Alpaca

Indemos · May 3, 2024 · 3f1b35d · 3f1b35d
1 parent 283255f
commit 3f1b35d
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Showing 112 changed files with 2,608 additions and 543 deletions.
diff --git a/Client/Client.csproj b/Client/Client.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk.Web">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
+    <TargetFramework>net8.0</TargetFramework>
     <Nullable>disable</Nullable>
     <ImplicitUsings>disable</ImplicitUsings>
   </PropertyGroup>

diff --git a/Client/Components/PositionsComponent.razor.cs b/Client/Components/PositionsComponent.razor.cs
@@ -26,7 +26,7 @@ public virtual Task UpdateItems(IDictionary<string, PositionModel> items)
         Name = o.Order.Transaction.Instrument.Name,
         Side = o.Order.Side ?? OrderSideEnum.None,
         Size = o.Order.Transaction.Volume ?? 0,
-        OpenPrice = o.Orders.First().Transaction.Price ?? 0,
+        OpenPrice = o.Order.Transaction.Price ?? 0,
         ClosePrice = o.ClosePriceEstimate ?? 0,
         Gain = o.GainLossAverageEstimate ?? 0
 

diff --git a/Client/Pages/Coins.razor → Client/Pages/Orders.razor b/Client/Pages/Coins.razor → Client/Pages/Orders.razor
@@ -1,3 +1,3 @@
-@page "/coins"
+@page "/orders"
 
 <PageComponent @ref="View"></PageComponent>
diff --git a/Client/Pages/Coins.razor.cs → Client/Pages/Orders.razor.cs b/Client/Pages/Coins.razor.cs → Client/Pages/Orders.razor.cs
@@ -5,6 +5,7 @@
 using Microsoft.AspNetCore.Components;
 using Microsoft.Extensions.Configuration;
 using SkiaSharp;
+using System;
 using System.Collections.Generic;
 using System.Linq;
 using System.Threading.Tasks;
@@ -15,14 +16,14 @@
 
 namespace Client.Pages
 {
-  public partial class Coins
+  public partial class Orders
   {
     [Inject] IConfiguration Configuration { get; set; }
 
     /// <summary>
     /// Strategy
     /// </summary>
-    const string _asset = "BTCUSD";
+    const string _asset = "FAKEPACA";
 
     protected virtual IAccount Account { get; set; }
     protected virtual PageComponent View { get; set; }
@@ -37,7 +38,8 @@ protected override async Task OnAfterRenderAsync(bool setup)
         var indAreas = new GroupShape();
         var indCharts = new GroupShape();
 
-        indCharts.Groups["Range"] = new AreaShape { Component = indUp };
+        indCharts.Groups["Ups"] = new BarShape { Component = indUp };
+        indCharts.Groups["Downs"] = new BarShape { Component = indDown };
         indAreas.Groups["Prices"] = indCharts;
 
         await View.ChartsView.Create(indAreas);
@@ -57,17 +59,19 @@ protected override async Task OnAfterRenderAsync(bool setup)
         {
           Account = new Account
           {
-            Name = "Demo",
-            Balance = 25000,
+            Descriptor = "Demo",
             Instruments = new Dictionary<string, Instrument>
             {
-              [_asset] = new Instrument { Name = _asset },
+              [_asset] = new Instrument { Name = _asset }
             }
           };
 
           View.Adapter = new Adapter
           {
             Account = Account,
+            ConsumerKey = Configuration["Alpaca:Token"],
+            ConsumerSecret = Configuration["Alpaca:Secret"],
+            StreamUri = "wss://stream.data.alpaca.markets/v2/test"
           };
 
           Performance = new PerformanceIndicator { Name = "Balance" };
@@ -78,13 +82,38 @@ protected override async Task OnAfterRenderAsync(bool setup)
             .ForEach(o => o.Points.CollectionChanged += (_, e) => e
               .NewItems
               .OfType<PointModel>()
-              .ForEach(o => { }));
+              .ForEach(async o => await OnData(o)));
         };
       }
 
       await base.OnAfterRenderAsync(setup);
     }
 
+    private async Task OnData(PointModel point)
+    {
+      var instrument = Account.Instruments[_asset];
+      var series = instrument.Points;
+
+      if (series.Count > 1)
+      {
+        return;
+      }
+
+      var chartPoints = new List<KeyValuePair<string, PointModel>>();
+      var reportPoints = new List<KeyValuePair<string, PointModel>>();
+      var performance = Performance.Calculate([Account]);
+
+      chartPoints.Add(KeyValuePair.Create("Ups", new PointModel { Time = point.Time, Last = Math.Max(0, point.Last.Value) }));
+      reportPoints.Add(KeyValuePair.Create("Balance", new PointModel { Time = point.Time, Last = Account.Balance }));
+      reportPoints.Add(KeyValuePair.Create("PnL", new PointModel { Time = point.Time, Last = performance.Point.Last }));
+
+      await View.ChartsView.UpdateItems(chartPoints, 100);
+      await View.ReportsView.UpdateItems(reportPoints);
+      await View.DealsView.UpdateItems(Account.Positions);
+      await View.OrdersView.UpdateItems(Account.ActiveOrders);
+      await View.PositionsView.UpdateItems(Account.ActivePositions);
+    }
+
     private void OpenPositions(IInstrument assetBuy, IInstrument assetSell)
     {
       var orderSell = new OrderModel
@@ -109,8 +138,8 @@ private void OpenPositions(IInstrument assetBuy, IInstrument assetSell)
         }
       };
 
-      View.Adapter.CreateOrders(orderBuy);
-      View.Adapter.CreateOrders(orderSell);
+      View.Adapter.SendOrders(orderBuy);
+      View.Adapter.SendOrders(orderSell);
 
       var account = View.Adapter.Account;
       var buy = account.ActivePositions.Values.First(o => o.Order.Side == OrderSideEnum.Buy);
@@ -142,7 +171,7 @@ private void ClosePositions()
           }
         };
 
-        View.Adapter.CreateOrders(order);
+        View.Adapter.SendOrders(order);
 
         //points.Add(new PointModel { Time = order.Time, Name = nameof(OrderSideEnum.Buy), Last = price });
       }

diff --git a/Client/Pages/Pairs.razor.cs b/Client/Pages/Pairs.razor.cs
@@ -39,8 +39,8 @@ protected override async Task OnAfterRenderAsync(bool setup)
         var indAreas = new GroupShape();
         var indCharts = new GroupShape();
 
-        indCharts.Groups["Buy"] = new ArrowShape { Component = indUp };
-        indCharts.Groups["Sell"] = new ArrowShape { Component = indDown };
+        indCharts.Groups["Ups"] = new ArrowShape { Component = indUp };
+        indCharts.Groups["Downs"] = new ArrowShape { Component = indDown };
         indCharts.Groups["Range"] = new AreaShape { Component = indUp };
         indAreas.Groups["Prices"] = indCharts;
 
@@ -61,7 +61,6 @@ protected override async Task OnAfterRenderAsync(bool setup)
         {
           Account = new Account
           {
-            Name = "Demo",
             Balance = 25000,
             Instruments = new Dictionary<string, Instrument>
             {
@@ -106,7 +105,7 @@ private async Task OnData(PointModel point)
 
       var chartPoints = new List<KeyValuePair<string, PointModel>>();
       var reportPoints = new List<KeyValuePair<string, PointModel>>();
-      var performance = Performance.Calculate(new[] { Account });
+      var performance = Performance.Calculate([Account]);
       var xPoint = seriesX.Last();
       var yPoint = seriesY.Last();
       var xAsk = xPoint.Ask;
@@ -176,8 +175,8 @@ private void OpenPositions(IInstrument assetBuy, IInstrument assetSell)
         }
       };
 
-      View.Adapter.CreateOrders(orderBuy);
-      View.Adapter.CreateOrders(orderSell);
+      View.Adapter.SendOrders(orderBuy);
+      View.Adapter.SendOrders(orderSell);
 
       var account = View.Adapter.Account;
       var buy = account.ActivePositions.Values.First(o => o.Order.Side == OrderSideEnum.Buy);
@@ -209,7 +208,7 @@ private void ClosePositions()
           }
         };
 
-        View.Adapter.CreateOrders(order);
+        View.Adapter.SendOrders(order);
 
         //points.Add(new PointModel { Time = order.Time, Name = nameof(OrderSideEnum.Buy), Last = price });
       }

diff --git a/Core/Core.csproj b/Core/Core.csproj
@@ -1,23 +1,14 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>net7.0</TargetFramework>
-    <GeneratePackageOnBuild>True</GeneratePackageOnBuild>
-    <Version>1.1.7</Version>
-    <Description>Internal package for trading and analysis</Description>
-    <Authors>artemiusgreat</Authors>
-    <Copyright>indemos.com</Copyright>
-    <PackageProjectUrl>http://indemos.com</PackageProjectUrl>
-    <RepositoryUrl>https://github.com/Indemos/Terminal</RepositoryUrl>
-    <PackageTags>finance trading market stock backtester algorithmic-trading</PackageTags>
-    <PackageLicenseExpression>MIT</PackageLicenseExpression>
+    <TargetFramework>net8.0</TargetFramework>
   </PropertyGroup>
 
   <ItemGroup>
     <PackageReference Include="Distribution" Version="2.0.5" />
     <PackageReference Include="ExpressionMapper" Version="1.0.2" />
     <PackageReference Include="FluentValidation.AspNetCore" Version="11.3.0" />
-    <PackageReference Include="SkiaSharp" Version="2.88.7" />
+    <PackageReference Include="SkiaSharp" Version="3.0.0-preview.2.1" />
     <PackageReference Include="System.Interactive" Version="6.0.1" />
   </ItemGroup>
 

diff --git a/Core/Domains/Account.cs b/Core/Domains/Account.cs
@@ -28,7 +28,7 @@ public interface IAccount
     /// <summary>
     /// Name
     /// </summary>
-    string Name { get; set; }
+    string Descriptor { get; set; }
 
     /// <summary>
     /// Currency
@@ -84,7 +84,7 @@ public class Account : IAccount
     /// <summary>
     /// Name
     /// </summary>
-    public virtual string Name { get; set; }
+    public virtual string Descriptor { get; set; }
 
     /// <summary>
     /// Currency
@@ -126,11 +126,11 @@ public Account()
       InitialBalance = 0.0;
       Currency = nameof(CurrencyEnum.USD);
 
-      Orders = new ObservableCollection<OrderModel>();
-      Positions = new ObservableCollection<PositionModel>();
+      Orders = [];
+      Positions = [];
+      Instruments = new Dictionary<string, Instrument>();
       ActiveOrders = new Dictionary<string, OrderModel>();
       ActivePositions = new Dictionary<string, PositionModel>();
-      Instruments = new Dictionary<string, Instrument>();
     }
   }
 }
diff --git a/Core/Domains/Gateway.cs b/Core/Domains/Gateway.cs
@@ -60,19 +60,13 @@ public interface IGateway : IDisposable
     /// Send new orders
     /// </summary>
     /// <param name="orders"></param>
-    Task<ResponseMapModel<OrderModel>> CreateOrders(params OrderModel[] orders);
-
-    /// <summary>
-    /// Update orders
-    /// </summary>
-    /// <param name="orders"></param>
-    Task<ResponseMapModel<OrderModel>> UpdateOrders(params OrderModel[] orders);
+    Task<ResponseMapModel<OrderModel>> SendOrders(params OrderModel[] orders);
 
     /// <summary>
     /// Cancel orders
     /// </summary>
     /// <param name="orders"></param>
-    Task<ResponseMapModel<OrderModel>> DeleteOrders(params OrderModel[] orders);
+    Task<ResponseMapModel<OrderModel>> CancelOrders(params OrderModel[] orders);
   }
 
   /// <summary>
@@ -137,19 +131,13 @@ public Gateway()
     /// Send new orders
     /// </summary>
     /// <param name="orders"></param>
-    public abstract Task<ResponseMapModel<OrderModel>> CreateOrders(params OrderModel[] orders);
-
-    /// <summary>
-    /// Update orders
-    /// </summary>
-    /// <param name="orders"></param>
-    public abstract Task<ResponseMapModel<OrderModel>> UpdateOrders(params OrderModel[] orders);
+    public abstract Task<ResponseMapModel<OrderModel>> SendOrders(params OrderModel[] orders);
 
     /// <summary>
     /// Cancel orders
     /// </summary>
     /// <param name="orders"></param>
-    public abstract Task<ResponseMapModel<OrderModel>> DeleteOrders(params OrderModel[] orders);
+    public abstract Task<ResponseMapModel<OrderModel>> CancelOrders(params OrderModel[] orders);
 
     /// <summary>
     /// Dispose
@@ -165,10 +153,10 @@ protected virtual IList<OrderModel> CorrectOrders(params OrderModel[] orders)
       foreach (var nextOrder in orders)
       {
         nextOrder.Type ??= OrderTypeEnum.Market;
-        nextOrder.TimeSpan ??= OrderTimeSpanEnum.GTC;
+        nextOrder.TimeSpan ??= OrderTimeSpanEnum.Gtc;
+        nextOrder.Price ??= GetOpenPrice(nextOrder);
         nextOrder.Transaction ??= new TransactionModel();
         nextOrder.Transaction.Time ??= DateTime.Now;
-        nextOrder.Transaction.Price ??= GetOpenPrice(nextOrder);
         nextOrder.Transaction.Status ??= OrderStatusEnum.None;
         nextOrder.Transaction.Operation ??= OperationEnum.In;
       }
@@ -237,26 +225,5 @@ protected virtual IList<IAccount> SetupAccounts(params IAccount[] accounts)
 
       return accounts;
     }
-
-    /// <summary>
-    /// Update points
-    /// </summary>
-    /// <param name="point"></param>
-    protected virtual IList<PointModel> SetupPoints(params PointModel[] points)
-    {
-      foreach (var point in points)
-      {
-        var instrument = Account.Instruments[point.Instrument.Name];
-        var estimates = Account.ActivePositions.Select(o => o.Value.GainLossEstimate).ToList();
-
-        point.Instrument = instrument;
-        point.TimeFrame = instrument.TimeFrame;
-
-        instrument.Points.Add(point);
-        instrument.PointGroups.Add(point, instrument.TimeFrame, true);
-      }
-
-      return points;
-    }
   }
 }
diff --git a/Core/Domains/Instrument.cs b/Core/Domains/Instrument.cs
@@ -121,8 +121,8 @@ public Instrument()
       Commission = 0.0;
       ContractSize = 1.0;
 
-      Points = new ObservableTimeCollection<PointModel>();
-      PointGroups = new ObservableTimeCollection<PointModel>();
+      Points = [];
+      PointGroups = [];
     }
   }
 }
diff --git a/Core/Enums/OrderStatusEnum.cs b/Core/Enums/OrderStatusEnum.cs
@@ -6,10 +6,11 @@ public enum OrderStatusEnum : byte
     Placed = 1,
     Filled = 2,
     Closed = 3,
-    Expired = 4,
-    Declined = 5,
-    Canceled = 6,
-    Completed = 7,
-    PartiallyFilled = 8
+    Pending = 4,
+    Expired = 5,
+    Declined = 6,
+    Canceled = 7,
+    Completed = 8,
+    Partitioned = 9
   }
 }
diff --git a/Core/Enums/OrderTimeSpanEnum.cs b/Core/Enums/OrderTimeSpanEnum.cs
@@ -3,9 +3,11 @@ namespace Terminal.Core.Enums
   public enum OrderTimeSpanEnum : byte
   {
     None = 0,
-    Date = 1,
-    FOK = 2,
-    GTC = 3,
-    IOC = 4
+    Day = 1,
+    Fok = 2,
+    Gtc = 3,
+    Ioc = 4,
+    Omo = 5,
+    Omc = 6
   }
 }
diff --git a/Core/Models/Points/PointModel.cs b/Core/Models/Points/PointModel.cs
@@ -62,7 +62,6 @@ public class PointModel : ICloneable
     public PointModel()
     {
       Time = DateTime.Now;
-
       Series = new Dictionary<string, PointModel>();
     }
 

diff --git a/Core/Models/ResponseItemModel.cs b/Core/Models/ResponseItemModel.cs
@@ -17,6 +17,6 @@ public class ResponseItemModel<T>
     /// <summary>
     /// Constructor
     /// </summary>
-    public ResponseItemModel() => Errors = new List<ErrorModel>();
+    public ResponseItemModel() => Errors = [];
   }
 }
diff --git a/Core/Models/ResponseMapModel.cs b/Core/Models/ResponseMapModel.cs
@@ -17,6 +17,6 @@ public class ResponseMapModel<T>
     /// <summary>
     /// Constructor
     /// </summary>
-    public ResponseMapModel() => Items = new List<ResponseItemModel<T>>();
+    public ResponseMapModel() => Items = [];
   }
 }
-Original file line number
+Diff line change
@@ Expand Up / @@ -62,7 +62,6 @@ public class PointModel : ICloneable @@
         public PointModel()
         {
           Time = DateTime.Now;
           Series = new Dictionary<string, PointModel>();
         }
@@ Expand Down @@