AlpacaShortTest.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-

# ######
# sample short code -- test features
# USAGE:
#   pipenv run pylivetrader run -f AlpacaShortTest.py --backend-config config.yaml
# ######

import pylivetrader.backend.alpaca
def monkey_patch_api(version="/v2"):
    origreq = pylivetrader.backend.alpaca.tradeapi.REST._request
    pylivetrader.backend.alpaca.tradeapi.REST._request = \
        lambda self, method, path, data=None, prefix=version, base_url=None: \
        origreq(self, method, path, data, prefix, base_url)
monkey_patch_api()

from pylivetrader.api import (
     order_percent, get_datetime,
     get_open_orders, cancel_order,
     schedule_function, order_target_percent,
     date_rules, time_rules, symbol)
from pylivetrader.finance.execution import StopOrder

import logbook
from numpy import array
import talib
import numpy as np
import pandas as pd
import sys
from datetime import datetime
import yaml
import os


log = logbook.Logger('ShortTest')
# log.handlers.append(logbook.FileHandler('ShortTest.log', level='DEBUG'))
log.handlers.append(logbook.StreamHandler(sys.stdout, level='DEBUG'))

# setup api outside of pylivetrader
with open('config.yaml', 'r') as f:
    c = yaml.safe_load(f)
    os.environ['APCA_API_BASE_URL'] = c['base_url']
    os.environ['APCA_API_KEY_ID'] = c['key_id']
    os.environ['APCA_API_SECRET_KEY'] = c['secret']
api = pylivetrader.backend.alpaca.tradeapi.REST()


def initialize(context):

    context.stocks = [symbol('CIFS'), symbol('AMZN'), symbol('AAPL')]
    DT = datetime.now()  # assume Eastern local clock
    # get time in minutes relative to 9:30
    t = (DT.hour - 9)*60 + (DT.minute - 30)
    t = t + 1  # start one minute from now
    schedule_function(ShortFunc, date_rules.every_day(),
                      time_rules.market_open(minutes=t),
                      True)
    # buyback a minute later
    schedule_function(BuybackFunc, date_rules.every_day(),
                      time_rules.market_open(minutes=t+1), True)


def ShortFunc(context, data):

    ptrade = 1/len(context.stocks)
    for sec in context.stocks:
        if not data.can_trade(sec):
            log.debug("cannot trade %s" % sec.symbol)

        # # can_short is not a function/method
        # if not data.can_short(sec):
        #     log.debug("cannot short %s" % sec.symbol)

        curpri = data.current(sec, 'price')
        log.info("looking at %s @ $%.02f" % (sec.symbol, curpri))

        asset = api.get_asset(sec.symbol)
        if not asset.shortable:
            log.debug("%s cannot be shorted!" % sec.symbol)

        log.info("trying to short %.0f%% at %s @ $%.02f" %
                 (ptrade*100, sec.symbol, curpri))
        order_percent(sec, -1 * ptrade)


def BuybackFunc(context, data):
    for sec in context.stocks:
        curpri = data.current(sec, 'price')
        log.info("buyback %s @ $%.02f" % (sec.symbol, curpri))
        order_target_percent(sec, 0)


def before_trading_start(context, data):
    # alpaca restarts might occur mid day
    today = get_datetime().floor('1D')
    if today == getattr(context, 'run_last', None):
        log.warning("before_trading_start hit, but already run for today")
        return
    else:
        log.info("before_trading_start hit")