Like many brokers, you don’t get to make unlimited connections to the Alpaca API. What I’m going to set up today is Redis to redistribute Alpaca trades, quotes, and bars data. The purpose of this is so that all of my algorithms have access to Alpaca’s data.
This program also shows you how many symbols are missing each minute, saves the data to dataframes and to your local disk for further analysis.
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main.py: This is the entry point of the application, responsible for initializing the subscription and handling user input. -
redis_subscriber.py: This file establishes a connection to Redis and sets up the subscription mechanism for Alpaca trades, quotes, or bars. It listens for incoming data and then broadcasts it to the appropriate channels for further processing. -
subscriptions.py: This file contains functions for subscribing and unsubscribing to Alpaca trades, quotes, and bars. These functions ensure a smooth and error-free data streaming experience. -
message_processing.py: This file processes incoming data from the Alpaca API and formats it for further analysis. It handles any errors that may occur during the process and ensures that the data is consistent and accurate. -
dataframes.py: This file manages the dataframes used for storing and analyzing the received data. It organizes the data in an accessible format and performs any necessary data manipulation tasks. -
config.py: This file manages the configuration, including API keys, directory settings, and the Alpaca REST API instance. Centralizing these configurations ensures easy maintenance and organization.
