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Fix SSL retry logic, add order timeouts, validate position sizes, fix array bounds in crossover detection

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This commit is contained in:
Justin Oros
2026-02-04 14:25:27 -07:00
parent 8c90ff4328
commit c720ff389d
1 changed files with 66 additions and 25 deletions
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alpaca_trader/engine.py
+66 -25
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@@ -300,6 +300,9 @@ def get_bid_ask(symbol):
def submit_market_buy(symbol, position_size):
debug_print(f"Submitting market buy order: {symbol}, size=${position_size:.2f}")
if position_size <= 0:
debug_print(f"Invalid position size: ${position_size:.2f}")
return None
try:
execution_price = api.place_order(symbol, "buy", position_size, None, LIMIT_ORDER_TIMEOUT)
if execution_price:
@@ -319,9 +322,17 @@ def submit_market_sell(symbol, qty):
debug_print(f"Submitting market sell order: {symbol}, qty={qty}")
try:
shares = int(qty)
if shares <= 0:
debug_print(f"Invalid quantity: {shares}")
return None
order = api.submit_order(symbol=symbol, qty=shares, side="sell", type="market", time_in_force="day")
status = api.get_order(order.id)
timeout = 30
start_time = time.time()
while status.status not in {"filled", "cancelled", "expired", "rejected"}:
if time.time() - start_time > timeout:
debug_print("Order status check timeout")
return None
time.sleep(0.5)
status = api.get_order(order.id)
if status.status == "filled":
@@ -336,6 +347,9 @@ def submit_market_sell(symbol, qty):
def submit_limit_buy(symbol, position_size, limit_price):
debug_print(f"Submitting limit buy: {symbol}, size=${position_size:.2f}, limit=${limit_price:.2f}")
if position_size <= 0:
debug_print(f"Invalid position size: ${position_size:.2f}")
return None
try:
execution_price = api.place_order(symbol, "buy", position_size, limit_price, LIMIT_ORDER_TIMEOUT)
if execution_price:
@@ -360,6 +374,9 @@ def submit_limit_buy(symbol, position_size, limit_price):
def submit_short_sell(symbol, position_size):
debug_print(f"Submitting short sell: {symbol}, size=${position_size:.2f}")
if position_size <= 0:
debug_print(f"Invalid position size: ${position_size:.2f}")
return None
try:
execution_price = api.place_order(symbol, "sell", position_size, None, LIMIT_ORDER_TIMEOUT)
if execution_price:
@@ -377,6 +394,9 @@ def submit_short_sell(symbol, position_size):
def submit_limit_short_sell(symbol, position_size, limit_price):
debug_print(f"Submitting limit short: {symbol}, size=${position_size:.2f}, limit=${limit_price:.2f}")
if position_size <= 0:
debug_print(f"Invalid position size: ${position_size:.2f}")
return None
try:
execution_price = api.place_order(symbol, "sell", position_size, limit_price, LIMIT_ORDER_TIMEOUT)
if execution_price:
@@ -403,9 +423,17 @@ def submit_buy_to_cover(symbol, qty):
debug_print(f"Submitting buy to cover: {symbol}, qty={qty}")
try:
shares = int(qty)
if shares <= 0:
debug_print(f"Invalid quantity: {shares}")
return None
order = api.submit_order(symbol=symbol, qty=shares, side="buy", type="market", time_in_force="day")
status = api.get_order(order.id)
timeout = 30
start_time = time.time()
while status.status not in {"filled", "cancelled", "expired", "rejected"}:
if time.time() - start_time > timeout:
debug_print("Order status check timeout")
return None
time.sleep(0.5)
status = api.get_order(order.id)
if status.status == "filled":
@@ -469,23 +497,29 @@ def advanced_signal_generator(symbol):
for i in range(1, CROSSOVER_LOOKBACK + 1):
bar_index = current_bar_index - i
if bar_index >= 1 and (i + 1) < len(short_ma_series):
if short_ma_series.iloc[-i-1] <= long_ma_series.iloc[-i-1] and short_ma_series.iloc[-i] > long_ma_series.iloc[-i]:
if bar_index > signal_state.last_bullish_crossover_bar:
bullish_crossover = True
signal_state.last_bullish_crossover_bar = bar_index
debug_print(f"Bullish crossover detected {i} bars ago")
break
if bar_index >= 1 and bar_index < len(bars) and (bar_index + 1) < len(bars):
idx_current = len(short_ma_series) - i
idx_prev = len(short_ma_series) - i - 1
if idx_prev >= 0 and idx_current < len(short_ma_series):
if short_ma_series.iloc[idx_prev] <= long_ma_series.iloc[idx_prev] and short_ma_series.iloc[idx_current] > long_ma_series.iloc[idx_current]:
if bar_index > signal_state.last_bullish_crossover_bar:
bullish_crossover = True
signal_state.last_bullish_crossover_bar = bar_index
debug_print(f"Bullish crossover detected {i} bars ago")
break
for i in range(1, CROSSOVER_LOOKBACK + 1):
bar_index = current_bar_index - i
if bar_index >= 1 and (i + 1) < len(short_ma_series):
if short_ma_series.iloc[-i-1] >= long_ma_series.iloc[-i-1] and short_ma_series.iloc[-i] < long_ma_series.iloc[-i]:
if bar_index > signal_state.last_bearish_crossover_bar:
bearish_crossover = True
signal_state.last_bearish_crossover_bar = bar_index
debug_print(f"Bearish crossover detected {i} bars ago")
break
if bar_index >= 1 and bar_index < len(bars) and (bar_index + 1) < len(bars):
idx_current = len(short_ma_series) - i
idx_prev = len(short_ma_series) - i - 1
if idx_prev >= 0 and idx_current < len(short_ma_series):
if short_ma_series.iloc[idx_prev] >= long_ma_series.iloc[idx_prev] and short_ma_series.iloc[idx_current] < long_ma_series.iloc[idx_current]:
if bar_index > signal_state.last_bearish_crossover_bar:
bearish_crossover = True
signal_state.last_bearish_crossover_bar = bar_index
debug_print(f"Bearish crossover detected {i} bars ago")
break
rsi_val = rsi(closes, 14).iloc[-1]
adx_val = adx(highs, lows, closes).iloc[-1]
@@ -630,7 +664,7 @@ def atr_based_trailing_stop(symbol, entry_price, current_price, initial_stop, po
current_atr = atr(bars['high'], bars['low'], bars['close']).iloc[-1]
if current_atr <= 0 or pd.isna(current_atr):
if current_atr <= 0 or np.isnan(current_atr):
debug_print(f"Invalid ATR value: {current_atr}, using initial stop")
return False
@@ -726,8 +760,17 @@ def main():
except Exception as e:
debug_print(f"No existing position found or error during recovery: {e}")
retry_count = 0
max_retries = 3
while clock.is_open:
clock = api.get_clock()
try:
clock = api.get_clock()
except Exception as e:
debug_print(f"Error fetching clock: {e}")
time.sleep(10)
continue
current_equity = fetch_equity()
drawdown = (opening_equity - current_equity) / opening_equity if opening_equity > 0 else 0
@@ -741,10 +784,15 @@ def main():
bars = get_recent_bars(SYMBOL, 10)
if bars is None or len(bars) == 0:
debug_print("No bars available, retrying...")
retry_count += 1
debug_print(f"No bars available, retry {retry_count}/{max_retries}")
if retry_count >= max_retries:
debug_print("Max retries reached, continuing with next iteration")
retry_count = 0
time.sleep(30)
continue
retry_count = 0
current_price = bars['close'].iloc[-1]
vix_level = get_vix(api, SYMBOL, USE_VIX_FILTER)
@@ -773,13 +821,6 @@ def main():
remaining_qty = current_position_qty(SYMBOL)
if remaining_qty == 0:
position_active = False
if position_type == 'long':
trade_pnl = (current_price - entry_price) * 100
else:
trade_pnl = (entry_price - current_price) * 100
total_pnl += trade_pnl
logger.info(f"✅ Position closed (PnL: ${trade_pnl:.2f})")
debug_print(f"Position fully closed, PnL: ${trade_pnl:.2f}")
position_state.reset()
debug_print(f"Sleeping {seconds_to_human_readable(POLL_INTERVAL)} after exit")
time.sleep(POLL_INTERVAL)
@@ -857,7 +898,7 @@ def main():
risk_amount = 0
logger.info(f" Entry=${entry_price:.2f}, Stop=${stop_loss:.2f}, Risk={risk_amount:.2%}")
logger.info(f" Regime={regime}, Strength={strength:.2f}, Trade #{trade_count} ({trades_today}/{MAX_TRADES_PER_DAY})")
logger.info(f" Regime={regime}, Strength={strength:.2f}, Trade {trade_count} ({trades_today}/{MAX_TRADES_PER_DAY})")
debug_print(f"Trade executed: entry=${entry_price:.2f}, stop=${stop_loss:.2f}, regime={regime}")
position_state.trailing_stop = stop_loss