Add TradeStation & Alpaca Brokerage Support (#469)

* feat: TradeStation in Readme * feat: DQH of TradeStation * Implement auth0 api client * feat: OAth implementation * feat: rename configuration of TS in Readme * feat: get auth0 configurations * feat: increase number of modules json file * refactor: README * fix: use isinstance instead of type in condition fix: Readme skip oauth type * feat: auto open browser when call authorize * Add Alpaca to readme * Pin setuptools --------- Co-authored-by: Ronit Jain <[email protected]> Co-authored-by: Martin Molinero <[email protected]>
QuantConnect · Jul 19, 2024 · 13b5996 · 13b5996
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diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
@@ -22,7 +22,7 @@ jobs:
 
       - name: Install dependencies
         run: |
-          pip install wheel
+          pip install setuptools==69.5.1 wheel
           pip install -r requirements.txt
 
       - name: Run tests

diff --git a/README.md b/README.md
@@ -320,9 +320,9 @@ Usage: lean cloud live deploy [OPTIONS] PROJECT
   --notify-insights.
 
 Options:
-  --brokerage [Paper Trading|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|Bybit]
+  --brokerage [Paper Trading|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|Bybit|TradeStation|Alpaca]
                                   The brokerage to use
-  --data-provider-live [QuantConnect|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|Polygon|IEX|CoinApi|Bybit]
+  --data-provider-live [QuantConnect|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|Polygon|IEX|CoinApi|Bybit|TradeStation|Alpaca]
                                   The live data provider to use
   --ib-user-name TEXT             Your Interactive Brokers username
   --ib-account TEXT               Your Interactive Brokers account id
@@ -406,13 +406,21 @@ Options:
   --bybit-api-secret TEXT         Your Bybit API secret
   --bybit-vip-level [VIP0|VIP1|VIP2|VIP3|VIP4|VIP5|SupremeVIP|Pro1|Pro2|Pro3|Pro4|Pro5]
                                   Your Bybit VIP Level
+  --trade-station-environment [live|paper]
+                                  Whether Live or Paper environment should be used
+  --trade-station-account-type [Cash|Margin|Futures|DVP]
+                                  Specifies the type of account on TradeStation
+  --alpaca-environment [live|paper]
+                                  Whether Live or Paper environment should be used
   --polygon-api-key TEXT          Your Polygon.io API Key
   --iex-cloud-api-key TEXT        Your iexcloud.io API token publishable key
   --iex-price-plan [Launch|Grow|Enterprise]
                                   Your IEX Cloud Price plan
   --coinapi-api-key TEXT          Your coinapi.io Api Key
   --coinapi-product [Free|Startup|Streamer|Professional|Enterprise]
                                   CoinApi pricing plan (https://www.coinapi.io/market-data-api/pricing)
+  --alpaca-api-key TEXT           Your Alpaca Api Key
+  --alpaca-api-secret TEXT        Your Alpaca Api Secret
   --node TEXT                     The name or id of the live node to run on
   --auto-restart BOOLEAN          Whether automatic algorithm restarting must be enabled
   --notify-order-events BOOLEAN   Whether notifications must be sent for order events
@@ -1225,9 +1233,9 @@ Options:
   --environment TEXT              The environment to use
   --output DIRECTORY              Directory to store results in (defaults to PROJECT/live/TIMESTAMP)
   -d, --detach                    Run the live deployment in a detached Docker container and return immediately
-  --brokerage [Paper Trading|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|Bybit]
+  --brokerage [Paper Trading|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|Bybit|TradeStation|Alpaca]
                                   The brokerage to use
-  --data-provider-live [Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|IQFeed|Polygon|IEX|CoinApi|ThetaData|Custom data only|Bybit]
+  --data-provider-live [Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|TDAmeritrade|IQFeed|Polygon|IEX|CoinApi|ThetaData|Custom data only|Bybit|TradeStation|Alpaca]
                                   The live data provider to use
   --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|IQFeed|Polygon|FactSet|IEX|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Bybit]
                                   Update the Lean configuration file to retrieve data from the given historical provider
@@ -1328,6 +1336,12 @@ Options:
                                   Your Bybit VIP Level
   --bybit-use-testnet [live|paper]
                                   Whether the testnet should be used
+  --trade-station-environment [live|paper]
+                                  Whether Live or Paper environment should be used
+  --trade-station-account-type [Cash|Margin|Futures|DVP]
+                                  Specifies the type of account on TradeStation
+  --alpaca-environment [live|paper]
+                                  Whether Live or Paper environment should be used
   --ib-enable-delayed-streaming-data BOOLEAN
                                   Whether delayed data may be used when your algorithm subscribes to a security you
                                   don't have a market data subscription for (Optional).
@@ -1347,6 +1361,8 @@ Options:
   --thetadata-rest-url TEXT       The ThetaData host address (Optional).
   --thetadata-subscription-plan [Free|Value|Standard|Pro]
                                   Your ThetaData subscription price plan
+  --alpaca-api-key TEXT           Your Alpaca Api Key
+  --alpaca-api-secret TEXT        Your Alpaca Api Secret
   --factset-auth-config-file FILE
                                   The path to the FactSet authentication configuration file
   --alpha-vantage-api-key TEXT    Your Alpha Vantage Api Key

diff --git a/lean/components/api/api_client.py b/lean/components/api/api_client.py
@@ -13,6 +13,7 @@
 
 from typing import Any, Dict
 
+from lean.components.api.auth0_client import Auth0Client
 from lean.components.api.account_client import AccountClient
 from lean.components.api.backtest_client import BacktestClient
 from lean.components.api.compile_client import CompileClient
@@ -52,6 +53,7 @@ def __init__(self, logger: Logger, http_client: HTTPClient, user_id: str, api_to
         self.set_user_token(user_id, api_token)
 
         # Create the clients containing the methods to send requests to the various API endpoints
+        self.auth0 = Auth0Client(self)
         self.accounts = AccountClient(self)
         self.backtests = BacktestClient(self)
         self.compiles = CompileClient(self)

diff --git a/lean/components/api/auth0_client.py b/lean/components/api/auth0_client.py
@@ -0,0 +1,61 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean CLI v1.0. Copyright 2021 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from lean.components.api.api_client import *
+from lean.components.util.logger import Logger
+from lean.constants import API_BASE_URL
+from lean.models.api import QCAuth0Authorization
+from lean.models.errors import RequestFailedError
+
+
+class Auth0Client:
+    """The Auth0Client class contains methods to interact with live/auth0/* API endpoints."""
+
+    def __init__(self, api_client: 'APIClient') -> None:
+        """Creates a new Auth0Client instance.
+
+        :param api_client: the APIClient instance to use when making requests
+        """
+        self._api = api_client
+
+    def read(self, brokerage_id: str) -> QCAuth0Authorization:
+        """Reads the authorization data for a brokerage.
+
+        :param brokerage_id: the id of the brokerage to read the authorization data for
+        :return: the authorization data for the specified brokerage
+        """
+        try:
+            payload = {
+                "brokerage": brokerage_id
+            }
+
+            data = self._api.post("live/auth0/read", payload)
+            return QCAuth0Authorization(**data)
+        except RequestFailedError as e:
+            return QCAuth0Authorization(authorization=None)
+
+    @staticmethod
+    def authorize(brokerage_id: str, logger: Logger) -> None:
+        """Starts the authorization process for a brokerage.
+
+        :param brokerage_id: the id of the brokerage to start the authorization process for
+        :param logger: the logger instance to use
+        """
+        from webbrowser import open
+
+        full_url = f"{API_BASE_URL}live/auth0/authorize?brokerage={brokerage_id}"
+        logger.info(f"Please open the following URL in your browser to authorize the LEAN CLI.")
+        logger.info(full_url)
+        open(full_url)
+
+
diff --git a/lean/components/util/auth0_helper.py b/lean/components/util/auth0_helper.py
@@ -0,0 +1,45 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean CLI v1.0. Copyright 2021 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from lean.models.api import QCAuth0Authorization
+from lean.components.api.api_client import Auth0Client
+from lean.components.util.logger import Logger
+
+
+def get_authorization(auth0_client: Auth0Client, brokerage_id: str, logger: Logger) -> QCAuth0Authorization:
+    """Gets the authorization data for a brokerage, authorizing if necessary.
+
+    :param auth0_client: An instance of Auth0Client, containing methods to interact with live/auth0/* API endpoints.
+    :param brokerage_id: The ID of the brokerage to get the authorization data for.
+    :param logger: An instance of Logger, handling all output printing.
+    :return: The authorization data for the specified brokerage.
+    """
+    from time import time, sleep
+
+    data = auth0_client.read(brokerage_id)
+    if data.authorization is not None:
+        return data
+
+    start_time = time()
+    auth0_client.authorize(brokerage_id, logger)
+
+    # keep checking for new data every 5 seconds for 7 minutes
+    while time() - start_time < 420:
+        logger.info("Will sleep 5 seconds and retry fetching authorization...")
+        sleep(5)
+        data = auth0_client.read(brokerage_id)
+        if data.authorization is None:
+            continue
+        return data
+
+    raise Exception("Authorization failed")
diff --git a/lean/models/__init__.py b/lean/models/__init__.py
@@ -17,7 +17,7 @@
 from time import time
 
 json_modules = {}
-file_name = "modules-1.13.json"
+file_name = "modules-1.14.json"
 directory = Path(__file__).parent
 file_path = directory.parent / file_name
 

diff --git a/lean/models/api.py b/lean/models/api.py
@@ -21,6 +21,8 @@
 # The models in this module are all parts of responses from the QuantConnect API
 # The keys of properties are not changed, so they don't obey the rest of the project's naming conventions
 
+class QCAuth0Authorization(WrappedBaseModel):
+    authorization: Optional[Dict[str, str]]
 
 class ProjectEncryptionKey(WrappedBaseModel):
     id: str

diff --git a/lean/models/configuration.py b/lean/models/configuration.py
@@ -119,6 +119,8 @@ def factory(config_json_object) -> 'Configuration':
             return UserInputConfiguration.factory(config_json_object)
         elif config_json_object["type"] == "filter-env":
             return BrokerageEnvConfiguration.factory(config_json_object)
+        elif config_json_object["type"] == "oauth-token":
+            return AuthConfiguration.factory(config_json_object)
         else:
             raise ValueError(
                 f'Undefined input method type {config_json_object["type"]}')
@@ -388,6 +390,35 @@ def ask_user_for_input(self, default_value, logger: Logger, hide_input: bool = F
             raise ValueError(f"Undefined input method type {self._input_method}")
 
 
+class AuthConfiguration(InternalInputUserInput):
+
+    def __init__(self, config_json_object):
+        super().__init__(config_json_object)
+
+    def factory(config_json_object) -> 'AuthConfiguration':
+        """Creates an instance of the child classes.
+
+        :param config_json_object: the json object dict with configuration info
+        :return: An instance of AuthConfiguration.
+        """
+        if config_json_object["type"] == "oauth-token":
+            return AuthConfiguration(config_json_object)
+        else:
+            raise ValueError(
+                f'Undefined input method type {config_json_object["type"]}')
+
+    def ask_user_for_input(self, default_value, logger: Logger, hide_input: bool = False):
+        """Prompts user to provide input while validating the type of input
+        against the expected type
+
+        :param default_value: The default to prompt to the user.
+        :param logger: The instance of logger class.
+        :param hide_input: Whether to hide the input (not used for this type of input, which is never hidden).
+        :return: The value provided by the user.
+        """
+        raise ValueError(f'user input not allowed with {self.__class__.__name__}')
+
+
 class FilterEnvConfiguration(BrokerageEnvConfiguration):
     """This class adds extra filters to user filters."""
 

diff --git a/lean/models/json_module.py b/lean/models/json_module.py
@@ -17,11 +17,12 @@
 from click import get_current_context
 from click.core import ParameterSource
 
+from lean.components.util.auth0_helper import get_authorization
 from lean.components.util.logger import Logger
 from lean.constants import MODULE_TYPE, MODULE_PLATFORM, MODULE_CLI_PLATFORM
 from lean.container import container
 from lean.models.configuration import BrokerageEnvConfiguration, Configuration, InternalInputUserInput, \
-    PathParameterUserInput
+    PathParameterUserInput, AuthConfiguration
 from copy import copy
 from abc import ABC
 
@@ -132,13 +133,17 @@ def get_settings(self) -> Dict[str, str]:
         for configuration in self._lean_configs:
             if not self._check_if_config_passes_filters(configuration, all_for_platform_type=False):
                 continue
-            settings[configuration._id] = str(configuration._value).replace("\\", "/")
+            if isinstance(configuration, AuthConfiguration) and isinstance(configuration._value, dict):
+                for key, value in configuration._value.items():
+                    settings[key] = str(value)
+            else:
+                settings[configuration._id] = str(configuration._value).replace("\\", "/")
 
         return settings
 
     def get_all_input_configs(self, filters: List[Type[Configuration]] = []) -> List[Configuration]:
         return [copy(config) for config in self._lean_configs if config._is_required_from_user
-                if type(config) not in filters
+                if not isinstance(config, tuple(filters))
                 and self._check_if_config_passes_filters(config, all_for_platform_type=True)]
 
     def convert_lean_key_to_variable(self, lean_key: str) -> str:
@@ -195,6 +200,11 @@ def config_build(self,
                     _logged_messages.add(log_message)
             if type(configuration) is InternalInputUserInput:
                 continue
+            elif isinstance(configuration, AuthConfiguration):
+                auth_authorizations = get_authorization(container.api_client.auth0, self._display_name.lower(), logger)
+                logger.debug(f'auth: {auth_authorizations}')
+                configuration._value = auth_authorizations.authorization
+                continue
 
             property_name = self.convert_lean_key_to_variable(configuration._id)
             # Only ask for user input if the config wasn't given as an option