m4xw / alpaca_zorro_plugin

A Zorro Plugin for Alpaca Trade API.

AlpacaZorroPlugin

Alpaca is a modern commission-free brokerage for algorithmic trading. Alpaca API allows a trading algo to access real-time price, place orders, and manage portfolio through either REST or streaming.

AlpacaZorroPlugin is a plugin for Zorro, an institutional-grade development tool for financial research and an automatic trading system.

Install

To install the plugin, download the latest release, unzip, place the "include/AlpacaBrokerCommand.h" file into the include folder under Zorro's root path, and place the "Plugin/Alpaca.dll" file and the "Plugin/websocket_proxy" folder into the Plugin folder under Zorro's root path.

How to Use

• First generate an API Key on the Alpaca website.
• In Zorro, select Alpaca.
• Enter the API Key in the User ID input box
• Enter the Secret Key in the Password input box.

AlpacaPlugin Specific Config

Following optional Alpaca-specific configurations are added since V1.0.0. These configurations can be added in Zorro.ini or ZorroFix.ini (preferred) file.

AlpacaDataSource = 1                  // 0 = Alpaca, 1 = Polygon. Default to 0.
AlpacaPaidDataPlan = 1	              // 0 = False (Use Basic Data Plan), 1 = True (Use Pro Data Plan). Default to 1.
AlpacaLogLevel = 0                    // 0 = OFF, 1 = ERROR, 2 = WARNING, 3 = INFO, 4 = DEBUG, 5 = TRACE. Default to 0.
AlpacaUseWebsocket = 0                // 0 = Not use Websocket, 1 = Use Websocket. Default to 1.
AlpacaFractionalLotAmount = 0.001     // The LotAmount for fractionable asset. Default to 1.
PolygonApiKey = "*************"       // Polygon ApiKey

AlpacaDataSource Specify to use Alpaca market data or Polygon market data. By default, Alpaca market data will be used.

AlpacaPaidDataPlan Specify which Alpaca Websocket endpoint will be used. By default, the paid data plan will be used.

AlpacaLogLevel By default, the ApacaPlugin log is turned off unless the "diag" mode is enabled. AlpacaPlugin logging can be enabled through this config.

AlpacaUseWebsocket Specify receiving price updates from Websocket or REST API.

AlpacaFractionalLotAmount The LotAmount for a fractionable asset. Set this config to a number less than 1 to enable fractional quantity. When generating AssetList.csv, the LotAmount of any fractionable asset is set to the value of this configuration. NOTE: Fractional quantity only for Market and Day order type

PolygonApiKey The Polygon ApiKey. If AlpacaDataSource is set to 1, the PolygonApiKey must be provided through this config, otherwise, Alpaca MarketData will be used.

Features

• Support Alpaca MarketData V2 Websocket Real-Time Data. Multiple ZorroS instances can share one WebSocket connection through ZorroWebsocketProxy.
  NTOE: ZorroWebsocketProxy has a lock-free design, it spins on one CPU core. High CPU usage is normal and expected.
  Websocket can be turned off by AlpacaUseWebsocket config. If AlpacaUseWebsocket is set to 0, the last price will be polled from the Snapshot REST endpoint.

• Support Limit, Market order types

  // By default, enterLong/enterShort places a Market order
  enterLong(5);   // long 5 lot at Market price
  enterShort(5);  // short 5 lot at Market price
  
  // Place a limit
  OrderLimit = 100.00;  // set a Limit price first
  enterLong(5);   // place 5 lot at 100.00

• Support FOK, IOC, GTC, DAY, OPG, CLS TimeInForce types. See Understand Orders for more info.

  // By default, enterLong/enterShort places an order with FOK TimeInfoForce type
  // Use borkerCommand(SET_ORDERTYPE, tif) to change TimeInForce.
  // Valid TimeInForce value is
  //  ORDERTYPE_IOC - ICO
  //  ORDERTYPE_GTC - GTC
  //  ORDERTYPE_FOK - FOK (default)
  //  ORDERTYPE_DAY - DAY
  //  ORDERTYPE_OPG - OPG
  //  ORDERTYPE_CLS - CLS
  //
  // NOTE: brokerCommand(SET_ORDERTYPE, 0) will be ignored, this is because Zorro always calls brokerCommand(SET_ORDERTYPE, 0) before setting the limit price.
  
  #include "AlpacaBrokerCommands.h"
  brokerCommand(SET_ORDERTYPE, ORDERTYPE_DAY);  // set TIF to Day
  OrderLimit = 100.00;
  enterShort(5);    // Sell 5 lot Day order at limit price 100.00
  
  OrderLimit = 0;   // set order type back to Market
  brokerCommand(SET_ORDERTYPE, ORDERTYPE_CLS);  // set TIF to CLS
  enteryLong(5);    // Buy 5 lot MarketOnClose order

• Support LastQuote/LastTrade price type

  // By default, it use ask/bid price mode
  // Use brokerCommand(SET_PRICETYPE, 2) to change price type to trades
  brokerCommand(SET_PRICETYPE, 2) // Set price type to trades
  brokerCommand(SET_PRICETYPE, 1 /*or 0*/) // Set price type to ask/bid quote

• Support custom order text

  // Use borkderCommand(SET_ORDERTEXT, xxxx) to set a custom order text
  brokerCommand(SET_ORDERTEXT, "MyAlpacaOrder");  // "MyAlpacaOrder" will be added into ClientOrderId
  enterLong(5);

• Support Position retrieval

  // get position for specific Asset
  brokerCommand(GET_POSITION, "AAPL");

• Support Fractional Quantity To enable Franction Quantity support, add the AlpacaFractionalLotAmount config in Zorro.ini or ZorroFix.ini

  // AlpacaFractionalLotAmount = 0.001 in ZorroFix.ini
  #include "AlpacaBrokerCommands.h"
  ...
  asset("TLSA");
  brokerCommand(SET_ORDERTYPE, ORDERTYPE_DAY);  // Fractional qty only for Market and Day order type
  LotAmount = 5;
  enterLong();      // Buy 0.005 shares TLSA

• Support Polygon market data

  After Alpaca’s departure from Polygon, Alpaca ApiKey no longer works for Polygon. AlpacaZorroPlugin kept the Polygon market data support. NOTE: The Polygon ApiKey is moved into the Zorro config file. NOTE: Polygon free plan can't be used as an alternative market data source due to lack of last trade and last quote data.

• Generate AssetList file through custom borkerCommand

  #include "AlpacaBrokerCommands.h"
  brokerCommand(CREATE_ASSETLIST, char *symbols);

  symbols - One or more symbols separated by a comma, or 0 for all tradeable symbols. An AssetAlpaca.csv file will be generated in the Log directory.

  Exemple:
  // GenerateAlpacaAssetList.c
  #include "AlpacaBrokerCommands.h"
  function main() {
    brokerCommand(CREATE_ASSETLIST, "SPY,AAPL,MSFT,TSLA");  // Generate AssetsAlpaca.csv contains SPY, AAPL, MSFT, TSLA symbols
    //brokerCommand(CREATE_ASSETLIST, 0);   // Generate AssetsAplaca.csv contains all tradeable symbols /v2/assets endpoint. 
  }

• Get properties of current Asset

  #include "AlpacaBorkerCommads.h"
  ....
  int fractionable = borkerCommand(IS_ASSERT_FRACTIONABLE, Asset);
  int shortable = borkerCommand(IS_ASSERT_SHORTABLE, Asset);
  int easyToBorrow = borkerCommand(IS_ASSERT_EASY_TO_BORROW, Asset);
  int marginable = borkerCommand(IS_ASSERT_EASY_TO_MARGINABLE, Asset);

• Following Zorro Broker API functions has been implemented:

  • BrokerOpen
  • BrokerHTTP
  • BrokerLogin
  • BrokerTime
  • BrokerAsset
  • BrokerHistory2
    • Alpaca only support M1, M5, M15 and D1 bars.
  • BrokerBuy2
  • BrokerTrade
  • BrokerSell2
  • BrokerCommand
    • GET_COMPLIANCE
    • GET_MAXTICKS
    • GET_MAXREQUESTS
    • GET_LOCK
    • GET_POSITION
    • GET_PRICETYPE
    • GET_VOLTYPE
    • SET_ORDERTEXT
    • SET_SYMBOL
    • SET_ORDERTYPE
    • SET_PRICETYPE:
    • SET_DIAGNOSTICS:

TO-DO List

• Add target and stop order support

Build From Source

Bug Report

If you find any issues or have any suggestions, please report them in GitHub issues.

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Thanks to JetBrains for donating product licenses to help develop AlpacaZorroPlugin