smith6jt-cop Broker Order Limitations (Alpaca)
Experiment Overview
| Item | Details |
|---|---|
| Date | 2024-12-26 |
| Goal | Document broker-specific order limitations |
| Environment | scripts/live_trader.py, Alpaca Trading API |
| Status | Reference |
Context
Alpaca broker has specific limitations on order types. The most important one for this trading system:
Crypto shorting is NOT supported by Alpaca. Stock shorting IS allowed.
This distinction is critical because:
- Model generates SELL signals for both crypto and equities
- SELL signal on crypto = blocked by broker limitation
- SELL signal on equities = allowed (short selling)
Verified Implementation
Crypto Short Gate (Correct)
# In live_trader.py (~line 1335)
# Only block shorts for crypto, not equities
if desired_side == -1 and asset_type == AssetType.CRYPTO and state.side <= 0:
# Trying to go short on crypto when not already long
gate_statuses[symbol] = GateStatus(
final_status='BLOCKED',
blocking_gate='crypto_short',
crypto_short_gate=False, # Failed
)
continue
Key Logic Points
# desired_side == -1: Model wants to SELL
# asset_type == AssetType.CRYPTO: Asset is cryptocurrency
# state.side <= 0: Not currently holding a long position
# All three conditions must be true to block:
# 1. SELL signal (-1)
# 2. Is crypto (not equity)
# 3. Would be opening a short (not closing a long)
What IS Allowed
| Asset Type | Buy (Long) | Sell to Close | Sell to Short |
|---|---|---|---|
| Equity | Yes | Yes | Yes |
| Crypto | Yes | Yes | NO |
Gate Status in Dashboard
When crypto short is blocked:
gate_status = {
'final_status': 'BLOCKED',
'blocking_gate': 'crypto_short',
'crypto_short_gate': False,
# ... other gates may be True
}
Failed Attempts (Critical)
| Attempt | Why it Failed | Lesson Learned |
|---|---|---|
| Block all SELL signals for crypto | Prevented closing profitable longs | Only block new shorts |
| Block all shorts (crypto + equity) | Equity shorts are valid strategy | Check asset type |
| No short gate at all | Orders rejected by broker | Pre-filter before submission |
Check desired_side < 0 |
Could catch rounding errors | Use == -1 exactly |
Alpaca Order Types Reference
Supported Order Types
| Order Type | Equities | Crypto |
|---|---|---|
| Market Buy | Yes | Yes |
| Market Sell | Yes | Yes (close only) |
| Limit Buy | Yes | Yes |
| Limit Sell | Yes | Yes (close only) |
| Stop Loss | Yes | Yes |
| Take Profit | Yes | Yes |
| Short Sell | Yes | NO |
| Fractional | Yes (0.001) | Yes (varies) |
Crypto-Specific Limitations
- No shorting: Cannot borrow and sell crypto
- 24/7 trading: No market hours restrictions
- Symbol format: Ends with
USD(e.g.,BTCUSD,ETHUSD) - Fractional minimum: Varies by crypto (check API)
Equity-Specific Features
- Short selling: Allowed with margin account
- Market hours: 9:30 AM - 4:00 PM ET (regular)
- Extended hours: 4:00 AM - 8:00 PM ET (with flag)
- Pattern day trader: Rules apply if >3 day trades in 5 days
Key Insights
Detecting Asset Type
# Simple heuristic used in live_trader.py
def is_crypto(symbol: str) -> bool:
return symbol.endswith('USD')
# Or use Alpaca's asset class
from alpaca.trading.enums import AssetClass
asset = api.get_asset(symbol)
is_crypto = asset.asset_class == AssetClass.CRYPTO
Why Not Block at Model Level?
The model is trained on both crypto and equity data. It learns:
- When to go long (BUY = +1)
- When to go short (SELL = -1)
- When to stay out (HOLD = 0)
Blocking shorts in the model would:
- Reduce training efficiency
- Create inconsistent behavior
- Miss valid equity short signals
Better approach: Let model predict freely, filter at execution gate.
Capital Shift Interaction
When equity markets close, capital shifts to crypto. During this time:
- More crypto signals generated
- All crypto SELL signals blocked
- Only crypto BUY signals executed
- Effective strategy: crypto long-only overnight
Files Modified
scripts/live_trader.py:
- Line 1335: Crypto short gate check
- Uses AssetType enum for asset classification
- Gate status stored in gate_statuses dict
References
- Alpaca Crypto Trading
- Alpaca Short Selling
scripts/live_trader.py: Order execution logic (lines ~1300-1400)alpaca_trading/risk/capital_shift.py: Equity→crypto shift logic