Martin Molinero
936af7df7b
- Remove unrequired `GetBuyingPower` - Making `BuyingPowerModel.GetMaintenanceMarginRequirement` protected instead of public - Adding `GetMaximumOrderQuantityForDeltaBuyingPower` to replace public `GetMaintenanceMarginRequirement` and improve API experience for consumers like the `DefaultMarginCallModel` - Adding new unit tests
79 lines
3.0 KiB
Python
79 lines
3.0 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 clr import AddReference
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AddReference("System")
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AddReference("NodaTime")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Indicators")
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AddReference("QuantConnect.Common")
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from System import *
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from NodaTime import DateTimeZone
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Brokerages import *
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from QuantConnect.Securities import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Data.Consolidators import *
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from datetime import timedelta
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from math import floor
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### <summary>
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### Regression algorithm for fractional forex pair
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="regression test" />
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class FractionalQuantityRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2015, 11, 12)
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self.SetEndDate(2016, 4, 1)
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self.SetCash(100000)
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self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
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self.SetTimeZone(DateTimeZone.Utc)
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security = self.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Daily, Market.GDAX, False, 1, True)
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### The default buying power model for the Crypto security type is now CashBuyingPowerModel.
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### Since this test algorithm uses leverage we need to set a buying power model with margin.
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security.SetBuyingPowerModel(SecurityMarginModel(3.3))
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con = TradeBarConsolidator(timedelta(1))
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self.SubscriptionManager.AddConsolidator("BTCUSD", con)
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con.DataConsolidated += self.DataConsolidated
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self.SetBenchmark(security.Symbol)
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def DataConsolidated(self, sender, bar):
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quantity = floor((self.Portfolio.Cash + self.Portfolio.TotalFees) / abs(bar.Value + 1))
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btc_qnty = float(self.Portfolio["BTCUSD"].Quantity)
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if not self.Portfolio.Invested:
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self.Order("BTCUSD", quantity)
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elif btc_qnty == quantity:
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self.Order("BTCUSD", 0.1)
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elif btc_qnty == quantity + 0.1:
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self.Order("BTCUSD", 0.01)
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elif btc_qnty == quantity + 0.11:
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self.Order("BTCUSD", -0.02)
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elif btc_qnty == quantity + 0.09:
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# should fail (below minimum order quantity)
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self.Order("BTCUSD", 0.00001)
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self.SetHoldings("BTCUSD", -2.0)
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self.SetHoldings("BTCUSD", 2.0)
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self.Quit()
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