wehub-resource-sync
269 lines
11 KiB
C#
269 lines
11 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 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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using QuantConnect.Securities.CryptoFuture;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm demonstrating and ensuring that Bybit crypto futures brokerage model works as expected
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/// </summary>
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public class BybitCryptoFuturesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private CryptoFuture _btcUsdt;
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private CryptoFuture _btcUsd;
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private ExponentialMovingAverage _fast;
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private ExponentialMovingAverage _slow;
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private Dictionary<Symbol, int> _interestPerSymbol = new();
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public override void Initialize()
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{
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SetStartDate(2022, 12, 13);
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SetEndDate(2022, 12, 13);
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// Set strategy cash (USD)
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SetCash(100000);
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SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin);
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AddCrypto("BTCUSDT", Resolution.Minute);
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_btcUsdt = AddCryptoFuture("BTCUSDT", Resolution.Minute);
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_btcUsd = AddCryptoFuture("BTCUSD", Resolution.Minute);
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// create two moving averages
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_fast = EMA(_btcUsdt.Symbol, 30, Resolution.Minute);
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_slow = EMA(_btcUsdt.Symbol, 60, Resolution.Minute);
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_interestPerSymbol[_btcUsdt.Symbol] = 0;
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_interestPerSymbol[_btcUsd.Symbol] = 0;
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// the amount of USDT we need to hold to trade 'BTCUSDT'
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_btcUsdt.QuoteCurrency.SetAmount(200);
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// the amount of BTC we need to hold to trade 'BTCUSD'
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_btcUsd.BaseCurrency.SetAmount(0.005m);
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}
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public override void OnData(Slice slice)
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{
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var interestRates = slice.Get<MarginInterestRate>();
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foreach (var interestRate in interestRates)
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{
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_interestPerSymbol[interestRate.Key]++;
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var cachedInterestRate = Securities[interestRate.Key].Cache.GetData<MarginInterestRate>();
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if (cachedInterestRate != interestRate.Value)
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{
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throw new RegressionTestException($"Unexpected cached margin interest rate for {interestRate.Key}!");
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}
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}
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if (!_slow.IsReady)
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{
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return;
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}
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if (_fast > _slow)
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{
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if (!Portfolio.Invested && Transactions.OrdersCount == 0)
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{
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var ticket = Buy(_btcUsd.Symbol, 1000);
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if (ticket.Status != OrderStatus.Invalid)
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{
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throw new RegressionTestException($"Unexpected valid order {ticket}, should fail due to margin not sufficient");
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}
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Buy(_btcUsd.Symbol, 100);
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var marginUsed = Portfolio.TotalMarginUsed;
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var btcUsdHoldings = _btcUsd.Holdings;
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// Coin futures value is 100 USD
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var holdingsValueBtcUsd = 100;
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if (Math.Abs(btcUsdHoldings.TotalSaleVolume - holdingsValueBtcUsd) > 1)
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{
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throw new RegressionTestException($"Unexpected TotalSaleVolume {btcUsdHoldings.TotalSaleVolume}");
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}
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if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost - holdingsValueBtcUsd) > 1)
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{
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throw new RegressionTestException($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
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}
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if (_btcUsd.BuyingPowerModel.GetMaintenanceMargin(_btcUsd) != marginUsed)
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{
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throw new RegressionTestException($"Unexpected margin used {marginUsed}");
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}
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Buy(_btcUsdt.Symbol, 0.01);
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marginUsed = Portfolio.TotalMarginUsed - marginUsed;
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var btcUsdtHoldings = _btcUsdt.Holdings;
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// USDT futures value is based on it's price
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var holdingsValueUsdt = _btcUsdt.Price * _btcUsdt.SymbolProperties.ContractMultiplier * 0.01m;
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if (Math.Abs(btcUsdtHoldings.TotalSaleVolume - holdingsValueUsdt) > 1)
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{
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throw new RegressionTestException($"Unexpected TotalSaleVolume {btcUsdtHoldings.TotalSaleVolume}");
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}
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if (Math.Abs(btcUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
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{
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throw new RegressionTestException($"Unexpected holdings cost {btcUsdtHoldings.HoldingsCost}");
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}
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if (_btcUsdt.BuyingPowerModel.GetMaintenanceMargin(_btcUsdt) != marginUsed)
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{
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throw new RegressionTestException($"Unexpected margin used {marginUsed}");
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}
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// position just opened should be just spread here
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var unrealizedProfit = Portfolio.TotalUnrealizedProfit;
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if ((5 - Math.Abs(unrealizedProfit)) < 0)
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{
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throw new RegressionTestException($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
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}
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if (Portfolio.TotalProfit != 0)
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{
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throw new RegressionTestException($"Unexpected TotalProfit {Portfolio.TotalProfit}");
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}
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}
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}
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// let's revert our position
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else if (Transactions.OrdersCount == 3)
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{
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Sell(_btcUsd.Symbol, 300);
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var btcUsdHoldings = _btcUsd.Holdings;
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if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost - 100 * 2) > 1)
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{
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throw new RegressionTestException($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
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}
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Sell(_btcUsdt.Symbol, 0.03);
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var btcUsdtHoldings = _btcUsdt.Holdings;
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// USDT futures value is based on it's price
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var holdingsValueUsdt = _btcUsdt.Price * _btcUsdt.SymbolProperties.ContractMultiplier * 0.02m;
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if (Math.Abs(btcUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
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{
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throw new RegressionTestException($"Unexpected holdings cost {btcUsdtHoldings.HoldingsCost}");
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}
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// position just opened should be just spread here
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var profit = Portfolio.TotalUnrealizedProfit;
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if ((5 - Math.Abs(profit)) < 0)
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{
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throw new RegressionTestException($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
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}
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// we barely did any difference on the previous trade
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if ((5 - Math.Abs(Portfolio.TotalProfit)) < 0)
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{
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throw new RegressionTestException($"Unexpected TotalProfit {Portfolio.TotalProfit}");
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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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if (_interestPerSymbol.Any(kvp => kvp.Value == 0))
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{
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throw new RegressionTestException("Expected interest rate data for all symbols");
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}
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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 => 8625;
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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 => 10;
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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", "5"},
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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", "100285.85"},
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{"End Equity", "100285.26"},
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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", "$0.60"},
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{"Estimated Strategy Capacity", "$100000000.00"},
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{"Lowest Capacity Asset", "BTCUSDT 2V3"},
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{"Portfolio Turnover", "1.08%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "0157a5c7c2c8a8c13e984b72721aa0ca"}
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};
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}
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}
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