Merge branch '14-implement-action-fetching-for-alpaca' into 'main'

Resolve "Implement action fetching for Alpaca"

Closes #14

See merge request finvis/usxi!13

.eslintrc.js

@@ -73,7 +73,6 @@ module.exports = {
     "@typescript-eslint/no-shadow": ["error"],
     "no-throw-literal": "error",
     "no-undef-init": "error",
-    "no-undefined": "error",
     "no-underscore-dangle": "error",
     "no-unneeded-ternary": "error",
     "no-unused-expressions": "error",

src/alpaca/actions.ts

@@ -0,0 +1,54 @@
+import Alpaca from '@alpacahq/alpaca-trade-api';
+import { Action, ActionSide, ActionFetchOptions, ActionFetchResponse, ActionDateType } from '../interface/actions';
+
+interface AlpacaActivity {
+    id: string;
+    activity_type: string;
+    transaction_time: string;
+    type: string;
+    price: string;
+    qty: string;
+    side: string;
+    symbol: string;
+    leaves_qty: string;
+    order_id: string;
+    cum_qty: string;
+    order_status: string;
+}
+
+export class AlpacaActionProvider {
+    readonly alpaca: Alpaca;
+
+    readonly fetchActions = (options: ActionFetchOptions): Promise<ActionFetchResponse> => {
+        return (this.alpaca.getAccountActivities({
+            activityTypes: "FILL",
+            until: options.dateOptions?.dateType === ActionDateType.Before ? options.dateOptions.date : undefined,
+            after: options.dateOptions?.dateType === ActionDateType.After ? options.dateOptions.date : undefined,
+            direction: "desc",
+            date: options.dateOptions?.dateType === ActionDateType.On ? options.dateOptions.date : undefined,
+            pageSize: options.pageSize,
+            pageToken: undefined,
+        }) as Promise<AlpacaActivity[]>).then((activities) => {
+            return new ActionFetchResponse(
+                activities
+                .filter((activity) => activity.order_status === "filled")
+                .map((activity) => {
+                    return new Action(
+                        activity.symbol,
+                        parseInt(activity.qty, 10),
+                        activity.side === "buy" ? ActionSide.Buy : ActionSide.Sell,
+                        parseFloat(activity.price),
+                        new Date(activity.transaction_time),
+                    );
+                }),
+                undefined
+            );
+        }).catch((err) => {
+            return err;
+        });
+    };
+
+    constructor(alpaca: Alpaca) {
+        this.alpaca = alpaca;
+    }
+}

src/alpaca/exchange.ts

@@ -1,6 +1,7 @@
 import Alpaca from '@alpacahq/alpaca-trade-api';
 import { AlpacaPortfolioProvider } from './portfolio';
 import { AlpacaQuoteProvider } from './quote';
+import { AlpacaActionProvider } from './actions';
 import { Exchange } from '../interface/exchange';
 import { PortfolioProvider } from '../interface/portfolio';
 import { QuoteProvider } from '../interface/quote';
@@ -51,7 +52,7 @@ export class AlpacaExchange implements Exchange {
 
         this.portfolioProvider = new AlpacaPortfolioProvider(this.alpaca);
         this.quoteProvider = new AlpacaQuoteProvider(this.alpaca);
-        this.actionProvider = null!;
+        this.actionProvider = new AlpacaActionProvider(this.alpaca);
 
         this.name = 'Alpaca';
     }

src/index.ts

@@ -2,3 +2,7 @@ export * from './interface/exchange';
 export * from './interface/portfolio';
 export * from './interface/quote';
 export * from './interface/actions';
+
+export * from './alpaca/exchange';
+export * from './alpaca/portfolio';
+export * from './alpaca/quote';

src/interface/actions.ts

@@ -30,6 +30,11 @@ export class Action {
      */
     readonly pricePerShare: number;
 
+    /**
+     * The timestamp of the action
+     */
+    readonly timestamp: Date;
+
     /**
      * Represents a user Action.
      * @constructor
@@ -37,12 +42,14 @@ export class Action {
      * @param {number} quantity - The quantity of the asset being traded.
      * @param {ActionSide} side - The side of the trade (buy or sell).
      * @param {number} pricePerShare - The price per share of the asset being traded.
+     * @param {Date} timestamp - The timestamp of the action.
      */
-    constructor(symbol: string, quantity: number, side: ActionSide, pricePerShare: number) {
+    constructor(symbol: string, quantity: number, side: ActionSide, pricePerShare: number, timestamp: Date) {
         this.symbol = symbol;
         this.quantity = quantity;
         this.side = side;
         this.pricePerShare = pricePerShare;
+        this.timestamp = timestamp;
     }
 }
 
@@ -94,13 +101,23 @@ export class ActionFetchOptions {
      * The date options for filtering actions.
      */
     readonly dateOptions?: ActionDateOptions;
+
+    /**
+     * Creates a set of options for an Action fetch.
+     * @constructor
+     * @param pageSize - The size of the page if paging is desired.
+     * @param dateOptions - The options for Date filtering.
+     */
+    constructor(pageSize?: number, dateOptions?: ActionDateOptions) {
+        this.pageSize = pageSize;
+        this.dateOptions = dateOptions;
+    }
 }
 
 /**
  * Represents the response of a fetch action request.
  */
-export interface ActionFetchResponse {
+export class ActionFetchResponse {
-
     /**
      * An array of `Action` objects.
      */
@@ -111,6 +128,17 @@ export interface ActionFetchResponse {
      * Returns a promise that resolves to an `ActionFetchResponse` object.
      */
     readonly fetchNextPage?: () => Promise<ActionFetchResponse>;
+
+    /**
+     * Creates an instance of the Actions class.
+     * @constructor
+     * @param actions The list of actions.
+     * @param fetchNextPage A function that fetches the next page of actions.
+     */
+    constructor(actions: Action[], fetchNextPage?: () => Promise<ActionFetchResponse>) {
+        this.actions = actions;
+        this.fetchNextPage = fetchNextPage;
+    }
 }
 
 /**

test/alpaca.test.ts

@@ -1,19 +1,63 @@
 import { describe, expect, test } from '@jest/globals';
 import 'dotenv/config';
-import { AlpacaExchange } from '../src/alpaca/exchange';
+import { ActionDateOptions, ActionDateType, ActionFetchOptions, AlpacaExchange } from '../src/index';
+import { createLogger, transports, format } from "winston";
+
+const timeout = 10000;
+
+const logger = createLogger({
+  transports: [new transports.Console()],
+  format: format.combine(
+    format.colorize(),
+    format.timestamp(),
+    format.printf(({ timestamp, level, message, service }) => {
+      return `[${timestamp}] ${service} ${level}: ${message}`;
+    })
+  ),
+  defaultMeta: {
+    service: "AlpacaTest",
+  },
+});
 
 describe('Alpaca Tests', () => {
-  test('portfolio fetch', () => {
+  test('portfolio fetch', async () => {
     expect(process.env.ALPACA_API_KEY).toBeDefined();
     expect(process.env.ALPACA_SECRET_KEY).toBeDefined();
     const exchange = new AlpacaExchange(process.env.ALPACA_API_KEY!, process.env.ALPACA_SECRET_KEY!, true);
-    expect(exchange.portfolioProvider.fetchPortfolio()).resolves.toBeDefined();
+    await expect(exchange.portfolioProvider.fetchPortfolio()).resolves.toBeDefined();
-  });
+  }, timeout);
 
-  test('quote fetch', () => {
+  test('quote fetch', async () => {
     expect(process.env.ALPACA_API_KEY).toBeDefined();
     expect(process.env.ALPACA_SECRET_KEY).toBeDefined();
     const exchange = new AlpacaExchange(process.env.ALPACA_API_KEY!, process.env.ALPACA_SECRET_KEY!, true);
-    expect(exchange.quoteProvider.fetchQuote("AAPL")).resolves.toBeDefined();
+    await expect(exchange.quoteProvider.fetchQuote("AAPL")).resolves.toBeDefined();
-  });
+  }, timeout);
+
+  test('action fetch', async () => {
+    expect(process.env.ALPACA_API_KEY).toBeDefined();
+    expect(process.env.ALPACA_SECRET_KEY).toBeDefined();
+    const exchange = new AlpacaExchange(process.env.ALPACA_API_KEY!, process.env.ALPACA_SECRET_KEY!, true);
+
+    const fetchOptions = new ActionFetchOptions(undefined, new ActionDateOptions(new Date("2023-10-23T13:30:28.163Z"), ActionDateType.On));
+
+    const response = await exchange.actionProvider.fetchActions(fetchOptions);
+
+    expect(response).toBeDefined();
+
+    logger.info(JSON.stringify(response));
+
+    for (const action of response.actions) {
+      expect(action).toBeDefined();
+      expect(action.symbol).toBeDefined();
+      expect(action.quantity).toBeDefined();
+      expect(action.side).toBeDefined();
+      expect(action.pricePerShare).toBeDefined();
+
+      expect(action.timestamp).toBeDefined();
+      expect(action.timestamp.getFullYear()).toBe(2023);
+      expect(action.timestamp.getMonth()).toBe(9);
+      expect(action.timestamp.getDate()).toBe(23);
+    }
+  }, timeout);
 });