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PEP8 algorithms conversion (#7962)

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* PEP8 algorithms conversion

* PEP8 unit tests algorithms conversion

* Minor fixes
This commit is contained in:
Jhonathan Abreu
2024-04-22 12:59:50 -04:00
committed by GitHub
parent 8fa824b19e
commit 6bfe45dbcf
14 changed files with 208 additions and 269 deletions
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Algorithm.Python/BasicTemplateCryptoFutureHourlyAlgorithm.py
+65 -65
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@@ -21,106 +21,106 @@ class BasicTemplateCryptoFutureHourlyAlgorithm(QCAlgorithm):
# 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.SetStartDate(2022, 12, 13)
self.SetEndDate(2022, 12, 13)
def initialize(self):
self.set_start_date(2022, 12, 13)
self.set_end_date(2022, 12, 13)
self.SetTimeZone(TimeZones.Utc)
self.set_time_zone(TimeZones.UTC)
try:
self.SetBrokerageModel(BrokerageName.BinanceCoinFutures, AccountType.Cash)
self.set_brokerage_model(BrokerageName.BINANCE_COIN_FUTURES, AccountType.CASH)
except:
# expected, we don't allow cash account type
pass
self.SetBrokerageModel(BrokerageName.BinanceCoinFutures, AccountType.Margin)
self.set_brokerage_model(BrokerageName.BINANCE_COIN_FUTURES, AccountType.MARGIN)
self.adaUsdt = self.AddCryptoFuture("ADAUSDT", Resolution.Hour)
self.ada_usdt = self.add_crypto_future("ADAUSDT", Resolution.HOUR)
self.fast = self.EMA(self.adaUsdt.Symbol, 3, Resolution.Hour)
self.slow = self.EMA(self.adaUsdt.Symbol, 6, 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.interestPerSymbol = {self.adaUsdt.Symbol: 0}
self.interest_per_symbol = {self.ada_usdt.symbol: 0}
# Default USD cash, set 1M but it wont be used
self.SetCash(1000000)
self.set_cash(1000000)
# the amount of USDT we need to hold to trade 'ADAUSDT'
self.adaUsdt.QuoteCurrency.SetAmount(200)
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 OnData(self, slice):
interestRates = slice.Get(MarginInterestRate);
for interestRate in interestRates:
self.interestPerSymbol[interestRate.Key] += 1
self.cachedInterestRate = self.Securities[interestRate.Key].Cache.GetData[MarginInterestRate]()
if self.cachedInterestRate != interestRate.Value:
raise Exception(f"Unexpected cached margin interest rate for {interestRate.Key}!")
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.OrdersCount == 0:
self.ticket = self.Buy(self.adaUsdt.Symbol, 100000)
if self.ticket.Status != OrderStatus.Invalid:
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.adaUsdt.Symbol, 1000)
self.marginUsed = self.Portfolio.TotalMarginUsed
self.buy(self.ada_usdt.symbol, 1000)
self.adaUsdtHoldings = self.adaUsdt.Holdings
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.holdingsValueUsdt = self.adaUsdt.Price * self.adaUsdt.SymbolProperties.ContractMultiplier * 1000
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}")
if abs(self.adaUsdtHoldings.TotalSaleVolume - self.holdingsValueUsdt) > 1:
raise Exception(f"Unexpected TotalSaleVolume {self.adaUsdtHoldings.TotalSaleVolume}")
if abs(self.adaUsdtHoldings.AbsoluteHoldingsCost - self.holdingsValueUsdt) > 1:
raise Exception(f"Unexpected holdings cost {self.adaUsdtHoldings.HoldingsCost}")
if (abs(self.adaUsdtHoldings.AbsoluteHoldingsCost * 0.05 - self.marginUsed) > 1) or (BuyingPowerModelExtensions.GetMaintenanceMargin(self.adaUsdt.BuyingPowerModel, self.adaUsdt) != self.marginUsed):
raise Exception(f"Unexpected margin used {self.marginUsed}")
# position just opened should be just spread here
self.profit = self.Portfolio.TotalUnrealizedProfit
if (5 - abs(self.profit)) < 0:
raise Exception(f"Unexpected TotalUnrealizedProfit {self.Portfolio.TotalUnrealizedProfit}")
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}")
if (self.Portfolio.TotalProfit != 0):
raise Exception(f"Unexpected TotalProfit {self.Portfolio.TotalProfit}")
else:
# let's revert our position and double
if self.Time.hour > 10 and self.Transactions.OrdersCount == 2:
self.Sell(self.adaUsdt.Symbol, 3000)
if self.time.hour > 10 and self.transactions.orders_count == 2:
self.sell(self.ada_usdt.symbol, 3000)
self.adaUsdtHoldings = self.adaUsdt.Holdings
self.ada_usdt_holdings = self.ada_usdt.holdings
# USDT/BUSD futures value is based on it's price
self.holdingsValueUsdt = self.adaUsdt.Price * self.adaUsdt.SymbolProperties.ContractMultiplier * 2000
self.holdings_value_usdt = self.ada_usdt.price * self.ada_usdt.symbol_properties.contract_multiplier * 2000
if abs(self.adaUsdtHoldings.AbsoluteHoldingsCost - self.holdingsValueUsdt) > 1:
raise Exception(f"Unexpected holdings cost {self.adaUsdtHoldings.HoldingsCost}")
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.TotalUnrealizedProfit
self.profit = self.portfolio.total_unrealized_profit
if (5 - abs(self.profit)) < 0:
raise Exception(f"Unexpected TotalUnrealizedProfit {self.Portfolio.TotalUnrealizedProfit}")
# we barely did any difference on the previous trade
if (5 - abs(self.Portfolio.TotalProfit)) < 0:
raise Exception(f"Unexpected TotalProfit {self.Portfolio.TotalProfit}")
if self.Time.hour >= 22 and self.Transactions.OrdersCount == 3:
self.Liquidate()
def OnEndOfAlgorithm(self):
if self.interestPerSymbol[self.adaUsdt.Symbol] != 1:
raise Exception(f"Unexpected interest rate count {self.interestPerSymbol[self.adaUsdt.Symbol]}")
raise Exception(f"Unexpected TotalUnrealizedProfit {self.portfolio.total_unrealized_profit}")
def OnOrderEvent(self, orderEvent):
self.Debug("{0} {1}".format(self.Time, orderEvent))
# 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))