Alternative-Bars

Generate Alternative Bars in real-time leveraging Alpaca API. User can generate bars like tick bars, volume bars and dollar bars.

This project was inspired by the book Advances in Financial Machine Learning.

Installation

The algorithm was tested on the Alpaca Trade API version mentioned the requirements file and is considered as the stable version for this project.

pip install -r requirements.txt

Usage

To generate Alternative user first need to have a Alpaca API either from a Paper Trading account or a Brokerage account. If you don't have one you can open a paper trade account for free by visiting Alpaca.market and signing up.

1) Setting up the config file

User first need to set-up the config file with there Alpaca API credentials.

[alpaca]
api_key = "enter your api key here without quotes"
api_secret = "enter your api secret here without quotes"
base_url = https://paper-api.alpaca.markets

2) Getting Bars

from bars import get_tick_bars, get_volume_bars, get_dollar_bars

#assets for receiving the event-driven bars
symbols = ['AAPL','TSLA','AMZN']
#setting static threshold for individual stocks for different bars
tick_bar_threshold = {'AAPL':1000,'TSLA':1000,'AMZN':1000}
volume_bar_threshold = {'AAPL':50000,'TSLA':5000,'AMZN':50000}
dollar_bar_threshold = {'AAPL':2000000,'TSLA':2000000,'AMZN':2000000}

#setup for receiving tick bars for given thresholds
get_tick_bars(symbols, tick_bar_threshold, 'sample_datasets')
#setup for receiving volume bars for given thresholds
get_volume_bars(symbols, volume_bar_threshold, 'sample_datasets')
#setup for receiving tdollar bars for given thresholds
get_dollar_bars(symbols, dollar_bar_threshold, 'sample_datasets')