| name | crypto-websocket-bars |
| description | Use Alpaca CryptoDataStream websocket for real-time crypto bars in live trading (OHLC only, volume excluded) |
| version | 5.4.0 |
| status | success |
| date | "2026-03-27T00:00:00.000Z" |
| triggers | ["crypto websocket","real-time crypto bars","live crypto data","streaming crypto"] |
Crypto WebSocket Bars for Live Trading
Problem
Live trader polled Alpaca REST API every 15 seconds for crypto bar updates. The MarketDataStream websocket was initialized but never queried — the stream data was wasted.
Solution
Wire MarketDataStream.get_latest_bar() into update_bars() for crypto symbols. Append real-time websocket bars with volume=0 (Alpaca crypto volume is platform-only, not global exchange volume).
Architecture
Alpaca CryptoDataStream (websocket, background thread)
↓ _handle_bar() stores under both BTC/USD and BTCUSD keys
↓
update_bars(fetcher, symbol, current, market_stream=stream)
├─ REST fetch (always, for initial load + bulk history)
└─ Stream bar append (crypto only, if newer than last REST bar)
└─ volume=0 (exclude Alpaca platform volume)
Key Implementation Details
Symbol Normalization
_crypto_symbol_variants(symbol): Returns both ['BTC/USD', 'BTCUSD'] forms
subscribe_bars(): Normalizes BTC/USD → BTCUSD for Alpaca API
_handle_bar(): Stores bar under both key formats
get_latest_bar(): Tries both formats for lookup
Volume Exclusion
Alpaca crypto volume is platform-only ($250k-$750k/day BTC) vs global exchange volume ($30B). Using it would corrupt volume-based features. Setting to 0 ensures no downstream code uses unreliable volume.
Files Modified
| File | Change |
|---|
scripts/live_trader.py | update_bars() accepts market_stream, appends crypto stream bars with volume=0 |
alpaca_trading/data/stream.py | _crypto_symbol_variants(), dual-key storage, subscribe normalization |
Parameters
enable_flag: --use-websocket 1
volume_for_stream_bars: 0.0
crypto_detection: detect_asset_type(symbol) == AssetType.CRYPTO
backwards_compatible: true
What Worked
- Supplement REST with stream (not replace) — REST still provides bulk history
- Dual-key storage for symbol format mismatch (
BTC/USD vs BTCUSD)
- Volume exclusion prevents data quality issues downstream
What Failed / Avoided
- Replacing REST entirely with stream (stream only gives latest bar, not history)
- Using Alpaca crypto volume (platform-only, train/live mismatch)
- Complex stream buffer management (unnecessary — single latest bar is sufficient)