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broker-order-limitations

Alpaca broker limitations: crypto shorts blocked (broker doesn't support), stock shorts allowed. Trigger when: (1) shorting gate blocks wrong assets, (2) SELL signals blocked, (3) order type confusion.

personAuthor: jakexiaohubgithub
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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:

  1. Model generates SELL signals for both crypto and equities
  2. SELL signal on crypto = blocked by broker limitation
  3. 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

  1. No shorting: Cannot borrow and sell crypto
  2. 24/7 trading: No market hours restrictions
  3. Symbol format: Ends with USD (e.g., BTCUSD, ETHUSD)
  4. Fractional minimum: Varies by crypto (check API)

Equity-Specific Features

  1. Short selling: Allowed with margin account
  2. Market hours: 9:30 AM - 4:00 PM ET (regular)
  3. Extended hours: 4:00 AM - 8:00 PM ET (with flag)
  4. 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