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>
62 lines
2.5 KiB
Python
62 lines
2.5 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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### Regression algorithm for fractional forex pair
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="regression test" />
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class FractionalQuantityRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2015, 11, 12)
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self.SetEndDate(2016, 4, 1)
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self.SetCash(100000)
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self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
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self.SetTimeZone(TimeZones.Utc)
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security = self.AddSecurity(SecurityType.Crypto, "BTCUSD", Resolution.Daily, Market.GDAX, False, 1, 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.SetBuyingPowerModel(SecurityMarginModel(3.3))
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con = TradeBarConsolidator(1)
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self.SubscriptionManager.AddConsolidator("BTCUSD", con)
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con.DataConsolidated += self.DataConsolidated
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self.SetBenchmark(security.Symbol)
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def DataConsolidated(self, sender, bar):
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quantity = math.floor((self.Portfolio.Cash + self.Portfolio.TotalFees) / abs(bar.Value + 1))
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btc_qnty = float(self.Portfolio["BTCUSD"].Quantity)
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if not self.Portfolio.Invested:
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self.Order("BTCUSD", quantity)
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elif btc_qnty == quantity:
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self.Order("BTCUSD", 0.1)
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elif btc_qnty == quantity + 0.1:
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self.Order("BTCUSD", 0.01)
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elif btc_qnty == quantity + 0.11:
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self.Order("BTCUSD", -0.02)
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elif btc_qnty == quantity + 0.09:
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# should fail (below minimum order quantity)
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self.Order("BTCUSD", 0.00001)
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self.SetHoldings("BTCUSD", -2.0)
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self.SetHoldings("BTCUSD", 2.0)
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self.Quit()
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