chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using QuantConnect.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Securities.CryptoFuture;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that BNFCR serves as collateral for Binance USDⓈ-M futures
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/// (EU/MiCA Credits Trading Mode) and that futures with different quote currencies (ADAUSDT, ETHUSDC)
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/// correctly share the BNFCR collateral pool.
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/// </summary>
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public class BinanceCryptoFutureBnfcrCollateralRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private CryptoFuture _adaUsdt;
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private CryptoFuture _ethUsdc;
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private bool _orderPlaced;
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public override void Initialize()
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{
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SetStartDate(2022, 12, 13);
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SetEndDate(2022, 12, 13);
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SetTimeZone(TimeZones.Utc);
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SetBrokerageModel(BrokerageName.BinanceFutures, AccountType.Margin);
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_adaUsdt = AddCryptoFuture("ADAUSDT");
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_ethUsdc = AddCryptoFuture("ETHUSDC");
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SetCash(0);
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SetCash("BNFCR", 200m, 1m);
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SetCash("ETH", 0, 1600);
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SetCash("USDC", 0, 1);
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}
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public override void OnData(Slice slice)
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{
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if (_adaUsdt.Price == 0 || _orderPlaced)
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{
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return;
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}
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// 1. BNFCR collateral must produce positive buying power (USDT is zero)
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var buyingPower = _adaUsdt.BuyingPowerModel.GetBuyingPower(new BuyingPowerParameters(Portfolio, _adaUsdt, OrderDirection.Buy));
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if (buyingPower.Value <= 0)
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{
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throw new RegressionTestException($"Expected positive buying power from BNFCR, got {buyingPower.Value}");
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}
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// 2. Order must not be rejected
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var ticket = Buy(_adaUsdt.Symbol, 1000);
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_orderPlaced = true;
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if (ticket.Status == OrderStatus.Invalid)
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{
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throw new RegressionTestException("Order rejected — BNFCR collateral should cover margin");
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}
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// 3. Margin must be tracked
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if (Portfolio.TotalMarginUsed <= 0)
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{
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throw new RegressionTestException($"Expected positive TotalMarginUsed, got {Portfolio.TotalMarginUsed}");
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}
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// 4. Shared collateral: ETHUSDC (different quote currency) must deduct ADAUSDT margin
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_ethUsdc.SetMarketPrice(new TradeBar { Time = Time, Symbol = _ethUsdc.Symbol, Close = 1600 });
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var ethBuyingPower = _ethUsdc.BuyingPowerModel.GetBuyingPower(new BuyingPowerParameters(Portfolio, _ethUsdc, OrderDirection.Buy));
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var adaBuyingPower = _adaUsdt.BuyingPowerModel.GetBuyingPower(new BuyingPowerParameters(Portfolio, _adaUsdt, OrderDirection.Buy));
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// ETHUSDC must see less buying power than ADAUSDT - ADAUSDT maintenance margin
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// is deducted from ETHUSDC's shared pool, but ADAUSDT skips itself.
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if (ethBuyingPower.Value >= adaBuyingPower.Value)
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{
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throw new RegressionTestException(
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$"ETHUSDC buying power ({ethBuyingPower.Value}) must be less than ADAUSDT ({adaBuyingPower.Value}) " +
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$"— shared BNFCR pool must deduct ADAUSDT maintenance margin");
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!Portfolio.Invested)
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{
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throw new RegressionTestException("Expected an open position at end of algorithm");
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug($"{Time} {orderEvent}");
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 4322;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "200"},
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{"End Equity", "206.86"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.12"},
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{"Estimated Strategy Capacity", "$340000.00"},
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{"Lowest Capacity Asset", "ADAUSDT 18R"},
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{"Portfolio Turnover", "148.31%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "177ae917deb456790cfbcaaaf1ec1f5c"}
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};
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}
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}
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