chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,202 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*/
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Brokerages;
|
||||
using QuantConnect.Orders.Fees;
|
||||
using QuantConnect.Orders;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Securities;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// Regression test algorithm where custom a <see cref="FeeModel"/> does not use Account the Currency
|
||||
/// </summary>
|
||||
public class FeeModelNotUsingAccountCurrency : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
private Security _security;
|
||||
// Adding this so we only trade once, so math is easier and clear
|
||||
private bool _alreadyTraded;
|
||||
private int _initialEurCash = 10000;
|
||||
private decimal _orderFeesInAccountCurrency;
|
||||
|
||||
/// <summary>
|
||||
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
||||
/// </summary>
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2018, 4, 4); // Set Start Date
|
||||
SetEndDate(2018, 4, 4); // Set End Date
|
||||
// Set Strategy Cash (USD) to 0. This is required for
|
||||
// SetHoldings(_security.Symbol, 1) not to fail
|
||||
SetCash(0);
|
||||
|
||||
// EUR/USD conversion rate will be updated dynamically
|
||||
// Note: the conversion rates are required in backtesting (for now) because of this issue:
|
||||
// https://github.com/QuantConnect/Lean/issues/1859
|
||||
SetCash("EUR", _initialEurCash, 1.23m);
|
||||
|
||||
SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
|
||||
|
||||
_security = AddCrypto("BTCEUR");
|
||||
|
||||
// This is required because in our custom model, NonAccountCurrencyCustomFeeModel,
|
||||
// fees will be charged in ETH (not Base, nor Quote, not account currency).
|
||||
// Setting the cash allows the system to add a data subscription to fetch required conversion rates.
|
||||
SetCash("ETH", 0, 0m);
|
||||
_security.FeeModel = new NonAccountCurrencyCustomFeeModel();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
||||
/// </summary>
|
||||
/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
if (!Portfolio.Invested && !_alreadyTraded)
|
||||
{
|
||||
_alreadyTraded = true;
|
||||
SetHoldings(_security.Symbol, 1);
|
||||
Debug("Purchased Stock");
|
||||
}
|
||||
else
|
||||
{
|
||||
Liquidate(_security.Symbol);
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnOrderEvent(OrderEvent orderEvent)
|
||||
{
|
||||
Debug(Time + " " + orderEvent);
|
||||
_orderFeesInAccountCurrency +=
|
||||
Portfolio.CashBook.ConvertToAccountCurrency(orderEvent.OrderFee.Value).Amount;
|
||||
}
|
||||
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
Log($"TotalPortfolioValue: {Portfolio.TotalPortfolioValue}");
|
||||
Log($"CashBook: {Portfolio.CashBook}");
|
||||
Log($"Holdings.TotalCloseProfit: {_security.Holdings.TotalCloseProfit()}");
|
||||
// Fees will be applied to the corresponding Cash currency. 1 ETH * 2 trades
|
||||
if (Portfolio.CashBook["ETH"].Amount != -2)
|
||||
{
|
||||
throw new RegressionTestException("Unexpected ETH cash amount: " +
|
||||
$"{Portfolio.CashBook["ETH"].Amount}");
|
||||
}
|
||||
if (Portfolio.CashBook["USD"].Amount != 0)
|
||||
{
|
||||
throw new RegressionTestException("Unexpected USD cash amount: " +
|
||||
$"{Portfolio.CashBook["USD"].Amount}");
|
||||
}
|
||||
if (Portfolio.CashBook["BTC"].Amount != 0)
|
||||
{
|
||||
throw new RegressionTestException("Unexpected BTC cash amount: " +
|
||||
$"{Portfolio.CashBook["BTC"].Amount}");
|
||||
}
|
||||
if (Portfolio.CashBook.ContainsKey(Currencies.NullCurrency))
|
||||
{
|
||||
throw new RegressionTestException("Unexpected NullCurrency cash");
|
||||
}
|
||||
|
||||
var closedTrade = TradeBuilder.ClosedTrades[0];
|
||||
var profitInQuoteCurrency = (closedTrade.ExitPrice - closedTrade.EntryPrice)
|
||||
* closedTrade.Quantity;
|
||||
if (Portfolio.CashBook["EUR"].Amount != _initialEurCash + profitInQuoteCurrency)
|
||||
{
|
||||
throw new RegressionTestException("Unexpected EUR cash amount: " +
|
||||
$"{Portfolio.CashBook["EUR"].Amount}");
|
||||
}
|
||||
if (closedTrade.TotalFees != _orderFeesInAccountCurrency)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected closed trades total fees {closedTrade.TotalFees}");
|
||||
}
|
||||
if (_security.Holdings.TotalFees != _orderFeesInAccountCurrency)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected closed trades total fees {closedTrade.TotalFees}");
|
||||
}
|
||||
}
|
||||
|
||||
internal class NonAccountCurrencyCustomFeeModel : FeeModel
|
||||
{
|
||||
public override OrderFee GetOrderFee(OrderFeeParameters parameters)
|
||||
{
|
||||
return new OrderFee(new CashAmount(1m, "ETH"));
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
||||
/// </summary>
|
||||
public bool CanRunLocally { get; } = true;
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
||||
/// </summary>
|
||||
public List<Language> Languages { get; } = new() { Language.CSharp };
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of all timeslices of algorithm
|
||||
/// </summary>
|
||||
public long DataPoints => 7201;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public int AlgorithmHistoryDataPoints => 10;
|
||||
|
||||
/// <summary>
|
||||
/// Final status of the algorithm
|
||||
/// </summary>
|
||||
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
||||
/// </summary>
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Orders", "2"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "0%"},
|
||||
{"Drawdown", "0%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Start Equity", "12300.00"},
|
||||
{"End Equity", "11511.60"},
|
||||
{"Net Profit", "0%"},
|
||||
{"Sharpe Ratio", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Probabilistic Sharpe Ratio", "0%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "0"},
|
||||
{"Tracking Error", "0"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$804.33"},
|
||||
{"Estimated Strategy Capacity", "$11000.00"},
|
||||
{"Lowest Capacity Asset", "BTCEUR 2XR"},
|
||||
{"Portfolio Turnover", "205.71%"},
|
||||
{"Drawdown Recovery", "0"},
|
||||
{"OrderListHash", "ebb9bbcf4364d5dd5765f878525462d2"}
|
||||
};
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user