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289 lines
11 KiB
Python
289 lines
11 KiB
Python
"""
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Alpaca Market Data endpoints — standalone price data via Alpaca API
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"""
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from datetime import date, datetime, timezone, timedelta
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from typing import Optional
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from fastapi import APIRouter, Depends, HTTPException, Query
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from sqlalchemy.ext.asyncio import AsyncSession
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from app.core.database import get_db
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from app.schemas.financial import (
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AlpacaMultiBarsResponse,
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AlpacaMultiSnapshotResponse,
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AlpacaSnapshotResponse,
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)
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from app.services.alpaca_client import AlpacaClient
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from app.services.alpaca_price_service import AlpacaPriceService
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router = APIRouter()
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def _require_alpaca() -> AlpacaPriceService:
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svc = AlpacaPriceService()
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if not svc.is_available():
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raise HTTPException(
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status_code=503,
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detail="Alpaca API keys not configured. Set ALPACA_API_KEY and ALPACA_SECRET_KEY.",
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)
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return svc
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# ------------------------------------------------------------------
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# Status
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# ------------------------------------------------------------------
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@router.get(
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"/status",
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summary="Alpaca connection status",
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description="Check Alpaca API key validity and connection health.",
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)
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async def alpaca_status():
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client = AlpacaClient()
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if not client.is_configured():
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return {
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"configured": False,
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"message": "ALPACA_API_KEY / ALPACA_SECRET_KEY not set",
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}
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status = await client.check_connection()
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await client.close()
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return {"configured": True, **status}
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# ------------------------------------------------------------------
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# Intraday bars (DB-backed)
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# ------------------------------------------------------------------
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@router.get(
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"/intraday",
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response_model=AlpacaMultiBarsResponse,
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summary="Get historical intraday bars for multiple tickers (SIP feed, DB-backed)",
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description=(
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"멀티 종목 과거 분봉 데이터를 Alpaca **SIP 피드**로 가져옵니다. "
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"DB에 저장되며 재요청 시 Alpaca 미호출.\n\n"
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"**⚠️ 어제(yesterday)까지만 조회 가능** — 당일 데이터는 `/intraday/today` 사용\n\n"
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"| 항목 | 내용 |\n"
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"|------|------|\n"
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"| 피드 | **SIP** (전체 미국 거래소 통합) |\n"
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"| 거래량 | **100%** 정확 |\n"
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"| 조회 범위 | **2016년~어제** |\n"
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"| DB 저장 | 있음 (재요청 시 Alpaca 미사용) |\n\n"
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"**권장 용도**: 백테스트, 과거 분봉 분석\n\n"
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"- `tickers`: comma-separated, e.g. `AAPL,MSFT,BF-B`\n"
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"- `interval`: `1m`, `5m`, `15m`, `30m`, `1h`\n"
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"- 내부 100개 단위 자동 배치 분할 (500종목 → Alpaca 5회 호출)\n"
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"- Requires `ALPACA_API_KEY` / `ALPACA_SECRET_KEY`"
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),
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)
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async def get_alpaca_intraday_multi(
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tickers: str = Query(..., description="Comma-separated tickers, e.g. AAPL,MSFT,BF-B"),
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interval: str = Query("5m", description="Interval: 1m, 5m, 15m, 30m, 1h"),
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start_date: Optional[date] = Query(None, description="Start date (YYYY-MM-DD). Default: yesterday"),
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end_date: Optional[date] = Query(None, description="End date (YYYY-MM-DD). Must be before today. Default: yesterday"),
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force_refresh: bool = Query(False, description="Re-fetch from Alpaca even if DB has data"),
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db: AsyncSession = Depends(get_db),
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):
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"""Multi-ticker historical intraday bars via Alpaca SIP (up to yesterday)."""
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symbols = [s.strip().upper() for s in tickers.split(",") if s.strip()]
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if not symbols:
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raise HTTPException(status_code=400, detail="No tickers provided.")
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if len(symbols) > 1000:
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raise HTTPException(status_code=400, detail="Maximum 1000 tickers per request.")
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yesterday = date.today() - timedelta(days=1)
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_start = start_date or yesterday
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_end = end_date or yesterday
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if _end >= date.today():
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raise HTTPException(
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status_code=400,
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detail="이 엔드포인트는 어제(yesterday)까지의 과거 데이터만 조회 가능합니다. "
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"당일 실시간 데이터는 GET /api/v1/alpaca/intraday/today 를 사용하세요.",
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)
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svc = _require_alpaca()
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start_dt = datetime.combine(_start, datetime.min.time()).replace(tzinfo=timezone.utc)
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end_dt = datetime.combine(_end, datetime.max.time()).replace(tzinfo=timezone.utc)
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try:
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data = await svc.get_or_fetch_multi_bars(
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db, symbols, start_dt, end_dt, interval, force_refresh, feed="sip"
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)
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except Exception as e:
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err = str(e)
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detail = f"Alpaca API error: {err}"
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if "502" in err or "Bad Gateway" in err:
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detail = (
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f"Alpaca 502 Bad Gateway — 요청당 심볼 수 초과 가능성. "
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f"내부 배치 크기: 100개/요청. 원인: {err}"
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)
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raise HTTPException(status_code=502, detail=detail)
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finally:
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await svc.client.close()
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bars = {
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ticker: [
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{
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"timestamp": row.date.isoformat(),
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"open": row.open,
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"high": row.high,
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"low": row.low,
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"close": row.close,
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"volume": row.volume,
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}
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for row in rows
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]
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for ticker, rows in data.items()
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}
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return AlpacaMultiBarsResponse(interval=interval, count=len(symbols), bars=bars)
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@router.get(
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"/intraday/today",
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response_model=AlpacaMultiBarsResponse,
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summary="Get today's real-time intraday bars for multiple tickers (IEX feed, DB-backed)",
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description=(
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"당일(오늘) 실시간 분봉 데이터를 Alpaca **IEX 피드**로 가져옵니다. "
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"장 중 재요청 시 항상 Alpaca에서 최신 데이터를 가져옵니다.\n\n"
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"**⚠️ 오늘 데이터만 조회 가능** — 과거 데이터는 `/intraday` 사용\n\n"
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"| 항목 | 내용 |\n"
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"|------|------|\n"
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"| 피드 | **IEX** (IEX 거래소 단일) |\n"
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"| 지연 | **실시간** (지연 없음) |\n"
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"| 거래량 | 실제의 약 **2~5%** (IEX 거래소 거래만 집계) |\n"
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"| High/Low range | SIP 대비 좁게 표시될 수 있음 |\n"
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"| DB 저장 | 있음 (장 중 항상 재조회) |\n\n"
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"**권장 용도**: 당일 ORB 전략, 실시간 장 중 모니터링\n\n"
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"- `tickers`: comma-separated, e.g. `AAPL,MSFT,BF-B`\n"
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"- `interval`: `1m`, `5m`, `15m`, `30m`, `1h`\n"
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"- 내부 100개 단위 자동 배치 분할\n"
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"- Requires `ALPACA_API_KEY` / `ALPACA_SECRET_KEY`"
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),
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)
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async def get_alpaca_intraday_today(
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tickers: str = Query(..., description="Comma-separated tickers, e.g. AAPL,MSFT,BF-B"),
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interval: str = Query("5m", description="Interval: 1m, 5m, 15m, 30m, 1h"),
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db: AsyncSession = Depends(get_db),
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):
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"""Today's real-time intraday bars via Alpaca IEX (always re-fetches latest)."""
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symbols = [s.strip().upper() for s in tickers.split(",") if s.strip()]
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if not symbols:
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raise HTTPException(status_code=400, detail="No tickers provided.")
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if len(symbols) > 1000:
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raise HTTPException(status_code=400, detail="Maximum 1000 tickers per request.")
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svc = _require_alpaca()
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today = date.today()
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start_dt = datetime.combine(today, datetime.min.time()).replace(tzinfo=timezone.utc)
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end_dt = datetime.combine(today, datetime.max.time()).replace(tzinfo=timezone.utc)
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try:
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data = await svc.get_or_fetch_multi_bars(
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db, symbols, start_dt, end_dt, interval, force_refresh=True, feed="iex"
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)
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except Exception as e:
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err = str(e)
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detail = f"Alpaca API error: {err}"
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if "502" in err or "Bad Gateway" in err:
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detail = (
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f"Alpaca 502 Bad Gateway — 요청당 심볼 수 초과 가능성. "
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f"내부 배치 크기: 100개/요청. 원인: {err}"
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)
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raise HTTPException(status_code=502, detail=detail)
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finally:
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await svc.client.close()
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bars = {
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ticker: [
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{
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"timestamp": row.date.isoformat(),
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"open": row.open,
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"high": row.high,
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"low": row.low,
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"close": row.close,
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"volume": row.volume,
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}
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for row in rows
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]
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for ticker, rows in data.items()
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}
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return AlpacaMultiBarsResponse(interval=interval, count=len(symbols), bars=bars)
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# ------------------------------------------------------------------
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# Real-time snapshot
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# ------------------------------------------------------------------
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def _parse_snapshot(ticker: str, raw: dict) -> AlpacaSnapshotResponse:
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"""Convert raw Alpaca snapshot dict → AlpacaSnapshotResponse."""
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trade = raw.get("latestTrade") or {}
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quote = raw.get("latestQuote") or {}
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daily = raw.get("dailyBar") or {}
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prev = raw.get("prevDailyBar") or {}
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price = trade.get("p")
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prev_close = prev.get("c")
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change = round(price - prev_close, 4) if price is not None and prev_close else None
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change_pct = round(change / prev_close * 100, 4) if change is not None and prev_close else None
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return AlpacaSnapshotResponse(
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ticker=ticker.upper(),
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timestamp=trade.get("t"),
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price=price,
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trade_size=trade.get("s"),
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bid=quote.get("bp"),
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ask=quote.get("ap"),
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bid_size=quote.get("bs"),
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ask_size=quote.get("as"),
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open=daily.get("o"),
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high=daily.get("h"),
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low=daily.get("l"),
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volume=daily.get("v"),
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vwap=daily.get("vw"),
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prev_close=prev_close,
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change=change,
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change_pct=change_pct,
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)
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@router.get(
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"/snapshot",
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response_model=AlpacaMultiSnapshotResponse,
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summary="Real-time snapshots for multiple tickers (IEX feed)",
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description=(
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"멀티 종목 실시간 스냅샷. 최신 체결가, bid/ask, 당일 OHLCV, 전일 대비 변동률 포함.\n\n"
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"단일 종목도 `?tickers=AAPL`로 조회 가능.\n\n"
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"| 항목 | 내용 |\n"
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"|------|------|\n"
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"| 피드 | **IEX** — 무료 플랜에서 snapshot은 SIP 불가 |\n"
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"| 지연 | **실시간** (지연 없음) |\n"
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"| 거래량 | IEX 기준 (실제의 2~5%) |\n"
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"| 캐시 | **없음** — 매 요청마다 Alpaca 직접 호출 |\n\n"
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"- Requires `ALPACA_API_KEY` / `ALPACA_SECRET_KEY`"
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),
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)
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async def get_snapshots(
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tickers: str = Query(..., description="Comma-separated ticker symbols, e.g. AAPL,MSFT,NVDA"),
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):
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symbols = [s.strip().upper() for s in tickers.split(",") if s.strip()]
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if not symbols:
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raise HTTPException(status_code=400, detail="No tickers provided.")
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if len(symbols) > 1000:
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raise HTTPException(status_code=400, detail="Maximum 1000 tickers per request.")
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client = AlpacaClient()
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if not client.is_configured():
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raise HTTPException(status_code=503, detail="Alpaca API keys not configured.")
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try:
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raw_map = await client.get_snapshots(symbols)
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results = [_parse_snapshot(sym, raw_map.get(sym, {})) for sym in symbols]
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return AlpacaMultiSnapshotResponse(count=len(results), snapshots=results)
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except Exception as e:
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raise HTTPException(status_code=502, detail=f"Alpaca API error: {e}")
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finally:
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await client.close()
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