265 lines
4.3 KiB
Markdown
265 lines
4.3 KiB
Markdown
# Alpaca Trader
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Advanced algorithmic trading bot built for Alpaca Markets.
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Designed for automated strategy execution, multi-layer technical analysis, and research-driven trading experimentation.
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Supports configurable strategies, risk management automation, and detailed performance logging.
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---
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## 🚀 Quick Start
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Clone and install:
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```bash
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git clone https://github.com/YOUR_REPO/alpaca-trader.git
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cd alpaca-trader
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pip install -r requirements.txt
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```
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Run:
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```bash
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python3 run.py
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```
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On first launch, the bot will create:
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```
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alpaca_trader/.env
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```
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Add your Alpaca API keys:
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```
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APCA_API_KEY_ID="your_key"
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APCA_API_SECRET_KEY="your_secret"
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APCA_API_BASE_URL="https://paper-api.alpaca.markets"
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```
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---
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## 🎯 Features
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### Core Trading Engine
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- Automated signal evaluation loop
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- Multi-strategy architecture
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- Risk-aware position sizing
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- Market regime detection
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- Config-driven behavior (no code changes required)
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### Technical Indicators
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- SMA / EMA
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- RSI
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- MACD
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- ADX
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- ATR
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- Bollinger Bands
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- Multi-timeframe signal confirmation
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### Strategy System
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Supports multiple strategy modes:
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- Moving Average crossover (default)
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- Opening Range + Fair Value Gap (OR/FVG)
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- Regime-filtered execution
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### Risk Management
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- ATR-based stop loss
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- Trailing stop logic
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- Multi-level take profits
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- Risk-per-trade sizing
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- Max drawdown protection
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- Risk/reward validation
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- Position hold-time limits
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### Execution Controls
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- Market or limit orders
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- Slippage simulation
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- Commission modeling
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- Cash account compatibility
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- T+1 settlement handling
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- PDT rolling 5-day window enforcement
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### Market Filters
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- Market regime classification
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- Volume filters
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- 200 SMA trend filter
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- VIX volatility filter
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- Candle confirmation
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- MACD confirmation layer
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### Analytics & Logging
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Automatically generates:
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```
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alpaca_trader/
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├── trading.log
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├── debug.log
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├── trades.csv
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├── signals.csv
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├── performance.csv
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├── indicators.csv
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├── session.csv
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├── pdt_tracker.csv
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```
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---
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## 🧠 Strategy Overview
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### Moving Average Strategy
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Primary signal generated when:
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- Short MA crosses long MA
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- Trend filters confirm
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- Risk/reward meets threshold
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- Market regime supports trade
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Optional confirmation:
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- MACD alignment
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- RSI thresholds
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- Volume confirmation
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---
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### Opening Range + Fair Value Gap Strategy
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Designed for intraday momentum:
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1. Detect opening range window.
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2. Identify Fair Value Gap structures.
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3. Validate volume and direction.
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4. Execute with ATR-based risk controls.
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Configurable parameters:
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- Opening range duration
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- Minimum gap size
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- Entry timeframe
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- Risk/reward target
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- Maximum entry window
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---
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## ⚙️ Configuration
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All trading behavior controlled via:
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```
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alpaca_trader/config.json
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```
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Key sections:
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### Strategy
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```
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STRATEGY_MODE
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OR_FVG_ENABLED
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OR_FVG_OPENING_RANGE_MINUTES
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OR_FVG_MIN_GAP_SIZE
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```
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### Risk
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```
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RISK_PER_TRADE
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ATR_STOP_MULTIPLIER
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MAX_DRAWDOWN
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MIN_RISK_REWARD
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```
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### Filters
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```
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REGIME_DETECTION
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USE_200_SMA_FILTER
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USE_VIX_FILTER
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MULTIFRAME_FILTER
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```
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### Execution
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```
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USE_LIMIT_ORDERS
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LIMIT_ORDER_TIMEOUT
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SLIPPAGE_PCT
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COMMISSION_PCT
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```
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---
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## 🏗 Architecture
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```
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alpaca_trader/
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├── api.py # Alpaca API interface
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├── engine.py # Core trading loop
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├── indicators.py # Technical analysis
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├── filters.py # Market condition filters
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├── risk.py # Risk & position sizing
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├── utils.py # Helpers
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├── cli.py # CLI interface
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├── config.json # Main configuration
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```
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---
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## 🔄 How It Works
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1. Load configuration and API credentials
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2. Fetch historical market data
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3. Calculate indicators
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4. Evaluate market regime
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5. Generate trading signals
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6. Validate risk constraints
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7. Execute trades via Alpaca API
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8. Log analytics data
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---
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## 📊 Design Philosophy
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- Config-first architecture
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- Strategy isolation
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- Risk before execution
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- Modular extensibility
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- Research-friendly logging
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---
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## ⚠️ Important Notes
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- Use paper trading first.
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- Algorithmic trading involves financial risk.
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- No strategy guarantees profit.
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---
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## 🛠 Roadmap (Example)
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- Strategy plug-in system
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- ML signal scoring
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- Portfolio-level risk controls
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- Multi-symbol scanning
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- Performance dashboard
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---
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## Disclaimer
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This software is provided for educational and research purposes only.
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Not financial advice.
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