Stefano Raggi
84 lines
3.2 KiB
C#
84 lines
3.2 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.Data.Consolidators;
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using QuantConnect.Data.Market;
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using System;
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using QuantConnect.Brokerages;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm for fractional forex pair
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/// </summary>
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public class FractionalQuantityRegressionAlgorithm : QCAlgorithm
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{
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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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public override void Initialize()
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{
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SetStartDate(2015, 11, 12);
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SetEndDate(2016, 04, 01);
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//Set the cash for the strategy:
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SetCash(100000);
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SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
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SetTimeZone(NodaTime.DateTimeZone.Utc);
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var security = AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Daily, Market.GDAX, false, 3.3m, 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.BuyingPowerModel = new SecurityMarginModel(3.3m);
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var con = new QuoteBarConsolidator(1);
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SubscriptionManager.AddConsolidator("BTCUSD", con);
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con.DataConsolidated += DataConsolidated;
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SetBenchmark(security.Symbol);
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}
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private void DataConsolidated(object sender, QuoteBar e)
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{
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var quantity = Math.Truncate((Portfolio.Cash + Portfolio.TotalFees) / Math.Abs(e.Value + 1));
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if (!Portfolio.Invested)
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{
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Order("BTCUSD", quantity);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity)
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{
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Order("BTCUSD", 0.1);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity + 0.1m)
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{
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Order("BTCUSD", 0.01);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity + 0.11m)
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{
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Order("BTCUSD", -0.02);
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}
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else if (Portfolio["BTCUSD"].Quantity == quantity + 0.09m)
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{
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//should fail (below minimum order quantity)
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Order("BTCUSD", 0.00001);
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SetHoldings("BTCUSD", -2.0m);
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SetHoldings("BTCUSD", 2.0m);
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Quit();
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}
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}
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}
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} |