stockfighter-clj

This project is my attempt at Stockfighter in Clojure. I am a Clojure beginner, so many things are probably wrong or not idiomatic.

Code reviews and pull requests are most appreciated.

Installation

Install leiningen
git clone https://github.com/davidkrisch/stockfighter-clj.git

Usage

Set an environment variable STARFIGHTER_API_KEY with your Stockfighter API key.

Then start a repl

$ lein repl

Functions to interact with the Stockfighter API are loaded into the user namespace at startup.

user=> (body (api-heartbeat))
{"ok" true "error" ""}
user=> (:status (stock-quote "TESTEX" "FOOBAR"))
200
user=> (-> (venue-heartbeat "TESTEX") body (get "ok"))

Stockfighter API

Each of the following functions return a map with keys like :status and :headers and :body.

Stockfighter API Heartbeat

=> (api-heartbeat)

Exchange (venue) Heartbeat

=> (venue-heartbeat "TESTEX")

List of an Exchange's Stocks

=> (stocks "TESTEX")

Get the orderbook for a stock

=> (orderbook "TESTEX" "FOOBAR")

Quote for a stock

=> (stock-quote "TESTEX" "FOOBAR")

Place an order for a stock

See the official documentation.

=> (def request-body (order-body "EXB123456" ;; Account number
                                 "TESTEX"    ;; Venue
                                 "FOOBAR"    ;; Stock symbol
                                 10          ;; quantity
                                 9999        ;; price $99.99
                                 "buy"       ;; direction - "buy" or "sell"
                                 "limit"))   ;; order type
=> (order "TESTEX" "FOOBAR" request-body)

Check status on an order

=> (def order-id 1234)
=> (order-status "TESTEX" "FOOBAR" order-id)

Cancel an order

=> (def order-id 1234)
=> (cancel-order "TESTEX" "FOOBAR" order-id)

Ticker Tape

The methods above are request/response oriented. ticker connects to a websocket and returns a stream of stock quotes. This is done in a separate thread so it doesn't tie up the repl while it is connected

=> (def system {:chan-out (chan (sliding/buffer 1))
                :account "EXB123456"
                :venue "TESTEX"
                :stock "FOOBAR"
                :qty 10
                :order-type "limit"
                })
=> (ticker system)

Message received on the ticker tape websocket will be placed on the :chan-out channel and can be retrieved with a blocking call like:

=> (<!! (:chan-out system))

Closing the websocket is accomplished by closing :chan-out

=> (close! (:chan-out system))

Options

There aren't any yet, but it would be nice to be able to turn on debugging for HTTP requests and maybe other parts of the system.

Design

Data Model

In the dev.user namespace there is a top level atom called system. It is a map that holds the application's state and configuration.

State

The state of the application is held in (:trades system). It is an unordered vector of trade maps. Each trade represents a single order. The trade could be in any state: failed, unfilled, partially filled, or fully filled.

(def system
  :account "<account-id>"
  :venue "<venue-id>"
  :stock "<stock-symbol>"
  ...
  <other-stuff>
  ...
  :trades [{:order-body {:account account
                         :venue venue
                         :stock stock
                         :qty qty
                         :price price
                         :direction direction
                         :orderType orderType}
             :response (manifold/deferred)
             :ts <timestamp>
           }
           ...])

:order-body: (map) The POST body we submitted with the order
:response: (manifold/deferred) The response, possibly not realized.
:ts: Timestamp - when the order was submitted.

Navigating :trades

:trades contains every interaction we've had with the system, so we can answer many questions with it:

What does my inventory look like? (long or short)
What is the averge buy/sell price?
What is my profit?
How many unfilled orders do I have and how many shares are involved?
How will my unfilled orders effect my inventory?

These questions can be answered using the functions in the mostly incomplete stockfighter.state namespace. I'm workin' in it!

Processes

There are 5 processes

Ticker - connects to the quote ticker websocket and puts messages on a channel. Runs in its own thread until async/channel is closed.
Order - Place orders using quotes from the ticker.
Inventory Maintenance - Its job is to minimize inventory. Single thread running in a loop possibly with some sort of delay.
Order Status - manage orders once they've been placed. Thread per order using a dedicated thread pool
Visibility - periodically wakes up and prints state of system.

License

Distributed under the Eclipse Public License either version 1.0 or (at your option) any later version.

davidkrisch/stockfighter-clj