Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
150 lines
6.9 KiB
Python
150 lines
6.9 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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### The demonstration algorithm shows some of the most common order methods when working with Crypto assets.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="trading and orders" />
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class BasicTemplateCryptoAlgorithm(QCAlgorithm):
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def Initialize(self):
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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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self.SetStartDate(2018, 4, 4) #Set Start Date
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self.SetEndDate(2018, 4, 4) #Set End Date
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# Although typically real brokerages as GDAX only support a single account currency,
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# here we add both USD and EUR to demonstrate how to handle non-USD account currencies.
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# Set Strategy Cash (USD)
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self.SetCash(10000)
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# Set Strategy Cash (EUR)
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# EUR/USD conversion rate will be updated dynamically
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self.SetCash("EUR", 10000)
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# Add some coins as initial holdings
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# When connected to a real brokerage, the amount specified in SetCash
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# will be replaced with the amount in your actual account.
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self.SetCash("BTC", 1)
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self.SetCash("ETH", 5)
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self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
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# You can uncomment the following lines when live trading with GDAX,
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# to ensure limit orders will only be posted to the order book and never executed as a taker (incurring fees).
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# Please note this statement has no effect in backtesting or paper trading.
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# self.DefaultOrderProperties = GDAXOrderProperties()
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# self.DefaultOrderProperties.PostOnly = True
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# Find more symbols here: http://quantconnect.com/data
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self.AddCrypto("BTCUSD", Resolution.Minute)
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self.AddCrypto("ETHUSD", Resolution.Minute)
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self.AddCrypto("BTCEUR", Resolution.Minute)
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symbol = self.AddCrypto("LTCUSD", Resolution.Minute).Symbol
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# create two moving averages
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self.fast = self.EMA(symbol, 30, Resolution.Minute)
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self.slow = self.EMA(symbol, 60, Resolution.Minute)
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def OnData(self, data):
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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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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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# Note: all limit orders in this algorithm will be paying taker fees,
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# they shouldn't, but they do (for now) because of this issue:
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# https://github.com/QuantConnect/Lean/issues/1852
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if self.Time.hour == 1 and self.Time.minute == 0:
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# Sell all ETH holdings with a limit order at 1% above the current price
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limitPrice = round(self.Securities["ETHUSD"].Price * 1.01, 2)
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quantity = self.Portfolio.CashBook["ETH"].Amount
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self.LimitOrder("ETHUSD", -quantity, limitPrice)
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elif self.Time.hour == 2 and self.Time.minute == 0:
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# Submit a buy limit order for BTC at 5% below the current price
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usdTotal = self.Portfolio.CashBook["USD"].Amount
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limitPrice = round(self.Securities["BTCUSD"].Price * 0.95, 2)
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# use only half of our total USD
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quantity = usdTotal * 0.5 / limitPrice
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self.LimitOrder("BTCUSD", quantity, limitPrice)
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elif self.Time.hour == 2 and self.Time.minute == 1:
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# Get current USD available, subtracting amount reserved for buy open orders
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usdTotal = self.Portfolio.CashBook["USD"].Amount
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usdReserved = sum(x.Quantity * x.LimitPrice for x
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in [x for x in self.Transactions.GetOpenOrders()
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if x.Direction == OrderDirection.Buy
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and x.Type == OrderType.Limit
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and (x.Symbol.Value == "BTCUSD" or x.Symbol.Value == "ETHUSD")])
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usdAvailable = usdTotal - usdReserved
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self.Debug("usdAvailable: {}".format(usdAvailable))
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# Submit a marketable buy limit order for ETH at 1% above the current price
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limitPrice = round(self.Securities["ETHUSD"].Price * 1.01, 2)
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# use all of our available USD
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quantity = usdAvailable / limitPrice
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# this order will be rejected (for now) because of this issue:
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# https://github.com/QuantConnect/Lean/issues/1852
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self.LimitOrder("ETHUSD", quantity, limitPrice)
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# use only half of our available USD
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quantity = usdAvailable * 0.5 / limitPrice
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self.LimitOrder("ETHUSD", quantity, limitPrice)
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elif self.Time.hour == 11 and self.Time.minute == 0:
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# Liquidate our BTC holdings (including the initial holding)
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self.SetHoldings("BTCUSD", 0)
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elif self.Time.hour == 12 and self.Time.minute == 0:
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# Submit a market buy order for 1 BTC using EUR
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self.Buy("BTCEUR", 1)
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# Submit a sell limit order at 10% above market price
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limitPrice = round(self.Securities["BTCEUR"].Price * 1.1, 2)
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self.LimitOrder("BTCEUR", -1, limitPrice)
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elif self.Time.hour == 13 and self.Time.minute == 0:
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# Cancel the limit order if not filled
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self.Transactions.CancelOpenOrders("BTCEUR")
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elif self.Time.hour > 13:
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# To include any initial holdings, we read the LTC amount from the cashbook
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# instead of using Portfolio["LTCUSD"].Quantity
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if self.fast > self.slow:
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if self.Portfolio.CashBook["LTC"].Amount == 0:
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self.Buy("LTCUSD", 10)
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else:
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if self.Portfolio.CashBook["LTC"].Amount > 0:
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# The following two statements currently behave differently if we have initial holdings:
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# https://github.com/QuantConnect/Lean/issues/1860
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self.Liquidate("LTCUSD")
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# self.SetHoldings("LTCUSD", 0)
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def OnOrderEvent(self, orderEvent):
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self.Debug("{} {}".format(self.Time, orderEvent.ToString()))
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def OnEndOfAlgorithm(self):
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self.Log("{} - TotalPortfolioValue: {}".format(self.Time, self.Portfolio.TotalPortfolioValue))
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self.Log("{} - CashBook: {}".format(self.Time, self.Portfolio.CashBook))
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