Martin-Molinero
bb0c27fefd
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Period timespan consolidation improvements - If user is trying to consolidate a period providing data of a bigger period we will now throw an exception. Adding tests - If both consolidated and given data share the same period, gently adjust the consolidator into a data count of 1. Adding tests - Fixing bug in QuoteBarConsolidator period double accounting. Adding unit tests * Add Period and Count regression algorithm
67 lines
2.6 KiB
Python
67 lines
2.6 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
AddReference("NodaTime")
|
|
from NodaTime import DateTimeZone
|
|
|
|
from math import floor
|
|
|
|
### <summary>
|
|
### Regression algorithm for fractional forex pair
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="trading and orders" />
|
|
### <meta name="tag" content="regression test" />
|
|
class FractionalQuantityRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
|
|
self.SetStartDate(2015, 11, 12)
|
|
self.SetEndDate(2016, 4, 1)
|
|
self.SetCash(100000)
|
|
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
|
|
|
|
self.SetTimeZone(DateTimeZone.Utc)
|
|
|
|
security = self.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Daily, Market.GDAX, False, 1, True)
|
|
|
|
### The default buying power model for the Crypto security type is now CashBuyingPowerModel.
|
|
### Since this test algorithm uses leverage we need to set a buying power model with margin.
|
|
security.SetBuyingPowerModel(SecurityMarginModel(3.3))
|
|
|
|
con = TradeBarConsolidator(1)
|
|
self.SubscriptionManager.AddConsolidator("BTCUSD", con)
|
|
con.DataConsolidated += self.DataConsolidated
|
|
self.SetBenchmark(security.Symbol)
|
|
|
|
def DataConsolidated(self, sender, bar):
|
|
quantity = floor((self.Portfolio.Cash + self.Portfolio.TotalFees) / abs(bar.Value + 1))
|
|
btc_qnty = float(self.Portfolio["BTCUSD"].Quantity)
|
|
|
|
if not self.Portfolio.Invested:
|
|
self.Order("BTCUSD", quantity)
|
|
elif btc_qnty == quantity:
|
|
self.Order("BTCUSD", 0.1)
|
|
elif btc_qnty == quantity + 0.1:
|
|
self.Order("BTCUSD", 0.01)
|
|
elif btc_qnty == quantity + 0.11:
|
|
self.Order("BTCUSD", -0.02)
|
|
elif btc_qnty == quantity + 0.09:
|
|
# should fail (below minimum order quantity)
|
|
self.Order("BTCUSD", 0.00001)
|
|
self.SetHoldings("BTCUSD", -2.0)
|
|
self.SetHoldings("BTCUSD", 2.0)
|
|
self.Quit()
|