wehub-resource-sync
139 lines
7.0 KiB
Python
139 lines
7.0 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 cmath import isclose
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from AlgorithmImports import *
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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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class BybitCryptoFuturesRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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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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self.set_start_date(2022, 12, 13)
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self.set_end_date(2022, 12, 13)
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# Set strategy cash (USD)
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self.set_cash(100000)
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self.set_brokerage_model(BrokerageName.BYBIT, AccountType.MARGIN)
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# Translate lines 44-59 to Python:
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self.add_crypto("BTCUSDT", Resolution.MINUTE)
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self.btc_usdt = self.add_crypto_future("BTCUSDT", Resolution.MINUTE)
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self.btc_usd = self.add_crypto_future("BTCUSD", Resolution.MINUTE)
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# create two moving averages
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self.fast = self.ema(self.btc_usdt.symbol, 30, Resolution.MINUTE)
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self.slow = self.ema(self.btc_usdt.symbol, 60, Resolution.MINUTE)
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self.interest_per_symbol = {}
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self.interest_per_symbol[self.btc_usd.symbol] = 0
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self.interest_per_symbol[self.btc_usdt.symbol] = 0
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# the amount of USDT we need to hold to trade 'BTCUSDT'
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self.btc_usdt.quote_currency.set_amount(200)
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# the amount of BTC we need to hold to trade 'BTCUSD'
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self.btc_usd.base_currency.set_amount(0.005)
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def on_data(self, data):
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interest_rates = data.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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cached_interest_rate = self.securities[interest_rate.key].cache.get_data(MarginInterestRate)
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if 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 not self.slow.is_ready:
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return
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if self.fast > self.slow:
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if not self.portfolio.invested and self.transactions.orders_count == 0:
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ticket = self.buy(self.btc_usd.symbol, 1000)
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if ticket.status != OrderStatus.INVALID:
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raise AssertionError(f"Unexpected valid order {ticket}, should fail due to margin not sufficient")
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self.buy(self.btc_usd.symbol, 100)
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margin_used = self.portfolio.total_margin_used
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btc_usd_holdings = self.btc_usd.holdings
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# Coin futures value is 100 USD
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holdings_value_btc_usd = 100
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if abs(btc_usd_holdings.total_sale_volume - holdings_value_btc_usd) > 1:
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raise AssertionError(f"Unexpected TotalSaleVolume {btc_usd_holdings.total_sale_volume}")
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if abs(btc_usd_holdings.absolute_holdings_cost - holdings_value_btc_usd) > 1:
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raise AssertionError(f"Unexpected holdings cost {btc_usd_holdings.holdings_cost}")
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if not isclose(self.btc_usd.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usd)).value, margin_used):
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raise AssertionError(f"Unexpected margin used {margin_used}")
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self.buy(self.btc_usdt.symbol, 0.01)
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margin_used = self.portfolio.total_margin_used - margin_used
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btc_usdt_holdings = self.btc_usdt.holdings
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# USDT futures value is based on it's price
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holdings_value_usdt = self.btc_usdt.price * self.btc_usdt.symbol_properties.contract_multiplier * 0.01
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if abs(btc_usdt_holdings.total_sale_volume - holdings_value_usdt) > 1:
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raise AssertionError(f"Unexpected TotalSaleVolume {btc_usdt_holdings.total_sale_volume}")
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if abs(btc_usdt_holdings.absolute_holdings_cost - holdings_value_usdt) > 1:
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raise AssertionError(f"Unexpected holdings cost {btc_usdt_holdings.holdings_cost}")
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if not isclose(self.btc_usdt.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usdt)).value, margin_used):
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raise AssertionError(f"Unexpected margin used {margin_used}")
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# position just opened should be just spread here
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unrealized_profit = self.portfolio.total_unrealized_profit
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if (5 - abs(unrealized_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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# let's revert our position
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elif self.transactions.orders_count == 3:
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self.sell(self.btc_usd.symbol, 300)
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btc_usd_holdings = self.btc_usd.holdings
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if abs(btc_usd_holdings.absolute_holdings_cost - 100 * 2) > 1:
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raise AssertionError(f"Unexpected holdings cost {btc_usd_holdings.holdings_cost}")
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self.sell(self.btc_usdt.symbol, 0.03)
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# USDT futures value is based on it's price
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holdings_value_usdt = self.btc_usdt.price * self.btc_usdt.symbol_properties.contract_multiplier * 0.02
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if abs(self.btc_usdt.holdings.absolute_holdings_cost - holdings_value_usdt) > 1:
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raise AssertionError(f"Unexpected holdings cost {self.btc_usdt.holdings.holdings_cost}")
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# position just opened should be just spread here
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profit = self.portfolio.total_unrealized_profit
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if (5 - abs(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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def on_order_event(self, order_event):
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self.debug("{} {}".format(self.time, order_event.to_string()))
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def on_end_of_algorithm(self):
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self.log(f"{self.time} - TotalPortfolioValue: {self.portfolio.total_portfolio_value}")
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self.log(f"{self.time} - CashBook: {self.portfolio.cash_book}")
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if any(x == 0 for x in self.interest_per_symbol.values()):
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raise AssertionError("Expected interest rate data for all symbols")
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