@kendelchopp/alpaca-js-backtesting

    1.1.3 • Public • Published

    @kendelchopp/alpaca-js-backtesting

    Disclaimer

    This package is in no way affiliated with Alpaca

    Getting Started

    Installing the package

    $ npm install @kendelchopp/alpaca-js-backtesting
    

    Writing the code

    1. Initialize your Alpaca object with the keys
    const Alpaca = require('@alpacahq/alpaca-trade-api');
     
    const alpaca = new Alpaca({
      keyId: process.env.API_KEY,
      secretKey: process.env.SECRET_API_KEY,
      paper: true,
      usePolygon: false
    });
    1. Initialize your Backtest object

    Note: When passing in your alpaca object, you are giving this package the ability to use your keys to make API requests. This package will make API requests for the market data so that it can run the simulation. Be careful when sending out your alpaca object.

    const Backtest = require('@kendelchopp/alpaca-js-backtesting');
     
    const backtest = new Backtest({
      alpaca,
      startDate: new Date(2020, 0, 1),
      endDate: new Date(2020, 1, 1)
    });
    1. Run your algorithm replacing Alpaca/websockets accordingly.

    For example (commented out lines are the old lines to be replaced):

    // const client = alpaca.data_ws;
    const client = backtest.data_ws;
     
    // alpaca.createOrder({...})
    backtest.createOrder({...})
    1. Add a disconnect handler to see how your algorithm performed
    client.onDisconnect(() => {
      console.log(backtest.getStats());
    });

    Alpaca Compatibility

    This table lists the version of @kendelchopp/alpaca-js-backtesting with the version of alpaca-trade-api-js it was tested with. Using other versions may require some syntax changes.

    @kendelchopp/alpaca-js-backtesting @alpacahq/alpaca-trade-api-js
    1.0.0 1.4.1
    1.1.0 1.4.1
    1.1.1 1.4.1
    1.1.2 1.4.1
    1.1.3 1.4.1

    Relevant Functions

    Backtest#createOrder

    Creates an order using the same parameters as Alpaca#createOrder

    Example

    backtest.createOrder({
      symbol: 'SPY',
      qty: 300,
      side: 'sell',
      type: 'market',
      time_in_force: 'day'
    })

    Backtest#getStats

    Gets the stats for the portfolio including starting and ending value and ROI

    Example

    console.log(backtest.getStats());

    Websocket#connect

    Simulates connecting to the API, loads the data, and runs the simulation

    Example

    client.connect();

    Websocket#onConnect

    Runs a function when establishing the connection. When backtesting, you will usually just use this to subscribe to channels

    Example

    client.onConnect(() => {
      client.subscribe(['alpacadatav1/AM.SPY']);
    });

    Websocket#onDisconnect

    Runs a function when the simulation is completed. You can print out the stats here.

    Example

    client.onDisconnect(() => {
      console.log(backtest.getStats());
    });

    Websocket#onStockAggMin

    This runs your function when a simulated minute occurrs and returns the relevant data. This is where your trading will likely take place. Subject will look something like AM.SPY and data will look like a standard bar data.

    Example

    client.onStockAggMin((subject, data) => {
      if (data.closePrice < 500) {
        backtest.createOrder({
          symbol: 'SPY',
          qty: 300,
          side: 'buy',
          type: 'market',
          time_in_force: 'day'
        });
     
        console.log('Bought SPY');
      }
    });

    Websocket#subscribe

    Subscribes to the channels listed. Currently, only aggregate minute channels are supported.

    Example

    client.onConnect(() => {
      client.subscribe(['alpacadatav1/AM.SPY', 'alpacadatav1/AM.AAPL']);
    });

    Install

    npm i @kendelchopp/alpaca-js-backtesting

    DownloadsWeekly Downloads

    5

    Version

    1.1.3

    License

    MIT

    Unpacked Size

    17.6 kB

    Total Files

    9

    Last publish

    Collaborators

    • kendelchopp