AlpacaZorroPlugin

The AlpacaZorroPlugin is a powerful integration between Alpaca, a brokerage providing real-time market data and trading capabilities, and Zorro, an institutional-grade development tool for financial research and automated trading. With this plugin, you can seamlessly trade using Alpaca within the Zorro environment.

Installation

To install the plugin, follow these steps:

1. Download the latest release.
2. Unzip the file.
3. Copy the Alpca.dll and the websocket_proxy folder into the plugin folder under Zorro's root path.
4. Copy the AlpacaBrokderCommands.h file into the include folder under Zorro's root path.

Usage

To use the plugin, follow these steps:

1. Generate an API Key on the Alpaca website.
2. Open Zorro, select Alpaca.
3. Enter the API Key in the User ID input box.
4. Enter the Secret Key in the Password input box.

AlpacaPlugin Specific Config

Since version 1.0.0, the AlpacaZorroPlugin supports several optional Alpaca-specific configurations, which can be added to either the Zorro.ini or ZorroFix.ini file (preferred):

AlpacaPaidDataPlan = 1                // 0 = False (Use Basic Data Plan), 1 = True (Use Pro Data Plan). Default to 1.
AlpacaLogLevel = 0                    // 0 = OFF, 1 = ERROR, 2 = WARNING, 3 = INFO, 4 = DEBUG, 5 = TRACE. Default to 0.
AlpacaLogType = 127                   // 1 = DEFAULT, 2 = ACCOUNT, 4 = BALANCE, 8 = POSITION, 16 = ORDER, 32 = HISTORY, 64 = MD, 128 = WEB_SOCKET_DATA,
                                      // 127 = DEFAULT | ACCOUNT | BALANCE | POSITION | ORDER | HISTORY | MD, 255 = ALL
AlpacaUseWebsocket = 0                // 0 = Not use Websocket, 1 = Use Websocket. Default to 1.
AlpacaFractionalLotAmount = 0.001     // The LotAmount for fractionable asset. Default to 1.

The Configurations are:

• AlpacaPaidDataPlan: Choose between free or paid Alpaca MarketData endpoint (default is the paid data plan).
• AlpacaLogLevel: Set the level of AlpacaPlugin logging (default is OFF).
• AlpacaLogType: Set which type of datt is logged (default is ALL except WEB_SOCKET_DATA).
• AlpacaUseWebsocket: Speficy whether to receive price updates via WebSocket or REST API (default is WebSocket).
• AlpacaFractionalLotAmount: Enable fractional quantity by setting this value to less than 1 (default is 1). Note that fractional quantity is only available for Market and Day order types.

Features

• Support Alpaca MarketData V2 Websocket Real-Time Data. Multiple ZorroS instances can share one WebSocket connection through ZorroWebsocketProxy. The Websocket can be turned off by the AlpacaUseWebsocket configuration. if AlpacaUseWebsocket is set to 0, the last price will be polled from the Snapshot REST endpoint.
  NTOE: ZorroWebsocketProxy has a lock-free design, it spins on one CPU core. High CPU usage is normal and expected.

• Support Limit, Market order types.

  // By default, enterLong/enterShort places a Market order
  enterLong(5);   // long 5 lot at Market price
  enterShort(5);  // short 5 lot at Market price
  
  // Place a limit
  OrderLimit = 100.00;  // set a Limit price first
  enterLong(5);   // place 5 lot at 100.00

• Support FOK, IOC, GTC, DAY, OPG, CLS TimeInForce types. See Understand Orders for more info.

  // By default, enterLong/enterShort places an order with FOK TimeInfoForce type
  // Use brokerCommand(SET_ORDERTYPE, tif) to change TimeInForce.
  // Valid TimeInForce value is
  //  ORDERTYPE_IOC - ICO
  //  ORDERTYPE_GTC - GTC
  //  ORDERTYPE_FOK - FOK (default)
  //  ORDERTYPE_DAY - DAY
  //  ORDERTYPE_OPG - OPG
  //  ORDERTYPE_CLS - CLS
  //
  // NOTE: brokerCommand(SET_ORDERTYPE, 0) will be ignored, this is because Zorro always calls brokerCommand(SET_ORDERTYPE, 0) before setting the limit price.
  
  #include <AlpacaBrokerCommands.h>
  brokerCommand(SET_ORDERTYPE, ORDERTYPE_DAY);  // set TIF to Day
  OrderLimit = 100.00;
  enterShort(5);    // Sell 5 lot Day order at limit price 100.00
  
  OrderLimit = 0;   // set order type back to Market
  brokerCommand(SET_ORDERTYPE, ORDERTYPE_CLS);  // set TIF to CLS
  enteryLong(5);    // Buy 5 lot MarketOnClose order

• Support LastQuote/LastTrade price type.

  // By default, it use ask/bid price mode
  // Use brokerCommand(SET_PRICETYPE, 2) to change price type to trades
  brokerCommand(SET_PRICETYPE, 2) // Set price type to trades
  brokerCommand(SET_PRICETYPE, 1 /*or 0*/) // Set price type to ask/bid quote

• Support custom order text

  // Use brokerCommand(SET_ORDERTEXT, xxxx) to set a custom order text
  brokerCommand(SET_ORDERTEXT, "MyAlpacaOrder");  // "MyAlpacaOrder" will be added into ClientOrderId
  enterLong(5);

• Support Position retrieval

  // get position for specific Asset
  brokerCommand(GET_POSITION, "AAPL");

• Support Fractional Quantity To enable Fractional Quantity support, add the AlpacaFractionalLotAmount config in Zorro.ini or ZorroFix.ini

  // AlpacaFractionalLotAmount = 0.001 in ZorroFix.ini
  #include <AlpacaBrokerCommands.h>
  ...
  asset("TLSA");
  brokerCommand(SET_ORDERTYPE, ORDERTYPE_DAY);  // Fractional qty only for Market and Day order type
  LotAmount = 5;
  enterLong();      // Buy 0.005 shares TLSA

• Generate AssetList file through custom brokerCommand

  #include <AlpacaBrokerCommands.h>
  brokerCommand(CREATE_ASSETLIST, char *symbols);

  symbols - One or more symbols separated by a comma, or 0 for all tradeable symbols. An AssetAlpaca.csv file will be generated in the Log directory.

  Example:
  // GenerateAlpacaAssetList.c
  #include <AlpacaBrokerCommands.h>
  function main() {
    brokerCommand(CREATE_ASSETLIST, "SPY,AAPL,MSFT,TSLA");  // Generate AssetsAlpaca.csv contains SPY, AAPL, MSFT, TSLA symbols
    //brokerCommand(CREATE_ASSETLIST, 0);   // Generate AssetsAplaca.csv contains all tradeable symbols /v2/assets endpoint. 
  }

• Get properties of current Asset

  #include <AlpacaBrokerCommands.h>
  ....
  int fractionable = brokerCommand(IS_ASSERT_FRACTIONABLE, Asset);
  int shortable = brokerCommand(IS_ASSERT_SHORTABLE, Asset);
  int easyToBorrow = brokerCommand(IS_ASSERT_EASY_TO_BORROW, Asset);
  int marginable = brokerCommand(IS_ASSERT_EASY_TO_MARGINABLE, Asset);

• Set Historical Bar Adjustment

  #include <AlpacaBrokerCommands.h>
  ....
  brokerCommand(SET_ADJUSTMENT, ADJUSTMENT_RAW);
  
  // Valid Adjustment value are
  //  ADJUSTMENT_RAW      - 0
  //  ADJUSTMENT_SPLIT    - 1
  //  ADJUSTMENT_DEVEDEND - 2
  //  ADJUSTMENT_ALL      - 3

• Following Zorro Broker API functions have been implemented:

  • BrokerOpen
  • BrokerHTTP
  • BrokerLogin
  • BrokerTime
  • BrokerAsset
  • BrokerHistory2
  • BrokerBuy2
  • BrokerTrade
  • BrokerSell2
  • BrokerCommand
    • GET_COMPLIANCE
    • GET_MAXTICKS
    • GET_MAXREQUESTS
    • GET_LOCK
    • GET_POSITION
    • GET_PRICETYPE
    • GET_VOLTYPE
    • SET_ORDERTEXT
    • SET_SYMBOL
    • SET_ORDERTYPE
    • SET_PRICETYPE:
    • SET_DIAGNOSTICS:

TO-DO List

• Add target and stop order support

Build From Source

Bug Report

If you find any issues or have any suggestions, please report them in GitHub issues.