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Module alpaca

rustrade_data::exchange

Module alpaca 

Source
Expand description

Alpaca market data stream (behind alpaca feature). Alpaca market data connectors for US equities and crypto.

Connects to Alpaca’s market data WebSocket streams:

  • IEX: wss://stream.data.alpaca.markets/v2/iex (free, US equities)
  • SIP: wss://stream.data.alpaca.markets/v2/sip (paid, consolidated tape)
  • Crypto: wss://stream.data.alpaca.markets/v1beta3/crypto/us

§Testing Status

Tested locally, CI planned (free tier — paper trading allowed):

  • Crypto streaming: trades and quotes (24/7)
  • IEX equity streaming: trades and quotes (market hours only)

NOT tested (requires Algo Trader Plus subscription):

  • SIP equity streaming — implemented but unverified against real endpoints

§Authentication

Alpaca requires authentication via AlpacaCredentials. Credentials can be:

Auth message is sent immediately after WebSocket connection, before subscriptions.

§One connection per feed

Alpaca allows an account one market data connection per feed and refuses a second with connection limit exceeded. Every stream an AlpacaSubscriber and its clones open on a feed shares one socket to it, so trades and quotes — any number of symbols, over any number of subscribe calls — can stream together. Pass clones of one subscriber to every stream on the account; see AlpacaSubscriber and connection for the details.

§Example

ⓘ
use rustrade_data::exchange::alpaca::{AlpacaCredentials, AlpacaSubscriber, AlpacaIex};
use rustrade_data::streams::Streams;
use rustrade_data::subscription::trade::PublicTrades;

// Load credentials at construction time (fails fast if env vars missing)
let subscriber = AlpacaSubscriber::from_env()?;

let streams = Streams::<PublicTrades>::builder()
    .subscribe(subscriber, [(AlpacaIex::default(), "AAPL", "USD", PublicTrades)])
    .init()
    .await?;

§Connectors

  • AlpacaIex: Free IEX feed for US equities
  • AlpacaSip: Paid consolidated SIP feed (untested — requires subscription)
  • AlpacaCrypto: Crypto market data

§Supported Streams

  • PublicTrades: Real-time trades
  • Quotes: Real-time quotes — IEX’s own top of book on the IEX feed, the NBBO on SIP, Alpaca’s crypto venue on crypto
  • OrderBooksL1: the same quotes as a top of book, read from the same quotes channel. This is the kind DynamicStreams serves, since the engine’s market data carries a top of book rather than a quote. A side Alpaca publishes at a zero price has no quote and is None.

§Subscription confirmation

Alpaca answers a subscribe with one frame naming every symbol the connection holds. Initialisation does not return until every requested symbol has been named; if any is still outstanding when the subscription timeout expires, the subscribe fails and names what was missing. A partial subscription is therefore an error rather than a quietly reduced stream. The AlpacaSubscriber confirms each subscribe on the connection it shares.

A confirmed symbol is not a promise of prompt data. Alpaca’s crypto feed publishes a quote when top-of-book changes, so the delay before a given symbol first ticks is large and highly variable – 1s, 15s, 96s and 132s for four symbols confirmed on one connection in a single 300s window. Callers must not infer a failed subscription from silence, and must not use the first event as a readiness signal for any particular instrument.

Re-exports§

pub use reference::AlpacaStockSplit;
pub use reference::CorporateActionsQuery;
pub use rest::AlpacaRestClient;
pub use rest::AlpacaRestError;

Modules§

channel
connection
One WebSocket per feed, shared by every stream an AlpacaSubscriber and its clones open on it.
market
options
Alpaca options market data client.
quote
reference
Alpaca corporate-actions reference data (GET /v1beta1/corporate-actions).
rest
Shared Alpaca REST transport.
stream
The Alpaca market stream.
subscription
trade

Structs§

Alpaca
Generic Alpaca market data connector.
AlpacaCredentials
Credentials for authenticating to Alpaca market data WebSocket.
AlpacaServerCrypto
Crypto server.
AlpacaServerIex
IEX server (free US equities feed).
AlpacaServerSip
SIP server (paid consolidated US equities feed).
AlpacaSubscriber
Alpaca market data subscriber: authenticates, and shares one connection per feed among every stream it and its clones open.

Constants§

WEBSOCKET_URL_CRYPTO
Crypto WebSocket URL.
WEBSOCKET_URL_IEX
IEX WebSocket URL (free US equities feed).
WEBSOCKET_URL_SIP
SIP WebSocket URL (paid consolidated US equities feed).

Type Aliases§

AlpacaCrypto
Alpaca crypto connector.
AlpacaIex
Alpaca IEX equities connector (free feed).
AlpacaSip
Alpaca SIP equities connector (paid feed, untested).