wehub-resource-sync
126 lines
5.0 KiB
C#
126 lines
5.0 KiB
C#
/*
|
|
* 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.Linq;
|
|
using QuantConnect.Util;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Interfaces;
|
|
using QuantConnect.Brokerages;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Base crypto account regression algorithm trading in and out
|
|
/// </summary>
|
|
public abstract class CryptoBaseCurrencyFeeRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Symbol _symbol;
|
|
|
|
/// <summary>
|
|
/// The target account type
|
|
/// </summary>
|
|
protected abstract AccountType AccountType { get; }
|
|
|
|
/// <summary>
|
|
/// The target brokerage model name
|
|
/// </summary>
|
|
protected BrokerageName BrokerageName { get; set; }
|
|
|
|
/// <summary>
|
|
/// The pair to add and trade
|
|
/// </summary>
|
|
protected string Pair { get; set; }
|
|
|
|
/// <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()
|
|
{
|
|
SetBrokerageModel(BrokerageName, AccountType);
|
|
_symbol = AddCrypto(Pair, Resolution.Hour).Symbol;
|
|
}
|
|
|
|
/// <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)
|
|
{
|
|
CurrencyPairUtil.DecomposeCurrencyPair(_symbol, out var baseCurrency, out var quoteCurrency);
|
|
|
|
var initialQuoteCurrency = Portfolio.CashBook[quoteCurrency].Amount;
|
|
var ticket = Buy(_symbol, 0.1m);
|
|
var filledEvent = ticket.OrderEvents.Single(orderEvent => orderEvent.Status == OrderStatus.Filled);
|
|
|
|
if (Portfolio.CashBook[baseCurrency].Amount != ticket.QuantityFilled
|
|
|| filledEvent.FillQuantity != ticket.QuantityFilled
|
|
|| (0.1m - filledEvent.OrderFee.Value.Amount) != ticket.QuantityFilled)
|
|
{
|
|
throw new RegressionTestException($"Unexpected BaseCurrency portfolio status. Event {filledEvent}. CashBook: {Portfolio.CashBook}. ");
|
|
}
|
|
|
|
if (Portfolio.CashBook[quoteCurrency].Amount != (initialQuoteCurrency - 0.1m * filledEvent.FillPrice))
|
|
{
|
|
throw new RegressionTestException($"Unexpected QuoteCurrency portfolio status. Event {filledEvent}. CashBook: {Portfolio.CashBook}. ");
|
|
}
|
|
|
|
if (Securities[_symbol].Holdings.Quantity != (0.1m - filledEvent.OrderFee.Value.Amount))
|
|
{
|
|
throw new RegressionTestException($"Unexpected Holdings: {Securities[_symbol].Holdings}. Event {filledEvent}");
|
|
}
|
|
}
|
|
else
|
|
{
|
|
Liquidate();
|
|
}
|
|
}
|
|
|
|
/// <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 virtual long DataPoints => 0;
|
|
|
|
/// </summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public virtual int AlgorithmHistoryDataPoints => 0;
|
|
|
|
/// <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 abstract Dictionary<string, string> ExpectedStatistics { get; }
|
|
}
|
|
}
|