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BasicTemplateCryptoFutureHourlyAlgorithm.py
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
### <summary>
### Hourly regression algorithm trading ADAUSDT binance futures long and short asserting the behavior
### </summary>
class BasicTemplateCryptoFutureHourlyAlgorithm(QCAlgorithm):
# <summary>
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
# </summary>
def initialize(self):
self.set_start_date(2022, 12, 13)
self.set_end_date(2022, 12, 13)
self.set_time_zone(TimeZones.UTC)
try:
self.set_brokerage_model(BrokerageName.BINANCE_COIN_FUTURES, AccountType.CASH)
except:
# expected, we don't allow cash account type
pass
self.set_brokerage_model(BrokerageName.BINANCE_COIN_FUTURES, AccountType.MARGIN)
self.ada_usdt = self.add_crypto_future("ADAUSDT", Resolution.HOUR)
self.fast = self.ema(self.ada_usdt.symbol, 3, Resolution.HOUR)
self.slow = self.ema(self.ada_usdt.symbol, 6, Resolution.HOUR)
self.interest_per_symbol = {self.ada_usdt.symbol: 0}
# Default USD cash, set 1M but it wont be used
self.set_cash(1000000)
# the amount of USDT we need to hold to trade 'ADAUSDT'
self.ada_usdt.quote_currency.set_amount(200)
# <summary>
# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
# </summary>
# <param name="data">Slice object keyed by symbol containing the stock data</param>
def on_data(self, slice):
interest_rates = slice.get(MarginInterestRate);
for interest_rate in interest_rates:
self.interest_per_symbol[interest_rate.key] += 1
self.cached_interest_rate = self.securities[interest_rate.key].cache.get_data[MarginInterestRate]()
if self.cached_interest_rate != interest_rate.value:
raise Exception(f"Unexpected cached margin interest rate for {interest_rate.key}!")
if self.fast > self.slow:
if self.portfolio.invested == False and self.transactions.orders_count == 0:
self.ticket = self.buy(self.ada_usdt.symbol, 100000)
if self.ticket.status != OrderStatus.INVALID:
raise Exception(f"Unexpected valid order {self.ticket}, should fail due to margin not sufficient")
self.buy(self.ada_usdt.symbol, 1000)
self.margin_used = self.portfolio.total_margin_used
self.ada_usdt_holdings = self.ada_usdt.holdings
# USDT/BUSD futures value is based on it's price
self.holdings_value_usdt = self.ada_usdt.price * self.ada_usdt.symbol_properties.contract_multiplier * 1000
if abs(self.ada_usdt_holdings.total_sale_volume - self.holdings_value_usdt) > 1:
raise Exception(f"Unexpected TotalSaleVolume {self.ada_usdt_holdings.total_sale_volume}")
if abs(self.ada_usdt_holdings.absolute_holdings_cost - self.holdings_value_usdt) > 1:
raise Exception(f"Unexpected holdings cost {self.ada_usdt_holdings.holdings_cost}")
if (abs(self.ada_usdt_holdings.absolute_holdings_cost * 0.05 - self.margin_used) > 1) or (BuyingPowerModelExtensions.get_maintenance_margin(self.ada_usdt.buying_power_model, self.ada_usdt) != self.margin_used):
raise Exception(f"Unexpected margin used {self.margin_used}")
# position just opened should be just spread here
self.profit = self.portfolio.total_unrealized_profit
if (5 - abs(self.profit)) < 0:
raise Exception(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}")
if (self.portfolio.total_profit != 0):
raise Exception(f"Unexpected TotalProfit {self.portfolio.total_profit}")
else:
# let's revert our position and double
if self.time.hour > 10 and self.transactions.orders_count == 2:
self.sell(self.ada_usdt.symbol, 3000)
self.ada_usdt_holdings = self.ada_usdt.holdings
# USDT/BUSD futures value is based on it's price
self.holdings_value_usdt = self.ada_usdt.price * self.ada_usdt.symbol_properties.contract_multiplier * 2000
if abs(self.ada_usdt_holdings.absolute_holdings_cost - self.holdings_value_usdt) > 1:
raise Exception(f"Unexpected holdings cost {self.ada_usdt_holdings.holdings_cost}")
# position just opened should be just spread here
self.profit = self.portfolio.total_unrealized_profit
if (5 - abs(self.profit)) < 0:
raise Exception(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}")
# we barely did any difference on the previous trade
if (5 - abs(self.portfolio.total_profit)) < 0:
raise Exception(f"Unexpected TotalProfit {self.portfolio.total_profit}")
if self.time.hour >= 22 and self.transactions.orders_count == 3:
self.liquidate()
def on_end_of_algorithm(self):
if self.interest_per_symbol[self.ada_usdt.symbol] != 1:
raise Exception(f"Unexpected interest rate count {self.interest_per_symbol[self.ada_usdt.symbol]}")
def on_order_event(self, order_event):
self.debug("{0} {1}".format(self.time, order_event))