 1, repeat: bool = False):
+        return self.bt.submit_order(time=self.bt.time + BT_DELAYS.strat_to_sub,symbol=self.symbol,side=OrderSide.SELL,size=size,order_type = OrderType.MARKET) 
+
+    """sell limit"""
+    async def sell_l(self, price: float, size = 1, repeat: bool = False):
+        return self.bt.submit_order(time=self.bt.time + BT_DELAYS.strat_to_sub,symbol=self.symbol,side=OrderSide.SELL,size=size,price=price,order_type = OrderType.LIMIT)        
+
+    """replace order"""
+    async def repl(self, orderid: str, price: float = None, size: int = None, repeat: bool = False):
+        return self.bt.replace_order(time=self.bt.time + BT_DELAYS.strat_to_sub,id=orderid,size=size,price=price)
+    
+    """cancel order"""
+    #TBD exec predtim?
+    def cancel(self, orderid: str):
+        return self.bt.cancel_order(time=self.bt.time + BT_DELAYS.strat_to_sub, id=orderid)
+
+    """get positions ->(size,avgp)"""
+    #TBD exec predtim?
+    def pos(self):
+        return self.bt.get_open_position(symbol=self.symbol)
+
+    """get open orders ->list(Order)"""      
+    def get_open_orders(self, side: OrderSide, symbol: str):
+        return self.bt.get_open_orders(side=side, symbol=symbol)
+    
+    def get_last_price(self, symbol: str):
+        return self.bt.get_last_price(time=self.bt.time)
+
+
+    
+    
@@ -0,0 +1,42 @@
+from alpaca.trading.enums import OrderSide
+
+class GeneralInterface:
+    """initial checks."""
+    def start_checks(self):
+        pass
+    
+    """buy market"""
+    def buy(self, size = 1, repeat: bool = False):
+        pass
+
+    """buy limit"""
+    def buy_l(self, price: float, size: int = 1, repeat: bool = False, force: int = 0):
+        pass
+
+    """sell market"""
+    async def sell(self, size = 1, repeat: bool = False):
+        pass
+
+    """sell limit"""
+    async def sell_l(self, price: float, size = 1, repeat: bool = False):
+        pass
+
+    """order replace"""
+    async def repl(self, price: float, orderid: str, size: int = 1, repeatl: bool = False):
+        pass
+
+    """order update callback"""
+    async def orderUpdate(self, data):
+        pass
+
+    """get open positions"""
+    def pos(self) -> tuple[int, int]:
+        pass
+
+    """get open orders"""
+    def get_open_orders(self, side: OrderSide, symbol: str):
+        pass
+
+    """get most recent price"""
+    def get_last_price(symbol: str):
+        pass
@@ -0,0 +1,187 @@
+from v2realbot.enums.enums import RecordType, StartBarAlign
+from datetime import datetime, timedelta
+from v2realbot.utils.utils import ltp
+from alpaca.trading.client import TradingClient
+from alpaca.trading.requests import MarketOrderRequest, TakeProfitRequest, LimitOrderRequest, ReplaceOrderRequest, GetOrdersRequest
+from alpaca.trading.enums import OrderSide, TimeInForce, OrderClass, OrderStatus, QueryOrderStatus
+from alpaca.trading.models import Order, Position
+from alpaca.common.exceptions import APIError
+from v2realbot.config import Keys
+from interfaces.general_interface import GeneralInterface
+"""""
+Live interface with Alpaca for LIVE and PAPER trading.
+"""""
+class LiveInterface(GeneralInterface):
+    def __init__(self, symbol: str, key: Keys) -> None:
+        self.symbol = symbol
+        self.key :Keys = key
+        self.trading_client = TradingClient(api_key=key.API_KEY, secret_key=key.SECRET_KEY, paper=key.PAPER)
+ 
+    def start_checks(self):
+        pass
+
+    """buy market"""
+    def buy(self, size = 1, repeat: bool = False):
+
+        order_request = MarketOrderRequest(
+                                    symbol=self.symbol,
+                                    qty=size,
+                                    side=OrderSide.BUY,
+                                    time_in_force=TimeInForce.GTC,
+                                    order_class=OrderClass.SIMPLE,
+                                    take_profit = None
+                                    )
+        try:
+            # Market order submit
+            market_order = self.trading_client.submit_order(
+                            order_data=order_request
+                        )
+            
+            return market_order.id
+        except Exception as e:
+            print("Nepodarilo se odeslat ", str(e))
+            return -1
+
+    """buy limit"""
+    def buy_l(self, price: float, size: int = 1, repeat: bool = False, force: int = 0):
+        
+        limit_request = LimitOrderRequest(
+                                    symbol=self.symbol,
+                                    qty=size,
+                                    side=OrderSide.BUY,
+                                    time_in_force=TimeInForce.GTC,
+                                    order_class=OrderClass.SIMPLE,
+                                    take_profit = None,
+                                    limit_price = price
+                                    )
+        try:
+            # Market order submit
+            limit_order = self.trading_client.submit_order(
+                            order_data=limit_request
+                        )
+            
+            print("LIIF: odeslana litmka s cenou", price, "- akt. cena", ltp.price[self.symbol])
+
+            return limit_order.id
+        except Exception as e:
+            print("Nepodarilo se odeslat limitku", str(e))
+            return -1
+
+    """sell market"""
+    def sell(self, size = 1, repeat: bool = False):
+
+        order_request = MarketOrderRequest(
+                                    symbol=self.symbol,
+                                    qty=size,
+                                    side=OrderSide.SELL,
+                                    time_in_force=TimeInForce.GTC,
+                                    order_class=OrderClass.SIMPLE,
+                                    take_profit = None
+                                    )
+        try:
+            # Market order submit
+            market_order = self.trading_client.submit_order(
+                            order_data=order_request
+                        )
+            
+            return market_order.id
+        except Exception as e:
+            print("Nepodarilo se odeslat ", str(e))
+            return -1
+
+    """sell limit"""
+    async def sell_l(self, price: float, size = 1, repeat: bool = False):
+        self.size = size
+        self.repeat = repeat
+
+        limit_order = LimitOrderRequest(
+                                    symbol=self.symbol,
+                                    qty=self.size,
+                                    side=OrderSide.SELL,
+                                    time_in_force=TimeInForce.GTC,
+                                    order_class=OrderClass.SIMPLE,
+                                    limit_price = price)
+        try:
+            # Market order submit
+            limit_order = self.trading_client.submit_order(
+                            order_data=limit_order
+                        )
+
+            #pripadne ulozeni do self.lastOrder
+            return limit_order.id
+        
+        except Exception as e:
+            print("Nepodarilo se odeslat ", str(e))
+            #raise Exception(e)
+            return -1
+        
+    """order replace"""
+    async def repl(self, orderid: str, price: float = None, size: int = None, repeatl: bool = False):
+        
+        if not price and not size:
+            print("price or size has to be filled")
+            return -1
+        
+        replace_request = ReplaceOrderRequest(qty=size, limit_price=price)
+        
+        try:
+            print("request na replace",replace_request)
+            print("cislo objednavky",orderid)
+            replaced_order = self.trading_client.replace_order_by_id(orderid, replace_request)
+            print("replaced ok",replaced_order.id)
+            return replaced_order.id
+        except APIError as e:
+            #stejne parametry - stava se pri rychle obratce, nevadi, vracime stejne orderid, chytne se dal
+            if e.code == 42210000: return orderid
+            else:
+                ##mozna tady proste vracet vzdy ok
+                print("Neslo nahradit profitku. Problem",str(e))
+                return -1
+                #raise Exception(e)
+
+    """order cancel"""
+    def cancel(self, orderid: str):
+        try:
+            a  = self.trading_client.cancel_order_by_id(orderid)
+            print("rusime order",orderid)
+            return a
+        except APIError as e:
+            #order doesnt exist
+            if e.code == 40410000: return 0,0
+            else:
+                print("nepovedlo se zrusit objednavku")
+                #raise Exception(e)
+                return -1
+            
+    """get positions ->(size,avgp)"""
+    def pos(self):
+        try:
+            a : Position = self.trading_client.get_open_position(self.symbol)
+            self.avgp, self.poz = float(a.avg_entry_price), int(a.qty) 
+            return a.avg_entry_price, a.qty
+        except APIError as e:
+            #no position
+            if e.code == 40410000: return 0,0
+            else:
+                #raise Exception(e)
+                return -1
+            
+    """get open orders ->list(Order)"""         
+    def get_open_orders(self, side: OrderSide, symbol: str): # -> list(Order):
+        getRequest = GetOrdersRequest(status=QueryOrderStatus.OPEN, side=OrderSide.SELL, symbols=[symbol])
+        try:
+            # Market order submit
+            orderlist = self.trading_client.get_orders(getRequest)
+            #list of Orders (orderlist[0].id)
+            return orderlist
+        except Exception as e:
+            print("Chyba pri dotazeni objednávek.", str(e))
+            #raise Exception (e)
+            return -1
+    
+    def get_last_price(self, symbol: str):
+        return ltp.price[symbol]
+
+
+    
+