├── docker └── redis │ └── Dockerfile ├── example.server.config.json ├── src ├── clj │ ├── copy_trader │ │ ├── console.clj │ │ ├── core.clj │ │ ├── config.clj │ │ ├── util.clj │ │ ├── websocket │ │ │ ├── event.clj │ │ │ ├── security.clj │ │ │ ├── client.clj │ │ │ └── server.clj │ │ ├── scheduling │ │ │ ├── websocket_keepalive_job.clj │ │ │ ├── jobs.clj │ │ │ ├── trader_balances_job.clj │ │ │ └── scheduler.clj │ │ ├── system.clj │ │ ├── exchange │ │ │ ├── traders.clj │ │ │ ├── alpaca │ │ │ │ ├── driver.clj │ │ │ │ └── trader.clj │ │ │ ├── trader.clj │ │ │ └── ameritrade │ │ │ │ ├── driver.clj │ │ │ │ └── trader.clj │ │ ├── server.clj │ │ └── cache.clj │ └── log4j.properties ├── prod │ └── user.clj └── dev │ └── user.clj ├── .gitignore ├── .dir-locals.el ├── Dockerfile ├── docker-compose.yml ├── Makefile ├── example.client.config.json ├── deps.edn ├── doc └── Ameritrade.md ├── README.md └── LICENSE /docker/redis/Dockerfile: -------------------------------------------------------------------------------- 1 | FROM redis:6.2.3 2 | 3 | VOLUME /data -------------------------------------------------------------------------------- /example.server.config.json: -------------------------------------------------------------------------------- 1 | { 2 | "servers": [ 3 | ], 4 | "traders": [ 5 | ] 6 | } 7 | -------------------------------------------------------------------------------- /src/clj/copy_trader/console.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.console 2 | (:require 3 | [copy-trader.system :as system])) 4 | 5 | (def halt system/halt) 6 | (def go system/go) 7 | -------------------------------------------------------------------------------- /src/clj/copy_trader/core.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.core) 2 | 3 | (defonce state (atom {:is-running? false})) 4 | 5 | (defn is-running? 6 | [] 7 | (:is-running? @state)) 8 | -------------------------------------------------------------------------------- /src/prod/user.clj: -------------------------------------------------------------------------------- 1 | (ns user 2 | (:require copy-trader.console)) 3 | 4 | (defn dev 5 | [] 6 | (in-ns 'copy-trader.console) 7 | (eval '(go))) 8 | 9 | (dev) 10 | -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- 1 | .cpcache 2 | .redis_root 3 | .nrepl-port 4 | .DS_STORE 5 | .tags 6 | *.swp 7 | *.swo 8 | *.class 9 | *.jar 10 | .#* 11 | log 12 | 13 | config.json 14 | public-key.pem 15 | private-key.pem 16 | -------------------------------------------------------------------------------- /src/clj/copy_trader/config.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.config 2 | (:require 3 | [cheshire.core :refer [parse-string]] 4 | [clojure.java.io :as io])) 5 | 6 | (defn config 7 | [] 8 | (-> (io/file "config.json") 9 | slurp 10 | (parse-string true))) 11 | -------------------------------------------------------------------------------- /src/dev/user.clj: -------------------------------------------------------------------------------- 1 | (ns user) 2 | 3 | (defn dev 4 | [] 5 | (println "Enter (go) to start")) 6 | 7 | (defn go 8 | [] 9 | (require 'copy-trader.console) 10 | (in-ns 'copy-trader.console) 11 | (eval '(go)) 12 | (println "Running. Use (halt) to stop.")) 13 | 14 | (dev) 15 | -------------------------------------------------------------------------------- /src/clj/copy_trader/util.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.util 2 | (:import [clojure.lang Atom])) 3 | 4 | (defn atom? 5 | [x] 6 | (instance? Atom x)) 7 | 8 | (defn to-precision 9 | [n precision] 10 | (let [multiplier (Math/pow 10 precision)] 11 | (/ (Math/floor (* n multiplier)) 12 | multiplier))) 13 | -------------------------------------------------------------------------------- /.dir-locals.el: -------------------------------------------------------------------------------- 1 | ((nil . ((cider-preferred-build-tool . clojure-cli) 2 | (cider-clojure-cli-global-options . "-A:dev") 3 | (cider-repl-init-code . ("(dev)")) 4 | 5 | (cider-repl-display-help-banner . nil) 6 | (cider-redirect-server-output-to-repl . t) 7 | (clojure-toplevel-inside-comment-form . t)))) 8 | -------------------------------------------------------------------------------- /src/clj/copy_trader/websocket/event.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.websocket.event) 2 | 3 | (defmulti on-event 4 | (fn [_uri {:keys [message-code _payload]}] 5 | message-code)) 6 | 7 | (defmethod on-event :default 8 | [_uri _msg] 9 | :not-implemented) 10 | 11 | ;; TODO -- implement too-many-clients error handler 12 | 13 | (def ONE-DAY 14 | (* 1000 60 60 24)) 15 | -------------------------------------------------------------------------------- /Dockerfile: -------------------------------------------------------------------------------- 1 | FROM openjdk:11.0.13 2 | 3 | # Recommended setting for Crux 4 | ENV MALLOC_ARENA_MAX=2 5 | 6 | RUN apt-get update && \ 7 | apt install -y build-essential rlwrap 8 | 9 | # Pull and prepare Clojure 10 | RUN curl -O https://download.clojure.org/install/linux-install-1.10.3.822.sh 11 | RUN chmod +x linux-install-1.10.3.822.sh 12 | RUN ./linux-install-1.10.3.822.sh 13 | 14 | EXPOSE 51585 15 | EXPOSE 40404 16 | WORKDIR /usr/src/app 17 | 18 | ENTRYPOINT ["make", "run"] -------------------------------------------------------------------------------- /docker-compose.yml: -------------------------------------------------------------------------------- 1 | version: "3.8" 2 | services: 3 | copy-trader-redis: 4 | image: 5 | copy-trader-redis 6 | expose: 7 | - "6379" 8 | volumes: 9 | - ./.redis_root:/data 10 | 11 | copy-trader: 12 | image: 13 | copy-trader 14 | depends_on: 15 | - copy-trader-redis 16 | environment: 17 | - REDIS_ENDPOINT=redis://copy-trader-redis:6379 18 | ports: 19 | - "40404:40404" 20 | - "51585:51585" 21 | volumes: 22 | - ./:/usr/src/app 23 | -------------------------------------------------------------------------------- /Makefile: -------------------------------------------------------------------------------- 1 | SHELL := bash 2 | 3 | .PHONY: dev 4 | 5 | docker/build-redis: 6 | cd docker/redis; docker build -t copy-trader-redis . 7 | 8 | docker/run-redis: 9 | docker run -d -p6379:6379 --name copy-trader-redis copy-trader-redis 10 | 11 | docker/build: 12 | docker build -t copy-trader . 13 | 14 | docker/build-all: docker/build-redis docker/build 15 | 16 | docker/run: 17 | docker run -d -p 51585:51585 -v $(PWD):/usr/src/app --name copy-trader copy-trader 18 | 19 | docker/run-all: 20 | docker-compose up 21 | 22 | dev: 23 | clj -A:dev 24 | 25 | run: 26 | clj -M:run -m nrepl.cmdline --bind 0.0.0.0 --port 40404 27 | -------------------------------------------------------------------------------- /src/clj/copy_trader/websocket/security.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.websocket.security 2 | (:require 3 | [buddy.core.keys :as buddy-keys] 4 | [buddy.sign.jwt :as jwt])) 5 | 6 | (defonce ^:private ec-private-key (atom nil)) 7 | (def ^:private ec-public-key (buddy-keys/public-key "public-key.pem")) 8 | 9 | (defn- load-private-key! 10 | [] 11 | (when-not @ec-private-key 12 | (reset! ec-private-key (buddy-keys/private-key "private-key.pem")))) 13 | 14 | (defn sign-payload 15 | [payload] 16 | (load-private-key!) 17 | (jwt/sign payload @ec-private-key {:alg :es512})) 18 | 19 | (defn unsign-payload 20 | [signed-payload] 21 | (jwt/unsign signed-payload ec-public-key {:alg :es512})) 22 | -------------------------------------------------------------------------------- /src/clj/copy_trader/scheduling/websocket_keepalive_job.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.scheduling.websocket-keepalive-job 2 | (:require 3 | [clojure.tools.logging :as log] 4 | [clojurewerkz.quartzite.jobs :as jobs :refer [defjob]] 5 | [copy-trader.websocket.client :as ws-client])) 6 | 7 | (defn- do-websocket-keepalive-job* 8 | [_job-context] 9 | (ws-client/keepalive-clients!)) 10 | 11 | (defjob websocket-keepalive-job 12 | [job-context] 13 | (try 14 | (do-websocket-keepalive-job* job-context) 15 | (catch Throwable t 16 | (log/error t)))) 17 | 18 | (defn make-websocket-keepalive-job 19 | [] 20 | (jobs/build 21 | (jobs/of-type websocket-keepalive-job) 22 | (jobs/using-job-data {}))) 23 | -------------------------------------------------------------------------------- /src/clj/copy_trader/scheduling/jobs.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.scheduling.jobs 2 | (:require 3 | [copy-trader.scheduling.scheduler :as scheduler] 4 | [copy-trader.scheduling.trader-balances-job :as trader-balances-job] 5 | [copy-trader.scheduling.websocket-keepalive-job :as websocket-keepalive-job])) 6 | 7 | (defn schedule-jobs! 8 | [] 9 | ;; TODO -- add more jobs here as needed 10 | (scheduler/schedule-cron-job! 11 | :fetch 12 | (websocket-keepalive-job/make-websocket-keepalive-job) 13 | ;; seconds minutes hours dom month dow 14 | ;; every 10 seconds 15 | "*/10 * * ? * *") 16 | (scheduler/schedule-cron-job! 17 | :fetch 18 | (trader-balances-job/make-trader-balances-job) 19 | ;; seconds minutes hours dom month dow 20 | ;; every 20 seconds 21 | "10,30,50 * * ? * *")) 22 | -------------------------------------------------------------------------------- /src/clj/copy_trader/system.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.system 2 | (:require 3 | [copy-trader.exchange.traders :as traders] 4 | [copy-trader.core :as core] 5 | [copy-trader.scheduling.scheduler :as scheduler] 6 | [copy-trader.scheduling.jobs :as jobs] 7 | [copy-trader.server :as server] 8 | [copy-trader.websocket.client :as ws])) 9 | 10 | (defn halt 11 | [] 12 | (when (:is-running? @core/state) 13 | (ws/disconnect-clients!) 14 | (scheduler/halt!) 15 | (server/halt!) 16 | (reset! core/state {:is-running? false})) 17 | :halted) 18 | 19 | (defn go 20 | [] 21 | (when-not (:is-running? @core/state) 22 | (swap! core/state assoc :is-running? true) 23 | (traders/load-traders!) 24 | (scheduler/start!) 25 | (server/start!) 26 | (jobs/schedule-jobs!) 27 | (ws/connect-clients!)) 28 | :running) 29 | -------------------------------------------------------------------------------- /example.client.config.json: -------------------------------------------------------------------------------- 1 | { 2 | "servers": [ 3 | { 4 | "uri": "wss://copy-trader.mershonenterprises.com:1585/ws" 5 | } 6 | ], 7 | "traders": [ 8 | { 9 | "nickname": "My Alpaca Trader", 10 | "exchange": "alpaca", 11 | "assets": ["equity"], 12 | "credentials": { 13 | "api_key": "YOUR_API_TOKEN", 14 | "api_secret": "YOU_API_SECRET" 15 | }, 16 | "max_positions": 20, 17 | "type": "paper", 18 | "leverage": 2.0, 19 | "risk": 0.0375, 20 | "shorting": false 21 | }, 22 | { 23 | "nickname": "My Ameritrade Trader", 24 | "exchange": "ameritrade", 25 | "assets": ["equity"], 26 | "credentials": { 27 | "app_id": "YOUR_AMERITRADE_DEVELOPER_ACCOUNT_APP_ID", 28 | "account_id": "YOUR_AMERITRADE_ACCOUNT_ID" 29 | }, 30 | "max_positions": 20, 31 | "type": "live", 32 | "leverage": 2.0, 33 | "risk": 0.0375, 34 | "shorting": false 35 | } 36 | ] 37 | } 38 | -------------------------------------------------------------------------------- /src/clj/copy_trader/scheduling/trader_balances_job.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.scheduling.trader-balances-job 2 | (:require 3 | [clojure.tools.logging :as log] 4 | [clojurewerkz.quartzite.jobs :as jobs :refer [defjob]] 5 | [copy-trader.cache :refer [with-cache]] 6 | [copy-trader.exchange.traders :refer [all-traders]] 7 | [copy-trader.exchange.trader :refer [;;cache-orders! cache-positions! 8 | with-balance with-orders with-positions]])) 9 | 10 | (defn- update-trader-balances! 11 | [trader-state] 12 | (swap! trader-state (fn [trader-map] 13 | (->> trader-map 14 | with-balance 15 | with-positions 16 | with-orders 17 | with-cache)))) 18 | 19 | (defn- do-trader-balances-job* 20 | [_job-context] 21 | (doseq [trader-state (all-traders)] 22 | (update-trader-balances! trader-state))) 23 | 24 | (defjob trader-balances-job 25 | [job-context] 26 | (try 27 | (do-trader-balances-job* job-context) 28 | (catch Throwable t 29 | (log/error t)))) 30 | 31 | (defn make-trader-balances-job 32 | [] 33 | (jobs/build 34 | (jobs/of-type trader-balances-job) 35 | (jobs/using-job-data {}))) 36 | -------------------------------------------------------------------------------- /src/clj/log4j.properties: -------------------------------------------------------------------------------- 1 | log4j.appender.R=org.apache.log4j.RollingFileAppender 2 | log4j.appender.R.File=log/system.log 3 | log4j.appender.R.MaxFileSize=4096KB 4 | log4j.appender.R.MaxBackupIndex=9 5 | log4j.appender.R.layout=org.apache.log4j.PatternLayout 6 | log4j.appender.R.layout.ConversionPattern=[%d][%p][%c] %m%n 7 | log4j.logger.R=INFO, R 8 | 9 | log4j.rootLogger=INFO, R 10 | 11 | log4j.appender.EXCHANGE_ALPACA=org.apache.log4j.RollingFileAppender 12 | log4j.appender.EXCHANGE_ALPACA.File=log/alpaca.log 13 | log4j.appender.EXCHANGE_ALPACA.MaxFileSize=4096KB 14 | log4j.appender.EXCHANGE_ALPACA.MaxBackupIndex=9 15 | log4j.appender.EXCHANGE_ALPACA.layout=org.apache.log4j.PatternLayout 16 | log4j.appender.EXCHANGE_ALPACA.layout.ConversionPattern=[%d][%p][%c] %m%n 17 | log4j.additivity.EXCHANGE_ALPACA=true 18 | log4j.logger.copy-trader.exchange.alpaca=INFO, EXCHANGE_ALPACA 19 | 20 | log4j.appender.WEBSOCKET=org.apache.log4j.RollingFileAppender 21 | log4j.appender.WEBSOCKET.File=log/websocket.log 22 | log4j.appender.WEBSOCKET.MaxFileSize=4096KB 23 | log4j.appender.WEBSOCKET.MaxBackupIndex=9 24 | log4j.appender.WEBSOCKET.layout=org.apache.log4j.PatternLayout 25 | log4j.appender.WEBSOCKET.layout.ConversionPattern=[%d][%p][%c] %m%n 26 | log4j.additivity.WEBSOCKET=true 27 | log4j.logger.copy-trader.websocket=DEBUG, WEBSOCKET -------------------------------------------------------------------------------- /src/clj/copy_trader/exchange/traders.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.exchange.traders 2 | (:require 3 | [clojure.tools.logging :as log] 4 | [copy-trader.cache :as cache] 5 | [copy-trader.config :refer [config]] 6 | [copy-trader.core :as core] 7 | [copy-trader.exchange.trader :as trader] 8 | [copy-trader.exchange.alpaca.trader] 9 | [copy-trader.exchange.ameritrade.trader])) 10 | 11 | (defn load-traders! 12 | [] 13 | (try 14 | (swap! core/state assoc :traders 15 | (mapv (comp atom 16 | cache/with-orders-and-positions 17 | cache/with-credentials) 18 | (:traders (config)))) 19 | :ok 20 | (catch Throwable t 21 | (log/error t) 22 | (.getMessage t)))) 23 | 24 | (defn all-traders 25 | [] 26 | (:traders @core/state)) 27 | 28 | (defn dispatch-trade! 29 | [{:keys [asset-type _symbol direction _order-type _price _stop-loss _percentage] :as trade-msg}] 30 | (let [traders (->> (:traders @core/state) 31 | (filter #(some #{asset-type} (:assets (deref %)))))] 32 | (doseq [trader traders] 33 | (let [{:keys [exchange shorting] :as trader-map} @trader] 34 | (when (or (= "long" direction) 35 | (and shorting (= "short" direction))) 36 | (trader/on-trade trader-map (assoc trade-msg :exchange exchange))))))) 37 | -------------------------------------------------------------------------------- /src/clj/copy_trader/exchange/alpaca/driver.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.exchange.alpaca.driver 2 | (:require 3 | [clj-http.conn-mgr :as conn-mgr] 4 | [clj-http.client :as client])) 5 | 6 | (defonce ^:private cm (conn-mgr/make-reusable-conn-manager {:threads 4})) 7 | 8 | (defn- endpoint-url 9 | [{trader-type :type :as _trader}] 10 | (if (= "paper" trader-type) 11 | "https://paper-api.alpaca.markets/v2/" 12 | "https://api.alpaca.markets/v2/")) 13 | 14 | (defn- alpaca-request* 15 | [{:keys [credentials] :as trader-map} client-fn path & {:keys [params]}] 16 | {:pre [(map? credentials) (fn? client-fn) (or (nil? path) (string? path))]} 17 | (client-fn 18 | (str (endpoint-url trader-map) path) 19 | {:connection-manager cm 20 | :content-type :json 21 | :as :json 22 | :headers {"APCA-API-KEY-ID" (:api_key credentials) 23 | "APCA-API-SECRET-KEY" (:api_secret credentials)} 24 | :form-params params 25 | :socket-timeout 5000 26 | :connection-timeout 5000 27 | :throw-exceptions false})) 28 | 29 | (defn alpaca-get 30 | [trader-map path] 31 | (some-> (alpaca-request* trader-map client/get path) 32 | :body)) 33 | 34 | (defn alpaca-post! 35 | [trader-map path params] 36 | (alpaca-request* trader-map client/post path :params params)) 37 | 38 | (defn alpaca-delete! 39 | [trader-map path] 40 | (alpaca-request* trader-map client/delete path)) 41 | -------------------------------------------------------------------------------- /deps.edn: -------------------------------------------------------------------------------- 1 | {:paths ["src/clj"] 2 | :deps {org.clojure/clojure {:mvn/version "1.10.3"} 3 | org.clojure/clojurescript {:mvn/version "1.10.844"} 4 | environ/environ {:mvn/version "1.2.0"} 5 | nrepl/nrepl {:mvn/version "0.9.0-beta5"} 6 | 7 | ;; logging 8 | org.clojure/tools.logging {:mvn/version "1.1.0"} 9 | org.slf4j/slf4j-log4j12 {:mvn/version "1.7.7"} 10 | 11 | ;; cache 12 | com.taoensso/carmine {:mvn/version "3.1.0"} 13 | 14 | ;; memoization 15 | org.clojure/core.memoize {:mvn/version "1.0.236"} 16 | 17 | ;; http 18 | clj-http/clj-http {:mvn/version "3.12.3"} 19 | ring/ring-core {:mvn/version "1.9.5"} 20 | ring/ring-devel {:mvn/version "1.9.5"} 21 | ring/ring-defaults {:mvn/version "0.3.3"} 22 | buddy/buddy-auth {:mvn/version "2.1.0"} 23 | metosin/reitit {:mvn/version "0.5.18"} 24 | metosin/muuntaja {:mvn/version "0.6.8"} 25 | info.sunng/ring-jetty9-adapter {:mvn/version "0.14.3"} 26 | 27 | ;; scheduling 28 | clojurewerkz/quartzite {:mvn/version "2.1.0"} 29 | 30 | ;; json parsing 31 | cheshire/cheshire {:mvn/version "5.10.2"} 32 | 33 | ;; client websockets 34 | stylefruits/gniazdo {:mvn/version "1.1.4"}} 35 | :aliases {:dev {:extra-paths ["src/dev"]} 36 | :run {:extra-paths ["src/prod"]}}} 37 | -------------------------------------------------------------------------------- /doc/Ameritrade.md: -------------------------------------------------------------------------------- 1 | Ameritrade Traders 2 | == 3 | 4 | Caveats 5 | -- 6 | Firstly, Ameritrade **ONLY** has live mode trading, despite ThinkOrSwim 7 | supporting paper trading. 8 | 9 | Accounts must have the Margin Trading feature enabled to short. 10 | 11 | IRAs and Securities-Backed Collateral accounts cannot have margin and so shorting must be disabled to trade against those. 12 | 13 | You may only have one application ID per account and that means trading all your accounts in Ameritrade (if you have multiple) is not currently supported. 14 | 15 | Configuration 16 | -- 17 | 18 | 1. Run the copy-trader 19 | 1. Take note of your TD Ameritrade Account ID. It's a number. 20 | 1. Read https://developer.tdameritrade.com/content/authentication-faq and 21 | https://developer.tdameritrade.com/content/simple-auth-local-apps 22 | 1. Register a Developer account at https://developer.tdameritrade.com 23 | 24 | Your developer account **IS NOT THE SAME** as your tdameritrade.com or thinkorswim.com account. 25 | 26 | 1. Create an Application, specifying the `redirect URL` as 27 | `http://localhost:51585/ACCOUNT_ID/authorize` where `ACCOUNT_ID` is your TD 28 | Ameritrade Account ID from step 1. 29 | 30 | 1. Successfully creating an application will give you the Application ID. 31 | 32 | 1. Navigate your web browser to 33 | https://auth.tdameritrade.com/auth?response_type=code&redirect_uri=http%3A%2F%2Flocalhost%3A51585%2Fauthorize%2FACCOUNT_ID&client_id=APPLICATION_ID%40AMER.OAUTHAP 34 | where `ACCOUNT_ID` is your TD Ameritrade Account ID from step 1 and 35 | `APPLICATION_ID` is your Application ID from the previous step. 36 | 37 | 1. After logging in and authorizing the app, it should redirect you back to your 38 | copy-trader instance, but the URL may have `https` instead of `http` at the 39 | beginning. If so, delete the `s` and load the URL and it should authenticate 40 | correctly and send you to a page saying so. 41 | -------------------------------------------------------------------------------- /src/clj/copy_trader/scheduling/scheduler.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.scheduling.scheduler 2 | (:require 3 | [clojurewerkz.quartzite.scheduler :as scheduler] 4 | [clojurewerkz.quartzite.schedule.cron :as cron] 5 | [clojurewerkz.quartzite.triggers :as triggers] 6 | [copy-trader.core :as core])) 7 | 8 | (defonce ^:private schedulers-atom (atom {})) 9 | 10 | (defn is-scheduler-running? 11 | [] 12 | (:is-scheduler-running? @core/state)) 13 | 14 | (defn start! 15 | [] 16 | (when (empty? @schedulers-atom) 17 | (reset! schedulers-atom 18 | {:default (scheduler/initialize) 19 | :fetch (scheduler/initialize) 20 | :trader (scheduler/initialize)})) 21 | 22 | (when-not (is-scheduler-running?) 23 | (do 24 | (scheduler/start (:default @schedulers-atom)) 25 | (scheduler/start (:fetch @schedulers-atom)) 26 | (scheduler/start (:trader @schedulers-atom)) 27 | (swap! core/state assoc :is-scheduler-running? true) 28 | :started))) 29 | 30 | (defn halt! 31 | [] 32 | (let [schedulers @schedulers-atom] 33 | (when (and (not-empty schedulers) 34 | (is-scheduler-running?)) 35 | (doseq [sched-key (keys schedulers)] 36 | (scheduler/shutdown (get schedulers sched-key)) 37 | (swap! core/state assoc :is-scheduler-running? false)) 38 | (reset! schedulers-atom {}) 39 | :halted))) 40 | 41 | (defn schedule-cron-job! 42 | ([target-scheduler job cron-schedule-string] 43 | {:pre [(keyword? target-scheduler) (string? cron-schedule-string)]} 44 | (schedule-cron-job! target-scheduler job cron-schedule-string false)) 45 | ([target-scheduler job cron-schedule-string skip-misfires?] 46 | {:pre [(string? cron-schedule-string) (boolean? skip-misfires?)]} 47 | (let [job-schedule (cron/schedule 48 | (cron/cron-schedule cron-schedule-string) 49 | (cron/in-time-zone (java.util.TimeZone/getTimeZone "UTC"))) 50 | job-schedule (if skip-misfires? 51 | (cron/with-misfire-handling-instruction-do-nothing job-schedule) 52 | job-schedule) 53 | job-trigger (triggers/build 54 | (triggers/start-now) 55 | (triggers/with-schedule job-schedule))] 56 | (scheduler/schedule 57 | (get @schedulers-atom target-scheduler) 58 | job 59 | job-trigger)))) 60 | -------------------------------------------------------------------------------- /src/clj/copy_trader/exchange/trader.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.exchange.trader 2 | (:refer-clojure :exclude [symbol])) 3 | 4 | (defmulti with-balance 5 | (fn [{:keys [exchange] :as _trader}] 6 | exchange)) 7 | 8 | (defmulti with-orders 9 | (fn [{:keys [exchange] :as _trader}] 10 | exchange)) 11 | 12 | (defmulti with-positions 13 | (fn [{:keys [exchange] :as _trader}] 14 | exchange)) 15 | 16 | (defmulti on-trade 17 | (fn [trader-map {:keys [exchange symbol direction order-type _price _stop-loss _percentage]}] 18 | {:pre [(map? trader-map) (string? exchange) (string? symbol) 19 | (string? direction) (string? order-type)]} 20 | [exchange direction order-type])) 21 | 22 | (defmethod on-trade :default 23 | [_ _] 24 | :not-implemented) 25 | 26 | (defmulti with-authorization 27 | (fn [{:keys [exchange] :as _trader-map} _code] 28 | exchange)) 29 | 30 | (defmethod with-authorization :default 31 | [_ _] 32 | :not-implemented) 33 | 34 | (defn active-positions 35 | [{:keys [open-positions] :as _trader-map}] 36 | (reduce-kv 37 | (fn [m symbol {:keys [volume]}] 38 | (if (pos? volume) 39 | (assoc m symbol volume) 40 | m)) 41 | {} 42 | open-positions)) 43 | 44 | (defn compute-position-size 45 | [{:keys [balance-usd leverage max_positions] :as trader-map}] 46 | (let [active (active-positions trader-map) 47 | active-position-count (->> active keys count)] 48 | (if (and (< active-position-count max_positions)) 49 | (/ (* balance-usd leverage) 50 | max_positions) 51 | 0.0))) 52 | 53 | (defn compute-volume 54 | [{:keys [risk leverage max_positions] :as trader-map} price high low] 55 | (let [diff (- high low) 56 | balance-usd (/ (* (:balance-usd trader-map) leverage) 57 | max_positions) 58 | ;; use a minimum of the capital allocated, or don't take the trade 59 | min-usage (/ (* balance-usd 0.20) 60 | price) 61 | max-usage balance-usd 62 | ;; we never want to risk more than our tolerance 63 | max-risk (* risk max-usage) 64 | max-trade-size (if (pos? diff) 65 | (/ max-risk diff) 66 | 0.0) 67 | ;; this is the maximum amount we COULD buy 68 | max-purchase-power (/ max-usage price) 69 | ;; but this is the max we CHOOSE to buy 70 | desired-volume (min max-purchase-power max-trade-size)] 71 | ;; don't take the trade unless we're meeting minimum volume requirements 72 | (if (> desired-volume min-usage) 73 | desired-volume 74 | 0.0))) 75 | -------------------------------------------------------------------------------- /src/clj/copy_trader/server.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.server 2 | (:require 3 | [copy-trader.core :as core] 4 | [copy-trader.exchange.trader :as trader] 5 | [copy-trader.websocket.server :as ws-server] 6 | [muuntaja.core :as m] 7 | [reitit.coercion.spec :as rcs] 8 | [reitit.ring :as ring] 9 | [reitit.ring.coercion :as rrc] 10 | [reitit.ring.middleware.muuntaja :as muuntaja] 11 | [reitit.ring.middleware.parameters :as parameters] 12 | [ring.adapter.jetty9 :as jetty]) 13 | (:import 14 | [org.eclipse.jetty.server Server])) 15 | 16 | (def ^:private default-route-data 17 | {:muuntaja (m/create m/default-options) 18 | :coercion rcs/coercion 19 | :middleware [parameters/parameters-middleware 20 | muuntaja/format-middleware 21 | rrc/coerce-exceptions-middleware 22 | rrc/coerce-request-middleware 23 | rrc/coerce-response-middleware]}) 24 | 25 | (defn- index [_] 26 | {:status 401 27 | :headers {"Content-Type" "text/html"} 28 | :body "Access Denied"}) 29 | 30 | (defn authorize-trader-with-account-id! 31 | [{:keys [account-id code]}] 32 | (when-let [trader-state (->> @core/state 33 | :traders 34 | (filter (fn [trader-state] 35 | (= account-id (-> @trader-state 36 | :credentials 37 | :account_id)))))] 38 | (swap! trader-state #(trader/with-authorization % code))) 39 | {:status 202 40 | :headers {"Content-Type" "text/html"} 41 | :body "Accepted"}) 42 | 43 | (def http-handler 44 | (ring/ring-handler 45 | (ring/router 46 | [["/" {:get index}] 47 | ["/:account-id/authorize" {:any {:parameters {:query {:code string?}}} 48 | :handler (fn [req] 49 | (authorize-trader-with-account-id! 50 | {:account-id (-> req :path-params :account-id) 51 | :code (-> req :parameters :query :code)}))}]] 52 | {:data default-route-data 53 | :conflicts (constantly nil)}) 54 | (ring/routes 55 | (ring/create-default-handler)))) 56 | 57 | (defn start! 58 | [] 59 | (swap! core/state assoc :http-server 60 | (jetty/run-jetty http-handler 61 | {:port 51585 62 | :join? false 63 | :websockets {"/ws" ws-server/handler}}))) 64 | 65 | (defn halt! 66 | [] 67 | (when-let [server (:http-server @core/state)] 68 | (.stop ^Server server) 69 | (swap! core/state dissoc :http-server))) 70 | -------------------------------------------------------------------------------- /src/clj/copy_trader/cache.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.cache 2 | (:refer-clojure :exclude [key symbol]) 3 | (:require 4 | [clojure.walk :refer [keywordize-keys]] 5 | [environ.core :refer [env]] 6 | [taoensso.carmine :as car])) 7 | 8 | (defn redis-uri 9 | [] 10 | (or (env :redis-endpoint) 11 | "redis://127.0.0.1:6379")) 12 | 13 | (def ^:private redis-conn {:pool {} :spec {:uri (redis-uri)}}) 14 | (defmacro with-carmine [& body] `(car/wcar redis-conn ~@body)) 15 | 16 | (defn- save! 17 | [] 18 | (with-carmine 19 | (car/save))) 20 | 21 | (defn- del! 22 | [key] 23 | (with-carmine 24 | (car/del key))) 25 | 26 | (defn- hset! 27 | [key field value] 28 | (with-carmine 29 | (car/hset key field value))) 30 | 31 | (defn- hdel! 32 | [key field] 33 | (with-carmine 34 | (car/hdel key field))) 35 | 36 | (defn- hget 37 | [key field] 38 | (with-carmine 39 | (car/hget key field))) 40 | 41 | (defn- hgetall 42 | [key] 43 | (apply hash-map 44 | (with-carmine 45 | (car/hgetall key)))) 46 | 47 | (defn cache-credentials! 48 | [{:keys [nickname credentials] :as _trader-map}] 49 | (let [cache-key (str nickname "-credentials")] 50 | (with-carmine 51 | (car/set cache-key credentials)))) 52 | 53 | (defn get-credentials 54 | [{:keys [nickname] :as _trader-map}] 55 | (let [cache-key (str nickname "-credentials")] 56 | (with-carmine 57 | (car/get cache-key)))) 58 | 59 | (defn with-credentials 60 | [trader-map] 61 | (update-in trader-map [:credentials] merge (get-credentials trader-map))) 62 | 63 | (defn cache-orders! 64 | [{:keys [nickname orders] :as _trader-map}] 65 | (let [cache-key (str nickname "-orders")] 66 | (del! cache-key) 67 | (doseq [{:keys [status order-id] :as order} orders] 68 | (if (= :open status) 69 | (hset! cache-key order-id order) 70 | (hdel! cache-key order-id))))) 71 | 72 | (defn get-orders 73 | [{:keys [nickname] :as _trader-map}] 74 | (let [cache-key (str nickname "-orders")] 75 | (or 76 | (some->> (hgetall cache-key) 77 | vals 78 | vec) 79 | []))) 80 | 81 | (defn cache-positions! 82 | [{:keys [nickname open-positions] :as _trader-map}] 83 | (let [cache-key (str nickname "-positions")] 84 | (del! cache-key) 85 | (doseq [[symbol position] open-positions] 86 | (hset! cache-key symbol position)))) 87 | 88 | (defn get-positions 89 | [{:keys [nickname] :as _trader-map}] 90 | (let [cache-key (str nickname "-positions")] 91 | (keywordize-keys (hgetall cache-key)))) 92 | 93 | (defn with-orders-and-positions 94 | [trader-map] 95 | (merge trader-map 96 | {:orders (get-orders trader-map) 97 | :open-positions (get-positions trader-map)})) 98 | 99 | (defn with-cache 100 | [trader-map] 101 | ((juxt cache-credentials! cache-orders! cache-positions!) 102 | trader-map) 103 | (save!) 104 | 105 | ;; return 106 | trader-map) 107 | -------------------------------------------------------------------------------- /src/clj/copy_trader/websocket/client.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.websocket.client 2 | (:require 3 | [cheshire.core :refer [parse-string generate-string]] 4 | [clojure.core.memoize :as memo] 5 | [clojure.tools.logging :as log] 6 | [copy-trader.config :refer [config]] 7 | [copy-trader.core :as core] 8 | [copy-trader.exchange.traders :as traders] 9 | [copy-trader.websocket.event :as ws-event] 10 | [copy-trader.websocket.security :as security] 11 | [gniazdo.core :as ws])) 12 | 13 | (defn send-to-server! 14 | [socket {:keys [_message-code _payload] :as msg}] 15 | (ws/send-msg socket (generate-string msg))) 16 | 17 | (defmethod ws-event/on-event :auth-challenge 18 | [uri {:keys [payload] :as _msg}] 19 | (let [socket (get-in @core/state [:ws-servers uri]) 20 | auth-challenge-payload (security/unsign-payload payload)] 21 | (send-to-server! socket {:message-code :auth-challenge-ack 22 | :payload auth-challenge-payload}))) 23 | 24 | (defmethod ws-event/on-event :pong 25 | [_uri _msg] 26 | :pong) 27 | 28 | ;; receiving a trade signal from our server 29 | (defmethod ws-event/on-event :trade 30 | [uri {:keys [payload] :as _msg}] 31 | (let [trade-payload (security/unsign-payload payload)] 32 | (log/info "Received trade from server " trade-payload) 33 | ;; re-fire event to all downstream clients 34 | (ws-event/on-event uri {:message-code :refire-trade-down 35 | :payload payload}) 36 | (traders/dispatch-trade! trade-payload))) 37 | 38 | ;; refiring a trade signal from our client 39 | (defmethod ws-event/on-event :refire-trade-up 40 | [_uri {:keys [_message-code _payload] :as msg}] 41 | (doseq [[_uri socket] (:ws-servers @core/state)] 42 | (send-to-server! socket (assoc msg :message-code :trade)))) 43 | 44 | (defn- ping! 45 | [socket] 46 | (send-to-server! socket {:message-code :ping 47 | :payload {:time (System/currentTimeMillis)}})) 48 | 49 | (defn- on-receive* 50 | [uri json-message] 51 | (let [edn-msg (-> json-message 52 | (parse-string true) 53 | (update :message-code keyword))] 54 | (log/debug (str "Received message from " uri) edn-msg) 55 | (ws-event/on-event uri edn-msg))) 56 | 57 | (def ^:private memoized-on-receive 58 | (memo/ttl on-receive* {} :ttl/threshold ws-event/ONE-DAY)) 59 | 60 | (defn- on-error 61 | [& args] 62 | (log/error args)) 63 | 64 | (defn- on-close 65 | [uri] 66 | (log/info (format "Disconnecting from %s" uri)) 67 | (when-let [socket (get-in @core/state [:ws-servers uri])] 68 | (try 69 | (ws/close socket) 70 | (catch Throwable _t 71 | :ok)) 72 | (swap! core/state update-in [:ws-servers] dissoc uri) 73 | :disconnected)) 74 | 75 | (defn connect! 76 | [uri] 77 | (log/info (format "Connecting to %s" uri)) 78 | (when (:is-running? @core/state) 79 | (when-let [socket (ws/connect uri 80 | :on-receive (fn [msg] 81 | (memoized-on-receive uri msg)) 82 | :on-error on-error 83 | :on-close (fn [& args] 84 | (log/error args) 85 | (on-close uri)))] 86 | (swap! core/state assoc-in [:ws-servers uri] socket) 87 | :connected))) 88 | 89 | (defn disconnect! 90 | [uri] 91 | ;; TODO -- maybe we'll want to send unsubscribe events here 92 | (on-close uri)) 93 | 94 | (defn connect-clients! 95 | [] 96 | (try 97 | (let [server-configs (:servers (config))] 98 | (doseq [{:keys [uri]} server-configs] 99 | (connect! uri))) 100 | :connected)) 101 | 102 | (defn disconnect-clients! 103 | [] 104 | (let [connected-clients (:ws-servers @core/state)] 105 | (doseq [[uri _socket] connected-clients] 106 | (disconnect! uri)))) 107 | 108 | (defn keepalive-clients! 109 | [] 110 | (let [server-configs (:servers (config))] 111 | (doseq [{:keys [uri]} server-configs] 112 | (locking uri 113 | (let [socket (get-in @core/state [:ws-servers uri])] 114 | (if-not socket 115 | (connect! uri) 116 | 117 | (try 118 | (ping! socket) 119 | (catch Throwable _t 120 | (disconnect! uri) 121 | (connect! uri))))))))) 122 | -------------------------------------------------------------------------------- /src/clj/copy_trader/websocket/server.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.websocket.server 2 | (:require 3 | [cheshire.core :refer [parse-string generate-string]] 4 | [clojure.core.memoize :as memo] 5 | [clojure.tools.logging :as log] 6 | [copy-trader.core :as core] 7 | [copy-trader.exchange.traders :as traders] 8 | [copy-trader.websocket.event :as ws-event] 9 | [copy-trader.websocket.security :as security] 10 | [ring.adapter.jetty9 :as jetty]) 11 | (:import [java.util UUID])) 12 | 13 | (defn- send-to-client! 14 | [ws {:keys [_message-code _payload] :as msg}] 15 | (if (jetty/connected? ws) 16 | (locking ws 17 | (jetty/send! ws (generate-string msg))) 18 | (swap! core/state update :ws-clients dissoc ws))) 19 | 20 | (defn send-to-clients! 21 | [message & {:keys [except-client]}] 22 | (doseq [[ws attrs] (:ws-clients @core/state)] 23 | (when (and (:authenticated? attrs) 24 | (not= except-client ws)) 25 | (try 26 | (send-to-client! ws message) 27 | (catch Throwable t 28 | (log/error t)))))) 29 | 30 | (defmulti on-event 31 | (fn [_ws {:keys [message-code payload]}] 32 | {:pre [(keyword? message-code) (seqable? payload)]} 33 | message-code)) 34 | 35 | (defmethod on-event :default 36 | [_ws {:keys [_message-code payload]}] 37 | (log/error "Unrecognized websocket command:" payload)) 38 | 39 | (defmethod on-event :auth-challenge-ack 40 | [ws {:keys [_message-code payload]}] 41 | (let [auth-challenge (get-in @core/state [:ws-clients ws :auth-challenge])] 42 | (if (= auth-challenge (:auth-challenge payload)) 43 | (do 44 | (log/info "WebSocket client authenticated.") 45 | (swap! core/state assoc-in [:ws-clients ws :authenticated?] true)) 46 | (try 47 | (log/error "WebSocket failed auth challenge. Disconnecting.") 48 | (swap! core/state update :ws-clients dissoc ws) 49 | (jetty/close! ws) 50 | (catch Throwable t 51 | (log/error t)))))) 52 | 53 | ;; re-firing a trade signal from our server 54 | (defmethod ws-event/on-event :refire-trade-down 55 | [_uri {:keys [_message-code payload]}] 56 | {:pre [(string? payload)]} 57 | ;; payload is already signed 58 | ;; re-fire event to all downstream clients 59 | (send-to-clients! {:message-code :trade 60 | :payload payload})) 61 | 62 | ;; receiving a trade signal from our client 63 | (defmethod on-event :trade 64 | [ws {:keys [_message-code payload] :as msg}] 65 | (try 66 | (let [trade-payload (-> (security/unsign-payload payload))] 67 | (log/info "Received trade from client" trade-payload) 68 | ;; re-fire event to other downstream clients 69 | (send-to-clients! (assoc msg :message-code :trade) 70 | :except-client ws) 71 | ;; re-fire event to our server 72 | (ws-event/on-event "" {:message-code :refire-trade-up 73 | :payload payload}) 74 | (traders/dispatch-trade! trade-payload)) 75 | (catch Throwable t 76 | (log/error t)))) 77 | 78 | (defmethod on-event :ping 79 | [ws _msg] 80 | (send-to-client! ws {:message-code :pong 81 | :payload {:time (System/currentTimeMillis)}})) 82 | 83 | (defn- on-connect 84 | [ws] 85 | (log/info "WebSocket client connected") 86 | (let [auth-challenge (str (UUID/randomUUID))] 87 | (swap! core/state update-in [:ws-clients ws] 88 | merge {:authenticated? false 89 | :auth-challenge auth-challenge 90 | :subscriptions #{}}) 91 | (send-to-client! ws {:message-code :auth-challenge 92 | :payload (security/sign-payload 93 | {:auth-challenge auth-challenge})}))) 94 | 95 | (defn- on-error 96 | [_ws err] 97 | (log/error err "WebSocket error")) 98 | 99 | (defn- on-close 100 | [ws status-code reason] 101 | (log/info "WebSocket client disconnected" status-code reason) 102 | (swap! core/state update :ws-clients dissoc ws)) 103 | 104 | (defn- on-receive* 105 | [ws json-message] 106 | (try 107 | (let [edn-msg (-> json-message 108 | (parse-string true) 109 | (update :message-code keyword))] 110 | (log/debug "Received message from client" edn-msg) 111 | (on-event ws edn-msg)) 112 | (catch Throwable t 113 | (log/error t)))) 114 | 115 | (def ^:private memoized-on-receive 116 | (memo/ttl on-receive* {} :ttl/threshold ws-event/ONE-DAY)) 117 | 118 | (def handler 119 | ;; GOTCHA -- these need to be wrapped for hot reloading to work 120 | {:on-connect (fn [ws] (on-connect ws)) 121 | :on-error (fn [ws err] (on-error ws err)) 122 | :on-close (fn [ws status-code reason] (on-close ws status-code reason)) 123 | :on-text (fn [ws text] (memoized-on-receive ws text))}) 124 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | copy-trader 2 | == 3 | This is an engine to facilitate copy-trading syndicated trades by other trusted 4 | traders over the internet. 5 | 6 | Project Status 7 | -- 8 | 9 | Status: MVP Feature Complete, **NOW IN TESTING** 10 | 11 | Core development is done and the system is working and [a reference 12 | implementation paired with Impresario is available for the brave and 13 | bold](https://gist.github.com/kevinmershon/240bf57b25f2c595806e213ac6dcf944). 14 | 15 | ### To Do 16 | 17 | * "Watch Account" mode for syndicating manual trades 18 | * Test Ameritrade auth and trading (feature complete but currently untested!) 19 | 20 | How it Works 21 | -- 22 | This application acts as both a WebSocket client and server on port `51585`. 23 | 24 | Client authentication is performed using a 512-bit EC public/private key pair 25 | that you must either generate yourself, or if you are subscribing to syndicated 26 | trades of others, you must receive their `public-key.pem` file and put it in the 27 | project working directory. 28 | 29 | Only nodes having the `private-key.pem` file that pairs with the public key may 30 | emit valid trade messages themselves, however every node in the network will 31 | route trade messages to their immediate connections. Because of this, if you are 32 | running your own trade syndication network, be very careful with whom you share 33 | the private key (as in any case with cryptographic signing use cases), as anyone 34 | with the file running this project will be able to dispatch trade signals to the 35 | entire network. 36 | 37 | Trade messages are themselves rudimentary, only describing the attributes of the 38 | trade itself: long or short, limit or stop-loss, symbol, type, and price 39 | information. 40 | 41 | Disclaimers and Risks 42 | -- 43 | 1. **You are 100% responsible for any trades made on your accounts, with or 44 | without this software.** 45 | 1. **Pattern Day Trader** violations: [FINRA 46 | requires](https://www.investopedia.com/terms/p/patterndaytrader.asp) you to 47 | have at least $25,000 in an account in order to execute day trades. If the 48 | nodes issuing trade messages to your network are day trading and your account 49 | has less than the mandated minimum, your account could be suspended for 3 50 | days. Repeated offenses could see your account suspended or closed, depending 51 | on your brokerage. 52 | 1. **There is no logic within this system for managing a position once opened.** 53 | 1. Once you are in a position, you either need to manage it yourself, or trust 54 | that the node that dispatched the trade message will accordingly follow-up 55 | with take-profit and stop-loss adjustments. 56 | 1. For very large networks, slippage and missed trades (orders that are opened 57 | but never filled) are virtually guaranteed, especially for illiquid markets 58 | (symbols that have low trade volume). 59 | 1. If you are joining a third-party network and not hosting your own, keep in 60 | mind that trusted nodes in the network are almost certainly front-running 61 | trades they share with the network, for their own personal gain. 62 | 63 | Generating public/private key pairs 64 | -- 65 | These instructions could change depending on your operating system. The 66 | following commands work if you have `openssl` and `ssh` installed: 67 | 68 | ``` 69 | openssl ecparam -genkey -name secp521r1 -noout -out private-key.pem 70 | chmod 400 private-key.pem 71 | ssh-keygen -f private-key.pem -e -m pem > public-key.pem 72 | ``` 73 | 74 | Configuration 75 | -- 76 | For Ameritade, please see the [Ameritrade Instructions](doc/Ameritrade.md). 77 | 78 | 1. Copy `example.client.config.json` to `config.json`, fill in your API key and 79 | secret, and adjust settings as desired. Remove unused client configs if you 80 | don't have a brokerage account for that exchange. 81 | 1. `type` valid values are `paper` and `live` 82 | 1. `max_positions` valid values above 1, recommended values between 15 and 20 83 | 1. `leverage` valid values range between 0.5 and 2.0 84 | 1. `risk` is a percentage range between 0.01 and 1.00, recommended values between 3% and 10% 85 | 1. `shorting` should probably be `true` unless you are trading on a cash-only account, like an IRA 86 | 87 | Build and run locally 88 | -- 89 | In all cases you should have `make` / build-essential installed. 90 | 91 | ### Dependencies 92 | 1. Redis running locally on port `6379` 93 | 1. Clojure 1.10+ and `rlwrap` 94 | 95 | ### Running 96 | Run `make dev` to start 97 | 98 | Build and run with Docker / Docker-Compose 99 | -- 100 | 1. `make docker/build-all` 101 | 1. `make docker/run-all` 102 | 103 | License 104 | == 105 | AGPLv3 106 | 107 | FAQ 108 | == 109 | 1. Is this legal? 110 | 111 | Probably, but if not someone should definitely take [these 112 | guys](https://copytrader.pro/) down. In theory this is just as legal as 113 | [following the trades of US Senators](https://senatestockwatcher.com/) and 114 | [buying bitcoin every time Elon Musk tweets about 115 | it](https://github.com/CyberPunkMetalHead/bitcoin-bot-buy-if-elon-tweets). 116 | 117 | 1. Is this a good idea? 118 | 119 | That depends entirely on whose trades you follow, and the general phase of the market at the time you start trading. 120 | 121 | 1. Will I lose money? 122 | 123 | Almost certainly at times, but if you are following a profitable trader then 124 | by leveraging this or any software based approach for trade syndication, you 125 | will likely make just about as much money as they do. 126 | 127 | Be aware that up to a 20% drawdown (from highest gain) in a year is pretty 128 | typical of most "safe" investment classes (e.g. Vanguard ETFs), but losing 129 | 90% on your account due to YOLO plays is ill advised. 130 | 131 | Similar Projects 132 | == 133 | * https://github.com/MohammedRashad/Crypto-Copy-Trader 134 | * https://github.com/jiowcl/MQL-CopyTrade 135 | * https://github.com/kr0st/trade_replicator 136 | * https://github.com/zignaly-open/zignaly-webapp 137 | -------------------------------------------------------------------------------- /src/clj/copy_trader/exchange/ameritrade/driver.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.exchange.ameritrade.driver 2 | (:require 3 | [clj-http.client :as client] 4 | [clj-http.conn-mgr :as conn-mgr] 5 | [clj-time.coerce :as ctc] 6 | [clj-time.core :as ctcore] 7 | [clj-time.format :as ctf] 8 | [copy-trader.util :refer [atom?]] 9 | [copy-trader.exchange.trader :as trader])) 10 | 11 | (def ^:private cm (clj-http.conn-mgr/make-reusable-conn-manager {:threads 4})) 12 | 13 | (defn ameritrade-request* 14 | [trader-map client-fn path & {:keys [query-params params no-authorization?] 15 | :or {query-params {} 16 | params {} 17 | no-authorization? false}}] 18 | {:pre [(map? trader-map) (fn? client-fn) (or (nil? path) (string? path))]} 19 | (client-fn 20 | (str "https://api.tdameritrade.com/v1/" path) 21 | {:connection-manager cm 22 | :content-type (if no-authorization? 23 | :x-www-form-urlencoded 24 | :json) 25 | :as :json 26 | :headers (merge 27 | {} 28 | (when-not no-authorization? 29 | {"Authorization" 30 | (str "Bearer " (get-in trader-map [:credentials :access_token]))})) 31 | :query-params query-params 32 | :form-params params 33 | :socket-timeout 5000 34 | :connection-timeout 5000 35 | :throw-exceptions false})) 36 | 37 | (defn ameritrade-get 38 | [trader-map path & {:keys [params] 39 | :or {params {}}}] 40 | (some-> (ameritrade-request* trader-map client/get path :query-params params) 41 | :body)) 42 | 43 | (defn ameritrade-post! 44 | [trader-map path params & {:keys [no-authorization?] 45 | :or {no-authorization? false}}] 46 | (ameritrade-request* trader-map client/post path 47 | :params params 48 | :no-authorization? no-authorization?)) 49 | 50 | (defn ameritrade-delete! 51 | [trader-map path] 52 | (ameritrade-request* trader-map client/delete path)) 53 | 54 | (defn- handle-authorize-response! 55 | [trader-map response] 56 | {:pre [(map? trader-map) (map? response)]} 57 | (let [updated-credentials 58 | (merge 59 | (when (:refresh_token_expires_in response) 60 | (let [refresh-token-expires (->> (ctcore/seconds (:refresh_token_expires_in response)) 61 | (ctcore/plus (ctcore/now)) 62 | ctc/to-sql-time)] 63 | {:refresh_token (:refresh_token response) 64 | :refresh_token_expires refresh-token-expires})) 65 | (when (:expires_in response) 66 | (let [access-token-expires (->> (ctcore/seconds (:expires_in response)) 67 | (ctcore/plus (ctcore/now)) 68 | ctc/to-sql-time)] 69 | {:access_token (:access_token response) 70 | :access_token_expires access-token-expires})))] 71 | ;; FIXME -- persist refresh and access token to Redis? 72 | (update-in trader-map [:credentials] merge updated-credentials))) 73 | 74 | (defn refresh-token! 75 | [trader-state & {:keys [full-refresh?] 76 | :or {full-refresh? false}}] 77 | {:pre [(atom? trader-state)]} 78 | (let [trader-map @trader-state 79 | refresh-token (-> trader-map :credentials :refresh_token) 80 | app-id (-> trader-map :credentials :app_id) 81 | response (-> (ameritrade-post! trader-map "oauth2/token" 82 | (merge 83 | (when full-refresh? 84 | {:access_type "offline"}) 85 | {"grant_type" "refresh_token" 86 | "refresh_token" refresh-token 87 | "client_id" app-id}) 88 | :no-authorization? true) 89 | :body)] 90 | (swap! trader-state #(handle-authorize-response! % response)) 91 | :refreshed)) 92 | 93 | (defn maybe-refresh-tokens! 94 | [trader-state] 95 | {:pre [(atom? trader-state)]} 96 | (let [{:keys [refresh_token_expires access_token_expires]} 97 | (:credentials @trader-state)] 98 | (when (and (not (nil? refresh_token_expires)) 99 | (not (nil? access_token_expires))) 100 | (cond 101 | (ctcore/before? (if (string? refresh_token_expires) 102 | (ctf/parse 103 | (ctf/formatters :date-time-no-ms) 104 | refresh_token_expires) 105 | (ctc/from-sql-time refresh_token_expires)) 106 | (ctcore/plus (ctcore/now) 107 | (ctcore/days 1))) 108 | (refresh-token! trader-state :full-refresh? true) 109 | 110 | (ctcore/before? (if (string? access_token_expires) 111 | (ctf/parse 112 | (ctf/formatters :date-time-no-ms) 113 | access_token_expires) 114 | (ctc/from-sql-time access_token_expires)) 115 | (ctcore/plus (ctcore/now) 116 | (ctcore/minutes 5))) 117 | (refresh-token! trader-state))))) 118 | 119 | (defn ->account-id 120 | [trader-map] 121 | (get-in trader-map [:credentials :account_id])) 122 | 123 | (defn ->redirect-url 124 | [trader-map] 125 | (let [account-id (->account-id trader-map)] 126 | (str "http://localhost:51581/%s/authorize" account-id))) 127 | 128 | (defmethod trader/with-authorization "ameritrade" 129 | [trader-map {:keys [code]}] 130 | {:pre [(map? trader-map) (string? code)]} 131 | (let [app-id (:app_id (:credentials trader-map)) 132 | response (-> (ameritrade-post! trader-map "oauth2/token" 133 | {"grant_type" "authorization_code" 134 | "refresh_token" "" 135 | "access_type" "offline" 136 | "code" code 137 | "client_id" (str app-id "@AMER.OAUTHAP") 138 | "redirect_uri" (->redirect-url trader-map)} 139 | :no-authorization? true) 140 | :body)] 141 | (handle-authorize-response! trader-map response))) 142 | -------------------------------------------------------------------------------- /src/clj/copy_trader/exchange/alpaca/trader.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.exchange.alpaca.trader 2 | (:refer-clojure :exclude [symbol]) 3 | (:require 4 | [clojure.tools.logging :as log] 5 | [copy-trader.exchange.alpaca.driver :as driver] 6 | [copy-trader.exchange.trader :refer [compute-position-size 7 | compute-volume 8 | on-trade 9 | with-balance with-positions with-orders]] 10 | [copy-trader.util :refer [to-precision]])) 11 | 12 | (defmethod with-balance "alpaca" 13 | [trader-map] 14 | (let [balance-data (driver/alpaca-get trader-map "account") 15 | balance (-> (or (-> balance-data 16 | :equity 17 | Double/parseDouble) 18 | 0.0) 19 | (to-precision 2))] 20 | (assoc trader-map :balance-usd balance))) 21 | 22 | (defn- parse-position 23 | [trader-map position] 24 | (let [symbol-balance (compute-position-size trader-map) 25 | position-size (Math/abs (Double/parseDouble (:qty position))) 26 | position-value (Math/abs (Double/parseDouble (:market_value position)))] 27 | {:symbol (keyword (:symbol position)) 28 | :balance-usd symbol-balance 29 | :position-value position-value 30 | :direction (keyword (:side position)) 31 | :volume position-size 32 | :entry (Double/parseDouble (:avg_entry_price position)) 33 | :type :equity})) 34 | 35 | (defmethod with-positions "alpaca" 36 | [trader-map] 37 | (let [open-positions (driver/alpaca-get trader-map "positions") 38 | reset-positions (reduce-kv 39 | (fn [m symbol position] 40 | (assoc m symbol (merge position 41 | {:direction :none 42 | :volume 0.0 43 | :entry 0.0}))) 44 | {} 45 | (:open-positions trader-map)) 46 | positions (->> open-positions 47 | (map #(parse-position trader-map %)) 48 | (filter identity) 49 | (reduce 50 | (fn [m {:keys [symbol] :as position}] 51 | (assoc m symbol position)) 52 | reset-positions))] 53 | (assoc trader-map :open-positions positions))) 54 | 55 | (defn- order->direction 56 | [order] 57 | (let [{:keys [side type]} order] 58 | (cond 59 | (and (= "buy" side) (= "limit" type)) :long 60 | (and (= "sell" side) (= "stop" type)) :long 61 | (and (= "sell" side) (= "limit" type)) :short 62 | (and (= "buy" side) (= "stop" type)) :short))) 63 | 64 | (defn- order->status 65 | [{:keys [status] :as _order}] 66 | (if (#{"accepted" "new" "partially_filled"} status) 67 | :open 68 | :closed)) 69 | 70 | (defn- parse-order 71 | [order] 72 | {:symbol (keyword (:symbol order)) 73 | :type (if (= "stop" (:type order)) 74 | :stop-loss 75 | :limit) 76 | :direction (order->direction order) 77 | :order-id (:id order) 78 | :volume (Double/parseDouble (:qty order)) 79 | :price (Double/parseDouble (if (= "stop" (:type order)) 80 | (:stop_price order) 81 | (:limit_price order))) 82 | :status (order->status order)}) 83 | 84 | (defmethod with-orders "alpaca" 85 | [trader-map] 86 | (let [open-orders (driver/alpaca-get trader-map "orders")] 87 | (assoc trader-map :orders (->> open-orders 88 | (mapv parse-order))))) 89 | 90 | (defn- cancel-order! 91 | [{:keys [nickname orders] :as trader-map} {:keys [symbol type direction]}] 92 | (let [open-orders (filter #(and (= symbol (name (:symbol %))) 93 | (= type (:type %)) 94 | (= direction (:direction %))) 95 | orders)] 96 | (doseq [{tx-id :order-id} open-orders] 97 | (let [cancel-response (driver/alpaca-delete! trader-map (str "orders/" tx-id))] 98 | (if (<= 400 (:status cancel-response)) 99 | (log/error (:body cancel-response)) 100 | (log/info (format "%s: canceled %s order %s" nickname symbol tx-id))))))) 101 | 102 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 103 | ;; longs ;; 104 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 105 | 106 | (defmethod on-trade ["alpaca" "long" "limit"] 107 | [{nickname :nickname :as trader-map} {:keys [symbol price stop-loss]}] 108 | 109 | ;; cancel existing long order if it exists 110 | (cancel-order! trader-map {:symbol symbol :type :limit :direction :long}) 111 | 112 | (let [volume (compute-volume trader-map price price stop-loss) 113 | order-data (driver/alpaca-post! 114 | trader-map "orders" 115 | {:symbol symbol 116 | :side "buy" 117 | :type "limit" 118 | :time_in_force "gtc" 119 | :limit_price price 120 | :qty (int volume) 121 | :order_class "oto" 122 | :stop_loss {:stop_price stop-loss}})] 123 | (if (<= 400 (:status order-data)) 124 | (do 125 | (log/error (format "%s: failed to open long limit for %s" nickname symbol)) 126 | (log/error (:body order-data))) 127 | (log/info (format "%s: longing %.2f %s at price %.2f (stop-loss at %.2f)" 128 | nickname volume symbol price stop-loss))))) 129 | 130 | (defmethod on-trade ["alpaca" "long" "take-profit"] 131 | [trader-map {:keys [symbol percentage] :as ev}] 132 | (when-let [volume (get-in trader-map [:open-positions (keyword symbol) :volume])] 133 | (let [profit-volume (int (* volume percentage)) 134 | remaining-volume (- volume profit-volume)] 135 | (when (pos? profit-volume) 136 | ;; cancel existing stop-loss order if it exists 137 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :long}) 138 | 139 | (driver/alpaca-post! 140 | trader-map "orders" 141 | {:symbol symbol 142 | :side "sell" 143 | :type "market" 144 | :time_in_force "day" 145 | :qty profit-volume}) 146 | (on-trade (assoc-in trader-map 147 | [:open-positions (keyword symbol) :volume] 148 | remaining-volume) 149 | (assoc ev :order-type "stop-loss")))))) 150 | 151 | (defmethod on-trade ["alpaca" "long" "stop-loss"] 152 | [{nickname :nickname :as trader-map} {:keys [symbol stop-loss]}] 153 | 154 | ;; cancel existing stop-loss order if it exists 155 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :long}) 156 | 157 | (let [volume (get-in trader-map [:open-positions (keyword symbol) :volume]) 158 | order-data (driver/alpaca-post! 159 | trader-map "orders" 160 | {:symbol symbol 161 | :side "sell" 162 | :type "stop" 163 | :time_in_force "gtc" 164 | :stop_price stop-loss 165 | :qty (int volume)})] 166 | (if (<= 400 (:status order-data)) 167 | (do 168 | (log/error (format "%s: failed to open long stop-loss for %s" nickname symbol)) 169 | (log/error (:body order-data))) 170 | (log/info (format "%s: set %s long stop-loss to %.2f" 171 | nickname symbol stop-loss))))) 172 | 173 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 174 | ;; shorts ;; 175 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 176 | 177 | (defmethod on-trade ["alpaca" "short" "limit"] 178 | [{nickname :nickname :as trader-map} {:keys [symbol price stop-loss]}] 179 | 180 | ;; cancel existing short order if it exists 181 | (cancel-order! trader-map {:symbol symbol :type :limit :direction :short}) 182 | 183 | (let [volume (compute-volume trader-map price price stop-loss) 184 | order-data (driver/alpaca-post! 185 | trader-map "orders" 186 | {:symbol symbol 187 | :side "sell" 188 | :type "limit" 189 | :time_in_force "gtc" 190 | :limit_price price 191 | :qty (int volume) 192 | :order_class "oto" 193 | :stop_loss {:stop_price stop-loss}})] 194 | (if (<= 400 (:status order-data)) 195 | (do 196 | (log/error (format "%s: failed to open short limit for %s" nickname symbol)) 197 | (log/error (:body order-data))) 198 | (log/info (format "%s: shorting %.2f %s at price %.2f (stop-loss at %.2f)" 199 | nickname volume symbol price stop-loss))))) 200 | 201 | (defmethod on-trade ["alpaca" "short" "take-profit"] 202 | [trader-map {:keys [symbol percentage] :as ev}] 203 | (when-let [volume (get-in trader-map [:open-positions (keyword symbol) :volume])] 204 | (let [profit-volume (int (* volume percentage)) 205 | remaining-volume (- volume profit-volume)] 206 | (when (pos? profit-volume) 207 | ;; cancel existing stop-loss order if it exists 208 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :short}) 209 | 210 | (driver/alpaca-post! 211 | trader-map "orders" 212 | {:symbol symbol 213 | :side "buy" 214 | :type "market" 215 | :time_in_force "day" 216 | :qty profit-volume}) 217 | (on-trade (assoc-in trader-map 218 | [:open-positions (keyword symbol) :volume] 219 | remaining-volume) 220 | (assoc ev :order-type "stop-loss")))))) 221 | 222 | (defmethod on-trade ["alpaca" "short" "stop-loss"] 223 | [{nickname :nickname :as trader-map} {:keys [symbol stop-loss]}] 224 | 225 | ;; cancel existing stop-loss order if it exists 226 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :short}) 227 | 228 | (let [volume (get-in trader-map [:open-positions (keyword symbol) :volume]) 229 | order-data (driver/alpaca-post! 230 | trader-map "orders" 231 | {:symbol symbol 232 | :side "buy" 233 | :type "stop" 234 | :time_in_force "gtc" 235 | :stop_price stop-loss 236 | :qty (int volume)})] 237 | (if (<= 400 (:status order-data)) 238 | (do 239 | (log/error (format "%s: failed to open short stop-loss for %s" nickname symbol)) 240 | (log/error (:body order-data))) 241 | (log/info (format "%s: set %s short stop-loss to %.2f" 242 | nickname symbol stop-loss))))) 243 | -------------------------------------------------------------------------------- /src/clj/copy_trader/exchange/ameritrade/trader.clj: -------------------------------------------------------------------------------- 1 | (ns copy-trader.exchange.ameritrade.trader 2 | (:refer-clojure :exclude [symbol]) 3 | (:require 4 | [clojure.tools.logging :as log] 5 | [copy-trader.exchange.ameritrade.driver :as driver :refer [->account-id]] 6 | [copy-trader.exchange.trader :refer [compute-position-size 7 | compute-volume 8 | on-trade 9 | with-balance with-positions with-orders]] 10 | [copy-trader.util :refer [to-precision]])) 11 | 12 | (defn- account-for 13 | [account-id account-results] 14 | (some->> account-results 15 | (map :securitiesAccount) 16 | (filter #(= account-id (:accountId %))) 17 | first)) 18 | 19 | (defmethod with-balance "ameritrade" 20 | [trader-map] 21 | (try 22 | (let [account-results (driver/ameritrade-get trader-map "accounts") 23 | account-id (->account-id trader-map) 24 | balance-data (some->> account-results 25 | (account-for account-id)) 26 | cash-balance (get-in balance-data [:currentBalances :cashBalance]) 27 | available-funds (get-in balance-data [:projectedBalances :availableFunds]) 28 | buying-power (get-in balance-data [:projectedBalances :buyingPower]) 29 | balance-usd (get-in balance-data [:currentBalances :liquidationValue])] 30 | (if (and (number? balance-usd) (pos? balance-usd)) 31 | (do 32 | ;; copy the account_id down into position atoms 33 | (doseq [symbol-key (keys (:positions trader-map))] 34 | (swap! (get (:positions trader-map) symbol-key) 35 | assoc :account_id (:accountId balance-data))) 36 | 37 | (merge trader-map {:account_id (:accountId balance-data) 38 | :available-funds available-funds 39 | :buying-power buying-power 40 | :cash-balance (to-precision cash-balance 2) 41 | :balance-usd (to-precision balance-usd 2)})) 42 | trader-map)) 43 | (catch Throwable t 44 | (log/error t) 45 | trader-map))) 46 | 47 | (defn- parse-position 48 | [trader-map position] 49 | ;; FIXME implement 50 | (comment 51 | {:symbol (keyword (:symbol position)) 52 | :balance-usd symbol-balance 53 | :position-value position-value 54 | :direction (keyword (:side position)) 55 | :volume position-size 56 | :entry (Double/parseDouble (:avg_entry_price position)) 57 | :type :equity})) 58 | 59 | (defn- order->status 60 | [order] 61 | (if (#{"ACCEPTED" "PENDING_ACTIVATION" "QUEUED" "WORKING"} (:status order)) 62 | :open 63 | :closed)) 64 | 65 | (defn- parse-order 66 | [order] 67 | (when (#{"LIMIT" "STOP" "STOP_LIMIT"} (:orderType order)) 68 | (let [is-stop-loss? (#{"STOP" "STOP_LIMIT"} (:orderType order))] 69 | {:symbol (-> order :orderLegCollection first :instrument :symbol) 70 | :type (if is-stop-loss? :stop-loss :limit) 71 | :direction (if (= "SELL" (-> order :orderLegCollection first :instruction)) 72 | :long 73 | :short) 74 | :order-id (:orderId order) 75 | :volume (:quantity order) 76 | :price (if is-stop-loss? 77 | (:stopPrice order) 78 | (:price order)) 79 | :status (order->status order)}))) 80 | 81 | (defn- gather-orders 82 | [orders] 83 | (reduce 84 | (fn [vv order] 85 | (if-let [child-order (some-> order :childOrderStrategies first)] 86 | (concat vv [order child-order]) 87 | (conj vv order))) 88 | [] 89 | orders)) 90 | 91 | (defmethod with-orders "ameritrade" 92 | [trader-map] 93 | (try 94 | (let [account-id (->account-id trader-map)] 95 | (if-let [orders (some->> (driver/ameritrade-get trader-map "accounts" 96 | :params {"fields" "orders"}) 97 | (account-for account-id) 98 | :orderStrategies 99 | gather-orders 100 | (map parse-order) 101 | (filter identity))] 102 | (merge trader-map {:orders orders 103 | :all-orders orders}) 104 | trader-map)) 105 | (catch Throwable t 106 | (log/error t) 107 | trader-map))) 108 | 109 | (defn- parse-position 110 | [trader-map position] 111 | (let [trades (:latest-trades trader-map) 112 | symbol (get-in position [:instrument :symbol]) 113 | opening-trade (->> trades 114 | (filter #(= symbol (:symbol %))) 115 | last) 116 | symbol-balance (compute-position-size trader-map) 117 | asset-type (-> (get-in position [:instrument :assetType]) 118 | (.toLowerCase) 119 | keyword) 120 | long-quantity (:longQuantity position) 121 | is-long? (some-> long-quantity pos?) 122 | short-quantity (:shortQuantity position) 123 | is-short? (some-> short-quantity pos?)] 124 | (when (not= :cash_equivalent asset-type) 125 | (merge 126 | {:symbol symbol 127 | :balance-usd symbol-balance 128 | :position-value (* (if is-long? long-quantity short-quantity) 129 | (or (:price opening-trade) 130 | (:averagePrice position))) 131 | :direction (cond 132 | is-long? :long 133 | is-short? :short 134 | :else :none) 135 | :volume (if is-long? long-quantity short-quantity) 136 | :entry (or (:price opening-trade) 137 | (:averagePrice position) 138 | 0.0) 139 | :type asset-type})))) 140 | 141 | (defmethod with-positions "ameritrade" 142 | [trader-map] 143 | (try 144 | (let [account-id (->account-id trader-map)] 145 | (if-let [open-positions (some->> (driver/ameritrade-get trader-map "accounts" 146 | :params {"fields" "positions"}) 147 | (account-for account-id) 148 | :positions 149 | not-empty)] 150 | (let [reset-positions (reduce-kv 151 | (fn [m symbol position] 152 | (assoc m symbol (merge position 153 | {:direction :none 154 | :volume 0.0 155 | :entry 0.0}))) 156 | {} 157 | (:open-positions trader-map)) 158 | positions (->> open-positions 159 | (map #(parse-position trader-map %)) 160 | (filterv identity) 161 | (reduce 162 | (fn [m {:keys [symbol] :as position}] 163 | (assoc m symbol position)) 164 | {}) 165 | (merge reset-positions))] 166 | (assoc trader-map :open-positions positions)) 167 | trader-map)) 168 | (catch Throwable t 169 | (log/error t) 170 | trader-map))) 171 | 172 | (defn- cancel-order! 173 | [{:keys [nickname orders] :as trader-map} {:keys [symbol type direction]}] 174 | (let [open-orders (filter #(and (= symbol (name (:symbol %))) 175 | (= type (:type %)) 176 | (= direction (:direction %))) 177 | orders)] 178 | (doseq [{tx-id :order-id} open-orders] 179 | (let [cancel-response (driver/ameritrade-delete! 180 | trader-map 181 | (format "accounts/%s/orders/%s" 182 | (->account-id trader-map) 183 | tx-id))] 184 | (if (<= 400 (:status cancel-response)) 185 | (log/error (:body cancel-response)) 186 | (log/info (format "%s: canceled %s order %s" nickname symbol tx-id))))))) 187 | 188 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 189 | ;; longs ;; 190 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 191 | 192 | (defmethod on-trade ["ameritrade" "long" "limit"] 193 | [{nickname :nickname :as trader-map} {:keys [symbol price stop-loss]}] 194 | 195 | ;; cancel existing long order if it exists 196 | (cancel-order! trader-map {:symbol symbol :type :limit :direction :long}) 197 | 198 | (let [volume (compute-volume trader-map price price stop-loss) 199 | instrument {:symbol symbol 200 | :assetType "EQUITY"} 201 | order-data (driver/ameritrade-post! 202 | trader-map 203 | (format "accounts/%s/orders" (->account-id trader-map)) 204 | {:session "NORMAL" 205 | :orderType "LIMIT" 206 | :duration "GOOD_TILL_CANCEL" 207 | :price price 208 | :orderStrategyType "TRIGGER" 209 | :orderLegCollection [{:instruction "BUY" 210 | :quantity (int volume) 211 | :instrument instrument}] 212 | :childOrderStrategies [{:session "NORMAL" 213 | :orderType "STOP" 214 | :stopPrice stop-loss 215 | :duration "GOOD_TILL_CANCEL" 216 | :orderStrategyType "SINGLE" 217 | :orderLegCollection [{:instruction "SELL" 218 | :quantity (int volume) 219 | :instrument instrument}]}]})] 220 | (if (<= 400 (:status order-data)) 221 | (do 222 | (log/error (format "%s: failed to open long limit for %s" nickname symbol)) 223 | (log/error (:body order-data))) 224 | (log/info (format "%s: longing %.2f %s at price %.2f (stop-loss at %.2f)" 225 | nickname volume symbol price stop-loss))))) 226 | 227 | (defmethod on-trade ["ameritrade" "long" "take-profit"] 228 | [trader-map {:keys [symbol percentage] :as ev}] 229 | (when-let [volume (get-in trader-map [:open-positions (keyword symbol) :volume])] 230 | (let [profit-volume (int (* volume percentage)) 231 | remaining-volume (- volume profit-volume) 232 | instrument {:symbol symbol 233 | :assetType "EQUITY"}] 234 | (when (pos? profit-volume) 235 | ;; cancel existing stop-loss order if it exists 236 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :long}) 237 | 238 | (driver/ameritrade-post! 239 | trader-map 240 | (format "accounts/%s/orders" (->account-id trader-map)) 241 | {:session "NORMAL" 242 | :orderType "MARKET" 243 | :duration "DAY" 244 | :orderStrategyType "SINGLE" 245 | :orderLegCollection [{:instruction "SELL" 246 | :quantity (int volume) 247 | :instrument instrument}]}) 248 | (on-trade (assoc-in trader-map 249 | [:open-positions (keyword symbol) :volume] 250 | remaining-volume) 251 | (assoc ev :order-type "stop-loss")))))) 252 | 253 | (defmethod on-trade ["ameritrade" "long" "stop-loss"] 254 | [{nickname :nickname :as trader-map} {:keys [symbol stop-loss]}] 255 | 256 | ;; cancel existing stop-loss order if it exists 257 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :long}) 258 | 259 | (let [volume (get-in trader-map [:open-positions (keyword symbol) :volume]) 260 | instrument {:symbol symbol 261 | :assetType "EQUITY"} 262 | order-data (driver/ameritrade-post! 263 | trader-map 264 | (format "accounts/%s/orders" (->account-id trader-map)) 265 | {:session "NORMAL" 266 | :orderType "STOP" 267 | :duration "GOOD_TILL_CANCEL" 268 | :stopPrice stop-loss 269 | :orderStrategyType "SINGLE" 270 | :orderLegCollection [{:instruction "SELL" 271 | :quantity (int volume) 272 | :instrument instrument}]})] 273 | (if (<= 400 (:status order-data)) 274 | (do 275 | (log/error (format "%s: failed to open long stop-loss for %s" nickname symbol)) 276 | (log/error (:body order-data))) 277 | (log/info (format "%s: set %s long stop-loss to %.2f" 278 | nickname symbol stop-loss))))) 279 | 280 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 281 | ;; shorts ;; 282 | ;; ;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;; ;; 283 | 284 | (defmethod on-trade ["ameritrade" "short" "limit"] 285 | [{nickname :nickname :as trader-map} {:keys [symbol price stop-loss]}] 286 | 287 | ;; cancel existing short order if it exists 288 | (cancel-order! trader-map {:symbol symbol :type :limit :direction :short}) 289 | 290 | (let [volume (compute-volume trader-map price price stop-loss) 291 | instrument {:symbol symbol 292 | :assetType "EQUITY"} 293 | order-data (driver/ameritrade-post! 294 | trader-map 295 | (format "accounts/%s/orders" (->account-id trader-map)) 296 | {:session "NORMAL" 297 | :orderType "LIMIT" 298 | :duration "GOOD_TILL_CANCEL" 299 | :price price 300 | :orderStrategyType "TRIGGER" 301 | :orderLegCollection [{:instruction "SELL_SHORT" 302 | :quantity (int volume) 303 | :instrument instrument}] 304 | :childOrderStrategies [{:session "NORMAL" 305 | :orderType "STOP" 306 | :stopPrice stop-loss 307 | :duration "GOOD_TILL_CANCEL" 308 | :orderStrategyType "SINGLE" 309 | :orderLegCollection [{:instruction "BUY_TO_COVER" 310 | :quantity (int volume) 311 | :instrument instrument}]}]})] 312 | (if (<= 400 (:status order-data)) 313 | (do 314 | (log/error (format "%s: failed to open short limit for %s" nickname symbol)) 315 | (log/error (:body order-data))) 316 | (log/info (format "%s: shorting %.2f %s at price %.2f (stop-loss at %.2f)" 317 | nickname volume symbol price stop-loss))))) 318 | 319 | (defmethod on-trade ["ameritrade" "short" "take-profit"] 320 | [trader-map {:keys [symbol percentage] :as ev}] 321 | (when-let [volume (get-in trader-map [:open-positions (keyword symbol) :volume])] 322 | (let [profit-volume (int (* volume percentage)) 323 | remaining-volume (- volume profit-volume) 324 | instrument {:symbol symbol 325 | :assetType "EQUITY"}] 326 | (when (pos? profit-volume) 327 | ;; cancel existing stop-loss order if it exists 328 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :short}) 329 | 330 | (driver/ameritrade-post! 331 | trader-map 332 | (format "accounts/%s/orders" (->account-id trader-map)) 333 | {:session "NORMAL" 334 | :orderType "MARKET" 335 | :duration "DAY" 336 | :orderStrategyType "SINGLE" 337 | :orderLegCollection [{:instruction "BUY_TO_COVER" 338 | :quantity (int volume) 339 | :instrument instrument}]}) 340 | (on-trade (assoc-in trader-map 341 | [:open-positions (keyword symbol) :volume] 342 | remaining-volume) 343 | (assoc ev :order-type "stop-loss")))))) 344 | 345 | (defmethod on-trade ["ameritrade" "short" "stop-loss"] 346 | [{nickname :nickname :as trader-map} {:keys [symbol stop-loss]}] 347 | 348 | ;; cancel existing stop-loss order if it exists 349 | (cancel-order! trader-map {:symbol symbol :type :stop-loss :direction :short}) 350 | 351 | (let [volume (get-in trader-map [:open-positions (keyword symbol) :volume]) 352 | instrument {:symbol symbol 353 | :assetType "EQUITY"} 354 | order-data (driver/ameritrade-post! 355 | trader-map 356 | (format "accounts/%s/orders" (->account-id trader-map)) 357 | {:session "NORMAL" 358 | :orderType "STOP" 359 | :duration "GOOD_TILL_CANCEL" 360 | :stopPrice stop-loss 361 | :orderStrategyType "SINGLE" 362 | :orderLegCollection [{:instruction "BUY_TO_COVER" 363 | :quantity (int volume) 364 | :instrument instrument}]})] 365 | (if (<= 400 (:status order-data)) 366 | (do 367 | (log/error (format "%s: failed to open short stop-loss for %s" nickname symbol)) 368 | (log/error (:body order-data))) 369 | (log/info (format "%s: set %s short stop-loss to %.2f" 370 | nickname symbol stop-loss))))) 371 | -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | GNU AFFERO GENERAL PUBLIC LICENSE 2 | Version 3, 19 November 2007 3 | 4 | Copyright (C) 2007 Free Software Foundation, Inc. 5 | Everyone is permitted to copy and distribute verbatim copies 6 | of this license document, but changing it is not allowed. 7 | 8 | Preamble 9 | 10 | The GNU Affero General Public License is a free, copyleft license for 11 | software and other kinds of works, specifically designed to ensure 12 | cooperation with the community in the case of network server software. 13 | 14 | The licenses for most software and other practical works are designed 15 | to take away your freedom to share and change the works. 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Patents. 460 | 461 | A "contributor" is a copyright holder who authorizes use under this 462 | License of the Program or a work on which the Program is based. The 463 | work thus licensed is called the contributor's "contributor version". 464 | 465 | A contributor's "essential patent claims" are all patent claims 466 | owned or controlled by the contributor, whether already acquired or 467 | hereafter acquired, that would be infringed by some manner, permitted 468 | by this License, of making, using, or selling its contributor version, 469 | but do not include claims that would be infringed only as a 470 | consequence of further modification of the contributor version. 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"Knowingly relying" means you have 496 | actual knowledge that, but for the patent license, your conveying the 497 | covered work in a country, or your recipient's use of the covered work 498 | in a country, would infringe one or more identifiable patents in that 499 | country that you have reason to believe are valid. 500 | 501 | If, pursuant to or in connection with a single transaction or 502 | arrangement, you convey, or propagate by procuring conveyance of, a 503 | covered work, and grant a patent license to some of the parties 504 | receiving the covered work authorizing them to use, propagate, modify 505 | or convey a specific copy of the covered work, then the patent license 506 | you grant is automatically extended to all recipients of the covered 507 | work and works based on it. 508 | 509 | A patent license is "discriminatory" if it does not include within 510 | the scope of its coverage, prohibits the exercise of, or is 511 | conditioned on the non-exercise of one or more of the rights that are 512 | specifically granted under this License. You may not convey a covered 513 | work if you are a party to an arrangement with a third party that is 514 | in the business of distributing software, under which you make payment 515 | to the third party based on the extent of your activity of conveying 516 | the work, and under which the third party grants, to any of the 517 | parties who would receive the covered work from you, a discriminatory 518 | patent license (a) in connection with copies of the covered work 519 | conveyed by you (or copies made from those copies), or (b) primarily 520 | for and in connection with specific products or compilations that 521 | contain the covered work, unless you entered into that arrangement, 522 | or that patent license was granted, prior to 28 March 2007. 523 | 524 | Nothing in this License shall be construed as excluding or limiting 525 | any implied license or other defenses to infringement that may 526 | otherwise be available to you under applicable patent law. 527 | 528 | 12. No Surrender of Others' Freedom. 529 | 530 | If conditions are imposed on you (whether by court order, agreement or 531 | otherwise) that contradict the conditions of this License, they do not 532 | excuse you from the conditions of this License. If you cannot convey a 533 | covered work so as to satisfy simultaneously your obligations under this 534 | License and any other pertinent obligations, then as a consequence you may 535 | not convey it at all. For example, if you agree to terms that obligate you 536 | to collect a royalty for further conveying from those to whom you convey 537 | the Program, the only way you could satisfy both those terms and this 538 | License would be to refrain entirely from conveying the Program. 539 | 540 | 13. Remote Network Interaction; Use with the GNU General Public License. 541 | 542 | Notwithstanding any other provision of this License, if you modify the 543 | Program, your modified version must prominently offer all users 544 | interacting with it remotely through a computer network (if your version 545 | supports such interaction) an opportunity to receive the Corresponding 546 | Source of your version by providing access to the Corresponding Source 547 | from a network server at no charge, through some standard or customary 548 | means of facilitating copying of software. This Corresponding Source 549 | shall include the Corresponding Source for any work covered by version 3 550 | of the GNU General Public License that is incorporated pursuant to the 551 | following paragraph. 552 | 553 | Notwithstanding any other provision of this License, you have 554 | permission to link or combine any covered work with a work licensed 555 | under version 3 of the GNU General Public License into a single 556 | combined work, and to convey the resulting work. The terms of this 557 | License will continue to apply to the part which is the covered work, 558 | but the work with which it is combined will remain governed by version 559 | 3 of the GNU General Public License. 560 | 561 | 14. Revised Versions of this License. 562 | 563 | The Free Software Foundation may publish revised and/or new versions of 564 | the GNU Affero General Public License from time to time. Such new versions 565 | will be similar in spirit to the present version, but may differ in detail to 566 | address new problems or concerns. 567 | 568 | Each version is given a distinguishing version number. If the 569 | Program specifies that a certain numbered version of the GNU Affero General 570 | Public License "or any later version" applies to it, you have the 571 | option of following the terms and conditions either of that numbered 572 | version or of any later version published by the Free Software 573 | Foundation. If the Program does not specify a version number of the 574 | GNU Affero General Public License, you may choose any version ever published 575 | by the Free Software Foundation. 576 | 577 | If the Program specifies that a proxy can decide which future 578 | versions of the GNU Affero General Public License can be used, that proxy's 579 | public statement of acceptance of a version permanently authorizes you 580 | to choose that version for the Program. 581 | 582 | Later license versions may give you additional or different 583 | permissions. However, no additional obligations are imposed on any 584 | author or copyright holder as a result of your choosing to follow a 585 | later version. 586 | 587 | 15. Disclaimer of Warranty. 588 | 589 | THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY 590 | APPLICABLE LAW. EXCEPT WHEN OTHERWISE STATED IN WRITING THE COPYRIGHT 591 | HOLDERS AND/OR OTHER PARTIES PROVIDE THE PROGRAM "AS IS" WITHOUT WARRANTY 592 | OF ANY KIND, EITHER EXPRESSED OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, 593 | THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR 594 | PURPOSE. THE ENTIRE RISK AS TO THE QUALITY AND PERFORMANCE OF THE PROGRAM 595 | IS WITH YOU. SHOULD THE PROGRAM PROVE DEFECTIVE, YOU ASSUME THE COST OF 596 | ALL NECESSARY SERVICING, REPAIR OR CORRECTION. 597 | 598 | 16. Limitation of Liability. 599 | 600 | IN NO EVENT UNLESS REQUIRED BY APPLICABLE LAW OR AGREED TO IN WRITING 601 | WILL ANY COPYRIGHT HOLDER, OR ANY OTHER PARTY WHO MODIFIES AND/OR CONVEYS 602 | THE PROGRAM AS PERMITTED ABOVE, BE LIABLE TO YOU FOR DAMAGES, INCLUDING ANY 603 | GENERAL, SPECIAL, INCIDENTAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF THE 604 | USE OR INABILITY TO USE THE PROGRAM (INCLUDING BUT NOT LIMITED TO LOSS OF 605 | DATA OR DATA BEING RENDERED INACCURATE OR LOSSES SUSTAINED BY YOU OR THIRD 606 | PARTIES OR A FAILURE OF THE PROGRAM TO OPERATE WITH ANY OTHER PROGRAMS), 607 | EVEN IF SUCH HOLDER OR OTHER PARTY HAS BEEN ADVISED OF THE POSSIBILITY OF 608 | SUCH DAMAGES. 609 | 610 | 17. Interpretation of Sections 15 and 16. 611 | 612 | If the disclaimer of warranty and limitation of liability provided 613 | above cannot be given local legal effect according to their terms, 614 | reviewing courts shall apply local law that most closely approximates 615 | an absolute waiver of all civil liability in connection with the 616 | Program, unless a warranty or assumption of liability accompanies a 617 | copy of the Program in return for a fee. 618 | 619 | END OF TERMS AND CONDITIONS 620 | 621 | How to Apply These Terms to Your New Programs 622 | 623 | If you develop a new program, and you want it to be of the greatest 624 | possible use to the public, the best way to achieve this is to make it 625 | free software which everyone can redistribute and change under these terms. 626 | 627 | To do so, attach the following notices to the program. It is safest 628 | to attach them to the start of each source file to most effectively 629 | state the exclusion of warranty; and each file should have at least 630 | the "copyright" line and a pointer to where the full notice is found. 631 | 632 | 633 | Copyright (C) 634 | 635 | This program is free software: you can redistribute it and/or modify 636 | it under the terms of the GNU Affero General Public License as published 637 | by the Free Software Foundation, either version 3 of the License, or 638 | (at your option) any later version. 639 | 640 | This program is distributed in the hope that it will be useful, 641 | but WITHOUT ANY WARRANTY; without even the implied warranty of 642 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 643 | GNU Affero General Public License for more details. 644 | 645 | You should have received a copy of the GNU Affero General Public License 646 | along with this program. If not, see . 647 | 648 | Also add information on how to contact you by electronic and paper mail. 649 | 650 | If your software can interact with users remotely through a computer 651 | network, you should also make sure that it provides a way for users to 652 | get its source. For example, if your program is a web application, its 653 | interface could display a "Source" link that leads users to an archive 654 | of the code. There are many ways you could offer source, and different 655 | solutions will be better for different programs; see section 13 for the 656 | specific requirements. 657 | 658 | You should also get your employer (if you work as a programmer) or school, 659 | if any, to sign a "copyright disclaimer" for the program, if necessary. 660 | For more information on this, and how to apply and follow the GNU AGPL, see 661 | . 662 | --------------------------------------------------------------------------------