wehub-resource-sync
127 lines
6.1 KiB
Python
127 lines
6.1 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Hourly regression algorithm trading ADAUSDT binance futures long and short asserting the behavior
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### </summary>
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class BasicTemplateCryptoFutureHourlyAlgorithm(QCAlgorithm):
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# <summary>
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# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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# </summary>
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def initialize(self):
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self.set_start_date(2022, 12, 13)
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self.set_end_date(2022, 12, 13)
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self.set_time_zone(TimeZones.UTC)
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try:
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self.set_brokerage_model(BrokerageName.BINANCE_COIN_FUTURES, AccountType.CASH)
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except:
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# expected, we don't allow cash account type
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pass
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self.set_brokerage_model(BrokerageName.BINANCE_COIN_FUTURES, AccountType.MARGIN)
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self.ada_usdt = self.add_crypto_future("ADAUSDT", Resolution.HOUR)
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self.fast = self.ema(self.ada_usdt.symbol, 3, Resolution.HOUR)
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self.slow = self.ema(self.ada_usdt.symbol, 6, Resolution.HOUR)
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self.interest_per_symbol = {self.ada_usdt.symbol: 0}
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# Default USD cash, set 1M but it wont be used
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self.set_cash(1000000)
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# the amount of USDT we need to hold to trade 'ADAUSDT'
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self.ada_usdt.quote_currency.set_amount(200)
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# <summary>
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# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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# </summary>
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# <param name="data">Slice object keyed by symbol containing the stock data</param>
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def on_data(self, slice):
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interest_rates = slice.get(MarginInterestRate);
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for interest_rate in interest_rates:
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self.interest_per_symbol[interest_rate.key] += 1
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self.cached_interest_rate = self.securities[interest_rate.key].cache.get_data(MarginInterestRate)
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if self.cached_interest_rate != interest_rate.value:
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raise AssertionError(f"Unexpected cached margin interest rate for {interest_rate.key}!")
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if self.fast > self.slow:
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if self.portfolio.invested == False and self.transactions.orders_count == 0:
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self.ticket = self.buy(self.ada_usdt.symbol, 100000)
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if self.ticket.status != OrderStatus.INVALID:
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raise AssertionError(f"Unexpected valid order {self.ticket}, should fail due to margin not sufficient")
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self.buy(self.ada_usdt.symbol, 1000)
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self.margin_used = self.portfolio.total_margin_used
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self.ada_usdt_holdings = self.ada_usdt.holdings
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# USDT/BUSD futures value is based on it's price
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self.holdings_value_usdt = self.ada_usdt.price * self.ada_usdt.symbol_properties.contract_multiplier * 1000
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if abs(self.ada_usdt_holdings.total_sale_volume - self.holdings_value_usdt) > 1:
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raise AssertionError(f"Unexpected TotalSaleVolume {self.ada_usdt_holdings.total_sale_volume}")
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if abs(self.ada_usdt_holdings.absolute_holdings_cost - self.holdings_value_usdt) > 1:
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raise AssertionError(f"Unexpected holdings cost {self.ada_usdt_holdings.holdings_cost}")
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if BuyingPowerModelExtensions.get_maintenance_margin(self.ada_usdt.buying_power_model, self.ada_usdt) != self.margin_used:
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raise AssertionError(f"Unexpected margin used {self.margin_used}")
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# position just opened should be just spread here
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self.profit = self.portfolio.total_unrealized_profit
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if (5 - abs(self.profit)) < 0:
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raise AssertionError(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}")
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if (self.portfolio.total_profit != 0):
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raise AssertionError(f"Unexpected TotalProfit {self.portfolio.total_profit}")
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else:
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# let's revert our position and double
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if self.time.hour > 10 and self.transactions.orders_count == 2:
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self.sell(self.ada_usdt.symbol, 3000)
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self.ada_usdt_holdings = self.ada_usdt.holdings
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# USDT/BUSD futures value is based on it's price
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self.holdings_value_usdt = self.ada_usdt.price * self.ada_usdt.symbol_properties.contract_multiplier * 2000
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if abs(self.ada_usdt_holdings.absolute_holdings_cost - self.holdings_value_usdt) > 1:
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raise AssertionError(f"Unexpected holdings cost {self.ada_usdt_holdings.holdings_cost}")
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# position just opened should be just spread here
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self.profit = self.portfolio.total_unrealized_profit
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if (5 - abs(self.profit)) < 0:
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raise AssertionError(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}")
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# we barely did any difference on the previous trade
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if (5 - abs(self.portfolio.total_profit)) < 0:
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raise AssertionError(f"Unexpected TotalProfit {self.portfolio.total_profit}")
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if self.time.hour >= 22 and self.transactions.orders_count == 3:
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self.liquidate()
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def on_end_of_algorithm(self):
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if self.interest_per_symbol[self.ada_usdt.symbol] != 1:
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raise AssertionError(f"Unexpected interest rate count {self.interest_per_symbol[self.ada_usdt.symbol]}")
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def on_order_event(self, order_event):
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self.debug("{0} {1}".format(self.time, order_event))
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