Louis Szeto
020cf013df
* CustomDataRegressionAlgorithm * DescendingCustomDataObjectStoreRegressionAlgorithm * CustomDataPropertiesRegressionAlgorithm * DateTime -> should be datetime * KerasNeuralNetworkAlgorithm * OptionIndicatorsMirrorContractsRegressionAlgorithm * BybitCustomDataCryptoRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * UserDefinedUniverseAlgorithm * CompleteOrderTagUpdateAlgorithm * BasicTemplateOptionEquityStrategyAlgorithm hint * ETFConstituentUniverseFrameworkRegressionAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * SecurityDynamicPropertyPythonClassAlgorithm * hint * hinting * CallbackCommandRegressionAlgorithm * CustomWarmUpPeriodIndicatorAlgorithm * CrunchDAOSignalExportDemonstrationAlgorithm * ExpiryHelperAlphaModelFrameworkAlgorithm * ClassicRenkoConsolidatorAlgorithm * SmaCrossUniverseSelectionAlgorithm * PEP8 Fix: Assigning to a Method * SliceGetByTypeRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * CustomIndicatorAlgorithm * ScheduledQueuingAlgorithm * ComboOrdersFillModelAlgorithm * CustomIndicatorWithExtensionAlgorithm * IndicatorWithRenkoBarsRegressionAlgorithm * CoarseFineOptionUniverseChainRegressionAlgorithm * NumeraiSignalExportDemonstrationAlgorithm * DropboxUniverseSelectionAlgorithm * WeeklyUniverseSelectionRegressionAlgorithm * AutoRegressiveIntegratedMovingAverageRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * IronCondorStrategyAlgorithm * LongAndShortButterflyPutStrategiesAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * LongAndShortCallCalendarSpreadStrategiesAlgorithm * KerasNeuralNetworkAlgorithm * LongAndShortPutCalendarSpreadStrategiesAlgorithm * OptionPriceModelForOptionStylesBaseRegressionAlgorithm * TensorFlowNeuralNetworkAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * typing * ComboOrderTicketDemoAlgorithm * PytorchNeuralNetworkAlgorithm * MultipleSymbolConsolidationAlgorithm * fixes * revert getattr mypy syntax * address peer review * Addresses Peer-Review --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
80 lines
3.2 KiB
Python
80 lines
3.2 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from datetime import time
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import os
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from AlgorithmImports import *
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### <summary>
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### Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected with custom data types
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### </summary>
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class BybitCustomDataCryptoRegressionAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2022, 12, 13)
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self.set_end_date(2022, 12, 13)
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self.set_account_currency("USDT")
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self.set_cash(100000)
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self.set_brokerage_model(BrokerageName.BYBIT, AccountType.CASH)
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symbol = self.add_crypto("BTCUSDT").symbol
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self._btc_usdt = self.add_data(CustomCryptoData, symbol, Resolution.MINUTE).symbol
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# create two moving averages
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self._fast = self.ema(self._btc_usdt, 30, Resolution.MINUTE)
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self._slow = self.ema(self._btc_usdt, 60, Resolution.MINUTE)
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def on_data(self, data: Slice) -> None:
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if not self._slow.is_ready:
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return
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if self._fast.current.value > self._slow.current.value:
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if self.transactions.orders_count == 0:
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self.buy(self._btc_usdt, 1)
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else:
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if self.transactions.orders_count == 1:
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self.liquidate(self._btc_usdt)
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def on_order_event(self, order_event: OrderEvent) -> None:
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self.debug(f"{self.time} {order_event}")
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class CustomCryptoData(PythonData):
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def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live_mode: bool) -> SubscriptionDataSource:
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tick_type_string = Extensions.tick_type_to_lower(config.tick_type)
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formatted_date = date.strftime("%Y%m%d")
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source = os.path.join(Globals.data_folder, "crypto", "bybit", "minute",
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config.symbol.value.lower(), f"{formatted_date}_{tick_type_string}.zip")
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return SubscriptionDataSource(source, SubscriptionTransportMedium.LOCAL_FILE, FileFormat.CSV)
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def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live_mode: bool) -> BaseData:
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csv = line.split(',')
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data = CustomCryptoData()
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data.symbol = config.symbol
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data_datetime = datetime.combine(date.date(), time()) + timedelta(milliseconds=int(csv[0]))
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data.time = Extensions.convert_to(data_datetime, config.data_time_zone, config.exchange_time_zone)
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data.end_time = data.time + timedelta(minutes=1)
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data["Open"] = float(csv[1])
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data["High"] = float(csv[2])
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data["Low"] = float(csv[3])
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data["Close"] = float(csv[4])
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data["Volume"] = float(csv[5])
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data.value = float(csv[4])
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return data
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