# 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 cmath import isclose from AlgorithmImports import * ###

### Algorithm demonstrating and ensuring that Bybit crypto futures brokerage model works as expected ###

class BybitCryptoFuturesRegressionAlgorithm(QCAlgorithm): 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(2022, 12, 13) self.SetEndDate(2022, 12, 13) # Set strategy cash (USD) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin) # Translate lines 44-59 to Python: self.AddCrypto("BTCUSDT", Resolution.Minute) self.btcUsdt = self.AddCryptoFuture("BTCUSDT", Resolution.Minute) self.btcUsd = self.AddCryptoFuture("BTCUSD", Resolution.Minute) # create two moving averages self.fast = self.EMA(self.btcUsdt.Symbol, 30, Resolution.Minute) self.slow = self.EMA(self.btcUsdt.Symbol, 60, Resolution.Minute) self.interestPerSymbol = {} self.interestPerSymbol[self.btcUsd.Symbol] = 0 self.interestPerSymbol[self.btcUsdt.Symbol] = 0 # the amount of USDT we need to hold to trade 'BTCUSDT' self.btcUsdt.QuoteCurrency.SetAmount(200) # the amount of BTC we need to hold to trade 'BTCUSD' self.btcUsd.BaseCurrency.SetAmount(0.005) def OnData(self, data): interestRates = data.Get[MarginInterestRate]() for interestRate in interestRates: self.interestPerSymbol[interestRate.Key] += 1 cachedInterestRate = self.Securities[interestRate.Key].Cache.GetData[MarginInterestRate]() if cachedInterestRate != interestRate.Value: raise Exception(f"Unexpected cached margin interest rate for {interestRate.Key}!") if not self.slow.IsReady: return if self.fast > self.slow: if not self.Portfolio.Invested and self.Transactions.OrdersCount == 0: ticket = self.Buy(self.btcUsd.Symbol, 1000) if ticket.Status != OrderStatus.Invalid: raise Exception(f"Unexpected valid order {ticket}, should fail due to margin not sufficient") self.Buy(self.btcUsd.Symbol, 100) marginUsed = self.Portfolio.TotalMarginUsed btcUsdHoldings = self.btcUsd.Holdings # Coin futures value is 100 USD holdingsValueBtcUsd = 100 if abs(btcUsdHoldings.TotalSaleVolume - holdingsValueBtcUsd) > 1: raise Exception(f"Unexpected TotalSaleVolume {btcUsdHoldings.TotalSaleVolume}") if abs(btcUsdHoldings.AbsoluteHoldingsCost - holdingsValueBtcUsd) > 1: raise Exception(f"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}") # margin used is based on the maintenance rate if (abs(btcUsdHoldings.AbsoluteHoldingsCost * 0.05 - marginUsed) > 1 or not isclose(self.btcUsd.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForCurrentHoldings(self.btcUsd)).Value, marginUsed)): raise Exception(f"Unexpected margin used {marginUsed}") self.Buy(self.btcUsdt.Symbol, 0.01) marginUsed = self.Portfolio.TotalMarginUsed - marginUsed btcUsdtHoldings = self.btcUsdt.Holdings # USDT futures value is based on it's price holdingsValueUsdt = self.btcUsdt.Price * self.btcUsdt.SymbolProperties.ContractMultiplier * 0.01 if abs(btcUsdtHoldings.TotalSaleVolume - holdingsValueUsdt) > 1: raise Exception(f"Unexpected TotalSaleVolume {btcUsdtHoldings.TotalSaleVolume}") if abs(btcUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1: raise Exception(f"Unexpected holdings cost {btcUsdtHoldings.HoldingsCost}") if (abs(btcUsdtHoldings.AbsoluteHoldingsCost * 0.05 - marginUsed) > 1 or not isclose(self.btcUsdt.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForCurrentHoldings(self.btcUsdt)).Value, marginUsed)): raise Exception(f"Unexpected margin used {marginUsed}") # position just opened should be just spread here unrealizedProfit = self.Portfolio.TotalUnrealizedProfit if (5 - abs(unrealizedProfit)) < 0: raise Exception(f"Unexpected TotalUnrealizedProfit {self.Portfolio.TotalUnrealizedProfit}") if self.Portfolio.TotalProfit != 0: raise Exception(f"Unexpected TotalProfit {self.Portfolio.TotalProfit}") # let's revert our position elif self.Transactions.OrdersCount == 3: self.Sell(self.btcUsd.Symbol, 300) btcUsdHoldings = self.btcUsd.Holdings if abs(btcUsdHoldings.AbsoluteHoldingsCost - 100 * 2) > 1: raise Exception(f"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}") self.Sell(self.btcUsdt.Symbol, 0.03) # USDT futures value is based on it's price holdingsValueUsdt = self.btcUsdt.Price * self.btcUsdt.SymbolProperties.ContractMultiplier * 0.02 if abs(self.btcUsdt.Holdings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1: raise Exception(f"Unexpected holdings cost {self.btcUsdt.Holdings.HoldingsCost}") # position just opened should be just spread here profit = self.Portfolio.TotalUnrealizedProfit if (5 - abs(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}") def OnOrderEvent(self, orderEvent): self.Debug("{} {}".format(self.Time, orderEvent.ToString())) def OnEndOfAlgorithm(self): self.Log(f"{self.Time} - TotalPortfolioValue: {self.Portfolio.TotalPortfolioValue}") self.Log(f"{self.Time} - CashBook: {self.Portfolio.CashBook}") if any(x == 0 for x in self.interestPerSymbol.values()): raise Exception("Expected interest rate data for all symbols")