tradingbot.py

from lumibot.brokers import Alpaca
from lumibot.backtesting import YahooDataBacktesting
from lumibot.traders import Trader
from lumibot.strategies.strategy import Strategy
from datetime import datetime
from alpaca_trade_api import REST
from timedelta import Timedelta
from finbert_utils import estimate_sentiment


API_KEY = "PKEX0M1325XQQY08LPKK" # USE API KEY FROM YOUR ACCOUNT
BASE_URL = "https://paper-api.alpaca.markets/v2" # USE BASE URL  FROM YOUR ACCOUNT
API_SECRET = "aQFgjhQUDqNcEzBgwsAClfWopUyXjxVwrkThvbZ2" # USE API SECRET FROM YOUR ACCOUNT

ALPACA_CREDS = {
    "API_KEY":API_KEY,
    "API_SECRET":API_SECRET,
    "PAPER": True
}

class MLTrader (Strategy):
    def initialize(self, symbol:str="SPY", cash_at_risk:float=.5):
        self.symbol = symbol
        self.sleeptime = "24H"
        self.last_trade = None
        self.cash_at_risk = cash_at_risk
        self.api = REST(base_url=BASE_URL, key_id=API_KEY, secret_key=API_SECRET)

    def position_sizing(self):
        cash = self.get_cash()
        last_price = self.get_last_price(self.symbol)
        quantity = round(cash * self.cash_at_risk / last_price, 0)
        return cash, last_price, quantity
    
    def get_dates(self):
        today = self.get_datetime()
        three_days_prior =  today - Timedelta(days=3)
        return today.strftime('%Y-%m-%d'), three_days_prior.strftime('%Y-%m-%d')
    
    def get_sentiment(self):
        today, three_days_prior = self.get_dates()
        news = self.api.get_news(symbol=self.symbol,
                                  start=three_days_prior, 
                                  end=today)
        news = [ev.__dict__["_raw"]["headline"] for ev in news]
        probability, sentiment = estimate_sentiment(news)
        return probability, sentiment

    def on_trading_iteration(self):
        cash, last_price, quantity = self.position_sizing()
        probability, sentiment = self.get_sentiment()

        if cash > last_price:
            if sentiment == 'positive' and probability > .999:
                if self.last_trade == 'sell':
                    self.sell_all()
                order = self.create_order(
                    self.symbol,
                    quantity,
                    "buy",
                    type="bracket",
                    take_profit_price=last_price*1.20,
                    stop_loss_price=last_price*.95
                )
                self.submit_order(order)
                self.last_trade = "buy"
            elif sentiment == 'negative' and probability > .999:
                if self.last_trade == 'buy':
                    self.sell_all()
                order = self.create_order(
                    self.symbol,
                    quantity,
                    "sell",
                    type="bracket",
                    take_profit_price=last_price*.8,
                    stop_loss_price=last_price*1.05
                )
                self.submit_order(order)
                self.last_trade = "sell"

start_date=datetime(2020,1,1)
end_date= datetime(2023,12,31)
broker = Alpaca(ALPACA_CREDS)

strategy = MLTrader(
    name='mlstrat',
    broker=broker,
    parameters={ "symbol":"SPY", "cash_at_risk":.5 }
)

strategy.backtest(
    YahooDataBacktesting,
    start_date,
    end_date,
    parameters={"symbol":"SPY", "cash_at_risk":.5}
)