Update processor_alpaca.py (#1185)

* Update processor_alpaca.py

Update processor_alpaca to use the new Alpaca-Py instead of the deprecated alpaca-trade-api

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---------

Co-authored-by: pre-commit-ci[bot] <66853113+pre-commit-ci[bot]@users.noreply.github.com>

finrl/meta/data_processors/processor_alpaca.py

@@ -2,33 +2,40 @@
 
 from concurrent.futures import ProcessPoolExecutor
 from concurrent.futures import ThreadPoolExecutor
+from datetime import datetime
+from datetime import timedelta as td
 
-import alpaca_trade_api as tradeapi
 import exchange_calendars as tc
 import numpy as np
 import pandas as pd
 import pytz
+from alpaca.data.historical import StockHistoricalDataClient
+from alpaca.data.requests import StockBarsRequest
+from alpaca.data.timeframe import TimeFrame
 from stockstats import StockDataFrame as Sdf
 
+# import alpaca_trade_api as tradeapi
+
 
 class AlpacaProcessor:
-    def __init__(self, API_KEY=None, API_SECRET=None, API_BASE_URL=None, api=None):
-        if api is None:
+    def __init__(self, API_KEY=None, API_SECRET=None, API_BASE_URL=None, client=None):
+        if client is None:
             try:
-                self.api = tradeapi.REST(API_KEY, API_SECRET, API_BASE_URL, "v2")
+                self.client = StockHistoricalDataClient(API_KEY, API_SECRET)
             except BaseException:
                 raise ValueError("Wrong Account Info!")
         else:
-            self.api = api
+            self.client = client
 
     def _fetch_data_for_ticker(self, ticker, start_date, end_date, time_interval):
-        bars = self.api.get_bars(
-            ticker,
-            time_interval,
-            start=start_date.isoformat(),
-            end=end_date.isoformat(),
-        ).df
-        bars["symbol"] = ticker
+        request_params = StockBarsRequest(
+            symbol_or_symbols=ticker,
+            timeframe=TimeFrame.Minute,
+            start=start_date,
+            end=end_date,
+        )
+        bars = self.client.get_stock_bars(request_params).df
+
         return bars
 
     def download_data(
@@ -53,7 +60,7 @@ def download_data(
         NY = "America/New_York"
         start_date = pd.Timestamp(start_date + " 09:30:00", tz=NY)
         end_date = pd.Timestamp(end_date + " 15:59:00", tz=NY)
-
+        data_list = []
         # Use ThreadPoolExecutor to fetch data for multiple tickers concurrently
         with ThreadPoolExecutor(max_workers=10) as executor:
             futures = [
@@ -66,7 +73,42 @@ def download_data(
                 )
                 for ticker in ticker_list
             ]
-            data_list = [future.result() for future in futures]
+        for future in futures:
+
+            bars = future.result()
+            # fix start
+            # Reorganize the dataframes to be in original alpaca_trade_api structure
+            # Rename the existing 'symbol' column if it exists
+            if not bars.empty:
+
+                # Now reset the index
+                bars.reset_index(inplace=True)
+
+                # Set 'timestamp' as the new index
+                if "level_1" in bars.columns:
+                    bars.rename(columns={"level_1": "timestamp"}, inplace=True)
+                if "level_0" in bars.columns:
+                    bars.rename(columns={"level_0": "symbol"}, inplace=True)
+
+                bars.set_index("timestamp", inplace=True)
+
+                # Reorder and rename columns as needed
+                bars = bars[
+                    [
+                        "close",
+                        "high",
+                        "low",
+                        "trade_count",
+                        "open",
+                        "volume",
+                        "vwap",
+                        "symbol",
+                    ]
+                ]
+
+                data_list.append(bars)
+            else:
+                print("empty")
 
         # Combine the data
         data_df = pd.concat(data_list, axis=0)
@@ -371,7 +413,40 @@ def fetch_latest_data(
     ) -> pd.DataFrame:
         data_df = pd.DataFrame()
         for tic in ticker_list:
-            barset = self.api.get_bars([tic], time_interval, limit=limit).df  # [tic]
+            request_params = StockBarsRequest(
+                symbol_or_symbols=[tic], timeframe=TimeFrame.Minute, limit=limit
+            )
+
+            barset = self.client.get_stock_bars(request_params).df
+            # Reorganize the dataframes to be in original alpaca_trade_api structure
+            # Rename the existing 'symbol' column if it exists
+            if "symbol" in barset.columns:
+                barset.rename(columns={"symbol": "symbol_old"}, inplace=True)
+
+            # Now reset the index
+            barset.reset_index(inplace=True)
+
+            # Set 'timestamp' as the new index
+            if "level_0" in barset.columns:
+                barset.rename(columns={"level_0": "symbol"}, inplace=True)
+            if "level_1" in bars.columns:
+                barset.rename(columns={"level_1": "timestamp"}, inplace=True)
+            barset.set_index("timestamp", inplace=True)
+
+            # Reorder and rename columns as needed
+            barset = bars[
+                [
+                    "close",
+                    "high",
+                    "low",
+                    "trade_count",
+                    "open",
+                    "volume",
+                    "vwap",
+                    "symbol",
+                ]
+            ]
+
             barset["tic"] = tic
             barset = barset.reset_index()
             data_df = pd.concat([data_df, barset])
@@ -451,6 +526,9 @@ def fetch_latest_data(
         )
         latest_price = price_array[-1]
         latest_tech = tech_array[-1]
-        turb_df = self.api.get_bars(["VIXY"], time_interval, limit=1).df
+        request_params = StockBarsRequest(
+            symbol_or_symbols="VIXY", timeframe=TimeFrame.Minute, limit=1
+        )
+        turb_df = self.client.get_stock_bars(request_params).df
         latest_turb = turb_df["close"].values
         return latest_price, latest_tech, latest_turb