crypto-websocket-bars

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  # Always zero for crypto
crypto_detection: detect_asset_type(symbol) == AssetType.CRYPTO
backwards_compatible: true  # market_stream=None preserves existing behavior

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)