Added TIF options for Alpaca

neurallayer · Jun 16, 2024 · 59a1c74 · 59a1c74
1 parent f7d0731
commit 59a1c74
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Showing 4 changed files with 8 additions and 7 deletions.
diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/Alpaca.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/Alpaca.kt
@@ -73,5 +73,4 @@ internal object Alpaca {
     }
 
 
-
 }
diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpaceOrderPlacer.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpaceOrderPlacer.kt
@@ -31,19 +31,19 @@ import net.jacobpeterson.alpaca.openapi.trader.model.TimeInForce as OrderTimeInF
  */
 internal class AlpaceOrderPlacer(private val alpacaAPI: AlpacaAPI, private val extendedHours: Boolean = false) {
 
-
     fun cancelOrder(cancellation: CancelOrder) {
         val orderId = UUID.fromString(cancellation.id)
         alpacaAPI.trader().orders().deleteOrderByOrderID(orderId)
     }
 
 
-
     private fun TimeInForce.toOrderTimeInForce(): OrderTimeInForce {
 
         return when (this) {
             is GTC -> OrderTimeInForce.GTC
             is DAY -> OrderTimeInForce.DAY
+            is IOC -> OrderTimeInForce.IOC
+            is FOK -> OrderTimeInForce.FOK
             else -> throw UnsupportedException("unsupported tif=${this}")
         }
     }
@@ -104,6 +104,4 @@ internal class AlpaceOrderPlacer(private val alpacaAPI: AlpacaAPI, private val e
     }
 
 
-
-
 }
diff --git a/roboquant-avro/src/main/kotlin/org/roboquant/avro/AvroFeed.kt b/roboquant-avro/src/main/kotlin/org/roboquant/avro/AvroFeed.kt
@@ -213,6 +213,7 @@ class AvroFeed(private val path: Path, private val template: Asset = Asset("TEMP
 
         val arraySchema = Schema.createArray(Schema.create(Schema.Type.DOUBLE))
         val enumSchema = Schema.createArray(Schema.create(Schema.Type.STRING))
+        var count = 0L
         try {
             val record = GenericData.Record(schema)
             val serializer = PriceItemSerializer()
@@ -236,6 +237,7 @@ class AvroFeed(private val path: Path, private val template: Asset = Asset("TEMP
 
                     record.put(4, serialization.meta)
                     dataFileWriter.append(record)
+                    count++
                 }
 
             }
@@ -247,6 +249,7 @@ class AvroFeed(private val path: Path, private val template: Asset = Asset("TEMP
             if (job.isActive) job.cancel()
             dataFileWriter.sync()
             dataFileWriter.close()
+            logger.info { "wrote $count records to file $file" }
         }
     }
 

diff --git a/roboquant/src/main/kotlin/org/roboquant/brokers/Broker.kt b/roboquant/src/main/kotlin/org/roboquant/brokers/Broker.kt
@@ -18,6 +18,7 @@ package org.roboquant.brokers
 
 import org.roboquant.feeds.Event
 import org.roboquant.orders.Order
+import java.time.Instant
 
 /**
  * Interface for any broker implementation, used for both simulated and real brokers.
@@ -31,9 +32,9 @@ interface Broker {
      * trades, cash and buying power.
      *
      * Optionally an [event] can be provided, although normally only the SimBroker requires this to simulate
-     * trade executions. If no event is provided, an empty event will be used instead.
+     * trade executions.
      *
-     * A sync will result in a new instance of the account object.
+     * A sync will return an instance of the account object.
      */
     fun sync(event: Event? = null) : Account