Ccxt Multi Exchange

CCXT Multi-Exchange Integration - Research Notes

Experiment Overview

Context

Alpaca reports platform-specific volume, not global exchange volume:

Additional Alpaca Limitations:

• Long-only (no crypto shorting)
• 25 pairs only
• No trailing stops for crypto

Solution: Use CCXT unified library to route to US-regulated exchanges with better liquidity during capital shift (after-hours/weekends).

Verified Workflow

1. Architecture

Market Hours (9:30-4:00 ET):
  └── Alpaca (equities + crypto)

After Hours / Weekends (shifted):
  └── CCXT Unified Interface
        ├── Coinbase International (primary - best compliance)
        ├── Coinbase (secondary - standard retail)
        ├── Kraken (tertiary - lower fees)
        └── Binance.US (quaternary - if needed)

2. CCXTBroker Class (AlpacaBroker Interface)

from alpaca_trading.trading.ccxt_broker import CCXTBroker, CCXTBrokerConfig

config = CCXTBrokerConfig(
    exchanges=['coinbase', 'kraken'],
    keys_file='API_key_CCXT.txt',
    sandbox=False,
    rate_limit_buffer_ms=100,
    max_retries=3,
)

broker = CCXTBroker(config)

# AlpacaBroker-compatible interface
account = broker.get_account()        # Aggregated across exchanges
positions = broker.get_positions()    # All exchange positions
order = broker.submit_order(          # Routes to best exchange
    symbol='BTC/USD',
    qty=0.01,
    side='buy',
    type='limit',
    limit_price=50000,
)

3. Exchange Selection Logic

from alpaca_trading.trading.exchange_selector import ExchangeSelector

selector = ExchangeSelector(
    broker=ccxt_broker,
    min_balance_buffer=100.0,  # Keep $100 buffer
    prefer_maker=True,          # Prioritize lower maker fees
)

# Find best exchange for a trade
result = selector.select_exchange(
    symbol='BTC/USD',
    side='buy',
    notional=10000,  # $10k trade
)
# Returns: ExchangeScore(exchange_id='coinbase', score=145.0, ...)

4. Capital Shift Integration

from alpaca_trading.risk.capital_shift import CapitalShiftManager, CapitalShiftConfig

config = CapitalShiftConfig(
    enabled=True,
    shift_fraction=0.75,
    max_crypto_allocation=0.50,
    use_ccxt_when_shifted=True,     # Enable CCXT routing
    ccxt_keys_file='API_key_CCXT.txt',
)

shift_mgr = CapitalShiftManager(
    config,
    alpaca_broker=alpaca_broker,
    ccxt_broker=ccxt_broker,
)

# Get appropriate broker based on shift status
allocation = shift_mgr.calculate_asset_allocations(...)
crypto_broker = shift_mgr.get_crypto_broker(allocation)
# Returns CCXT broker when shifted, Alpaca otherwise

5. Credentials File Format

# API_key_CCXT.txt (NOT in git)
coinbase_api_key=your_api_key_here
coinbase_secret=your_secret_here
kraken_api_key=your_api_key_here
kraken_secret=your_secret_here
binanceus_api_key=your_api_key_here
binanceus_secret=your_secret_here

6. CLI Usage

# Enable CCXT for after-hours crypto
python scripts/live_trader.py --paper 1 --use-ccxt 1 --ccxt-keys-file API_key_CCXT.txt

# Without CCXT (Alpaca only)
python scripts/live_trader.py --paper 1 --capital-shift 1

Failed Attempts (Critical)

Final Parameters

# Recommended CCXT configuration
CCXTBrokerConfig(
    exchanges=['coinbaseinternational', 'coinbase', 'kraken'],  # US-regulated only
    sandbox=False,                      # True for testing
    rate_limit_buffer_ms=100,           # Extra safety margin
    max_retries=3,                      # Before exchange failover
)

# Exchange priority and fees (4 exchanges)
EXCHANGE_PRIORITY = {
    'coinbaseinternational': 1,  # Primary - best US compliance
    'coinbase': 2,               # Secondary - standard retail
    'kraken': 3,                 # Tertiary - lower fees (0.16%)
    'binanceus': 4,              # Quaternary - regulatory concerns
}

EXCHANGE_FEES = {
    'coinbaseinternational': {'maker': 0.004, 'taker': 0.006},  # 0.4%/0.6%
    'coinbase': {'maker': 0.004, 'taker': 0.006},  # 0.4%/0.6%
    'kraken': {'maker': 0.0016, 'taker': 0.0026},  # 0.16%/0.26%
    'binanceus': {'maker': 0.001, 'taker': 0.001}, # 0.1%/0.1%
}

Key Insights

• AlpacaBroker interface: CCXTBroker mirrors Alpaca's interface for drop-in replacement
• Lazy initialization: CCXT broker only created when first needed during shift
• Position aggregation: get_positions() returns positions from ALL exchanges
• Symbol mapping: BTC/USD on Alpaca may be BTC/USDT on Binance.US
• Error handling: Catch ccxt.InsufficientFunds, ccxt.RateLimitExceeded, ccxt.NetworkError
• Sandbox support: Coinbase has sandbox, Kraken/Binance.US don't - use small amounts
• Reconciliation: Must reconcile positions across BOTH Alpaca and CCXT

Files Created/Modified

Testing

137 tests across two test files, using mock ccxt infrastructure (no real exchange connections):

• tests/test_ccxt_broker.py — 102 tests covering CCXTBroker (16 public methods)
• tests/test_exchange_selector.py — 35 tests covering ExchangeSelector (6 public methods)

Uses module-level sys.modules['ccxt'] mock injection with real exception class hierarchies. See the optional-dependency-test-mocking skill for the reusable pattern.

python -m pytest tests/test_ccxt_broker.py tests/test_exchange_selector.py -v

Testing Checklist

# Verify these scenarios:
1. [x] CCXT broker initializes with valid credentials
2. [x] Exchange failover on InsufficientFunds
3. [x] get_positions() aggregates across exchanges
4. [x] submit_order() routes to best exchange
5. [ ] Capital shift activates CCXT when shifted
6. [ ] Capital shift uses Alpaca when not shifted
7. [x] Symbol mapping works (BTC/USD -> BTC/USDT)
8. [x] Sandbox mode prevents live orders during testing
9. [x] Position reconciliation across both brokers
10. [x] Rate limiting prevents 429 errors

References

• CCXT Library: https://github.com/ccxt/ccxt
• CCXT Documentation: https://docs.ccxt.com/
• Coinbase Advanced Trade API: https://docs.cdp.coinbase.com/
• Kraken API: https://docs.kraken.com/
• Binance.US API: https://docs.binance.us/