AlpacaStreams: Alpaca Websocket Streaming

In jagg19/AlpacaforR: Trade with Alpaca using R

Alpaca Websocket Streaming

Description

An R6 class that allows interaction with Alpaca and Polygon websockets. \lifecycleexperimental

Channels

Channels are joined by calling the ⁠$channel()⁠ method. The socket is automatically detected based on the channel request.

Available Alpaca Channels:

• "trade_alpaca"/"t" Alpaca trade stream

• All V2 streaming data channels: V2 Streaming websocket channels are connected to by supplying a ⁠named list⁠ to channel with any or all of the following list items, each of which contains a ⁠character vector⁠ of symbol names - or * for bars to subscribe to all symbols:

  • trades

  • quotes

  • bars

  See the V2 Streaming Documentation for details.

• Note: The Alpaca V1 Streaming API has been superseded by the V2 API and is not supported.

Available Polygon Channels:

• T.* Trades

• Q.* Quotes

• A.* Aggregate ( per second )

• AM.* Aggregate ( per minute )

where * is the ticker symbol and the argument is case-insensitive. IE "am.bynd" will subscribe to by minute aggregates for Beyond Meat. Multiple channels can be subscribed to using a character vector.

Channel Data Format

Messages returned by the Polygon Websocket depend on the channel:

Trade

• ev Event Type

• sym Symbol Ticker

• x Exchange ID

• i Trade ID

• z Tape ( 1=A 2=B 3=C)

• p Price

• s Trade Size

• c Trade Conditions

• t Trade Timestamp ( Unix MS )

Quote

• ev Event Type

• sym Symbol Ticker

• bx Bix Exchange ID

• bp Bid Price

• bs Bid Size

• ax Ask Exchange ID

• ap Ask Price

• as Ask Size

• c Quote Condition

• t Quote Timestamp ( Unix MS )

Agg

• ev Event Type ( A = Second Agg, AM = Minute Agg )

• sym Symbol Ticker

• v Tick Volume

• av Accumulated Volume ( Today )

• op Todays official opening price

• vw VWAP (Volume Weighted Average Price)

• o Tick Open Price

• c Tick Close Price

• h Tick High Price

• l Tick Low Price

• a Tick Average / VWAP Price

• s Tick Start Timestamp ( Unix MS )

• e Tick End Timestamp ( Unix MS )

Public fields

Alpaca

slot for AlpacaSocket. Contains a socket for the v1 account websocket and the v2 data websocket.

Polygon

slot for PolygonSocket

Methods

Public methods

• AlpacaStreams$new()

• AlpacaStreams$channel()

• AlpacaStreams$logs()

• AlpacaStreams$connect()

• AlpacaStreams$close()

• AlpacaStreams$clone()

---

Method new()

Connect to and authorize Alpaca and Polygon websocket streams and set default options for these websockets.

Usage

AlpacaStreams$new(
  socket = c("account_alpaca", "data_alpaca", "polygon")[1:2],
  toConsole = TRUE,
  log = TRUE,
  log_limit = 5000,
  bars_limit = 5000,
  write_dir = file.path(getwd(), "AlpacaStreams"),
  overwrite = TRUE,
  msg_action = NULL,
  live = get_live(),
  pro = get_pro(),
  ...
)

Arguments

socket

(character) Which Websocket stream to connect to:

• `"account_alpaca"/"a"` Alpaca account updates

• `"data_alpaca"/"a"` Alpaca real-time data websockets

• `"polygon"/"p"` Polygon websockets Polygon Subscription Required

toConsole

(logical) flag for whether to report websocket messages to the console. Default TRUE.

log

(logical) flag for whether to retain a log of messages (from Alpaca) or messages & bars from symbol feeds from Polygon. Default TRUE to store logs.

log_limit

(numeric) indicating the number of previous messages to retain in the log. Default 5000. See Details for memory handling specifics.

bars_limit

(numeric) indicating the number of previous bars (per subscription feed) to retain in the log. Default 5000. See Details for memory handling specifics.

write_dir

(character/logical) The directory in which to store logs on disk. Use FALSE to disable logging to disk. Folders will be created. Default "AlpacaStreams".

overwrite

(logical) indicating whether to overwrite data from previous instances of a websocket connection. Default TRUE.

msg_action

(expression) An expression that performs a user-specified action on the receipt of websocket message. These act on the msg object seen printed to the console when a message is received (if toConsole = TRUE). The msg object also contains a ⁠$ts⁠ column with the timestamp as a POSIXct and a ⁠$socket⁠ column with the socket name of origin ("Alpaca"/"Polygon") that are not visible in what is printed to the console but accessible to msg_action. The expression can also reference the self internal environment of this R6Class.

live

Whether to connect to the live or paper API. See ?account for details.

pro

(logical) Whether to use a Pro account. See get_pro

...

Passed on to WebSocket

---

Method channel()

Sends request to websocket to join the specified channel. Channel options are inherited from defaults set in AlpacaStreams$initialize unless overridden.

Usage

AlpacaStreams$channel(
  channel = NULL,
  subscribe = TRUE,
  overwrite = FALSE,
  msg_action = NULL,
  ...
)

Arguments

channel

The channel to join

subscribe

(logical) Default TRUE. Set to FALSE to unsubscribe from specified channel(s).

overwrite

(logical) Default FALSE. Set to TRUE to overwrite data from previous instances of this channel socket.

msg_action

(expression) An expression that performs a user-specified action on the receipt of websocket message. These act on the msg object seen printed to the console when a message is received (if toConsole = TRUE). The msg object also contains a ⁠$ts⁠ column with the timestamp as a POSIXct and a ⁠$socket⁠ column with the socket name of origin ("Alpaca"/"Polygon") that are not visible in what is printed to the console but accessible to msg_action. The expression can also reference the self internal environment of this R6Class.

...

Named parameters of AlpacaStreams$new() to be applied to this particular channel.

Details

If log = TRUE for a Polygon channel, all non-status messages will be stored as tibbles named according to their respective channel name and accessed via the ⁠$logs()⁠ method.

---

Method logs()

Retrieve *Socket Logs/Bars

Usage

AlpacaStreams$logs(channel)

Arguments

channel

(character) The name of the channel for which to retrieve logs. The socket is auto-filled if a matching channel is available. If blank, all logs are returned.

---

Method connect()

Connects both AlpacaSocket & PolygonSocket to their respective server-side sockets.

Usage

AlpacaStreams$connect(...)

Arguments

...

named arguments passed on to individual socket initialization methods. see AlpacaSocket

---

Method close()

Closes connections for both AlpacaSocket & PolygonSocket.

Usage

AlpacaStreams$close()

---

Method clone()

The objects of this class are cloneable with this method.

Usage

AlpacaStreams$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

## Not run: 
AS <- AlpacaStreams$new()
AS$channel()
# Subscribe to by-minute data for Beyond Meat Inc
AS$channel(list(bars = "BYND"))
# Turn off console messages
AS$Alpaca$data$opts$b.BYND$toConsole <- FALSE

## End(Not run)

jagg19/AlpacaforR documentation built on July 3, 2023, 12:14 p.m.