Sample algo

alpacahq, updated 🕥 2022-12-08 06:37:37

A Buy-on-dip algo for Alpaca API

This is a simple algo that trades every day refreshing portfolio based on the EMA ranking. Among the universe (e.g. SP500 stocks), it ranks by daily (price - EMA) percentage as of trading time and keep positions in sync with lowest ranked stocks.

The rationale behind this: low (price - EMA) vs price ratio indicates there is a big dip in a short time. Since the universe is SP500 which means there is some fundamental strengths, the belief is that the price should be recovered to some extent.

How to run

Set up your API key in environment variables first.

$ export APCA_API_KEY_ID=xxx $ export APCA_API_SECRET_KEY=yyy

The only dependency is alpaca-trade-api module. You can set up the environment by pipenv. If python 3 and the dependency is ready,

$ python main.py

That's it.

Also, this repository is set up for Heroku. If you have a Heroku account, create a new app and run this as an application. It is only one worker app so make sure you set up worker type app.

Cutomization

universe.Universe is hard-coded. Easy customization is to change this to more dynamic set of stocks with some filters such as per-share price to be less than $50 or so. Some of the numbers are also hard-coded and it is meant to run in an account with about $500 deposit, with asuumption that one position to be up to $100, resulting in 5 positions at most. If your account size and position size preference are different, you can change these valuess.

EMA-5 is also very arbitrary choice. You could try something like 10, too.

Future work

There is btest.py that runs a simple simulation. This module needs more easy visualization and more integrated setup, possibly using jupyter and matplotlib.

Issues

Bump certifi from 2019.9.11 to 2022.12.7

opened on 2022-12-08 06:37:36 by dependabot[bot]

Bumps certifi from 2019.9.11 to 2022.12.7.

Commits

9e9e840 2022.12.07
b81bdb2 2022.09.24
939a28f 2022.09.14
aca828a 2022.06.15.2
de0eae1 Only use importlib.resources's new files() / Traversable API on Python ≥3.11 ...
b8eb5e9 2022.06.15.1
47fb7ab Fix deprecation warning on Python 3.11 (#199)
b0b48e0 fixes #198 -- update link in license
9d514b4 2022.06.15
4151e88 Add py.typed to MANIFEST.in to package in sdist (#196)
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Bump mistune from 0.8.4 to 2.0.3

opened on 2022-07-29 22:39:07 by dependabot[bot]

Bumps mistune from 0.8.4 to 2.0.3.

Release notes

Sourced from mistune's releases.

Version 2.0.2

Fix escape_url via lepture/mistune#295

Version 2.0.1

Fix XSS for image link syntax.

Version 2.0.0

First release of Mistune v2.

Version 2.0.0 RC1

In this release, we have a Security Fix for harmful links.

Version 2.0.0 Alpha 1

This is the first release of v2. An alpha version for users to have a preview of the new mistune.

Changelog

Sourced from mistune's changelog.

Changelog

Here is the full history of mistune v2.

Version 2.0.4
Released on Jul 15, 2022

Fix url plugin in &lt;a&gt; tag
Fix * formatting

Version 2.0.3
Released on Jun 27, 2022

Fix table plugin

Security fix for CVE-2022-34749

Version 2.0.2
Released on Jan 14, 2022
Fix escape_url
Version 2.0.1
Released on Dec 30, 2021

XSS fix for image link syntax.

Version 2.0.0
Released on Dec 5, 2021
This is the first non-alpha release of mistune v2.
Version 2.0.0rc1
Released on Feb 16, 2021

Version 2.0.0a6
</tr></table> 

... (truncated)

Commits

3f422f1 Version bump 2.0.3
a6d4321 Fix asteris emphasis regex CVE-2022-34749
5638e46 Merge pull request #307 from jieter/patch-1
0eba471 Fix typo in guide.rst
61e9337 Fix table plugin
76dec68 Add documentation for renderer heading when TOC enabled
799cd11 Version bump 2.0.2
babb0cf Merge pull request #295 from dairiki/bug.escape_url
fc2cd53 Make mistune.util.escape_url less aggressive
3e8d352 Version bump 2.0.1
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Bump ipython from 7.8.0 to 7.16.3

opened on 2022-01-21 19:31:01 by dependabot[bot]

Bumps ipython from 7.8.0 to 7.16.3.

Commits

d43c7c7 release 7.16.3
5fa1e40 Merge pull request from GHSA-pq7m-3gw7-gq5x
8df8971 back to dev
9f477b7 release 7.16.2
138f266 bring back release helper from master branch
5aa3634 Merge pull request #13341 from meeseeksmachine/auto-backport-of-pr-13335-on-7...
bcae8e0 Backport PR #13335: What's new 7.16.2
8fcdcd3 Pin Jedi to <0.17.2.
2486838 release 7.16.1
20bdc6f fix conda build
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Bump notebook from 6.0.1 to 6.4.1

opened on 2021-08-23 19:53:30 by dependabot[bot]

Bumps notebook from 6.0.1 to 6.4.1.

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Bump websockets from 8.0.2 to 9.1

opened on 2021-06-11 17:55:10 by dependabot[bot]

Bumps websockets from 8.0.2 to 9.1.

Changelog

Sourced from websockets's changelog.

9.1 ...

May 27, 2021

.. note::
**Version 9.1 fixes a security issue introduced in version 8.0.**
Version 8.0 was vulnerable to timing attacks on HTTP Basic Auth passwords.
9.0.2 .....

May 15, 2021

Restored compatibility of python -m websockets with Python < 3.9.

Restored compatibility with mypy.

9.0.1 .....

May 2, 2021

Fixed issues with the packaging of the 9.0 release.

9.0 ...

May 1, 2021

.. note::
**Version 9.0 moves or deprecates several APIs.**
Aliases provide backwards compatibility for all previously public APIs.


:class:~datastructures.Headers and
:exc:~datastructures.MultipleValuesError were moved from
websockets.http to :mod:websockets.datastructures. If you're using
them, you should adjust the import path.


The client, server, protocol, and auth modules were
moved from the websockets package to websockets.legacy
sub-package, as part of an upcoming refactoring. Despite the name,
they're still fully supported. The refactoring should be a transparent
upgrade for most uses when it's available. The legacy implementation
will be preserved according to the backwards-compatibility policy_.

... (truncated)

Commits

d0f3288 Bump version number.
547a26b Use constant-time comparison for passwords.
a14226a Bump version number.
8900c13 Add mypy to dictionary.
0713dbf Add test coverage.
b99c4fe Restore real imports for compatibility with mypy.
e44e085 Use relative imports everywhere, for consistency.
70fadbf Restore compatibility with Python < 3.9.
217ac2d Fix broken link.
fc176f4 Bump version number.
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Bump urllib3 from 1.24.2 to 1.26.5

opened on 2021-06-01 22:51:16 by dependabot[bot]

Bumps urllib3 from 1.24.2 to 1.26.5.

Release notes

Sourced from urllib3's releases.

1.26.5

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

Fixed deprecation warnings emitted in Python 3.10.

Updated vendored six library to 1.16.0.

Improved performance of URL parser when splitting the authority component.

If you or your organization rely on urllib3 consider supporting us via GitHub Sponsors

1.26.4

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

Changed behavior of the default SSLContext when connecting to HTTPS proxy during HTTPS requests. The default SSLContext now sets check_hostname=True.

If you or your organization rely on urllib3 consider supporting us via GitHub Sponsors

1.26.3

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

Fixed bytes and string comparison issue with headers (Pull #2141)

Changed ProxySchemeUnknown error message to be more actionable if the user supplies a proxy URL without a scheme (Pull #2107)

If you or your organization rely on urllib3 consider supporting us via GitHub Sponsors

1.26.2

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

Fixed an issue where wrap_socket and CERT_REQUIRED wouldn't be imported properly on Python 2.7.8 and earlier (Pull #2052)

1.26.1

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

Fixed an issue where two User-Agent headers would be sent if a User-Agent header key is passed as bytes (Pull #2047)

1.26.0

:warning: IMPORTANT: urllib3 v2.0 will drop support for Python 2: Read more in the v2.0 Roadmap

Added support for HTTPS proxies contacting HTTPS servers (Pull #1923, Pull #1806)

Deprecated negotiating TLSv1 and TLSv1.1 by default. Users that still wish to use TLS earlier than 1.2 without a deprecation warning should opt-in explicitly by setting ssl_version=ssl.PROTOCOL_TLSv1_1 (Pull #2002) Starting in urllib3 v2.0: Connections that receive a DeprecationWarning will fail

Deprecated Retry options Retry.DEFAULT_METHOD_WHITELIST, Retry.DEFAULT_REDIRECT_HEADERS_BLACKLIST and Retry(method_whitelist=...) in favor of Retry.DEFAULT_ALLOWED_METHODS, Retry.DEFAULT_REMOVE_HEADERS_ON_REDIRECT, and Retry(allowed_methods=...) (Pull #2000) Starting in urllib3 v2.0: Deprecated options will be removed

... (truncated)

Changelog

Sourced from urllib3's changelog.

1.26.5 (2021-05-26)

Fixed deprecation warnings emitted in Python 3.10.

Updated vendored six library to 1.16.0.

Improved performance of URL parser when splitting the authority component.

1.26.4 (2021-03-15)

Changed behavior of the default SSLContext when connecting to HTTPS proxy during HTTPS requests. The default SSLContext now sets check_hostname=True.

1.26.3 (2021-01-26)

Fixed bytes and string comparison issue with headers (Pull #2141)

Changed ProxySchemeUnknown error message to be more actionable if the user supplies a proxy URL without a scheme. (Pull #2107)

1.26.2 (2020-11-12)

Fixed an issue where wrap_socket and CERT_REQUIRED wouldn't be imported properly on Python 2.7.8 and earlier (Pull #2052)

1.26.1 (2020-11-11)

Fixed an issue where two User-Agent headers would be sent if a User-Agent header key is passed as bytes (Pull #2047)

1.26.0 (2020-11-10)

NOTE: urllib3 v2.0 will drop support for Python 2. Read more in the v2.0 Roadmap <https://urllib3.readthedocs.io/en/latest/v2-roadmap.html>_.

Added support for HTTPS proxies contacting HTTPS servers (Pull #1923, Pull #1806)

Deprecated negotiating TLSv1 and TLSv1.1 by default. Users that still wish to use TLS earlier than 1.2 without a deprecation warning

... (truncated)

Commits

d161647 Release 1.26.5
2d4a3fe Improve performance of sub-authority splitting in URL
2698537 Update vendored six to 1.16.0
07bed79 Fix deprecation warnings for Python 3.10 ssl module
d725a9b Add Python 3.10 to GitHub Actions
339ad34 Use pytest==6.2.4 on Python 3.10+
f271c9c Apply latest Black formatting
1884878 [1.26] Properly proxy EOF on the SSLTransport test suite
a891304 Release 1.26.4
8d65ea1 Merge pull request from GHSA-5phf-pp7p-vc2r
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Alpaca

Alpaca builds an API for free stock trading

GitHub Repository