Load up open order state at startup.

alpaca_backtrader_api/alpacabroker.py

@@ -2,8 +2,11 @@
                         unicode_literals)
 
 import collections
+from curses import has_key
+import logging
 
 from backtrader import BrokerBase, Order, BuyOrder, SellOrder
+from backtrader.order import Order
 from backtrader.utils.py3 import with_metaclass, iteritems
 from backtrader.comminfo import CommInfoBase
 from backtrader.position import Position
@@ -55,7 +58,7 @@ class AlpacaBroker(with_metaclass(MetaAlpacaBroker, BrokerBase)):
 
     def __init__(self, **kwargs):
         super(AlpacaBroker, self).__init__()
-
+        self.logger = logging.getLogger(self.__class__.__name__)
         self.o = alpacastore.AlpacaStore(**kwargs)
 
         self.orders = collections.OrderedDict()  # orders by order id
@@ -102,6 +105,32 @@ def start(self):
         self.startingvalue = self.value = self.o.get_value()
         self.positions = self.update_positions()
 
+
+    _ORDEREXECS = {
+        'market': Order.Market,
+        'limit': Order.Limit,
+        'stop': Order.Stop,
+        'stop_limit':  Order.StopLimit,
+        'trailing_stop': Order.StopTrail
+    }
+
+    _ORDERSTATUS = {
+        'new': Order.Created,
+        'accepted': Order.Accepted,
+        'accepted_for_bidding': Order.Accepted,
+        'canceled': Order.Canceled,
+        'expired': Order.Expired,
+        'filled': Order.Completed,
+        'partially_filled': Order.Partial,
+        'pending_cancel': Order.Partial,
+        'pending_replace': Order.Partial,
+        'rejected': Order.Rejected,
+        'suspended': Order.Rejected,
+        'stopped': Order.Completed,
+        'calculated': Order.Partial
+    }
+
+
     def data_started(self, data):
         pos = self.getposition(data)
 
@@ -137,6 +166,37 @@ def data_started(self, data):
             order.completed()
             self.notify(order)
 
+        alpaca_orders = self.o.get_orders()
+        alpaca_orders = {o.symbol: o for o in alpaca_orders}
+        o = alpaca_orders.get(data._name, None)
+        if o is not None:
+            self.logger.debug(f"Got open order: {o}")
+            exectype = self._ORDEREXECS[o.order_type]
+            status = self._ORDERSTATUS[o.status]
+            price = o.stop_price if o.stop_price is not None else o.limit_price
+            if o.side == "buy":
+                order = BuyOrder(data=data,
+                    size = float(o.qty) if o.qty is not None else o.qty,
+                    price = float(price) if price is not None else None,
+                    exectype=exectype,
+                    simulated=True
+                )
+            if o.side == "sell":
+                order = SellOrder(data=data,
+                    size = float(o.qty) if o.qty is not None else o.qty,
+                    price = float(price) if price is not None else None,
+                    exectype=exectype,
+                    simulated=True
+                )
+            order.status = status
+            order.tradeid = o.id
+            # icky, this is leaky, can we use the "create order" function with a "fake" order?
+            self.o._orders[order.ref] = o.id
+            self.o._ordersrev[o.id] = order.ref  # maps ids to backtrader order
+            self.orders[order.ref] = order
+            self.notify(order)
+
+
     def stop(self):
         super(AlpacaBroker, self).stop()
         self.o.stop()
@@ -324,8 +384,10 @@ def sell(self, owner, data,
 
     def cancel(self, order):
         if not self.orders.get(order.ref, False):
+            self.logger.warning(f"Cannot cancel unknown order: {order.ref}")
             return
         if order.status == Order.Cancelled:  # already cancelled
+            self.logger.warning(f"Order {order.ref} already canceled!")
             return
 
         return self.o.order_cancel(order)

alpaca_backtrader_api/alpacadata.py

@@ -2,6 +2,7 @@
                         unicode_literals)
 
 from datetime import timedelta
+import logging
 import pandas as pd
 from backtrader.feed import DataBase
 from backtrader import date2num, num2date
@@ -159,6 +160,7 @@ def __init__(self, **kwargs):
         self._candleFormat = 'bidask' if self.p.bidask else 'midpoint'
         self._timeframe = self.p.timeframe
         self.do_qcheck(True, 0)
+        self.logger = logging.getLogger(self.__class__.__name__)
         if self._timeframe not in [bt.TimeFrame.Ticks,
                                    bt.TimeFrame.Minutes,
                                    bt.TimeFrame.Days]:
@@ -179,6 +181,7 @@ def start(self):
         contractdetails if it exists
         """
         super(AlpacaData, self).start()
+        self.logger.info("Starting data feed: %s" % self.p.dataname)
 
         # Create attributes as soon as possible
         self._statelivereconn = False  # if reconnecting in live state
@@ -268,9 +271,10 @@ def _load(self):
             if self._state == self._ST_LIVE:
                 try:
                     msg = (self._storedmsg.pop(None, None) or
-                           self.qlive.get(timeout=self._qcheck))
+                           self.qlive.get(timeout=self.p.qcheck))
                 except queue.Empty:
                     return None  # indicate timeout situation
+
                 if msg is None:  # Conn broken during historical/backfilling
                     self.put_notification(self.CONNBROKEN)
                     # Try to reconnect
@@ -404,6 +408,7 @@ def _load(self):
 
     def _load_tick(self, msg):
         dtobj = pd.Timestamp(msg['time'], unit='ns')
+        self.logger.debug("Loading tick at: %s %s" % (dtobj, msg))
         dt = date2num(dtobj)
         if dt <= self.lines.datetime[-1]:
             return False  # time already seen
@@ -428,6 +433,7 @@ def _load_tick(self, msg):
 
     def _load_agg(self, msg):
         dtobj = pd.Timestamp(msg['time'], unit='ns')
+        self.logger.debug("Loading agg at: %s %s" % (dtobj, msg))
         dt = date2num(dtobj)
         if dt <= self.lines.datetime[-1]:
             return False  # time already seen
@@ -443,6 +449,7 @@ def _load_agg(self, msg):
 
     def _load_history(self, msg):
         dtobj = msg['time'].to_pydatetime()
+        self.logger.debug("Loading history at: %s %s" % (dtobj, msg))
         dt = date2num(dtobj)
         if dt <= self.lines.datetime[-1]:
             return False  # time already seen