Merge pull request #6 from KendelChopp/accept-v1-subscriptions

Accept v1 subscriptions

Author: KendelChopp

README.md

@@ -36,7 +36,7 @@ const backtest = new Backtest({
 });
 ```
 
-3. Run your algorithm replacing Alpaca/websockets accordingly. 
+3. Run your algorithm replacing Alpaca/websockets accordingly.
 
 For example (commented out lines are the old lines to be replaced):
 ```JavaScript
@@ -61,6 +61,10 @@ This table lists the version of @kendelchopp/alpaca-js-backtesting with the vers
 | @kendelchopp/alpaca-js-backtesting | @alpacahq/alpaca-trade-api-js |
 | ---------------------------------- | ----------------------------- |
 | 1.0.0                              | 1.4.1                         |
+| 1.1.0                              | 1.4.1                         |
+| 1.1.1                              | 1.4.1                         |
+| 1.1.2                              | 1.4.1                         |
+| 1.1.3                              | 1.4.1                         |
 
 ## Relevant Functions
 ### Backtest#createOrder
@@ -99,7 +103,7 @@ Runs a function when establishing the connection. When backtesting, you will usu
 #### Example
 ```JavaScript
 client.onConnect(() => {
-  client.subscribe(['AM.SPY']);
+  client.subscribe(['alpacadatav1/AM.SPY']);
 });
 ```
 
@@ -114,22 +118,20 @@ client.onDisconnect(() => {
 ```
 
 ### Websocket#onStockAggMin
-This runs your function when a simulated minute occurrs and returns the relevant data. This is where your trading will likely take place
+This runs your function when a simulated minute occurrs and returns the relevant data. This is where your trading will likely take place. Subject will look something like `AM.SPY` and data will look like a standard bar data.
 
 #### Example
 ```JavaScript
 client.onStockAggMin((subject, data) => {
-  const priceArray = JSON.parse(data);
-  
-  if (priceArray[0].closePrice < 500) {
+  if (data.closePrice < 500) {
     backtest.createOrder({
       symbol: 'SPY',
       qty: 300,
       side: 'buy',
       type: 'market',
       time_in_force: 'day'
     });
-    
+
     console.log('Bought SPY');
   }
 });
@@ -141,6 +143,6 @@ Subscribes to the channels listed. Currently, only aggregate minute channels are
 #### Example
 ```JavaScript
 client.onConnect(() => {
-  client.subscribe(['AM.SPY', 'AM.AAPL']);
+  client.subscribe(['alpacadatav1/AM.SPY', 'alpacadatav1/AM.AAPL']);
 });
 ```

package-lock.json

@@ -1,6 +1,6 @@
 {
   "name": "@kendelchopp/alpaca-js-backtesting",
-  "version": "1.1.2",
+  "version": "1.1.3",
   "description": "",
   "main": "src/index.js",
   "scripts": {

package.json

@@ -31,21 +31,24 @@ class MarketData {
    * Simulates a minute by mapping the security's information for that minute and updating the
    * current price of all the securities
    *
-   * @returns {string} the stringified map of information to simulate coming over a request
+   * @returns {Object[]} object containing subjects and data
    */
   simulateMinute() {
     const validSecurities = _.filter(this.securities, (security) => Boolean(security.data[this.time]));
     const dataMap = _.map(validSecurities, (security) => {
       security.price = security.data[this.time].closePrice;
       return {
-        ...security.data[this.time],
-        ev: 'AM',
-        sym: security.symbol
-      }
+        subject: `AM.${security.symbol}`,
+        data: {
+          ...security.data[this.time],
+          ev: 'AM',
+          symbol: security.symbol
+        }
+      };
     });
 
     this.time++;
-    return JSON.stringify(dataMap);
+    return dataMap;
   }
 
   /**

src/MarketData/MarketData.js

@@ -79,13 +79,16 @@ describe('MarketData', () => {
       expect(marketData.time).toBe(1);
     });
 
-    test('returns a stringified map of the valid securities', () => {
+    test('returns a map of the valid securities with subject and data', () => {
       const simulation = marketData.simulateMinute();
-      const expected = JSON.stringify([{
-        closePrice,
-        ev: 'AM',
-        sym: validSecurity.symbol
-      }]);
+      const expected = [{
+        subject: `AM.${validSecurity.symbol}`,
+        data: {
+          closePrice,
+          ev: 'AM',
+          symbol: validSecurity.symbol
+        }
+      }];
 
       expect(simulation).toEqual(expected);
     });

src/MarketData/MarketData.test.js

@@ -62,12 +62,13 @@ class Websocket {
    */
   async loadData() {
     const rawChannels = _.map(this.channels, (channel) => {
+      const isV1Minute = channel.startsWith('alpacadatav1/AM.');
       const isMinute = channel.startsWith('AM.');
-      if (!isMinute) {
+      if (!isMinute && !isV1Minute) {
         throw new Error('Only minute aggregates are supported at this time.');
       }
 
-      return channel.substring(3);
+      return isMinute ? channel.substring(3) : channel.substring(16);
     });
 
     const channelString = _.join(rawChannels, ',');
@@ -96,7 +97,10 @@ class Websocket {
     }
 
     while (this._marketData.hasData) {
-      this.stockAggMinCallback('AM', this._marketData.simulateMinute());
+      const simulatedSecurities = this._marketData.simulateMinute();
+      _.forEach(simulatedSecurities, (security) => {
+        this.stockAggMinCallback(security.subject, security.data);
+      });
     }
   }
 

src/Websocket/Websocket.js

@@ -54,7 +54,7 @@ describe('Websocket', () => {
       let barRequest, channels, channelString, rawChannels;
 
       beforeEach(() => {
-        channels = ['AM.SPY', 'AM.AAPL'];
+        channels = ['AM.SPY', 'alpacadatav1/AM.AAPL'];
         rawChannels = ['SPY', 'AAPL'];
         channelString = 'SPY,AAPL';
         websocket.channels = channels;
@@ -130,14 +130,20 @@ describe('Websocket', () => {
           return minuteCount++ < 1;
         });
 
-        simulatedMinute = { some: 'minute' };
+        simulatedMinute = [{
+          subject: 'AM.AAPL',
+          data: {
+            some: 'data'
+          }
+        }];
+
         jest.spyOn(marketData, 'simulateMinute').mockReturnValue(simulatedMinute);
       });
 
       test('calls the callback the correct number of times', () => {
         websocket.runSimulation();
         expect(marketData.simulateMinute).toBeCalled();
-        expect(callback).toBeCalledWith('AM', simulatedMinute);
+        expect(callback).toBeCalledWith(simulatedMinute[0].subject, simulatedMinute[0].data);
       });
     });