-
Notifications
You must be signed in to change notification settings - Fork 0
/
tradingbot.py
109 lines (87 loc) · 3.37 KB
/
tradingbot.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
from lumibot.brokers import Alpaca
from lumibot.backtesting import YahooDataBacktesting
from lumibot.strategies.strategy import Strategy
from lumibot.traders import Trader
from datetime import datetime
from alpaca_trade_api import REST
from datetime import timedelta
from sentiment_finbert import estimate_sentiment
import os
from dotenv import load_dotenv
load_dotenv()
API_KEY = os.getenv("API_KEY")
API_SECRET = os.getenv("API_SECRET")
BASE_URL = os.getenv("BASE_URL")
ALPACA_CREDS = {"API_KEY": API_KEY, "API_SECRET": API_SECRET, "PAPER": True}
class MLTrader(Strategy):
def initialize(self, symbol: str = "SPY", cash_at_risk: float = 0.5):
self.symbol = symbol
self.sleeptime = "24H"
self.last_trade = None
self.cash_at_risk = cash_at_risk
self.api = REST(key_id=API_KEY, secret_key=API_SECRET, base_url=BASE_URL)
def position_sizing(self):
cash = self.get_cash()
last_price = self.get_last_price(self.symbol)
quantity = round(cash * self.cash_at_risk / last_price, 0)
return cash, last_price, quantity
def get_dates(self):
end_date = self.get_datetime()
start_date = end_date - timedelta(days=3)
return end_date.strftime("%Y-%m-%d"), start_date.strftime("%Y-%m-%d")
def get_news(self):
end_date, start_date = self.get_dates()
news = self.api.get_news(symbol=self.symbol, start=start_date, end=end_date)
news = [event.__dict__["_raw"]["headline"] for event in news]
return news
def get_sentiment(self):
news = self.get_news()
probability, sentiment = estimate_sentiment(news)
return probability, sentiment
def on_trading_iteration(self):
cash, last_price, quantity = self.position_sizing()
# news = self.get_news()
# print(news)
probability, sentiment = self.get_sentiment()
# print(f"Confidence: {probability}, Sentiment{sentiment}")
if cash > last_price:
# case 1
if sentiment == "positive" and probability > 0.999:
if self.last_trade == "sell":
self.sell_all()
order = self.create_order(
self.symbol,
quantity,
"buy",
type="bracket",
take_profit_price=last_price * 1.20,
stop_loss_price=last_price * 0.95,
)
self.submit_order(order)
self.last_trade = "buy"
# case 2
elif sentiment == "negative" and probability > 0.999:
if self.last_trade == "buy":
self.sell_all()
order = self.create_order(
self.symbol,
quantity,
"sell",
type="bracket",
take_profit_price=last_price * 0.80,
stop_loss_price=last_price * 1.05,
)
self.submit_order(order)
self.last_trade = "sell"
start_date = datetime(2020, 1, 1)
end_date = datetime(2024, 6, 30)
broker = Alpaca(ALPACA_CREDS)
strategy = MLTrader(
name="mlstrat", broker=broker, parameters={"symbol": "SPY", "cash_at_risk": 0.5}
)
strategy.backtest(
YahooDataBacktesting,
start_date,
end_date,
parameters={"symbol": "SPY", "cash_at_risk": 0.5},
)