release v1.3.2

kzhdev · kzhdev · commit 4f50d61dff36 · 2024-05-20T14:54:23.000-05:00
diff --git a/.gitignore b/.gitignore
@@ -2,3 +2,4 @@
 .vscode
 Release
 Debug
+*.aps
diff --git a/CHANGELOG b/CHANGELOG
@@ -1,3 +1,9 @@
+v1.3.2
+- Set the market data feed for the free market data plan to IEX. This ensures accurate and reliable data for users on the free plan.
+- Fixed an issue where the market was incorrectly marked as closed.
+- Corrected the application of some log types that were not being applied correctly.
+- Fixed an issue where failed WebSocket login might cause crash.
+
 v1.3.1
 - Rollback the sandbox WebSocket endpoint for Paper account. The endpoint doesn't work.
 
diff --git a/alpaca_zorro_plugin/AlpacaZorroPlugin.cpp b/alpaca_zorro_plugin/AlpacaZorroPlugin.cpp
@@ -125,17 +125,9 @@ namespace alpaca
         //attempt login
         if (wsClient)
         {
-            //if (isPaperTrading)
-            //{
-            //    if (!wsClient->login(User, Pwd, s_config.alpacaPaidPlan ? ALPACA_PAPER_PRO_DATA_WS_URL : ALPACA_PAPER_BASIC_DATA_WS_URL)) {
-            //        BrokerError("Unable to open Alpaca websocket. Prices will be pulled from REST API.");
-            //    }
-            //}
-            //else
-            {
-                if (!wsClient->login(User, Pwd, s_config.alpacaPaidPlan ? ALPACA_PRO_DATA_WS_URL : ALPACA_BASIC_DATA_WS_URL)) {
-                    BrokerError("Unable to open Alpaca websocket. Prices will be pulled from REST API.");
-                }
+            if (!wsClient->login(User, Pwd, s_config.alpacaPaidPlan ? ALPACA_PRO_DATA_WS_URL : ALPACA_BASIC_DATA_WS_URL)) {
+                BrokerError("Unable to open Alpaca websocket. Prices will be pulled from REST API.");
+                wsClient.reset();
             }
         }
 
@@ -179,7 +171,6 @@ namespace alpaca
         }
 
         auto& clock = response.content();
-
         *pTimeGMT = convertTime(clock.timestamp);
         return clock.is_open ? 2 : 1;
     }
@@ -434,14 +425,14 @@ namespace alpaca
         auto populateTicks = [&barsDownloaded, nTickMinutes, &end, &ticks, nTicks](std::vector<Bar>& bars) {
             for (int i = bars.size() - 1; i >= 0 && barsDownloaded < nTicks; --i) {
                 auto& bar = bars[i];
-                // change time to bar close time
-                __time32_t barCloseTime = bar.time + nTickMinutes * 60;
-                if (barCloseTime > end) {
-                    // end time cannot exceeds tEnd
-                    continue;
-                }
+                //// change time to bar close time
+                //__time32_t barCloseTime = bar.time + nTickMinutes * 60;
+                //if (barCloseTime > end) {
+                //    // end time cannot exceeds tEnd
+                //    continue;
+                //}
                 auto& tick = ticks[barsDownloaded++];
-                tick.time = convertTime(barCloseTime);
+                tick.time = convertTime(static_cast<__time32_t>(bar.time));
                 tick.fOpen = static_cast<float>(bar.open_price);
                 tick.fHigh = static_cast<float>(bar.high_price);
                 tick.fLow = static_cast<float>(bar.low_price);
@@ -450,31 +441,6 @@ namespace alpaca
             }
         };
 
-        if (!s_config.alpacaPaidPlan) {
-            LOG_DEBUG("BrokerHistory %s start: %d end: %d nTickMinutes: %d nTicks: %d\n", Asset, start, end, nTickMinutes, nTicks);
-            auto now = std::chrono::duration_cast<std::chrono::seconds>(std::chrono::system_clock::now().time_since_epoch()).count();
-            if ((now - end) <= 900) {
-                //if (s_config.fillDelayedDataWithPolygon && polygon) {
-                //    // Fill missed delay data from Polygon
-                //    s_logger->logInfo("Fill 15 minutes delay data with polygon\n", Asset, start, end, nTickMinutes, std::max<int>((30 / nTickMinutes), 1));
-                //    auto response = polygon->getBars(Asset, start, end, nTickMinutes, nTicks);
-                //    if (response) {
-                //        populateTicks(response.content());
-                //        if (!response.content().empty()) {
-                //            end = response.content()[0].time - 30;
-                //        }
-                //        else {
-                //            end = static_cast<__time32_t>(now) - 900;
-                //        }
-                //    }
-                //}
-                //else {
-                    end = static_cast<__time32_t>(now) - 900;
-                    LOG_INFO("Alpaca Basic Plan. Adjust end to %d\n", end);
-                //}
-            }
-        }
-
         while(true) {
             LOG_DEBUG("BrokerHistory %s start: %s(%d) end: %s(%d) nTickMinutes: %d nTicks: %d\n", Asset, timeToString(start).c_str(), start, timeToString(end).c_str(), end, nTickMinutes, nTicks);
 
@@ -900,12 +866,11 @@ namespace alpaca
             return 0;   // historical data in UTC time
 
         case GET_MAXTICKS:
-            return 10000;
+            return 9999;
 
         case GET_MAXREQUESTS:
-            // Alpaca rate limit is 200 requests per minutes.
-            // The rate is throttled by throtter
-            return 0;
+            // Alpaca rate limit is 200 requests per minutes for Free plan.
+            return s_config.alpacaPaidPlan ? 0 : 200;
 
         case GET_LOCK:
             return 1;
diff --git a/alpaca_zorro_plugin/alpaca/client.cpp b/alpaca_zorro_plugin/alpaca/client.cpp
@@ -66,7 +66,12 @@ namespace alpaca {
     }
 
     Response<Clock> Client::getClock() const {
-        return request<Clock, Client>(baseUrl_ + "/v2/clock", headers_.c_str(), nullptr);
+        auto rsp = request<Clock, Client>(baseUrl_ + "/v2/clock", headers_.c_str(), nullptr, LogLevel::L_TRACE, LogType::LT_DEFAULT);
+        if (rsp)
+        {
+            is_open_ = rsp.content().is_open;
+        }
+        return rsp;
     }
 
     Response<std::vector<Asset>> Client::getAssets(bool active_only) const {
@@ -256,9 +261,9 @@ namespace alpaca {
             writer.EndObject();
             auto data = s.GetString();
 
-            LOG_DEBUG("--> POST %s/v2/orders\n", baseUrl_.c_str());
+            LOG_DEBUG_EXT(LogType::LT_ORDER, "--> POST %s/v2/orders\n", baseUrl_.c_str());
             if (data) {
-                LOG_TRACE("Data:\n%s\n", data);
+                LOG_TRACE_EXT(LogType::LT_ORDER, "Data:\n%s\n", data);
             }
             response = request<Order, Client>(baseUrl_ + "/v2/orders", headers_.c_str(), data, LogLevel::L_DEBUG, LT_ORDER);
             if (!response && response.what() == "client_order_id must be unique") {
diff --git a/alpaca_zorro_plugin/alpaca/client.h b/alpaca_zorro_plugin/alpaca/client.h
@@ -85,7 +85,7 @@ namespace alpaca {
         const std::string baseUrl_;
         const std::string apiKey_;
         const std::string headers_;
-        mutable bool is_open_ = false;
+        mutable bool is_open_ = true;
         const bool isLiveMode_;
     };
 
diff --git a/alpaca_zorro_plugin/alpaca_zorro_plugin.rc b/alpaca_zorro_plugin/alpaca_zorro_plugin.rc
@@ -51,8 +51,8 @@ END
 //
 
 VS_VERSION_INFO VERSIONINFO
- FILEVERSION 1,3,1,0
- PRODUCTVERSION 1,3,1,0
+ FILEVERSION 1,3,2,0
+ PRODUCTVERSION 1,3,2,0
  FILEFLAGSMASK 0x3fL
 #ifdef _DEBUG
  FILEFLAGS 0x1L
@@ -68,12 +68,12 @@ BEGIN
         BLOCK "040904b0"
         BEGIN
             VALUE "FileDescription", "Alpaca Zorro Plugin"
-            VALUE "FileVersion", "1.3.1.0"
+            VALUE "FileVersion", "1.3.2.0"
             VALUE "InternalName", "alpaca_z.dll"
             VALUE "LegalCopyright", "Copyright (C) 2021"
             VALUE "OriginalFilename", "alpaca_z.dll"
             VALUE "ProductName", "AlpacaZorroPlugin"
-            VALUE "ProductVersion", "1.3.1.0"
+            VALUE "ProductVersion", "1.3.2.0"
         END
     END
     BLOCK "VarFileInfo"
diff --git a/alpaca_zorro_plugin/logger.h b/alpaca_zorro_plugin/logger.h
@@ -138,17 +138,19 @@ namespace alpaca {
 #define LOG_DEBUG(format, ...) Logger::instance().log(L_DEBUG, LT_ALL, format, __VA_ARGS__);
 #define LOG_DEBUG_EXT(type, format, ...) Logger::instance().log(L_DEBUG, type, format, __VA_ARGS__);
 #define LOG_INFO(format, ...) Logger::instance().log(L_INFO, LT_ALL, format, __VA_ARGS__);
-//#define LOG_INFO_EXT(type, format, ...) Logger::instance().log(L_INFO, type, format, __VA_ARGS__);
+#define LOG_INFO_EXT(type, format, ...) Logger::instance().log(L_INFO, type, format, __VA_ARGS__);
 #define LOG_WARNING(format, ...) Logger::instance().log(L_WARNING, LT_ALL, format, __VA_ARGS__);
-//#define LOG_WARNING_EXT(type, format, ...) Logger::instance().log(L_WARNING, type, format, __VA_ARGS__);
+#define LOG_WARNING_EXT(type, format, ...) Logger::instance().log(L_WARNING, type, format, __VA_ARGS__);
 #define LOG_ERROR(format, ...) Logger::instance().log(L_ERROR, LT_ALL, format, __VA_ARGS__);
-//#define LOG_ERROR_EXT(type, format, ...) Logger::instance().log(L_ERROR, type, format, __VA_ARGS__);
+#define LOG_ERROR_EXT(type, format, ...) Logger::instance().log(L_ERROR, type, format, __VA_ARGS__);
 #define LOG_TRACE(format, ...) Logger::instance().log(L_TRACE, LT_ALL, format, __VA_ARGS__);
-//#define LOG_TRACE_EXT(type, format, ...) Logger::instance().log(L_TRACE, type, format, __VA_ARGS__);
+#define LOG_TRACE_EXT(type, format, ...) Logger::instance().log(L_TRACE, type, format, __VA_ARGS__);
 #ifdef _DEBUG
 #define LOG_DIAG(format, ...) Logger::instance().log(L_DEBUG, LT_ALL, format, __VA_ARGS__);
+#define LOG_DIAG_EXT(type, format, ...) Logger::instance().log(L_DEBUG, type, format, __VA_ARGS__);
 #else
 #define LOG_DIAG(format, ...)
+#define LOG_DIAG_EXT(type, format, ...)
 #endif
 #endif
 }
diff --git a/alpaca_zorro_plugin/market_data/alpaca_market_data.cpp b/alpaca_zorro_plugin/market_data/alpaca_market_data.cpp
@@ -252,6 +252,14 @@ Response<std::vector<Bar>> AlpacaMarketData::downloadBars(
                 return false;
             }
 
+            // change time to bar close time
+            bar.time += nTickMinutes * 60;
+            if (static_cast<__time32_t>(bar.time) > e) {
+                // end time cannot exceeds tEnd
+                LOG_DIAG_EXT(LogType::LT_HISTORY, "Drop bar at %s\n", bar.time_string.c_str());
+                continue;
+            }
+
             if (n == 1) {
                 bars.emplace_back(std::move(bar));
                 --limit;
@@ -262,27 +270,27 @@ Response<std::vector<Bar>> AlpacaMarketData::downloadBars(
                         auto duration = nTickMinutes * 60;
                         if (((int)(e - bar.time) < duration) && ((e % duration) > (int)(bar.time % duration))) {
                             // drop incompleted bar data
-                            LOG_DIAG("Drop bar at %s\n", bar.time_string.c_str());
+                            LOG_DIAG_EXT(LogType::LT_HISTORY, "Drop bar at %s\n", bar.time_string.c_str());
                             continue;
                         }
                         bFirstBar = false;
                     }
                     rtBar = bar;
                     bar_end_time = rtBar.time;
-                    LOG_DIAG("Bar end at %s\n", rtBar.time_string.c_str());
+                    LOG_DIAG_EXT(LogType::LT_HISTORY, "Bar end at %s\n", rtBar.time_string.c_str());
                 }
                 else {
                     if ((int)(bar_end_time - bar.time) > ((nTickMinutes - 1) * 60))  { 
-                        LOG_WARNING("Some data is missing, the data at %s belongs to different bar.\n", bar.time_string.c_str());
-                        LOG_DIAG("Bar end at %s\n", bar.time_string.c_str());
+                        LOG_WARNING_EXT(LogType::LT_HISTORY, "Some data is missing, the data at %s belongs to different bar.\n", bar.time_string.c_str());
+                        LOG_DIAG_EXT(LogType::LT_HISTORY, "Bar end at %s\n", bar.time_string.c_str());
                         bars.emplace_back(std::move(rtBar));
                         rtBar = bar;
                         bar_end_time = bar.time;
                         i = 0;
                         --limit;
                     }
                     else {
-                        LOG_DIAG("Bar at %s\n", bar.time_string.c_str());
+                        LOG_DIAG_EXT(LogType::LT_HISTORY, "Bar at %s\n", bar.time_string.c_str());
                         rtBar.high_price = std::max<double>(rtBar.high_price, bar.high_price);
                         rtBar.low_price = std::min<double>(rtBar.low_price, bar.low_price);
                         rtBar.open_price = bar.open_price;
@@ -313,9 +321,14 @@ Response<std::vector<Bar>> AlpacaMarketData::downloadBars(
         std::string sEnd = timeToString(e);
         std::stringstream url;
         url << baseUrl_ << "/v2/stocks/" << symbol << "/bars?start=" << sStart
-            << "&end=" << sEnd << "&limit=" << 10000 << "&timeframe=" << timeframe
+            << "&end=" << sEnd << "&limit=10000&timeframe=" << timeframe
             << "&sort=desc&adjustment=" << to_string(Config::get().adjustment);
 
+        if (!Config::get().alpacaPaidPlan)
+        {
+            url << "&feed=iex";
+        }
+
         if (!page_token.empty()) {
             url << "&page_token=" << page_token;
         }
@@ -339,10 +352,10 @@ Response<std::vector<Bar>> AlpacaMarketData::downloadBars(
 
         auto& retrvievedBars = retrieved.content().bars;
         if (!retrvievedBars.empty()) {
-            LOG_TRACE("%d bars downloaded. %s-%s\n", retrvievedBars.size(), retrvievedBars.front().time_string.c_str(), retrvievedBars.back().time_string.c_str());
+            LOG_TRACE_EXT(LogType::LT_HISTORY, "%d bars downloaded. %s-%s\n", retrvievedBars.size(), retrvievedBars.front().time_string.c_str(), retrvievedBars.back().time_string.c_str());
 
-            if (!retrieved.content().next_page_token.empty()) {
-                LOG_DIAG("data pagenated\n");
+            if (!retrieved.content().next_page_token.empty() && retrvievedBars.size() != 10000) {
+                LOG_DIAG_EXT(LogType::LT_HISTORY, "data pagenated\n");
                 // need to get more data entil reach the end;
                 page_token = retrieved.content().next_page_token;
             }
@@ -356,18 +369,18 @@ Response<std::vector<Bar>> AlpacaMarketData::downloadBars(
                 break;
             }
         } else {
-            LOG_TRACE("0 bars downloaded.\n");
+            LOG_TRACE_EXT(LogType::LT_HISTORY, "0 bars downloaded.\n");
             break;
         }
     } while (limit || !page_token.empty());
-    LOG_DIAG("limit: %d\n", limit);
+    LOG_DIAG_EXT(LogType::LT_HISTORY, "limit: %d, bar size=%d\n", limit, bars.size());
     return response;
 }
 
 void AlpacaMarketData::getFromDownloadedBars(std::vector<Bar>& bars, __time32_t& end, uint32_t& limit) const {
     if (!downloaded_bars_.empty()) {
         // found in bars we already downloaded
-        LOG_DIAG("check dowloaded bars. returned_index_=%d, bar=%s\n", returned_index_, timeToString(downloaded_bars_[returned_index_].time).c_str());
+        LOG_DIAG_EXT(LogType::LT_HISTORY, "check dowloaded bars. returned_index_=%d, bar=%s\n", returned_index_, timeToString(downloaded_bars_[returned_index_].time).c_str());
 
         for (returned_index_; returned_index_ >= 0 && returned_index_ < downloaded_bars_.size();) {
             auto& bar = downloaded_bars_[returned_index_];
@@ -383,7 +396,7 @@ void AlpacaMarketData::getFromDownloadedBars(std::vector<Bar>& bars, __time32_t&
         auto upperbound = returned_index_;
         returned_index_ = std::max<int>(returned_index_ - limit + 1, 0);
         if (returned_index_ > 0 || ((upperbound - returned_index_ + 1) == limit)) {
-            LOG_DIAG("have enough data in downloaded. returned_index_=%d, upperbound=%d, first bar=%s, last bar=%s\n", returned_index_, upperbound, timeToString(downloaded_bars_[returned_index_].time).c_str(), timeToString(downloaded_bars_[upperbound].time).c_str());
+            LOG_DIAG_EXT(LogType::LT_HISTORY, "have enough data in downloaded. returned_index_=%d, upperbound=%d, first bar=%s, last bar=%s\n", returned_index_, upperbound, timeToString(downloaded_bars_[returned_index_].time).c_str(), timeToString(downloaded_bars_[upperbound].time).c_str());
             // dwonloaded bars contains enough bars
             for (auto i = returned_index_; i <= upperbound; ++i, --limit) {
                 bars.emplace_back(std::move(downloaded_bars_[i]));
@@ -404,7 +417,7 @@ void AlpacaMarketData::getFromDownloadedBars(std::vector<Bar>& bars, __time32_t&
         }
 
         if (!leftover_bars_.empty()) {
-            LOG_DIAG("%d bars already downloaded, first bar %s, last bar %s\n", leftover_bars_.size(), timeToString(leftover_bars_[0].time).c_str(), timeToString(leftover_bars_.back().time).c_str());
+            LOG_DIAG_EXT(LogType::LT_HISTORY, "%d bars already downloaded, first bar %s, last bar %s\n", leftover_bars_.size(), timeToString(leftover_bars_[0].time).c_str(), timeToString(leftover_bars_.back().time).c_str());
             end = leftover_bars_[0].time;
         }
     }
diff --git a/alpaca_zorro_plugin/market_data/alpaca_market_data.h b/alpaca_zorro_plugin/market_data/alpaca_market_data.h
diff --git a/alpaca_zorro_plugin/websockets/alpaca_md_ws.h b/alpaca_zorro_plugin/websockets/alpaca_md_ws.h
diff --git a/third_party/zorro_websocket_proxy b/third_party/zorro_websocket_proxy

-Original file line number
+Diff line change
 .vscode
 Release
 Debug
 +*.aps