Vinh Hung Nguyen
c8a646c0f0
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* Solve Report Generation Conversion Rate Error bug (#7183) * Solve bug Remove if sentence that checked if Portfolio contained securities that needed a conversion, like Forex, Crypto or Cfd. It didn't take into account CryptoFutures so when the backtest result used that kind of security types it never found a conversion for them. Making a git blame for Report.PortfolioLooper constructor it was found the if sentence was not needed so it was removed and then different reports were made for algorithms that used security types different than Forex,Crypto,Cfd and CryptoFutures to check everything was still working as expected. * Solve bug Remove if sentence that checked if Portfolio contained securities that needed a conversion, like Forex, Crypto or Cfd. It didn't take into account CryptoFutures so when the backtest result used that kind of security types it never found a conversion for them. Making a git blame for Report.PortfolioLooper constructor it was found the if sentence was not needed so it was removed and then different reports were made for algorithms that used security types different than Forex,Crypto,Cfd and CryptoFutures to check everything was still working as expected. * Missing Python Version of Crypto Future Algorithms - Issue 7128 * Address reviews --------- Co-authored-by: hungv <hungv@compatibl.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
127 lines
6.2 KiB
Python
127 lines
6.2 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 AlgorithmImports import *
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### <summary>
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### Hourly regression algorithm trading ADAUSDT binance futures long and short asserting the behavior
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### </summary>
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class BasicTemplateCryptoFutureHourlyAlgorithm(QCAlgorithm):
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# <summary>
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# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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# </summary>
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def Initialize(self):
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self.SetStartDate(2022, 12, 13)
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self.SetEndDate(2022, 12, 13)
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self.SetTimeZone(TimeZones.Utc)
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try:
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self.SetBrokerageModel(BrokerageName.BinanceCoinFutures, AccountType.Cash)
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except:
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# expected, we don't allow cash account type
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pass
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self.SetBrokerageModel(BrokerageName.BinanceCoinFutures, AccountType.Margin)
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self.adaUsdt = self.AddCryptoFuture("ADAUSDT", Resolution.Hour)
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self.fast = self.EMA(self.adaUsdt.Symbol, 3, Resolution.Hour)
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self.slow = self.EMA(self.adaUsdt.Symbol, 6, Resolution.Hour)
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self.interestPerSymbol = {self.adaUsdt.Symbol: 0}
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# Default USD cash, set 1M but it wont be used
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self.SetCash(1000000)
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# the amount of USDT we need to hold to trade 'ADAUSDT'
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self.adaUsdt.QuoteCurrency.SetAmount(200)
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# <summary>
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# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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# </summary>
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# <param name="data">Slice object keyed by symbol containing the stock data</param>
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def OnData(self, slice):
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interestRates = slice.Get(MarginInterestRate);
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for interestRate in interestRates:
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self.interestPerSymbol[interestRate.Key] += 1
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self.cachedInterestRate = self.Securities[interestRate.Key].Cache.GetData[MarginInterestRate]()
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if self.cachedInterestRate != interestRate.Value:
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raise Exception(f"Unexpected cached margin interest rate for {interestRate.Key}!")
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if self.fast > self.slow:
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if self.Portfolio.Invested == False and self.Transactions.OrdersCount == 0:
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self.ticket = self.Buy(self.adaUsdt.Symbol, 100000)
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if self.ticket.Status != OrderStatus.Invalid:
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raise Exception(f"Unexpected valid order {self.ticket}, should fail due to margin not sufficient")
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self.Buy(self.adaUsdt.Symbol, 1000)
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self.marginUsed = self.Portfolio.TotalMarginUsed
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self.adaUsdtHoldings = self.adaUsdt.Holdings
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# USDT/BUSD futures value is based on it's price
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self.holdingsValueUsdt = self.adaUsdt.Price * self.adaUsdt.SymbolProperties.ContractMultiplier * 1000
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if abs(self.adaUsdtHoldings.TotalSaleVolume - self.holdingsValueUsdt) > 1:
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raise Exception(f"Unexpected TotalSaleVolume {self.adaUsdtHoldings.TotalSaleVolume}")
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if abs(self.adaUsdtHoldings.AbsoluteHoldingsCost - self.holdingsValueUsdt) > 1:
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raise Exception(f"Unexpected holdings cost {self.adaUsdtHoldings.HoldingsCost}")
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if (abs(self.adaUsdtHoldings.AbsoluteHoldingsCost * 0.05 - self.marginUsed) > 1) or (BuyingPowerModelExtensions.GetMaintenanceMargin(self.adaUsdt.BuyingPowerModel, self.adaUsdt) != self.marginUsed):
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raise Exception(f"Unexpected margin used {self.marginUsed}")
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# position just opened should be just spread here
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self.profit = self.Portfolio.TotalUnrealizedProfit
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if (5 - abs(self.profit)) < 0:
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raise Exception(f"Unexpected TotalUnrealizedProfit {self.Portfolio.TotalUnrealizedProfit}")
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if (self.Portfolio.TotalProfit != 0):
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raise Exception(f"Unexpected TotalProfit {self.Portfolio.TotalProfit}")
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else:
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# let's revert our position and double
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if self.Time.hour > 10 and self.Transactions.OrdersCount == 2:
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self.Sell(self.adaUsdt.Symbol, 3000)
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self.adaUsdtHoldings = self.adaUsdt.Holdings
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# USDT/BUSD futures value is based on it's price
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self.holdingsValueUsdt = self.adaUsdt.Price * self.adaUsdt.SymbolProperties.ContractMultiplier * 2000
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if abs(self.adaUsdtHoldings.AbsoluteHoldingsCost - self.holdingsValueUsdt) > 1:
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raise Exception(f"Unexpected holdings cost {self.adaUsdtHoldings.HoldingsCost}")
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# position just opened should be just spread here
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self.profit = self.Portfolio.TotalUnrealizedProfit
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if (5 - abs(self.profit)) < 0:
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raise Exception(f"Unexpected TotalUnrealizedProfit {self.Portfolio.TotalUnrealizedProfit}")
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# we barely did any difference on the previous trade
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if (5 - abs(self.Portfolio.TotalProfit)) < 0:
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raise Exception(f"Unexpected TotalProfit {self.Portfolio.TotalProfit}")
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if self.Time.hour >= 22 and self.Transactions.OrdersCount == 3:
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self.Liquidate()
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def OnEndOfAlgorithm(self):
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if self.interestPerSymbol[self.adaUsdt.Symbol] != 1:
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raise Exception(f"Unexpected interest rate count {self.interestPerSymbol[self.adaUsdt.Symbol]}")
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def OnOrderEvent(self, orderEvent):
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self.Debug("{0} {1}".format(self.Time, orderEvent))
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