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MeanReversionPaperOnly.cs
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MeanReversionPaperOnly.cs
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using Alpaca.Markets;
using System.Diagnostics.CodeAnalysis;
namespace UsageExamples;
// This version of the mean reversion example algorithm uses only API features which
// are available to users with a free account that can only be used for paper trading.
[SuppressMessage("ReSharper", "InconsistentNaming")]
// ReSharper disable once UnusedType.Global
internal sealed class MeanReversionPaperOnly : IDisposable
{
private const String API_KEY = "REPLACEME";
private const String API_SECRET = "REPLACEME";
private const String symbol = "SPY";
private const Decimal scale = 200;
private IAlpacaTradingClient alpacaTradingClient;
private IAlpacaDataClient alpacaDataClient;
private Guid lastTradeId = Guid.NewGuid();
private Boolean isAssetShortable;
// ReSharper disable once UnusedMember.Global
public async Task Run()
{
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(new SecretKey(API_KEY, API_SECRET));
alpacaDataClient = Environments.Paper.GetAlpacaDataClient(new SecretKey(API_KEY, API_SECRET));
var asset = await alpacaTradingClient.GetAssetAsync(symbol);
isAssetShortable = asset.Shortable;
// First, cancel any existing orders so they don't impact our buying power.
await alpacaTradingClient.CancelAllOrdersAsync();
// Figure out when the market will close so we can prepare to sell beforehand.
var calendars = (await alpacaTradingClient
.ListIntervalCalendarAsync(new CalendarRequest().WithInterval(DateTime.Today.GetIntervalFromThat())))
.ToList();
var calendarDate = calendars.First().GetTradingDate();
var closingTime = calendars.First().GetTradingCloseTimeUtc();
closingTime = new DateTime(calendarDate.Year, calendarDate.Month, calendarDate.Day, closingTime.Hour, closingTime.Minute, closingTime.Second);
Console.WriteLine("Waiting for market open...");
await AwaitMarketOpen();
Console.WriteLine("Market opened.");
// Check every minute for price updates.
var timeUntilClose = closingTime - DateTime.UtcNow;
while (timeUntilClose.TotalMinutes > 15)
{
// Cancel old order if it's not already been filled.
await alpacaTradingClient.CancelOrderAsync(lastTradeId);
// Get information about current account value.
var account = await alpacaTradingClient.GetAccountAsync();
// Use maximum 10% of total account buying power for single trade
var buyingPower = account.BuyingPower * 0.10M ?? 0M;
var portfolioValue = account.Equity;
// Get information about our existing position.
var positionQuantity = 0L;
var positionValue = 0M;
try
{
var currentPosition = await alpacaTradingClient.GetPositionAsync(symbol);
positionQuantity = currentPosition.IntegerQuantity;
positionValue = currentPosition.MarketValue ?? 0M;
}
catch (Exception) //-V3163 //-V5606
{
// No position exists. This exception can be safely ignored.
}
var into = DateTime.Now;
var from = into.Subtract(TimeSpan.FromMinutes(25));
var barSet = await alpacaDataClient.ListHistoricalBarsAsync(
new HistoricalBarsRequest(symbol, from, into, BarTimeFrame.Minute).WithPageSize(20));
var bars = barSet.Items;
var avg = bars.Average(item => item.Close);
var currentPrice = bars.Last().Close;
var diff = avg - currentPrice;
if (diff <= 0)
{
// Above the 20 minute average - exit any existing long position.
if (positionQuantity > 0)
{
Console.WriteLine("Setting position to zero.");
await SubmitOrder(positionQuantity, currentPrice, OrderSide.Sell);
}
else
{
Console.WriteLine("No position to exit.");
}
}
else
{
// Allocate a percent of our portfolio to this position.
var portfolioShare = diff / currentPrice * scale;
var targetPositionValue = portfolioValue * portfolioShare;
var amountToAdd = targetPositionValue - positionValue;
switch (amountToAdd)
{
case > 0:
{
// Buy as many shares as we can without going over amountToAdd.
// Make sure we're not trying to buy more than we can.
if (amountToAdd > buyingPower)
{
amountToAdd = buyingPower;
}
var qtyToBuy = (Int32)(amountToAdd / currentPrice);
await SubmitOrder(qtyToBuy, currentPrice, OrderSide.Buy);
break;
}
case < 0:
{
// Sell as many shares as we can without going under amountToAdd.
// Make sure we're not trying to sell more than we have.
amountToAdd *= -1;
var qtyToSell = (Int64)(amountToAdd / currentPrice);
if (qtyToSell > positionQuantity)
{
qtyToSell = positionQuantity;
}
if (isAssetShortable)
{
await SubmitOrder(qtyToSell, currentPrice, OrderSide.Sell);
}
else
{
Console.WriteLine("Unable to place short order - asset is not shortable.");
}
break;
}
}
}
// Wait another minute.
Thread.Sleep(60000);
timeUntilClose = closingTime - DateTime.UtcNow;
}
Console.WriteLine("Market nearing close; closing position.");
await ClosePositionAtMarket();
}
public void Dispose()
{
alpacaTradingClient?.Dispose();
alpacaDataClient?.Dispose();
}
private async Task AwaitMarketOpen()
{
while (!(await alpacaTradingClient.GetClockAsync()).IsOpen)
{
await Task.Delay(60000);
}
}
// Submit an order if quantity is not zero.
private async Task SubmitOrder(Int64 quantity, Decimal price, OrderSide side)
{
if (quantity == 0)
{
Console.WriteLine("No order necessary.");
return;
}
Console.WriteLine($"Submitting {side} order for {quantity} shares at ${price}.");
var order = await alpacaTradingClient.PostOrderAsync(
side.Limit(symbol, quantity, price));
lastTradeId = order.OrderId;
}
private async Task ClosePositionAtMarket()
{
try
{
var positionQuantity = (await alpacaTradingClient.GetPositionAsync(symbol)).IntegerQuantity;
await alpacaTradingClient.PostOrderAsync(
OrderSide.Sell.Market(symbol, positionQuantity));
}
catch (Exception) //-V3163 //-V5606
{
// No position to exit.
}
}
}