diff --git a/daytrader.py b/daytrader.py new file mode 100644 index 0000000..334ef8c --- /dev/null +++ b/daytrader.py @@ -0,0 +1,405 @@ +#!/usr/bin/env python3 +# Description: Day-Trading Script (Alpaca API) +# Usage: python3 daytrader.py +# Author: Justin Oros +# Source: https://github.com/JustinOros + +import os +import sys +import time +import logging +import json +from pathlib import Path +from dotenv import load_dotenv +import alpaca_trade_api as tradeapi + +# ----------------------------------------------------------------------------- +# Configuration +# ----------------------------------------------------------------------------- + +# Path configuration +SCRIPT_DIR = Path(__file__).parent +CONFIG_PATH = SCRIPT_DIR / "daytrader.json" +ENV_PATH = SCRIPT_DIR / ".env" + +# Default configuration +DEFAULT_CONFIG = { + "SYMBOL": "SPY", + "RISK_FRACTION": 0.02, + "SHORT_WINDOW": 5, + "LONG_WINDOW": 20, + "MIN_NOTIONAL": 1.0, + "POLL_INTERVAL": 30, + "MAX_DRAWDOWN": 0.05, + "PDT_RULE": True +} + +# Load environment variables +if ENV_PATH.exists(): + load_dotenv(ENV_PATH) +else: + # Create placeholder .env file + with open(ENV_PATH, "w") as f: + f.write('APCA_API_KEY_ID="YOUR_API_KEY_HERE"\n') + f.write('APCA_API_SECRET_KEY="YOUR_SECRET_KEY_HERE"\n') + f.write('APCA_API_BASE_URL="https://paper-api.alpaca.markets"\n') + print("⚠ī¸ Created placeholder .env file.") + print(" Please add your Alpaca API keys to .env file") + sys.exit(1) + +# Load configuration +if CONFIG_PATH.exists(): + with open(CONFIG_PATH, "r") as f: + config = json.load(f) +else: + # Create default config + with open(CONFIG_PATH, "w") as f: + json.dump(DEFAULT_CONFIG, f, indent=4) + config = DEFAULT_CONFIG.copy() + print(f"✅ Created default config file at {CONFIG_PATH}") + +# Extract configuration values +SYMBOL = config["SYMBOL"] +RISK_FRACTION = float(config["RISK_FRACTION"]) +SHORT_WINDOW = int(config["SHORT_WINDOW"]) +LONG_WINDOW = int(config["LONG_WINDOW"]) +MIN_NOTIONAL = float(config["MIN_NOTIONAL"]) +POLL_INTERVAL = int(config["POLL_INTERVAL"]) +MAX_DRAWDOWN = float(config["MAX_DRAWDOWN"]) +PDT_RULE = bool(config["PDT_RULE"]) + +# Initialize Alpaca API +api = tradeapi.REST( + os.getenv('APCA_API_KEY_ID'), + os.getenv('APCA_API_SECRET_KEY'), + os.getenv('APCA_API_BASE_URL'), + api_version='v2' +) + +# ----------------------------------------------------------------------------- +# Logging Configuration +# ----------------------------------------------------------------------------- + +# Set up logging to daytrader.log in script directory +LOG_PATH = SCRIPT_DIR / "daytrader.log" + +logging.basicConfig( + level=logging.INFO, + format='%(asctime)s - %(levelname)s - %(message)s', + handlers=[ + logging.FileHandler(LOG_PATH, mode='a'), + logging.StreamHandler(sys.stdout) + ] +) + +logger = logging.getLogger(__name__) + +# ----------------------------------------------------------------------------- +# Helper Functions +# ----------------------------------------------------------------------------- + +def seconds_to_human_readable(seconds): + """Convert seconds to human-readable format (hours, minutes, seconds).""" + if seconds < 0: + return "0 seconds" + + hours = int(seconds // 3600) + minutes = int((seconds % 3600) // 60) + secs = int(seconds % 60) + + time_parts = [] + if hours > 0: + time_parts.append(f"{hours} hour{'s' if hours != 1 else ''}") + if minutes > 0: + time_parts.append(f"{minutes} minute{'s' if minutes != 1 else ''}") + if secs > 0 and hours == 0: # Only show seconds if less than an hour + time_parts.append(f"{secs} second{'s' if secs != 1 else ''}") + + return " ".join(time_parts) if time_parts else "0 seconds" + +def format_market_time(dt_obj): + """Format datetime object to readable string.""" + return dt_obj.strftime("%Y-%m-%d %I:%M:%S %p %Z") + +# ----------------------------------------------------------------------------- +# Trading Functions +# ----------------------------------------------------------------------------- + +def wait_until_market_open(): + """Wait until the market opens.""" + clock = api.get_clock() + now = clock.timestamp + next_open = clock.next_open + + if not clock.is_open: + seconds_until_open = (next_open - now).total_seconds() + if seconds_until_open > 0: + readable_time = seconds_to_human_readable(seconds_until_open) + logger.info(f"🕒 Market opens at {format_market_time(next_open)}") + logger.info(f"⏱ī¸ Waiting {readable_time}...") + + # Sleep in smaller chunks to allow for graceful interruption + while seconds_until_open > 0: + sleep_time = min(60, seconds_until_open) # Check every minute max + time.sleep(sleep_time) + seconds_until_open -= sleep_time + + # Update remaining time display periodically + if sleep_time >= 60: + remaining_readable = seconds_to_human_readable(seconds_until_open) + logger.info(f"⏱ī¸ {remaining_readable} remaining...") + else: + logger.info("✅ Market is open!") + else: + logger.info("✅ Market is open!") + +def fetch_equity(): + """Fetch the current account equity.""" + try: + account = api.get_account() + return float(account.equity) + except Exception as e: + logger.error(f"❌ Failed to fetch equity: {e}") + return 0.0 + +def fetch_buying_power(): + """Fetch the current buying power.""" + try: + account = api.get_account() + return float(account.buying_power) + except Exception as e: + logger.error(f"❌ Failed to fetch buying power: {e}") + return 0.0 + +def get_day_trade_count(): + """Get the current day trade count.""" + try: + account = api.get_account() + return int(account.day_trade_count) + except Exception as e: + logger.error(f"❌ Failed to fetch day trade count: {e}") + return 0 + +def submit_buy(symbol, notional): + """Submit a buy order.""" + if notional < MIN_NOTIONAL: + logger.warning(f"⚠ī¸ Notional ${notional:.2f} < minimum ${MIN_NOTIONAL} - skipping.") + return False + + try: + api.submit_order( + symbol=symbol, + notional=round(notional, 2), + side="buy", + type="market", + time_in_force="day" + ) + logger.info(f"đŸŸĸ BUY ${notional:.2f} of {symbol}") + return True + except Exception as e: + logger.error(f"❌ Failed to buy {symbol}: {e}") + return False + +def submit_sell(symbol, qty): + """Submit a sell order.""" + try: + api.submit_order( + symbol=symbol, + qty=qty, + side="sell", + type="market", + time_in_force="day" + ) + logger.info(f"🔴 SELL {qty} shares of {symbol}") + return True + except Exception as e: + logger.error(f"❌ Failed to sell {symbol}: {e}") + return False + +def close_all_positions(): + """Close all open positions.""" + try: + positions = api.list_positions() + if not positions: + logger.info("✅ No open positions to close.") + return + + logger.warning("⚠ī¸ Closing all open positions...") + for pos in positions: + submit_sell(pos.symbol, int(float(pos.qty))) + logger.info("✅ All positions closed.") + except Exception as e: + logger.error(f"❌ Failed to close positions: {e}") + +def get_recent_bars(symbol, limit=20): + """Get recent bar data for a symbol.""" + try: + bars = api.get_bars( + symbol, + "minute", + limit=limit + ).df + return bars + except Exception as e: + logger.error(f"❌ Failed to fetch bars for {symbol}: {e}") + return None + +def ma_cross_signal(symbol): + """Generate a moving average crossover signal.""" + bars = get_recent_bars(symbol, LONG_WINDOW + 5) + if bars is None or len(bars) < LONG_WINDOW: + return None + + closes = bars['close'] + short_ma = closes.rolling(window=SHORT_WINDOW).mean().iloc[-1] + long_ma = closes.rolling(window=LONG_WINDOW).mean().iloc[-1] + + if short_ma > long_ma: + return "buy" + elif short_ma < long_ma: + return "sell" + else: + return None + +def current_position_qty(symbol): + """Get the current position quantity for a symbol.""" + try: + positions = api.list_positions() + for pos in positions: + if pos.symbol == symbol: + return int(float(pos.qty)) + return 0 + except Exception as e: + logger.error(f"❌ Failed to fetch positions: {e}") + return 0 + +def pdt_allows_new_trade(): + """Check if PDT rules allow a new trade.""" + if not PDT_RULE: + return True + + equity = fetch_equity() + day_trade_count = get_day_trade_count() + + # PDT rule: If equity < $25,000, max 3 day trades per 5 rolling days + if equity < 25000: + if day_trade_count >= 3: + logger.error(f"🛑 PDT rule triggered: {day_trade_count} day-trades in rolling 5-day window") + return False + + return True + +def get_market_status(): + """Get current market status and next open/close times.""" + clock = api.get_clock() + status = "open" if clock.is_open else "closed" + next_event = clock.next_open if not clock.is_open else clock.next_close + event_type = "open" if not clock.is_open else "close" + + return { + "status": status, + "next_event": next_event, + "event_type": event_type, + "timestamp": clock.timestamp + } + +# ----------------------------------------------------------------------------- +# Main Trading Loop +# ----------------------------------------------------------------------------- + +def main(): + """Main trading function.""" + logger.info("đŸŽ¯ Starting daytrader.py...") + + # Display current market status + market_info = get_market_status() + logger.info(f"🏛ī¸ Market is currently {market_info['status'].upper()}") + + if market_info['status'] == 'closed': + logger.info(f"📅 Next market {market_info['event_type']}: {format_market_time(market_info['next_event'])}") + + # Wait for market to open + wait_until_market_open() + + # Record opening equity + opening_equity = fetch_equity() + if opening_equity == 0: + logger.error("đŸ’Ĩ No equity available. Exiting...") + return + + logger.info(f"💰 Opening equity: ${opening_equity:.2f}") + + # Compute per-trade notional + per_trade_notional = max(MIN_NOTIONAL, opening_equity * RISK_FRACTION) + logger.info(f"đŸŽ¯ Per-trade notional: ${per_trade_notional:.2f}") + + # Display trading parameters + logger.info(f"⚙ī¸ Trading configuration:") + logger.info(f" Symbol: {SYMBOL}") + logger.info(f" Risk per trade: {RISK_FRACTION:.1%}") + logger.info(f" Max drawdown: {MAX_DRAWDOWN:.1%}") + logger.info(f" MA Windows: {SHORT_WINDOW}/{LONG_WINDOW} minutes") + logger.info(f" PDT Rule enforced: {PDT_RULE}") + + # Main trading loop + trade_count = 0 + try: + while True: + # Check if market is open + clock = api.get_clock() + if not clock.is_open: + logger.info("❌ Market is closed. Exiting...") + break + + # Check equity drop + current_equity = fetch_equity() + drawdown = (opening_equity - current_equity) / opening_equity + + if drawdown > MAX_DRAWDOWN: + logger.error(f"💸 Maximum drawdown exceeded: {drawdown:.2%}. Stopping...") + break + + # Check PDT rule + if not pdt_allows_new_trade(): + logger.error("🛑 PDT rule violation. Stopping...") + break + + # Generate trading signal + signal = ma_cross_signal(SYMBOL) + + if signal == "buy": + buying_power = fetch_buying_power() + if buying_power >= per_trade_notional: + if submit_buy(SYMBOL, per_trade_notional): + trade_count += 1 + logger.info(f"✅ Buy order executed for {SYMBOL} (Trade #{trade_count})") + else: + logger.warning(f"⚠ī¸ Insufficient buying power: ${buying_power:.2f}") + + elif signal == "sell": + qty = current_position_qty(SYMBOL) + if qty > 0: + if submit_sell(SYMBOL, qty): + trade_count += 1 + logger.info(f"✅ Sell order executed for {SYMBOL} (Trade #{trade_count})") + else: + logger.info("ℹī¸ No position to sell") + + # Display current status + current_time = clock.timestamp.strftime("%I:%M:%S %p") + logger.info(f"⏱ī¸ {current_time} - Waiting {POLL_INTERVAL} seconds for next check...") + time.sleep(POLL_INTERVAL) + + except KeyboardInterrupt: + logger.info("🛑 Script interrupted by user") + except Exception as e: + logger.error(f"đŸ’Ĩ Unexpected error: {e}") + finally: + logger.info("🔚 Script ending. Closing any remaining positions...") + close_all_positions() + logger.info(f"📊 Session summary: {trade_count} trades executed") + logger.info("✅ daytrader.py finished.") + +if __name__ == "__main__": + main() +