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