wehub-resource-sync
248 lines
10 KiB
C#
248 lines
10 KiB
C#
/*
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* 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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Brokerages;
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using QuantConnect.Indicators;
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using QuantConnect.Orders;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// The demonstration algorithm shows some of the most common order methods when working with Crypto assets.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="trading and orders" />
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public class BasicTemplateCryptoAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private ExponentialMovingAverage _fast;
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private ExponentialMovingAverage _slow;
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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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public override void Initialize()
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{
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SetStartDate(2018, 4, 4); // Set Start Date
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SetEndDate(2018, 4, 4); // Set End Date
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// Although typically real brokerages as GDAX only support a single account currency,
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// here we add both USD and EUR to demonstrate how to handle non-USD account currencies.
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// Set Strategy Cash (USD)
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SetCash(10000);
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// Set Strategy Cash (EUR)
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// EUR/USD conversion rate will be updated dynamically
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SetCash("EUR", 10000);
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// Add some coins as initial holdings
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// When connected to a real brokerage, the amount specified in SetCash
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// will be replaced with the amount in your actual account.
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SetCash("BTC", 1m);
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SetCash("ETH", 5m);
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SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
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// You can uncomment the following line when live trading with GDAX,
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// to ensure limit orders will only be posted to the order book and never executed as a taker (incurring fees).
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// Please note this statement has no effect in backtesting or paper trading.
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// DefaultOrderProperties = new GDAXOrderProperties { PostOnly = true };
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// Find more symbols here: http://quantconnect.com/data
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AddCrypto("BTCUSD");
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AddCrypto("ETHUSD");
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AddCrypto("BTCEUR");
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var symbol = AddCrypto("LTCUSD").Symbol;
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// create two moving averages
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_fast = EMA(symbol, 30, Resolution.Minute);
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_slow = EMA(symbol, 60, Resolution.Minute);
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}
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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="slice">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (Portfolio.CashBook["EUR"].ConversionRate == 0
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|| Portfolio.CashBook["BTC"].ConversionRate == 0
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|| Portfolio.CashBook["ETH"].ConversionRate == 0
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|| Portfolio.CashBook["LTC"].ConversionRate == 0)
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{
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Log($"EUR conversion rate: {Portfolio.CashBook["EUR"].ConversionRate}");
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Log($"BTC conversion rate: {Portfolio.CashBook["BTC"].ConversionRate}");
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Log($"LTC conversion rate: {Portfolio.CashBook["LTC"].ConversionRate}");
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Log($"ETH conversion rate: {Portfolio.CashBook["ETH"].ConversionRate}");
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throw new RegressionTestException("Conversion rate is 0");
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}
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if (Time.Hour == 1 && Time.Minute == 0)
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{
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// Sell all ETH holdings with a limit order at 1% above the current price
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var limitPrice = Math.Round(Securities["ETHUSD"].Price * 1.01m, 2);
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var quantity = Portfolio.CashBook["ETH"].Amount;
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LimitOrder("ETHUSD", -quantity, limitPrice);
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}
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else if (Time.Hour == 2 && Time.Minute == 0)
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{
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// Submit a buy limit order for BTC at 5% below the current price
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var usdTotal = Portfolio.CashBook["USD"].Amount;
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var limitPrice = Math.Round(Securities["BTCUSD"].Price * 0.95m, 2);
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// use only half of our total USD
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var quantity = usdTotal * 0.5m / limitPrice;
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LimitOrder("BTCUSD", quantity, limitPrice);
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}
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else if (Time.Hour == 2 && Time.Minute == 1)
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{
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// Get current USD available, subtracting amount reserved for buy open orders
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var usdTotal = Portfolio.CashBook["USD"].Amount;
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var usdReserved = Transactions.GetOpenOrders(x => x.Direction == OrderDirection.Buy && x.Type == OrderType.Limit)
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.Where(x => x.Symbol == "BTCUSD" || x.Symbol == "ETHUSD")
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.Sum(x => x.Quantity * ((LimitOrder) x).LimitPrice);
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var usdAvailable = usdTotal - usdReserved;
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// Submit a marketable buy limit order for ETH at 1% above the current price
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var limitPrice = Math.Round(Securities["ETHUSD"].Price * 1.01m, 2);
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// use all of our available USD
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var quantity = usdAvailable / limitPrice;
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// this order will be rejected for insufficient funds
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LimitOrder("ETHUSD", quantity, limitPrice);
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// use only half of our available USD
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quantity = usdAvailable * 0.5m / limitPrice;
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LimitOrder("ETHUSD", quantity, limitPrice);
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}
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else if (Time.Hour == 11 && Time.Minute == 0)
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{
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// Liquidate our BTC holdings (including the initial holding)
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SetHoldings("BTCUSD", 0m);
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}
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else if (Time.Hour == 12 && Time.Minute == 0)
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{
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// Submit a market buy order for 1 BTC using EUR
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Buy("BTCEUR", 1m);
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// Submit a sell limit order at 10% above market price
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var limitPrice = Math.Round(Securities["BTCEUR"].Price * 1.1m, 2);
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LimitOrder("BTCEUR", -1, limitPrice);
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}
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else if (Time.Hour == 13 && Time.Minute == 0)
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{
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// Cancel the limit order if not filled
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Transactions.CancelOpenOrders("BTCEUR");
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}
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else if (Time.Hour > 13)
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{
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// To include any initial holdings, we read the LTC amount from the cashbook
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// instead of using Portfolio["LTCUSD"].Quantity
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if (_fast > _slow)
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{
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if (Portfolio.CashBook["LTC"].Amount == 0)
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{
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Buy("LTCUSD", 10);
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}
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}
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else
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{
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if (Portfolio.CashBook["LTC"].Amount > 0)
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{
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Liquidate("LTCUSD");
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}
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug(Time + " " + orderEvent);
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}
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public override void OnEndOfAlgorithm()
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{
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Log($"{Time} - TotalPortfolioValue: {Portfolio.TotalPortfolioValue}");
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Log($"{Time} - CashBook: {Portfolio.CashBook}");
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 12965;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 35;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "12"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "31592.84"},
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{"End Equity", "30866.71"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$85.34"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "BTCEUR 2XR"},
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{"Portfolio Turnover", "118.08%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "26b9a07ace86b6a0e0eb2ff8c168cee0"}
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};
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}
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}
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