Merge pull request #193 from alpacahq/change_can_trade_check

Changed the "can_trade" check to be more resilient.
now only check if:
- api says asset is tradable
- calendar says it's a valid session

pylivetrader/data/bardata.py

@@ -15,7 +15,6 @@
 # limitations under the License.
 import pandas
 import pandas as pd
-import numpy as np
 
 from contextlib import contextmanager
 from collections import Iterable
@@ -246,14 +245,24 @@ def _can_trade_for_asset(self, asset, dt, adjusted_dt, data_portal):
         # if self._is_restricted(asset, adjusted_dt):
         #     return False
 
-        session_label = self.calendar.minute_to_session_label(dt)
-
-        if not asset.is_alive_for_session(session_label):
-            # asset isn't alive
+        if not self.data_portal.backend._api.get_asset(asset.symbol).tradable:
             return False
 
-        if asset.auto_close_date and session_label >= asset.auto_close_date:
-            return False
+        # this sometimes fail even though the asset is trade-able. I cancelled
+        # this check, and added the one above it
+
+        # session_label = self.calendar.minute_to_session_label(dt)
+        # if not asset.is_alive_for_session(session_label):
+        #     # asset isn't alive
+        #     return False
+
+        # this condition is being commented out because of the asset VXX
+        # as it turns out, there are 2 VXX assets in the Alpaca asset list.
+        # one is tradable, one is not. the auto_close_date is set (first for
+        # the tradable one then for the not tradable one, casuing this to fail
+        # it's set in alpaca.backend.get_equities() (asset.end_date)
+        # if asset.auto_close_date and session_label >= asset.auto_close_date:
+        #     return False
 
         if not self._daily_mode:
             # Find the next market minute for this calendar, and check if this
@@ -267,12 +276,23 @@ def _can_trade_for_asset(self, asset, dt, adjusted_dt, data_portal):
             if not asset.is_exchange_open(dt_to_use_for_exchange_check):
                 return False
 
-        # is there a last price?
-        return not np.isnan(
-            data_portal.get_spot_value(
-                asset, "price", adjusted_dt, self.data_frequency
-            )
-        )
+        # spot value doesn't always exist even though the asset is trade-able
+        # you could get previous prices by doing
+        # data_portal.get_history_window([Equity("AAPL", "NYSE")],
+        #                                adjusted_dt, 120, 'minute',
+        #                                'price', '1m')
+        # but it won't always contain the lasy minute.
+        # I will not fail the "can_trade" method for that, and will allow the
+        # user the option to try trading even though, spot price doesn't exist
+
+        # # is there a last price?
+        # return not np.isnan(
+        #     data_portal.get_spot_value(
+        #         asset, "price", adjusted_dt, self.data_frequency
+        #     )
+        # )
+
+        return True
 
     def is_stale(self, assets):
         """

pylivetrader/testing/fixtures.py

@@ -29,6 +29,18 @@ def create_bars(minutes, offset):
     }, index=minutes)
 
 
+class MockAsset:
+    @property
+    def tradable(self):
+        return True
+
+
+class AlpacaApi:
+    @staticmethod
+    def get_asset(sym):
+        return MockAsset()
+
+
 class Backend:
 
     def __init__(self, start=None, end=None, assets=None, exchange='NYSE'):
@@ -37,6 +49,7 @@ def __init__(self, start=None, end=None, assets=None, exchange='NYSE'):
 
         self._exchange = exchange
         self._calendar = get_calendar(exchange)
+        self._api = AlpacaApi()
 
         self.assets = assets or ['asset-0', 'asset-1', 'asset-2']
 

tests/test_data/test_bardata.py

@@ -74,7 +74,7 @@ def test_bardata():
     assert data.can_trade(asset_to_check)
     assert not data.is_stale(asset_to_check)
 
-    data.datetime = pd.Timestamp('2018-08-14', tz='UTC')
-    assert not data.can_trade(asset_to_check)
+    # data.datetime = pd.Timestamp('2018-08-14', tz='UTC')
+    # assert not data.can_trade(asset_to_check)
     # when asset is not tradable, return false
     assert not data.is_stale(asset_to_check)