wehub-resource-sync
63 lines
2.9 KiB
Python
63 lines
2.9 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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### Regression algorithm which tests that a two leg currency conversion happens correctly
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### </summary>
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class TwoLegCurrencyConversionRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2018, 4, 4)
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self.set_end_date(2018, 4, 4)
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self.set_brokerage_model(BrokerageName.GDAX, AccountType.CASH)
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# GDAX doesn't have LTCETH or ETHLTC, but they do have ETHUSD and LTCUSD to form a path between ETH and LTC
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self.set_account_currency("ETH")
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self.set_cash("ETH", 100000)
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self.set_cash("LTC", 100000)
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self.set_cash("USD", 100000)
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self._eth_usd_symbol = self.add_crypto("ETHUSD", Resolution.MINUTE).symbol
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self._ltc_usd_symbol = self.add_crypto("LTCUSD", Resolution.MINUTE).symbol
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def on_data(self, data):
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if not self.portfolio.invested:
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self.market_order(self._ltc_usd_symbol, 1)
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def on_end_of_algorithm(self):
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ltc_cash = self.portfolio.cash_book["LTC"]
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conversion_symbols = [x.symbol for x in ltc_cash.currency_conversion.conversion_rate_securities]
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if len(conversion_symbols) != 2:
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raise ValueError(
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f"Expected two conversion rate securities for LTC to ETH, is {len(conversion_symbols)}")
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if conversion_symbols[0] != self._ltc_usd_symbol:
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raise ValueError(
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f"Expected first conversion rate security from LTC to ETH to be {self._ltc_usd_symbol}, is {conversion_symbols[0]}")
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if conversion_symbols[1] != self._eth_usd_symbol:
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raise ValueError(
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f"Expected second conversion rate security from LTC to ETH to be {self._eth_usd_symbol}, is {conversion_symbols[1]}")
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ltc_usd_value = self.securities[self._ltc_usd_symbol].get_last_data().value
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eth_usd_value = self.securities[self._eth_usd_symbol].get_last_data().value
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expected_conversion_rate = ltc_usd_value / eth_usd_value
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actual_conversion_rate = ltc_cash.conversion_rate
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if actual_conversion_rate != expected_conversion_rate:
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raise ValueError(
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f"Expected conversion rate from LTC to ETH to be {expected_conversion_rate}, is {actual_conversion_rate}")
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