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#139 konfigurace LIVE_DATA_FEED

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This commit is contained in:
David Brazda
2024-02-23 12:35:02 +07:00
parent f6e31f45f9
commit c4d05f47ff
5 changed files with 79 additions and 24 deletions
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81
v2realbot/config.py
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@ -108,7 +108,8 @@ class Keys:
self.FEED = feed
# podle modu (PAPER, LIVE) vrati objekt
# obsahujici klice pro pripojeni k alpace
# obsahujici klice pro pripojeni k alpace - používá se pro Trading API a order updates websockets (pristupy relevantni per strategie)
#pro real time data se bere LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY, LIVE_DATA_FEED nize - jelikoz jde o server wide nastaveni
def get_key(mode: Mode, account: Account):
if mode not in [Mode.PAPER, Mode.LIVE]:
print("has to be LIVE or PAPER only")
@ -134,28 +135,88 @@ ACCOUNT1_PAPER_API_KEY = os.environ.get('ACCOUNT1_PAPER_API_KEY')
ACCOUNT1_PAPER_SECRET_KEY = os.environ.get('ACCOUNT1_PAPER_SECRET_KEY')
ACCOUNT1_PAPER_MAX_BATCH_SIZE = 1
ACCOUNT1_PAPER_PAPER = True
ACCOUNT1_PAPER_FEED = DataFeed.SIP
#ACCOUNT1_PAPER_FEED = DataFeed.SIP
# Load the data feed type from environment variable
data_feed_type_str = os.environ.get('ACCOUNT1_PAPER_FEED', 'iex') # Default to 'sip' if not set
# Convert the string to DataFeed enum
try:
ACCOUNT1_PAPER_FEED = DataFeed(data_feed_type_str)
except ValueError:
# Handle the case where the environment variable does not match any enum member
print(f"Invalid data feed type: {data_feed_type_str} in ACCOUNT1_PAPER_FEED defaulting to 'iex'")
ACCOUNT1_PAPER_FEED = DataFeed.SIP
#PRIMARY LIVE
ACCOUNT1_LIVE_API_KEY = os.environ.get('ACCOUNT1_LIVE_API_KEY')
ACCOUNT1_LIVE_SECRET_KEY = os.environ.get('ACCOUNT1_LIVE_SECRET_KEY')
ACCOUNT1_LIVE_MAX_BATCH_SIZE = 1
ACCOUNT1_LIVE_PAPER = False
ACCOUNT1_LIVE_FEED = DataFeed.SIP
#ACCOUNT1_LIVE_FEED = DataFeed.SIP
# Load the data feed type from environment variable
data_feed_type_str = os.environ.get('ACCOUNT1_LIVE_FEED', 'iex') # Default to 'sip' if not set
# Convert the string to DataFeed enum
try:
ACCOUNT1_LIVE_FEED = DataFeed(data_feed_type_str)
except ValueError:
# Handle the case where the environment variable does not match any enum member
print(f"Invalid data feed type: {data_feed_type_str} in ACCOUNT1_LIVE_FEED defaulting to 'iex'")
ACCOUNT1_LIVE_FEED = DataFeed.IEX
#SECONDARY PAPER - Martin
ACCOUNT2_PAPER_API_KEY = os.environ.get('ACCOUNT2_PAPER_API_KEY')
ACCOUNT2_PAPER_SECRET_KEY = os.environ.get('ACCOUNT2_PAPER_SECRET_KEY')
ACCOUNT2_PAPER_MAX_BATCH_SIZE = 1
ACCOUNT2_PAPER_PAPER = True
ACCOUNT2_PAPER_FEED = DataFeed.IEX
#ACCOUNT2_PAPER_FEED = DataFeed.IEX
# #SECONDARY PAPER
# ACCOUNT2_PAPER_API_KEY = 'PK0OQHZG03PUZ1SC560V'
# ACCOUNT2_PAPER_SECRET_KEY = 'cTglhm7kwRcZfFT27fQWz31sXaxadzQApFDW6Lat'
# ACCOUNT2_PAPER_MAX_BATCH_SIZE = 1
# ACCOUNT2_PAPER_PAPER = True
# ACCOUNT2_PAPER_FEED = DataFeed.IEX
# Load the data feed type from environment variable
data_feed_type_str = os.environ.get('ACCOUNT2_PAPER_FEED', 'iex') # Default to 'sip' if not set
# Convert the string to DataFeed enum
try:
ACCOUNT2_PAPER_FEED = DataFeed(data_feed_type_str)
except ValueError:
# Handle the case where the environment variable does not match any enum member
print(f"Invalid data feed type: {data_feed_type_str} in ACCOUNT2_PAPER_FEED defaulting to 'iex'")
ACCOUNT2_PAPER_FEED = DataFeed.IEX
#SECONDARY LIVE - Martin
# ACCOUNT2_LIVE_API_KEY = os.environ.get('ACCOUNT2_LIVE_API_KEY')
# ACCOUNT2_LIVE_SECRET_KEY = os.environ.get('ACCOUNT2_LIVE_SECRET_KEY')
# ACCOUNT2_LIVE_MAX_BATCH_SIZE = 1
# ACCOUNT2_LIVE_PAPER = True
# #ACCOUNT2_LIVE_FEED = DataFeed.IEX
# # Load the data feed type from environment variable
# data_feed_type_str = os.environ.get('ACCOUNT2_LIVE_FEED', 'iex') # Default to 'sip' if not set
# # Convert the string to DataFeed enum
# try:
# ACCOUNT2_LIVE_FEED = DataFeed(data_feed_type_str)
# except ValueError:
# # Handle the case where the environment variable does not match any enum member
# print(f"Invalid data feed type: {data_feed_type_str} in ACCOUNT2_LIVE_FEED defaulting to 'iex'")
# ACCOUNT2_LIVE_FEED = DataFeed.IEX
#zatim jsou LIVE_DATA nastaveny jako z account1_paper
LIVE_DATA_API_KEY = ACCOUNT1_PAPER_API_KEY
LIVE_DATA_SECRET_KEY = ACCOUNT1_PAPER_SECRET_KEY
# Load the data feed type from environment variable
data_feed_type_str = os.environ.get('LIVE_DATA_FEED', 'iex') # Default to 'sip' if not set
# Convert the string to DataFeed enum
try:
LIVE_DATA_FEED = DataFeed(data_feed_type_str)
except ValueError:
# Handle the case where the environment variable does not match any enum member
print(f"Invalid data feed type: {data_feed_type_str} in LIVE_DATA_FEED defaulting to 'iex'")
LIVE_DATA_FEED = DataFeed.IEX
class KW:
activate: str = "activate"

7
v2realbot/controller/run_manager.py
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@ -1,12 +1,5 @@
from typing import Any, List, Tuple
from uuid import UUID, uuid4
import pickle
from alpaca.data.historical import StockHistoricalDataClient
from alpaca.data.requests import StockTradesRequest, StockBarsRequest
from alpaca.data.enums import DataFeed
from alpaca.data.timeframe import TimeFrame
from v2realbot.strategy.base import StrategyState
from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account, OrderSide
from v2realbot.common.model import RunManagerRecord, StrategyInstance, RunDay, StrategyInstance, Runner, RunRequest, RunArchive, RunArchiveView, RunArchiveViewPagination, RunArchiveDetail, RunArchiveChange, Bar, TradeEvent, TestList, Intervals, ConfigItem, InstantIndicator, DataTablesRequest
from v2realbot.utils.utils import validate_and_format_time, AttributeDict, zoneNY, zonePRG, safe_get, dict_replace_value, Store, parse_toml_string, json_serial, is_open_hours, send_to_telegram, concatenate_weekdays, transform_data
from v2realbot.utils.ilog import delete_logs

6
v2realbot/controller/services.py
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@ -14,7 +14,7 @@ from v2realbot.common.PrescribedTradeModel import Trade, TradeDirection, TradeSt
from datetime import datetime
from v2realbot.loader.trade_offline_streamer import Trade_Offline_Streamer
from threading import Thread, current_thread, Event, enumerate
from v2realbot.config import STRATVARS_UNCHANGEABLES, ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, ACCOUNT1_LIVE_API_KEY, ACCOUNT1_LIVE_SECRET_KEY, DATA_DIR,BT_FILL_CONS_TRADES_REQUIRED,BT_FILL_LOG_SURROUNDING_TRADES,BT_FILL_CONDITION_BUY_LIMIT,BT_FILL_CONDITION_SELL_LIMIT, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN, MEDIA_DIRECTORY, RUNNER_DETAIL_DIRECTORY, OFFLINE_MODE
from v2realbot.config import STRATVARS_UNCHANGEABLES, ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, ACCOUNT1_PAPER_FEED, ACCOUNT1_LIVE_API_KEY, ACCOUNT1_LIVE_SECRET_KEY, ACCOUNT1_LIVE_FEED, DATA_DIR,BT_FILL_CONS_TRADES_REQUIRED,BT_FILL_LOG_SURROUNDING_TRADES,BT_FILL_CONDITION_BUY_LIMIT,BT_FILL_CONDITION_SELL_LIMIT, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN, MEDIA_DIRECTORY, RUNNER_DETAIL_DIRECTORY, OFFLINE_MODE
import importlib
from alpaca.trading.requests import GetCalendarRequest
from alpaca.trading.client import TradingClient
@ -717,7 +717,7 @@ def get_trade_history(symbol: str, timestamp_from: float, timestamp_to:float):
#datetime_object_from = datetime(2023, 4, 14, 15, 51, 38, tzinfo=zoneNY)
#datetime_object_to = datetime(2023, 4, 14, 15, 51, 39, tzinfo=zoneNY)
client = StockHistoricalDataClient(ACCOUNT1_LIVE_API_KEY, ACCOUNT1_LIVE_SECRET_KEY, raw_data=False)
trades_request = StockTradesRequest(symbol_or_symbols=symbol, feed = DataFeed.SIP, start=datetime_object_from, end=datetime_object_to)
trades_request = StockTradesRequest(symbol_or_symbols=symbol, feed = ACCOUNT1_LIVE_FEED, start=datetime_object_from, end=datetime_object_to)
all_trades = client.get_stock_trades(trades_request)
#print(all_trades[symbol])
return 0, all_trades[symbol]
@ -1947,7 +1947,7 @@ def get_alpaca_history_bars(symbol: str, datetime_object_from: datetime, datetim
client = StockHistoricalDataClient(ACCOUNT1_LIVE_API_KEY, ACCOUNT1_LIVE_SECRET_KEY, raw_data=False)
#datetime_object_from = datetime(2023, 2, 27, 18, 51, 38, tzinfo=datetime.timezone.utc)
#datetime_object_to = datetime(2023, 2, 27, 21, 51, 39, tzinfo=datetime.timezone.utc)
bar_request = StockBarsRequest(symbol_or_symbols=symbol,timeframe=timeframe, start=datetime_object_from, end=datetime_object_to, feed=DataFeed.SIP)
bar_request = StockBarsRequest(symbol_or_symbols=symbol,timeframe=timeframe, start=datetime_object_from, end=datetime_object_to, feed=ACCOUNT1_LIVE_API_KEY)
#print("before df")
bars = client.get_stock_bars(bar_request)
result = []

5
v2realbot/loader/trade_ws_streamer.py
View File

@ -4,7 +4,7 @@
"""
from v2realbot.loader.aggregator import TradeAggregator2Queue
from alpaca.data.live import StockDataStream
from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, ACCOUNT1_PAPER_FEED
from v2realbot.config import LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY, LIVE_DATA_FEED
from alpaca.data.historical import StockHistoricalDataClient
from alpaca.data.requests import StockLatestQuoteRequest, StockBarsRequest, StockTradesRequest
from threading import Thread, current_thread
@ -21,7 +21,8 @@ from msgpack import packb
class Trade_WS_Streamer(Thread):
##tento ws streamer je pouze jeden pro vsechny, tzn. vyuziváme natvrdo placena data primarniho uctu (nezalezi jestli paper nebo live)
client = StockDataStream(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, raw_data=True, websocket_params={}, feed=ACCOUNT1_PAPER_FEED)
print(f"Realtime Websocket connection will use FEED: {LIVE_DATA_FEED} and credential of ACCOUNT1")
client = StockDataStream(LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY, raw_data=True, websocket_params={}, feed=LIVE_DATA_FEED)
#uniquesymbols = set()
_streams = []
#to_run = dict()

4
v2realbot/utils/historicals.py
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@ -4,7 +4,7 @@ from alpaca.data import Quote, Trade, Snapshot, Bar
from alpaca.data.models import BarSet, QuoteSet, TradeSet
from alpaca.data.timeframe import TimeFrame, TimeFrameUnit
from v2realbot.utils.utils import zoneNY, send_to_telegram
from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY
from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, ACCOUNT1_PAPER_FEED
from alpaca.data.enums import DataFeed
from datetime import datetime, timedelta
import pandas as pd
@ -112,7 +112,7 @@ def get_historical_bars(symbol: str, time_from: datetime, time_to: datetime, tim
:raises: Exception if all retries fail.
"""
stock_client = StockHistoricalDataClient(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, raw_data=True)
bar_request = StockBarsRequest(symbol_or_symbols=symbol, timeframe=timeframe, start=time_from, end=time_to, feed=DataFeed.SIP)
bar_request = StockBarsRequest(symbol_or_symbols=symbol, timeframe=timeframe, start=time_from, end=time_to, feed=ACCOUNT1_PAPER_FEED)
last_exception = None