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alpaca-trade-api-2.3.0
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مشاهده بیشترتوضیحات
Alpaca API python client
| ویژگی | مقدار |
|---|---|
| سیستم عامل | - |
| نام فایل | alpaca-trade-api-2.3.0 |
| نام | alpaca-trade-api |
| نسخه کتابخانه | 2.3.0 |
| نگهدارنده | [] |
| ایمیل نگهدارنده | [] |
| نویسنده | Alpaca |
| ایمیل نویسنده | oss@alpaca.markets |
| آدرس صفحه اصلی | https://github.com/alpacahq/alpaca-trade-api-python |
| آدرس اینترنتی | https://pypi.org/project/alpaca-trade-api/ |
| مجوز | - |
[](https://badge.fury.io/py/alpaca-trade-api)
[](https://circleci.com/gh/alpacahq/alpaca-trade-api-python)
[](https://pyup.io/repos/github/alpacahq/alpaca-trade-api-python/)
[](https://pyup.io/repos/github/alpacahq/alpaca-trade-api-python/)
# alpaca-trade-api-python
`alpaca-trade-api-python` is a python library for the [Alpaca Commission Free Trading API](https://alpaca.markets).
It allows rapid trading algo development easily, with support for
both REST and streaming data interfaces. For details of each API behavior,
please see the online [API document](https://alpaca.markets/docs/api-documentation/api-v2/market-data/alpaca-data-api-v2/).
Note that this package supports only python version 3.7 and above.
## Install
We support python>=3.7. If you want to work with python 3.6, please note that these package dropped support for python <3.7 for the following versions:
```
pandas >= 1.2.0
numpy >= 1.20.0
scipy >= 1.6.0
```
The solution - manually install these packages before installing alpaca-trade-api. e.g:
```bash
pip install pandas==1.1.5 numpy==1.19.4 scipy==1.5.4
```
Also note that we do not limit the version of the websockets library, but we advise using
```
websockets>=9.0
```
Installing using pip
```bash
$ pip3 install alpaca-trade-api
```
## API Keys
To use this package you first need to obtain an API key. Go here to [signup](https://app.alpaca.markets/signup)
# Services
These services are provided by Alpaca:
* Data:
* [Historical](https://alpaca.markets/docs/api-documentation/api-v2/market-data/alpaca-data-api-v2/historical/)
* [Live Data Stream](https://alpaca.markets/docs/api-documentation/api-v2/market-data/alpaca-data-api-v2/real-time/)
* [Account/Portfolio Management](https://alpaca.markets/docs/api-documentation/api-v2)
The free services are limited, please check the docs to see the differences between paid/free services.
## Alpaca Environment Variables
The Alpaca SDK will check the environment for a number of variables that can be used rather than hard-coding these into your scripts.<br>
Alternatively you could pass the credentials directly to the SDK instances.
| Environment | default | Description |
| -------------------------------- | -------------------------------------------------------------------------------------- | ---------------------------------------------------------------------------------------------------------------------- |
| APCA_API_KEY_ID=<key_id> | | Your API Key |
| APCA_API_SECRET_KEY=<secret_key> | | Your API Secret Key |
| APCA_API_BASE_URL=url | https://api.alpaca.markets (for live) | Specify the URL for API calls, *Default is live, you must specify <br/>https://paper-api.alpaca.markets to switch to paper endpoint!* |
| APCA_API_DATA_URL=url | https://data.alpaca.markets | Endpoint for data API |
| APCA_RETRY_MAX=3 | 3 | The number of subsequent API calls to retry on timeouts |
| APCA_RETRY_WAIT=3 | 3 | seconds to wait between each retry attempt |
| APCA_RETRY_CODES=429,504 | 429,504 | comma-separated HTTP status code for which retry is attempted |
| DATA_PROXY_WS | | When using the alpaca-proxy-agent you need to set this environment variable as described  |
## Working with Data
### Historic Data
You could get one of these historic data types:
* Bars
* Quotes
* Trades
You now have 2 pythonic ways to retrieve historical data.<br>
One using the traditional rest module and the other is to use the experimental asyncio module added lately.<br>
Let's have a look at both:<br>
The first thing to understand is the new data polling mechanism. You could query up to 10000 items, and the API is using a pagination mechanism to provide you with the data.<br>
You now have 2 options:
* Working with data as it is received with a generator. (meaning it's faster but you need to process each item alone)
* Wait for the entire data to be received, and then work with it as a list or dataframe.
We provide you with both options to choose from.
#### Bars
option 1: wait for the data
```py
from alpaca_trade_api.rest import REST, TimeFrame
api = REST()
api.get_bars("AAPL", TimeFrame.Hour, "2021-06-08", "2021-06-08", adjustment='raw').df
open high low close volume
timestamp
2021-06-08 08:00:00+00:00 126.100 126.3000 125.9600 126.3000 42107
2021-06-08 09:00:00+00:00 126.270 126.4000 126.2200 126.3800 21095
2021-06-08 10:00:00+00:00 126.380 126.6000 125.8400 126.4900 54743
2021-06-08 11:00:00+00:00 126.440 126.8700 126.4000 126.8500 206460
2021-06-08 12:00:00+00:00 126.821 126.9500 126.7000 126.9300 385164
2021-06-08 13:00:00+00:00 126.920 128.4600 126.4485 127.0250 18407398
2021-06-08 14:00:00+00:00 127.020 127.6400 126.7800 127.1350 13446961
2021-06-08 15:00:00+00:00 127.140 127.4700 126.2101 126.6100 10444099
2021-06-08 16:00:00+00:00 126.610 126.8400 126.5300 126.8250 5289556
2021-06-08 17:00:00+00:00 126.820 126.9300 126.4300 126.7072 4813459
2021-06-08 18:00:00+00:00 126.709 127.3183 126.6700 127.2850 5338455
2021-06-08 19:00:00+00:00 127.290 127.4200 126.6800 126.7400 9817083
2021-06-08 20:00:00+00:00 126.740 126.8500 126.5400 126.6600 5525520
2021-06-08 21:00:00+00:00 126.690 126.8500 126.6500 126.6600 156333
2021-06-08 22:00:00+00:00 126.690 126.7400 126.6600 126.7300 49252
2021-06-08 23:00:00+00:00 126.725 126.7600 126.6400 126.6400 41430
```
option 2: iterate over bars
```py
def process_bar(bar):
# process bar
print(bar)
bar_iter = api.get_bars_iter("AAPL", TimeFrame.Hour, "2021-06-08", "2021-06-08", adjustment='raw')
for bar in bar_iter:
process_bar(bar)
```
Alternatively, you can decide on your custom timeframes by using the TimeFrame constructor:
```py
from alpaca_trade_api.rest import REST, TimeFrame, TimeFrameUnit
api = REST()
api.get_bars("AAPL", TimeFrame(45, TimeFrameUnit.Minute), "2021-06-08", "2021-06-08", adjustment='raw').df
open high low close volume trade_count vwap
timestamp
2021-06-08 07:30:00+00:00 126.1000 126.1600 125.9600 126.0600 20951 304 126.049447
2021-06-08 08:15:00+00:00 126.0500 126.3000 126.0500 126.3000 21181 349 126.231904
2021-06-08 09:00:00+00:00 126.2700 126.3200 126.2200 126.2800 15955 308 126.284120
2021-06-08 09:45:00+00:00 126.2900 126.4000 125.9000 125.9000 30179 582 126.196877
2021-06-08 10:30:00+00:00 125.9000 126.7500 125.8400 126.7500 105380 1376 126.530863
2021-06-08 11:15:00+00:00 126.7300 126.8500 126.5600 126.8300 129721 1760 126.738041
2021-06-08 12:00:00+00:00 126.4101 126.9500 126.3999 126.8300 418107 3615 126.771889
2021-06-08 12:45:00+00:00 126.8500 126.9400 126.6000 126.6200 428614 5526 126.802825
2021-06-08 13:30:00+00:00 126.6200 128.4600 126.4485 127.4150 23065023 171263 127.425797
2021-06-08 14:15:00+00:00 127.4177 127.6400 126.9300 127.1350 8535068 65753 127.342337
2021-06-08 15:00:00+00:00 127.1400 127.4700 126.2101 126.7101 8447696 64616 126.789316
2021-06-08 15:45:00+00:00 126.7200 126.8200 126.5300 126.6788 5084147 38366 126.712110
2021-06-08 16:30:00+00:00 126.6799 126.8400 126.5950 126.5950 3205870 26614 126.718837
2021-06-08 17:15:00+00:00 126.5950 126.9300 126.4300 126.7010 3908283 31922 126.665727
2021-06-08 18:00:00+00:00 126.7072 127.0900 126.6700 127.0600 3923056 29114 126.939887
2021-06-08 18:45:00+00:00 127.0500 127.4200 127.0000 127.0050 5051682 38235 127.214157
2021-06-08 19:30:00+00:00 127.0150 127.0782 126.6800 126.7800 11665598 47146 126.813182
2021-06-08 20:15:00+00:00 126.7700 126.7900 126.5400 126.6600 83725 1973 126.679259
2021-06-08 21:00:00+00:00 126.6900 126.8500 126.6700 126.7200 145153 769 126.746457
2021-06-08 21:45:00+00:00 126.7000 126.7400 126.6500 126.7100 38455 406 126.699544
2021-06-08 22:30:00+00:00 126.7100 126.7600 126.6700 126.7100 30822 222 126.713892
2021-06-08 23:15:00+00:00 126.7200 126.7600 126.6400 126.6400 32585 340 126.704131
```
#### Quotes
option 1: wait for the data
```py
from alpaca_trade_api.rest import REST
api = REST()
api.get_quotes("AAPL", "2021-06-08", "2021-06-08", limit=10).df
ask_exchange ask_price ask_size bid_exchange bid_price bid_size conditions
timestamp
2021-06-08 08:00:00.070928640+00:00 P 143.00 1 0.00 0 [Y]
2021-06-08 08:00:00.070929408+00:00 P 143.00 1 P 102.51 1 [R]
2021-06-08 08:00:00.070976768+00:00 P 143.00 1 P 116.50 1 [R]
2021-06-08 08:00:00.070978816+00:00 P 143.00 1 P 118.18 1 [R]
2021-06-08 08:00:00.071020288+00:00 P 143.00 1 P 120.00 1 [R]
2021-06-08 08:00:00.071020544+00:00 P 134.18 1 P 120.00 1 [R]
2021-06-08 08:00:00.071021312+00:00 P 134.18 1 P 123.36 1 [R]
2021-06-08 08:00:00.071209984+00:00 P 131.11 1 P 123.36 1 [R]
2021-06-08 08:00:00.071248640+00:00 P 130.13 1 P 123.36 1 [R]
2021-06-08 08:00:00.071286016+00:00 P 129.80 1 P 123.36 1 [R]
```
option 2: iterate over quotes
```py
def process_quote(quote):
# process quote
print(quote)
quote_iter = api.get_quotes_iter("AAPL", "2021-06-08", "2021-06-08", limit=10)
for quote in quote_iter:
process_quote(quote)
```
#### Trades
option 1: wait for the data
```py
from alpaca_trade_api.rest import REST
api = REST()
api.get_trades("AAPL", "2021-06-08", "2021-06-08", limit=10).df
exchange price size conditions id tape
timestamp
2021-06-08 08:00:00.069956608+00:00 P 126.10 179 [@, T] 1 C
2021-06-08 08:00:00.207859+00:00 K 125.97 1 [@, T, I] 1 C
2021-06-08 08:00:00.207859+00:00 K 125.97 12 [@, T, I] 2 C
2021-06-08 08:00:00.207859+00:00 K 125.97 4 [@, T, I] 3 C
2021-06-08 08:00:00.207859+00:00 K 125.97 4 [@, T, I] 4 C
2021-06-08 08:00:00.207859+00:00 K 125.97 8 [@, T, I] 5 C
2021-06-08 08:00:00.207859+00:00 K 125.97 1 [@, T, I] 6 C
2021-06-08 08:00:00.207859+00:00 K 126.00 30 [@, T, I] 7 C
2021-06-08 08:00:00.207859+00:00 K 126.00 10 [@, T, I] 8 C
2021-06-08 08:00:00.207859+00:00 K 125.97 70 [@, T, I] 9 C
```
option 2: iterate over trades
```py
def process_trade(trade):
# process trade
print(trade)
trades_iter = api.get_trades_iter("AAPL", "2021-06-08", "2021-06-08", limit=10)
for trade in trades_iter:
process_trade(trade)
```
### Asyncio Rest module
The `rest_async.py` module now provides an asyncion approach to retrieving the historic data.<br>
This module is, and thus may have expansions in the near future to support more endpoints.<br>
It provides a much faster way to retrieve the historic data for multiple symbols.<br>
Under the hood we use the [aiohttp](https://docs.aiohttp.org/en/stable/) library.<br>
We provide a code sample to get you started with this new approach and it is located [here](examples/historic_async.py).<br>
Follow along with the example code to learn more, and utilize it for your own needs.<br>
### Live Stream Market Data
There are 2 streams available as described [here](https://alpaca.markets/docs/market-data/#subscription-plans).
The free plan is using the `iex` stream, while the paid subscription is using the `sip` stream.
You can subscribe to bars, trades, quotes, and trade updates for your account as well.
Under the example folder you can find different [code samples](https://github.com/alpacahq/alpaca-trade-api-python/tree/master/examples/websockets)
to achieve different goals.
Here in this basic example, We use the Stream class under `alpaca_trade_api.stream` for API V2 to subscribe to trade
updates for AAPL and quote updates for IBM.
```py
from alpaca_trade_api.common import URL
from alpaca_trade_api.stream import Stream
async def trade_callback(t):
print('trade', t)
async def quote_callback(q):
print('quote', q)
# Initiate Class Instance
stream = Stream(<ALPACA_API_KEY>,
<ALPACA_SECRET_KEY>,
base_url=URL('https://paper-api.alpaca.markets'),
data_feed='iex') # <- replace to 'sip' if you have PRO subscription
# subscribing to event
stream.subscribe_trades(trade_callback, 'AAPL')
stream.subscribe_quotes(quote_callback, 'IBM')
stream.run()
```
#### Websockets Config For Live Data
Under the hood our SDK uses the [Websockets library](https://websockets.readthedocs.io/en/stable/index.html) to handle
our websocket connections. Since different environments can have wildly differing requirements for resources we allow you
to pass your own config options to the websockets lib via the `websocket_params` kwarg found on the Stream class.
ie:
```python
# Initiate Class Instance
stream = Stream(<ALPACA_API_KEY>,
<ALPACA_SECRET_KEY>,
base_url=URL('https://paper-api.alpaca.markets'),
data_feed='iex', # <- replace to 'sip' if you have PRO subscription
websocket_params = {'ping_interval': 5}, #here we set ping_interval to 5 seconds
)
```
If you're curious [this link to their docs](https://websockets.readthedocs.io/en/stable/reference/client.html#opening-a-connection)
shows the values that websockets uses by default as well as any parameters they allow changing. Additionally, if you
don't specify any we set the following defaults on top of the ones the websockets library uses:
```python
{
"ping_interval": 10,
"ping_timeout": 180,
"max_queue": 1024,
}
```
## Account & Portfolio Management
The HTTP API document is located at https://docs.alpaca.markets/
### API Version
API Version now defaults to 'v2', however, if you still have a 'v1' account, you may need to specify api_version='v1' to properly use the API until you migrate.
### Authentication
The Alpaca API requires API key ID and secret key, which you can obtain from the
web console after you sign in. You can pass `key_id` and `secret_key` to the initializers of
`REST` or `Stream` as arguments, or set up environment variables as
outlined below.
### REST
The `REST` class is the entry point for the API request. The instance of this
class provides all REST API calls such as account, orders, positions,
and bars.
Each returned object is wrapped by a subclass of the `Entity` class (or a list of it).
This helper class provides property access (the "dot notation") to the
json object, backed by the original object stored in the `_raw` field.
It also converts certain types to the appropriate python object.
```python
import alpaca_trade_api as tradeapi
api = tradeapi.REST()
account = api.get_account()
account.status
=> 'ACTIVE'
```
The `Entity` class also converts the timestamp string field to a pandas.Timestamp
object. Its `_raw` property returns the original raw primitive data unmarshaled
from the response JSON text.
Please note that the API is throttled, currently 200 requests per minute, per account. If your client exceeds this number, a 429 Too many requests status will be returned and this library will retry according to the retry environment variables as configured.
If the retries are exceeded, or other API error is returned, `alpaca_trade_api.rest.APIError` is raised.
You can access the following information through this object.
- the API error code: `.code` property
- the API error message: `str(error)`
- the original request object: `.request` property
- the original response object: `.response` property
- the HTTP status code: `.status_code` property
#### API REST Methods
| Rest Method | End Point | Result |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------|------------------------------------------------------------------------------------------------------------------------------|
| get_account() | `GET /account` and | `Account` entity. |
| get_order_by_client_order_id(client_order_id) | `GET /orders` with client_order_id | `Order` entity. |
| list_orders(status=None, limit=None, after=None, until=None, direction=None, params=None,nested=None, symbols=None, side=None) | `GET /orders` | list of `Order` entities. `after` and `until` need to be string format, which you can obtain by `pd.Timestamp().isoformat()` |
| submit_order(symbol, qty=None, side="buy", type="market", time_in_force="day", limit_price=None, stop_price=None, client_order_id=None, order_class=None, take_profit=None, stop_loss=None, trail_price=None, trail_percent=None, notional=None) | `POST /orders` | `Order` entity. |
| get_order(order_id) | `GET /orders/{order_id}` | `Order` entity. |
| cancel_order(order_id) | `DELETE /orders/{order_id}` | |
| cancel_all_orders() | `DELETE /orders` | |
| list_positions() | `GET /positions` | list of `Position` entities |
| get_position(symbol) | `GET /positions/{symbol}` | `Position` entity. |
| list_assets(status=None, asset_class=None) | `GET /assets` | list of `Asset` entities |
| get_asset(symbol) | `GET /assets/{symbol}` | `Asset` entity |
| get_clock() | `GET /clock` | `Clock` entity |
| get_calendar(start=None, end=None) | `GET /calendar` | `Calendar` entity |
| get_portfolio_history(date_start=None, date_end=None, period=None, timeframe=None, extended_hours=None) | `GET /account/portfolio/history` | PortfolioHistory entity. PortfolioHistory.df can be used to get the results as a dataframe |
#### Rest Examples
Please see the `examples/` folder for some example scripts that make use of this API
##### Using `submit_order()`
Below is an example of submitting a bracket order.
```py
api.submit_order(
symbol='SPY',
side='buy',
type='market',
qty='100',
time_in_force='day',
order_class='bracket',
take_profit=dict(
limit_price='305.0',
),
stop_loss=dict(
stop_price='295.5',
limit_price='295.5',
)
)
```
For simple orders with `type='market'` and `time_in_force='day'`, you can pass a fractional amount (`qty`) or a `notional` amount (but not both). For instance, if the current market price for SPY is $300, the following calls are equivalent:
```py
api.submit_order(
symbol='SPY',
qty=1.5, # fractional shares
side='buy',
type='market',
time_in_force='day',
)
```
```py
api.submit_order(
symbol='SPY',
notional=450, # notional value of 1.5 shares of SPY at $300
side='buy',
type='market',
time_in_force='day',
)
```
---
## Logging
You should define a logger in your app in order to make sure you get all the messages from the different components.<br>
It will help you debug, and make sure you don't miss issues when they occur.<br>
The simplest way to define a logger, if you have no experience with the python logger - will be something like this:
```py
import logging
logging.basicConfig(format='%(asctime)s %(message)s', level=logging.INFO)
```
## Websocket best practices
Under the examples folder you could find several examples to do the following:
* Different subscriptions(channels) usage with the alpaca streams
* pause / resume connection
* change subscriptions/channels of existing connection
* ws disconnections handler (make sure we reconnect when the internal mechanism fails)
## Running Multiple Strategies
The base version of this library only allows running a single algorithm due to Alpaca's limit of one websocket connection per account. For those looking to run multiple strategies, there is [alpaca-proxy-agent project.](https://github.com/shlomikushchi/alpaca-proxy-agent)
The steps to execute this are:
* Run the Alpaca Proxy Agent as described in the project's README
* Define a new environment variable: `DATA_PROXY_WS` set to the address of the proxy agent. (e.g: `DATA_PROXY_WS=ws://127.0.0.1:8765`)
* If you are using the Alpaca data stream, make sure to initiate the Stream object with the container's url: `data_url='http://127.0.0.1:8765'`
* Execute your algorithm. It will connect to the Alpaca servers through the proxy agent, allowing you to execute multiple strategies
## Raw Data vs Entity Data
By default the data returned from the api or streamed via Stream is wrapped with an Entity object for ease of use. Some users may prefer working with vanilla python objects (lists, dicts, ...). You have 2 options to get the raw data:
* Each Entity object as a `_raw` property that extract the raw data from the object.
* If you only want to work with raw data, and avoid casting to Entity (which may take more time, casting back and forth) you could pass `raw_data` argument to `Rest()` object or the `Stream()` object.
## Support and Contribution
For technical issues particular to this module, please report the
issue on this GitHub repository. Any API issues can be reported through
Alpaca's customer support.
New features, as well as bug fixes, by sending a pull request is always
welcomed.
نیازمندی
| مقدار | نام |
|---|---|
| >=0.18.1 | pandas |
| >=1.11.1 | numpy |
| <3,>2 | requests |
| <2,>1.24 | urllib3 |
| <2,>=0.56.0 | websocket-client |
| <11,>=9.0 | websockets |
| ==1.0.3 | msgpack |
| ==3.8.1 | aiohttp |
| ==6.0 | PyYAML |
| ==2.1.0 | deprecation |
نحوه نصب
نصب پکیج whl alpaca-trade-api-2.3.0:
pip install alpaca-trade-api-2.3.0.whl
نصب پکیج tar.gz alpaca-trade-api-2.3.0:
pip install alpaca-trade-api-2.3.0.tar.gz