Martin-Molinero
c4a2d6eef4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Binance fees deducted from fill quantity accordengly - For Binance cash accounts while buying, if fees are from the base currency of leans virtual position, we need to deduct the fee from the fill quantity, else we can end with a position bigger that it actually is and not be able to liquidate * Refactor solution - Refactor solution into a more generic approach solving fees in base currency at the BrokerageTransactionHandler level, covering all brokerages that require it. Adding regression algorithm reproducing issue. - Update Bitfinex and Binance fee models to correctly reflact reality * Log fill quantity adjusment once
85 lines
3.4 KiB
C#
85 lines
3.4 KiB
C#
/*
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* 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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*/
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using QuantConnect.Brokerages;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Bitfinex cash account regression algorithm, reproduces issue https://github.com/QuantConnect/Lean/issues/6123
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/// </summary>
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public class BitfinexCashAccountFeeRegressionAlgorithm : CryptoCashAccountFeeRegressionAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 02);
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SetEndDate(2013, 10, 03);
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BrokerageName = BrokerageName.Bitfinex;
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Pair = "BTCUSD";
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base.Initialize();
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}
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics => new()
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{
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{"Total Trades", "49"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$1.13"},
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{"Estimated Strategy Capacity", "$2000.00"},
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{"Lowest Capacity Asset", "BTCUSD E3"},
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{"Fitness Score", "0.002"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0.002"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "7f892f0c42d8826ff770ee602fe207a2"}
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};
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}
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}
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