chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+# 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.
+
+from datetime import time
+import os
+from AlgorithmImports import *
+
+### <summary>
+### Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected with custom data types
+### </summary>
+class BybitCustomDataCryptoRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self) -> None:
+        self.set_start_date(2022, 12, 13)
+        self.set_end_date(2022, 12, 13)
+
+        self.set_account_currency("USDT")
+        self.set_cash(100000)
+
+        self.set_brokerage_model(BrokerageName.BYBIT, AccountType.CASH)
+
+        symbol = self.add_crypto("BTCUSDT").symbol
+        self._btc_usdt = self.add_data(CustomCryptoData, symbol, Resolution.MINUTE).symbol
+
+        # create two moving averages
+        self._fast = self.ema(self._btc_usdt, 30, Resolution.MINUTE)
+        self._slow = self.ema(self._btc_usdt, 60, Resolution.MINUTE)
+
+    def on_data(self, data: Slice) -> None:
+        if not self._slow.is_ready:
+            return
+
+        if self._fast.current.value > self._slow.current.value:
+            if self.transactions.orders_count == 0:
+                self.buy(self._btc_usdt, 1)
+        else:
+            if self.transactions.orders_count == 1:
+                self.liquidate(self._btc_usdt)
+
+    def on_order_event(self, order_event: OrderEvent) -> None:
+        self.debug(f"{self.time} {order_event}")
+
+class CustomCryptoData(PythonData):
+    def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
+        tick_type_string = Extensions.tick_type_to_lower(config.tick_type)
+        formatted_date = date.strftime("%Y%m%d")
+        source = os.path.join(Globals.data_folder, "crypto", "bybit", "minute",
+                              config.symbol.value.lower(), f"{formatted_date}_{tick_type_string}.zip")
+
+        return SubscriptionDataSource(source, SubscriptionTransportMedium.LOCAL_FILE, FileFormat.CSV)
+
+    def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> BaseData:
+        csv = line.split(',')
+
+        data = CustomCryptoData()
+        data.symbol = config.symbol
+
+        data_datetime = datetime.combine(date.date(), time()) + timedelta(milliseconds=int(csv[0]))
+        data.time = Extensions.convert_to(data_datetime, config.data_time_zone, config.exchange_time_zone)
+        data.end_time = data.time + timedelta(minutes=1)
+
+        data["Open"] = float(csv[1])
+        data["High"] = float(csv[2])
+        data["Low"] = float(csv[3])
+        data["Close"] = float(csv[4])
+        data["Volume"] = float(csv[5])
+        data.value = float(csv[4])
+
+        return data