Martin Molinero
1b0bdd9b0b
- Adding new `SetAccountCurrency()` for backtesting. Has to be called before adding any `Security` or calling `SetCash()`, else will throw. - Adding new Non account currency unit tests for `CashBuyingPower`, `SecurityPortfolioModel`, `SecurityMarginModel`, `SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels` - Adding new C# regression test using `SetAccountCurrency()`, one for `CashBuyingPowerModel` and one for `SecurityMarginModel` - Adding new Py and C# basic regression algorithms using `SetAccountCurrency()` - `Options` and `Futures` will use not use `AccountCurrency` as quote Cash. - `SecurityBenchmark` value will be in account currency
45 lines
1.8 KiB
Python
45 lines
1.8 KiB
Python
# 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
|
|
### <summary>
|
|
### Basic algorithm using SetAccountCurrency
|
|
### </summary>
|
|
class BasicSetAccountCurrencyAlgorithm(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(2018, 4, 4) #Set Start Date
|
|
self.SetEndDate(2018, 4, 4) #Set End Date
|
|
# Before setting any cash or adding a Security call SetAccountCurrency
|
|
self.SetAccountCurrency("EUR");
|
|
self.SetCash(100000) #Set Strategy Cash
|
|
|
|
self._btcEur = self.AddCrypto("BTCEUR").Symbol
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
|
|
Arguments:
|
|
data: Slice object keyed by symbol containing the stock data
|
|
'''
|
|
if not self.Portfolio.Invested:
|
|
self.SetHoldings(self._btcEur, 1) |