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
81 lines
3.0 KiB
C#
81 lines
3.0 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;
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using QuantConnect.Interfaces;
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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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/// Base crypto cash account regression algorithm trading in and out
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/// </summary>
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public abstract class CryptoCashAccountFeeRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _symbol;
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/// <summary>
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/// The target brokerage model name
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/// </summary>
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protected BrokerageName BrokerageName { get; set; }
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/// <summary>
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/// The pair to add and trade
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/// </summary>
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protected string Pair { get; set; }
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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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SetBrokerageModel(BrokerageName, AccountType.Cash);
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_symbol = AddCrypto(Pair, Resolution.Hour).Symbol;
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}
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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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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested)
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{
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Buy(_symbol, 0.1m);
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}
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else
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{
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Liquidate();
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp };
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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 abstract Dictionary<string, string> ExpectedStatistics { get; }
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}
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}
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