Updated for Alpaca V2 bars / market data

still need to update methods for Alpaca data_stream_v2 web socket

package.json

@@ -1,6 +1,6 @@
 {
-  "name": "@kendelchopp/alpaca-js-backtesting",
-  "version": "1.1.3",
+  "name": "@michaeljwright/alpaca-js-backtesting",
+  "version": "2.0.0",
   "description": "",
   "main": "src/index.js",
   "scripts": {
@@ -9,23 +9,25 @@
   },
   "repository": {
     "type": "git",
-    "url": "git+https://github.com/KendelChopp/alpaca-js-backtesting.git"
+    "url": "git+https://github.com/michaeljwright/alpaca-js-backtesting.git"
   },
-  "author": "Kendel Chopp",
+  "author": "Kendel Chopp (V2 update by Mike)",
   "license": "MIT",
   "keywords": [
     "alpaca",
     "backtesting"
   ],
   "bugs": {
-    "url": "https://github.com/KendelChopp/alpaca-js-backtesting/issues"
+    "url": "https://github.com/michaeljwright/alpaca-js-backtesting/issues"
   },
-  "homepage": "https://github.com/KendelChopp/alpaca-js-backtesting#readme",
+  "homepage": "https://github.com/michaeljwright/alpaca-js-backtesting#readme",
   "devDependencies": {
     "jest": "^26.4.2",
     "q": "^1.5.1"
   },
   "dependencies": {
-    "lodash": "^4.17.20"
+    "axios": "^0.21.1",
+    "lodash": "^4.17.20",
+    "moment-timezone": "^0.5.33"
   }
 }

src/MarketData/MarketData.js

@@ -1,6 +1,6 @@
-const _ = require('lodash');
+const _ = require("lodash");
 
-const Security = require('../Security/Security.js');
+const Security = require("../Security/Security.js");
 
 /**
  * Class tracking market data and time for all relevant securities
@@ -34,14 +34,16 @@ class MarketData {
    * @returns {Object[]} object containing subjects and data
    */
   simulateMinute() {
-    const validSecurities = _.filter(this.securities, (security) => Boolean(security.data[this.time]));
-    const dataMap = _.map(validSecurities, (security) => {
+    const validSecurities = _.filter(this.securities, security =>
+      Boolean(security.data[this.time])
+    );
+    const dataMap = _.map(validSecurities, security => {
       security.price = security.data[this.time].closePrice;
       return {
         subject: `AM.${security.symbol}`,
         data: {
           ...security.data[this.time],
-          ev: 'AM',
+          ev: "AM",
           symbol: security.symbol
         }
       };

src/Portfolio/Portfolio.js

@@ -1,6 +1,6 @@
-const _ = require('lodash');
+const _ = require("lodash");
 
-const Position = require('../Position/Position.js');
+const Position = require("../Position/Position.js");
 
 /**
  * A class representing cash and all of the positions taken
@@ -26,7 +26,7 @@ class Portfolio {
    * @returns {Position} The position represented by the symbol if it exists
    */
   getPosition(symbol) {
-    return _.find(this.positions, (position) => (position.symbol === symbol));
+    return _.find(this.positions, position => position.symbol === symbol);
   }
 
   /**
@@ -58,34 +58,34 @@ class Portfolio {
    */
   createOrder(options) {
     if (!options.symbol) {
-      throw new Error('No symbol provided for order.');
+      throw new Error("No symbol provided for order.");
     }
     if (!options.qty || options.qty < 1) {
-      throw new Error('Quantity must be >= 1 to create an order.');
+      throw new Error("Quantity must be >= 1 to create an order.");
     }
-    if (!options.side || (options.side !== 'sell' && options.side !== 'buy')) {
-      throw new Error('Side not provided correctly. Must be buy or sell.');
+    if (!options.side || (options.side !== "sell" && options.side !== "buy")) {
+      throw new Error("Side not provided correctly. Must be buy or sell.");
     }
 
     const currentPrice = this.marketData.getPrice(options.symbol);
 
-    if (options.side === 'sell') {
+    if (options.side === "sell") {
       const position = this.getPosition(options.symbol);
       if (position && position.quantity >= options.qty) {
         this.cash += options.qty * currentPrice;
         position.quantity -= options.qty;
 
         if (position.quantity == 0) {
-          _.remove(this.positions, (position) => (position.quantity == 0));
+          _.remove(this.positions, position => position.quantity == 0);
         }
       } else {
         // TODO: improve warning handling here
-        console.warn('Attempted to sell more of a position than in portfolio');
+        console.warn("Attempted to sell more of a position than in portfolio");
       }
     } else {
       if (this.cash < options.qty * currentPrice) {
         // TODO: improve warning handling here
-        console.warn('Order not executed, not enough cash');
+        console.warn("Order not executed, not enough cash");
       } else {
         const position = this.findOrCreatePosition(options.symbol);
         this.cash -= options.qty * currentPrice;
@@ -100,7 +100,7 @@ class Portfolio {
    * @returns {number} The total value of the Portfolio
    */
   getValue() {
-    const positionValue = _.sumBy(this.positions, (position) => {
+    const positionValue = _.sumBy(this.positions, position => {
       const price = this.marketData.getPrice(position.symbol);
 
       return price * position.quantity;
@@ -116,13 +116,13 @@ class Portfolio {
    */
   getStats() {
     const endValue = this.getValue();
-    const roi = (endValue / this.startValue) - 1;
+    const roi = endValue / this.startValue - 1;
 
     return {
       startValue: this.startValue,
       endValue,
       roi
-    }
+    };
   }
 }
 

src/Position/Position.js

@@ -8,7 +8,7 @@ class Position {
    * @param {string} symbol - The symbol for the position
    * @param {number} quantity - The number open
    */
-  constructor(symbol, quantity=0) {
+  constructor(symbol, quantity = 0) {
     this.symbol = symbol;
     this.quantity = quantity;
   }