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pep8 conversion of python algos #1-25 (#7926)

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* pep8 conversion of python algos

* address peer-review

* PEP8 updates/fixes

* More fixes

---------

Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-18 05:02:32 +08:00
committed by GitHub
parent 784e497691
commit ed7f3ebbbf
35 changed files with 735 additions and 727 deletions
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Algorithm.Python/BasicTemplateCryptoAlgorithm.py
+60 -60
View File
@@ -21,46 +21,46 @@ from AlgorithmImports import *
### <meta name="tag" content="trading and orders" />
class BasicTemplateCryptoAlgorithm(QCAlgorithm):
def Initialize(self):
def initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2018, 4, 4) #Set Start Date
self.SetEndDate(2018, 4, 4) #Set End Date
self.set_start_date(2018, 4, 4) #Set Start Date
self.set_end_date(2018, 4, 4) #Set End Date
# Although typically real brokerages as GDAX only support a single account currency,
# here we add both USD and EUR to demonstrate how to handle non-USD account currencies.
# Set Strategy Cash (USD)
self.SetCash(10000)
self.set_cash(10000)
# Set Strategy Cash (EUR)
# EUR/USD conversion rate will be updated dynamically
self.SetCash("EUR", 10000)
self.set_cash("EUR", 10000)
# Add some coins as initial holdings
# When connected to a real brokerage, the amount specified in SetCash
# will be replaced with the amount in your actual account.
self.SetCash("BTC", 1)
self.SetCash("ETH", 5)
self.set_cash("BTC", 1)
self.set_cash("ETH", 5)
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
self.set_brokerage_model(BrokerageName.GDAX, AccountType.CASH)
# You can uncomment the following lines when live trading with GDAX,
# to ensure limit orders will only be posted to the order book and never executed as a taker (incurring fees).
# Please note this statement has no effect in backtesting or paper trading.
# self.DefaultOrderProperties = GDAXOrderProperties()
# self.DefaultOrderProperties.PostOnly = True
# self.default_order_properties = GDAXOrderProperties()
# self.default_order_properties.post_only = True
# Find more symbols here: http://quantconnect.com/data
self.AddCrypto("BTCUSD", Resolution.Minute)
self.AddCrypto("ETHUSD", Resolution.Minute)
self.AddCrypto("BTCEUR", Resolution.Minute)
symbol = self.AddCrypto("LTCUSD", Resolution.Minute).Symbol
self.add_crypto("BTCUSD", Resolution.MINUTE)
self.add_crypto("ETHUSD", Resolution.MINUTE)
self.add_crypto("BTCEUR", Resolution.MINUTE)
symbol = self.add_crypto("LTCUSD", Resolution.MINUTE).symbol
# create two moving averages
self.fast = self.EMA(symbol, 30, Resolution.Minute)
self.slow = self.EMA(symbol, 60, Resolution.Minute)
self.fast = self.ema(symbol, 30, Resolution.MINUTE)
self.slow = self.ema(symbol, 60, Resolution.MINUTE)
def OnData(self, data):
def on_data(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
@@ -71,79 +71,79 @@ class BasicTemplateCryptoAlgorithm(QCAlgorithm):
# they shouldn't, but they do (for now) because of this issue:
# https://github.com/QuantConnect/Lean/issues/1852
if self.Time.hour == 1 and self.Time.minute == 0:
if self.time.hour == 1 and self.time.minute == 0:
# Sell all ETH holdings with a limit order at 1% above the current price
limitPrice = round(self.Securities["ETHUSD"].Price * 1.01, 2)
quantity = self.Portfolio.CashBook["ETH"].Amount
self.LimitOrder("ETHUSD", -quantity, limitPrice)
limit_price = round(self.securities["ETHUSD"].price * 1.01, 2)
quantity = self.portfolio.cash_book["ETH"].amount
self.limit_order("ETHUSD", -quantity, limit_price)
elif self.Time.hour == 2 and self.Time.minute == 0:
elif self.time.hour == 2 and self.time.minute == 0:
# Submit a buy limit order for BTC at 5% below the current price
usdTotal = self.Portfolio.CashBook["USD"].Amount
limitPrice = round(self.Securities["BTCUSD"].Price * 0.95, 2)
usd_total = self.portfolio.cash_book["USD"].amount
limit_price = round(self.securities["BTCUSD"].price * 0.95, 2)
# use only half of our total USD
quantity = usdTotal * 0.5 / limitPrice
self.LimitOrder("BTCUSD", quantity, limitPrice)
quantity = usd_total * 0.5 / limit_price
self.limit_order("BTCUSD", quantity, limit_price)
elif self.Time.hour == 2 and self.Time.minute == 1:
elif self.time.hour == 2 and self.time.minute == 1:
# Get current USD available, subtracting amount reserved for buy open orders
usdTotal = self.Portfolio.CashBook["USD"].Amount
usdReserved = sum(x.Quantity * x.LimitPrice for x
in [x for x in self.Transactions.GetOpenOrders()
if x.Direction == OrderDirection.Buy
and x.Type == OrderType.Limit
and (x.Symbol.Value == "BTCUSD" or x.Symbol.Value == "ETHUSD")])
usdAvailable = usdTotal - usdReserved
self.Debug("usdAvailable: {}".format(usdAvailable))
usd_total = self.portfolio.cash_book["USD"].amount
usd_reserved = sum(x.quantity * x.limit_price for x
in [x for x in self.transactions.get_open_orders()
if x.direction == OrderDirection.BUY
and x.type == OrderType.LIMIT
and (x.symbol.value == "BTCUSD" or x.symbol.value == "ETHUSD")])
usd_available = usd_total - usd_reserved
self.debug("usd_available: {}".format(usd_available))
# Submit a marketable buy limit order for ETH at 1% above the current price
limitPrice = round(self.Securities["ETHUSD"].Price * 1.01, 2)
limit_price = round(self.securities["ETHUSD"].price * 1.01, 2)
# use all of our available USD
quantity = usdAvailable / limitPrice
quantity = usd_available / limit_price
# this order will be rejected (for now) because of this issue:
# https://github.com/QuantConnect/Lean/issues/1852
self.LimitOrder("ETHUSD", quantity, limitPrice)
self.limit_order("ETHUSD", quantity, limit_price)
# use only half of our available USD
quantity = usdAvailable * 0.5 / limitPrice
self.LimitOrder("ETHUSD", quantity, limitPrice)
quantity = usd_available * 0.5 / limit_price
self.limit_order("ETHUSD", quantity, limit_price)
elif self.Time.hour == 11 and self.Time.minute == 0:
elif self.time.hour == 11 and self.time.minute == 0:
# Liquidate our BTC holdings (including the initial holding)
self.SetHoldings("BTCUSD", 0)
self.set_holdings("BTCUSD", 0)
elif self.Time.hour == 12 and self.Time.minute == 0:
elif self.time.hour == 12 and self.time.minute == 0:
# Submit a market buy order for 1 BTC using EUR
self.Buy("BTCEUR", 1)
self.buy("BTCEUR", 1)
# Submit a sell limit order at 10% above market price
limitPrice = round(self.Securities["BTCEUR"].Price * 1.1, 2)
self.LimitOrder("BTCEUR", -1, limitPrice)
limit_price = round(self.securities["BTCEUR"].price * 1.1, 2)
self.limit_order("BTCEUR", -1, limit_price)
elif self.Time.hour == 13 and self.Time.minute == 0:
elif self.time.hour == 13 and self.time.minute == 0:
# Cancel the limit order if not filled
self.Transactions.CancelOpenOrders("BTCEUR")
self.transactions.cancel_open_orders("BTCEUR")
elif self.Time.hour > 13:
elif self.time.hour > 13:
# To include any initial holdings, we read the LTC amount from the cashbook
# instead of using Portfolio["LTCUSD"].Quantity
# instead of using Portfolio["LTCUSD"].quantity
if self.fast > self.slow:
if self.Portfolio.CashBook["LTC"].Amount == 0:
self.Buy("LTCUSD", 10)
if self.portfolio.cash_book["LTC"].amount == 0:
self.buy("LTCUSD", 10)
else:
if self.Portfolio.CashBook["LTC"].Amount > 0:
if self.portfolio.cash_book["LTC"].amount > 0:
# The following two statements currently behave differently if we have initial holdings:
# https://github.com/QuantConnect/Lean/issues/1860
self.Liquidate("LTCUSD")
# self.SetHoldings("LTCUSD", 0)
self.liquidate("LTCUSD")
# self.set_holdings("LTCUSD", 0)
def OnOrderEvent(self, orderEvent):
self.Debug("{} {}".format(self.Time, orderEvent.ToString()))
def on_order_event(self, order_event):
self.debug("{} {}".format(self.time, order_event.to_string()))
def OnEndOfAlgorithm(self):
self.Log("{} - TotalPortfolioValue: {}".format(self.Time, self.Portfolio.TotalPortfolioValue))
self.Log("{} - CashBook: {}".format(self.Time, self.Portfolio.CashBook))
def on_end_of_algorithm(self):
self.log("{} - TotalPortfolioValue: {}".format(self.time, self.portfolio.total_portfolio_value))
self.log("{} - CashBook: {}".format(self.time, self.portfolio.cash_book))