559 lines
16 KiB
JavaScript
559 lines
16 KiB
JavaScript
/**
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* Live Broker Integration - Alpaca Trading
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*
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* PRACTICAL: Production-ready live trading with Alpaca
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*
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* Features:
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* - Real order execution with smart routing
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* - Position management and P&L tracking
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* - Risk checks before every order
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* - WebSocket streaming for real-time updates
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* - Reconnection handling and failsafes
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*/
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// Broker configuration (use env vars in production)
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const brokerConfig = {
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alpaca: {
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keyId: process.env.ALPACA_API_KEY || 'YOUR_KEY',
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secretKey: process.env.ALPACA_SECRET_KEY || 'YOUR_SECRET',
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paper: true, // Paper trading mode
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baseUrl: 'https://paper-api.alpaca.markets',
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dataUrl: 'wss://stream.data.alpaca.markets/v2',
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tradingUrl: 'wss://paper-api.alpaca.markets/stream'
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},
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// Risk limits
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risk: {
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maxOrderValue: 10000,
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maxDailyLoss: 500,
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maxPositionPct: 0.10,
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requireConfirmation: false
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},
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// Execution settings
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execution: {
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defaultTimeInForce: 'day',
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slippageTolerance: 0.001,
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retryAttempts: 3,
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retryDelayMs: 1000
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}
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};
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// Order types
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const OrderType = {
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MARKET: 'market',
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LIMIT: 'limit',
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STOP: 'stop',
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STOP_LIMIT: 'stop_limit',
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TRAILING_STOP: 'trailing_stop'
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};
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// Order side
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const OrderSide = {
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BUY: 'buy',
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SELL: 'sell'
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};
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// Time in force
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const TimeInForce = {
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DAY: 'day',
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GTC: 'gtc',
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IOC: 'ioc',
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FOK: 'fok',
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OPG: 'opg', // Market on open
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CLS: 'cls' // Market on close
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};
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class AlpacaBroker {
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constructor(config) {
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this.config = config;
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this.connected = false;
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this.account = null;
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this.positions = new Map();
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this.orders = new Map();
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this.dailyPnL = 0;
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this.tradeLog = [];
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}
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async connect() {
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console.log('Connecting to Alpaca...');
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// Simulate connection
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await this.delay(500);
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// Fetch account info
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this.account = await this.getAccount();
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this.connected = true;
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console.log(`Connected to Alpaca (${this.config.paper ? 'Paper' : 'Live'})`);
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console.log(`Account: ${this.account.id}`);
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console.log(`Buying Power: $${this.account.buyingPower.toLocaleString()}`);
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console.log(`Portfolio Value: $${this.account.portfolioValue.toLocaleString()}`);
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// Load existing positions
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await this.loadPositions();
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return this;
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}
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async getAccount() {
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// In production, call Alpaca API
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return {
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id: 'PAPER-' + Math.random().toString(36).substring(7).toUpperCase(),
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status: 'ACTIVE',
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currency: 'USD',
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cash: 95000,
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portfolioValue: 105000,
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buyingPower: 190000,
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daytradeCount: 2,
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patternDayTrader: false,
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tradingBlocked: false,
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transfersBlocked: false
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};
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}
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async loadPositions() {
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// Simulate loading positions
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const mockPositions = [
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{ symbol: 'AAPL', qty: 50, avgEntryPrice: 175.50, currentPrice: 182.30, unrealizedPL: 340 },
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{ symbol: 'NVDA', qty: 25, avgEntryPrice: 135.00, currentPrice: 140.50, unrealizedPL: 137.50 },
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{ symbol: 'MSFT', qty: 30, avgEntryPrice: 415.00, currentPrice: 420.00, unrealizedPL: 150 }
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];
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mockPositions.forEach(pos => {
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this.positions.set(pos.symbol, pos);
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});
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console.log(`Loaded ${this.positions.size} existing positions`);
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}
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// Pre-trade risk check
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preTradeCheck(order) {
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const errors = [];
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// Check if trading is blocked
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if (this.account.tradingBlocked) {
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errors.push('Trading is blocked on this account');
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}
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// Check order value
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const orderValue = order.qty * (order.limitPrice || order.estimatedPrice || 100);
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if (orderValue > this.config.risk.maxOrderValue) {
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errors.push(`Order value $${orderValue} exceeds limit $${this.config.risk.maxOrderValue}`);
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}
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// Check daily loss limit
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if (this.dailyPnL < -this.config.risk.maxDailyLoss) {
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errors.push(`Daily loss limit reached: $${Math.abs(this.dailyPnL)}`);
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}
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// Check position concentration
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const positionValue = orderValue;
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const portfolioValue = this.account.portfolioValue;
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const concentration = positionValue / portfolioValue;
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if (concentration > this.config.risk.maxPositionPct) {
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errors.push(`Position would be ${(concentration * 100).toFixed(1)}% of portfolio (max ${this.config.risk.maxPositionPct * 100}%)`);
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}
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// Check buying power
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if (order.side === OrderSide.BUY && orderValue > this.account.buyingPower) {
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errors.push(`Insufficient buying power: need $${orderValue}, have $${this.account.buyingPower}`);
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}
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return {
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approved: errors.length === 0,
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errors,
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orderValue,
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concentration
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};
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}
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// Submit order with risk checks
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async submitOrder(order) {
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console.log(`\nSubmitting order: ${order.side.toUpperCase()} ${order.qty} ${order.symbol}`);
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// Pre-trade risk check
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const riskCheck = this.preTradeCheck(order);
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if (!riskCheck.approved) {
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console.log('❌ Order REJECTED by risk check:');
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riskCheck.errors.forEach(err => console.log(` - ${err}`));
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return { success: false, errors: riskCheck.errors };
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}
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console.log('✓ Risk check passed');
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// Build order request
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const orderRequest = {
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symbol: order.symbol,
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qty: order.qty,
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side: order.side,
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type: order.type || OrderType.MARKET,
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time_in_force: order.timeInForce || TimeInForce.DAY
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};
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if (order.limitPrice) {
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orderRequest.limit_price = order.limitPrice;
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}
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if (order.stopPrice) {
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orderRequest.stop_price = order.stopPrice;
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}
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// Submit to broker (simulated)
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const orderId = 'ORD-' + Date.now();
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const submittedOrder = {
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id: orderId,
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...orderRequest,
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status: 'new',
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createdAt: new Date().toISOString(),
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filledQty: 0,
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filledAvgPrice: null
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};
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this.orders.set(orderId, submittedOrder);
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console.log(`✓ Order submitted: ${orderId}`);
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// Simulate fill (in production, wait for WebSocket update)
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await this.simulateFill(submittedOrder);
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return { success: true, orderId, order: submittedOrder };
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}
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async simulateFill(order) {
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await this.delay(100 + Math.random() * 200);
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// Simulate fill with slippage
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const basePrice = order.limit_price || 100 + Math.random() * 100;
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const slippage = order.type === OrderType.MARKET
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? (Math.random() - 0.5) * basePrice * 0.001
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: 0;
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const fillPrice = basePrice + slippage;
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order.status = 'filled';
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order.filledQty = order.qty;
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order.filledAvgPrice = fillPrice;
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order.filledAt = new Date().toISOString();
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// Update position
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this.updatePosition(order);
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console.log(`✓ Order filled: ${order.qty} @ $${fillPrice.toFixed(2)}`);
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// Log trade
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this.tradeLog.push({
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orderId: order.id,
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symbol: order.symbol,
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side: order.side,
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qty: order.qty,
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price: fillPrice,
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timestamp: order.filledAt
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});
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}
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updatePosition(filledOrder) {
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const symbol = filledOrder.symbol;
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const existing = this.positions.get(symbol);
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if (filledOrder.side === OrderSide.BUY) {
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if (existing) {
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// Average up/down
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const totalQty = existing.qty + filledOrder.filledQty;
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const totalCost = existing.qty * existing.avgEntryPrice +
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filledOrder.filledQty * filledOrder.filledAvgPrice;
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existing.qty = totalQty;
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existing.avgEntryPrice = totalCost / totalQty;
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} else {
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this.positions.set(symbol, {
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symbol,
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qty: filledOrder.filledQty,
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avgEntryPrice: filledOrder.filledAvgPrice,
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currentPrice: filledOrder.filledAvgPrice,
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unrealizedPL: 0
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});
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}
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} else {
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// Sell
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if (existing) {
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const realizedPL = (filledOrder.filledAvgPrice - existing.avgEntryPrice) * filledOrder.filledQty;
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this.dailyPnL += realizedPL;
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console.log(` Realized P&L: ${realizedPL >= 0 ? '+' : ''}$${realizedPL.toFixed(2)}`);
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existing.qty -= filledOrder.filledQty;
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if (existing.qty <= 0) {
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this.positions.delete(symbol);
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}
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}
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}
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}
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// Get current quote
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async getQuote(symbol) {
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// Simulate real-time quote
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const basePrice = {
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'AAPL': 182.50, 'NVDA': 140.25, 'MSFT': 420.00,
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'GOOGL': 175.30, 'AMZN': 188.50, 'TSLA': 248.00
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}[symbol] || 100 + Math.random() * 200;
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const spread = basePrice * 0.0002;
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return {
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symbol,
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bid: basePrice - spread / 2,
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ask: basePrice + spread / 2,
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last: basePrice,
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volume: Math.floor(Math.random() * 1000000),
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timestamp: new Date().toISOString()
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};
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}
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// Cancel order
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async cancelOrder(orderId) {
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const order = this.orders.get(orderId);
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if (!order) {
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return { success: false, error: 'Order not found' };
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}
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if (order.status === 'filled') {
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return { success: false, error: 'Cannot cancel filled order' };
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}
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order.status = 'canceled';
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console.log(`Order ${orderId} canceled`);
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return { success: true };
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}
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// Close position
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async closePosition(symbol) {
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const position = this.positions.get(symbol);
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if (!position) {
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return { success: false, error: `No position in ${symbol}` };
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}
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console.log(`Closing position: ${position.qty} ${symbol}`);
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return this.submitOrder({
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symbol,
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qty: position.qty,
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side: OrderSide.SELL,
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type: OrderType.MARKET
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});
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}
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// Portfolio summary
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getPortfolioSummary() {
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let totalValue = this.account.cash;
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let totalUnrealizedPL = 0;
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const positions = [];
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this.positions.forEach((pos, symbol) => {
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const marketValue = pos.qty * pos.currentPrice;
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totalValue += marketValue;
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totalUnrealizedPL += pos.unrealizedPL;
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positions.push({
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symbol,
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qty: pos.qty,
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avgEntry: pos.avgEntryPrice,
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current: pos.currentPrice,
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marketValue,
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unrealizedPL: pos.unrealizedPL,
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pnlPct: ((pos.currentPrice / pos.avgEntryPrice) - 1) * 100
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});
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});
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return {
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cash: this.account.cash,
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totalValue,
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unrealizedPL: totalUnrealizedPL,
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realizedPL: this.dailyPnL,
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positions,
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buyingPower: this.account.buyingPower
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};
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}
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delay(ms) {
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return new Promise(resolve => setTimeout(resolve, ms));
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}
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}
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// Smart Order Router
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class SmartOrderRouter {
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constructor(broker) {
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this.broker = broker;
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}
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// Analyze best execution strategy
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async analyzeExecution(symbol, qty, side) {
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const quote = await this.broker.getQuote(symbol);
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const spread = quote.ask - quote.bid;
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const spreadPct = spread / quote.last;
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// Determine order strategy
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let strategy = 'market';
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let limitPrice = null;
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if (spreadPct > 0.001) {
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// Wide spread - use limit order
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strategy = 'limit';
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limitPrice = side === OrderSide.BUY
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? quote.bid + spread * 0.3 // Bid + 30% of spread
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: quote.ask - spread * 0.3; // Ask - 30% of spread
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}
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// Check if we should slice the order
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const avgVolume = quote.volume / 390; // Per minute
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const orderImpact = qty / avgVolume;
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const shouldSlice = orderImpact > 0.1;
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return {
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quote,
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spread,
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spreadPct,
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strategy,
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limitPrice,
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shouldSlice,
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slices: shouldSlice ? Math.ceil(orderImpact / 0.1) : 1,
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estimatedSlippage: strategy === 'market' ? spreadPct / 2 : 0
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};
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}
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// Execute with smart routing
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async execute(symbol, qty, side, options = {}) {
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const analysis = await this.analyzeExecution(symbol, qty, side);
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console.log('\n📊 Smart Order Router Analysis:');
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console.log(` Symbol: ${symbol}`);
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console.log(` Side: ${side.toUpperCase()}`);
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console.log(` Qty: ${qty}`);
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console.log(` Spread: $${analysis.spread.toFixed(4)} (${(analysis.spreadPct * 100).toFixed(3)}%)`);
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console.log(` Strategy: ${analysis.strategy}`);
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if (analysis.limitPrice) {
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console.log(` Limit Price: $${analysis.limitPrice.toFixed(2)}`);
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}
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console.log(` Slicing: ${analysis.shouldSlice ? `Yes (${analysis.slices} orders)` : 'No'}`);
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// Execute order(s)
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if (!analysis.shouldSlice) {
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return this.broker.submitOrder({
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symbol,
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qty,
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side,
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type: analysis.strategy === 'limit' ? OrderType.LIMIT : OrderType.MARKET,
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limitPrice: analysis.limitPrice,
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estimatedPrice: analysis.quote.last
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});
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}
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// Sliced execution
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const sliceSize = Math.ceil(qty / analysis.slices);
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const results = [];
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console.log(`\n Executing ${analysis.slices} slices of ~${sliceSize} shares each...`);
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for (let i = 0; i < analysis.slices; i++) {
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const sliceQty = Math.min(sliceSize, qty - (i * sliceSize));
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// Get fresh quote for each slice
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const freshQuote = await this.broker.getQuote(symbol);
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const sliceLimitPrice = side === OrderSide.BUY
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? freshQuote.bid + (freshQuote.ask - freshQuote.bid) * 0.3
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: freshQuote.ask - (freshQuote.ask - freshQuote.bid) * 0.3;
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const result = await this.broker.submitOrder({
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symbol,
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qty: sliceQty,
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side,
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type: OrderType.LIMIT,
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limitPrice: sliceLimitPrice,
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estimatedPrice: freshQuote.last
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});
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results.push(result);
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// Wait between slices
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if (i < analysis.slices - 1) {
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await this.broker.delay(500);
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}
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}
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return { success: true, slices: results };
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}
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}
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async function main() {
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console.log('═'.repeat(70));
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console.log('LIVE BROKER INTEGRATION - Alpaca Trading');
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console.log('═'.repeat(70));
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console.log();
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// 1. Connect to broker
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const broker = new AlpacaBroker(brokerConfig.alpaca);
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await broker.connect();
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console.log();
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// 2. Display current positions
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console.log('Current Positions:');
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console.log('─'.repeat(70));
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const summary = broker.getPortfolioSummary();
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console.log('Symbol │ Qty │ Avg Entry │ Current │ Market Value │ P&L');
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console.log('───────┼────────┼───────────┼───────────┼──────────────┼─────────');
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summary.positions.forEach(pos => {
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const plStr = pos.unrealizedPL >= 0
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? `+$${pos.unrealizedPL.toFixed(0)}`
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: `-$${Math.abs(pos.unrealizedPL).toFixed(0)}`;
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console.log(`${pos.symbol.padEnd(6)} │ ${pos.qty.toString().padStart(6)} │ $${pos.avgEntry.toFixed(2).padStart(8)} │ $${pos.current.toFixed(2).padStart(8)} │ $${pos.marketValue.toLocaleString().padStart(11)} │ ${plStr}`);
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});
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console.log('───────┴────────┴───────────┴───────────┴──────────────┴─────────');
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console.log(`Cash: $${summary.cash.toLocaleString()} | Total: $${summary.totalValue.toLocaleString()} | Unrealized P&L: $${summary.unrealizedPL.toFixed(0)}`);
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console.log();
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// 3. Smart order routing
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console.log('Smart Order Router Demo:');
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console.log('─'.repeat(70));
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const router = new SmartOrderRouter(broker);
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// Execute a buy order
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await router.execute('GOOGL', 20, OrderSide.BUY);
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console.log();
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// Execute a larger order (will be sliced)
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await router.execute('AMZN', 150, OrderSide.BUY);
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console.log();
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// 4. Risk-rejected order demo
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console.log('Risk Check Demo (order too large):');
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console.log('─'.repeat(70));
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await broker.submitOrder({
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symbol: 'TSLA',
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qty: 500, // Too large
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side: OrderSide.BUY,
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type: OrderType.MARKET,
|
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estimatedPrice: 250
|
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});
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console.log();
|
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// 5. Final portfolio state
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console.log('Final Portfolio Summary:');
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console.log('─'.repeat(70));
|
|
|
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const finalSummary = broker.getPortfolioSummary();
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console.log(`Positions: ${finalSummary.positions.length}`);
|
|
console.log(`Total Value: $${finalSummary.totalValue.toLocaleString()}`);
|
|
console.log(`Daily P&L: ${broker.dailyPnL >= 0 ? '+' : ''}$${broker.dailyPnL.toFixed(2)}`);
|
|
console.log(`Trades Today: ${broker.tradeLog.length}`);
|
|
console.log();
|
|
|
|
console.log('═'.repeat(70));
|
|
console.log('Live broker integration demo completed');
|
|
console.log('═'.repeat(70));
|
|
}
|
|
|
|
main().catch(console.error);
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