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alpaca_pairs_trading.py
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alpaca_pairs_trading.py
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import threading
from time import sleep
import alpaca_trade_api as tradeapi
import pandas as pd
base_url = 'https://paper-api.alpaca.markets'
data_url = 'wss://data.alpaca.markets'
trade_taken = False
# instantiate REST API
api = tradeapi.REST(base_url=base_url, api_version='v2')
# init WebSocket
conn = tradeapi.stream2.StreamConn(
base_url=base_url, data_url=data_url, data_stream='alpacadatav1'
)
def wait_for_market_open():
clock = api.get_clock()
if not clock.is_open:
time_to_open = clock.next_open - clock.timestamp
sleep_time = round(time_to_open.total_seconds())
sleep(sleep_time)
return clock
# define websocket callbacks
data_df = None
@conn.on(r'^T.ENZL$')
async def on_second_bars_EWN(conn, channel, bar):
if data_df is not None:
data_df.enzl[-1] = bar.price
@conn.on(r'^T.EWA$')
async def on_second_bars_ENZL(conn, channel, bar):
if data_df is not None:
data_df.ewa[-1] = bar.price
# start WebSocket in a thread
streams = ['T.ENZL', 'T.EWA']
ws_thread = threading.Thread(target=conn.run, daemon=True, args=(streams,))
ws_thread.start()
# main
while True:
clock = wait_for_market_open()
ewa = api.get_barset('EWA', 'day', limit=25)
enzl = api.get_barset('ENZL', 'day', limit=25)
data_df = pd.concat(
[ewa.df.EWA.close, enzl.df.ENZL.close],
axis=1,
join='inner',
keys=['ewa', 'enzl'],
)
data_df.enzl[-1] = 0
data_df.ewa[-1] = 0
spread_df = data_df.pct_change()
spread_df = spread_df[:-1]
spread_df['spread'] = spread_df.ewa - spread_df.enzl
max_divergence = spread_df.spread.tail(20).abs().max()
while data_df.enzl[-1] == 0 or data_df.ewa[-1] == 0:
sleep(1)
while not trade_taken:
# check for trade opportunities
spread_df = data_df.pct_change()[:2]
spread_df['spread'] = spread_df.ewa - spread_df.enzl
if abs(spread_df.spread[-1]) > max_divergence:
# there is a trade - calculate position sizing
acct = api.get_account()
acct_size = float(acct.equity)
ewa_size = round(acct_size / data_df.ewa[-1])
enzl_size = round(acct_size / data_df.enzl[-1])
if spread_df.spread[-1] < 0:
# EWA - ENZL is negative -> Long EWA short ENZL
long_ewa = True
ewa_side = 'buy'
enzl_side = 'sell'
else:
# EWA - ENZL is positive -> Short EWA long ENZL
long_ewa = False
ewa_side = 'sell'
enzl_side = 'buy'
# submit order
api.submit_order(
symbol='EWA',
qty=ewa_size,
side=ewa_side,
time_in_force='gtc',
type='market',
)
api.submit_order(
symbol='ENZL',
qty=enzl_size,
side=enzl_side,
time_in_force='gtc',
type='market',
)
trade_taken = True
stop_loss = acct_size * 0.02 * -1
take_profit = acct_size * max_divergence
break
sleep(1)
# check if the market is still open
if pd.Timestamp.now(tz='America/New_York') > clock.next_close:
trade_taken = False
break
while trade_taken:
# In a trade - check for exit
pnl = data_df.ewa[-1] * ewa_size - data_df.enzl[-1] * enzl_size
if not long_ewa:
pnl *= -1 # inverse the p&l calculation
if pnl < stop_loss or pnl > take_profit:
# Either stop or take profit hit - close trade
api.close_position('EWA')
api.close_position('ENZL')
trade_taken = False
break
if pd.Timestamp.now(tz='America/New_York') > clock.next_close:
break