Jhonathan Abreu
d81f57b7a6
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add Bybit brokerage model regression algorithm * Add BibytFutures brokerage model name and Bybit backtesting regression algorithms * Add Bybit margin calculations unit tests * Minor changes in data * Unify Bybit Spot and Futures brokerage model into one class * Add new Bybit configurations * Revert config change
81 lines
3.4 KiB
Python
81 lines
3.4 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 *
|
|
|
|
### <summary>
|
|
### Algorithm demonstrating and ensuring that Bybit crypto brokerage model works as expected
|
|
### </summary>
|
|
class BybitCryptoRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
|
|
self.SetStartDate(2022, 12, 13)
|
|
self.SetEndDate(2022, 12, 13)
|
|
|
|
# Set account currency (USDT)
|
|
self.SetAccountCurrency("USDT")
|
|
|
|
# Set strategy cash (USD)
|
|
self.SetCash(100000)
|
|
|
|
# Add some coin as initial holdings
|
|
# When connected to a real brokerage, the amount specified in SetCash
|
|
# will be replaced with the amount in your actual account.
|
|
self.SetCash("BTC", 1)
|
|
|
|
self.SetBrokerageModel(BrokerageName.Bybit, AccountType.Cash)
|
|
|
|
self.btcUsdt = self.AddCrypto("BTCUSDT").Symbol
|
|
|
|
# create two moving averages
|
|
self.fast = self.EMA(self.btcUsdt, 30, Resolution.Minute)
|
|
self.slow = self.EMA(self.btcUsdt, 60, Resolution.Minute)
|
|
|
|
self.liquidated = False
|
|
|
|
def OnData(self, data):
|
|
if self.Portfolio.CashBook["USDT"].ConversionRate == 0 or self.Portfolio.CashBook["BTC"].ConversionRate == 0:
|
|
self.Log(f"USDT conversion rate: {self.Portfolio.CashBook['USDT'].ConversionRate}")
|
|
self.Log(f"BTC conversion rate: {self.Portfolio.CashBook['BTC'].ConversionRate}")
|
|
|
|
raise Exception("Conversion rate is 0")
|
|
|
|
if not self.slow.IsReady:
|
|
return
|
|
|
|
btcAmount = self.Portfolio.CashBook["BTC"].Amount
|
|
if self.fast > self.slow:
|
|
if btcAmount == 1 and not self.liquidated:
|
|
self.Buy(self.btcUsdt, 1)
|
|
else:
|
|
if btcAmount > 1:
|
|
self.Liquidate(self.btcUsdt)
|
|
self.liquidated = True
|
|
elif btcAmount > 0 and self.liquidated and len(self.Transactions.GetOpenOrders()) == 0:
|
|
# Place a limit order to sell our initial BTC holdings at 1% above the current price
|
|
limitPrice = round(self.Securities[self.btcUsdt].Price * 1.01, 2)
|
|
self.LimitOrder(self.btcUsdt, -btcAmount, limitPrice)
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Debug("{} {}".format(self.Time, orderEvent.ToString()))
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
self.Log(f"{self.Time} - TotalPortfolioValue: {self.Portfolio.TotalPortfolioValue}")
|
|
self.Log(f"{self.Time} - CashBook: {self.Portfolio.CashBook}")
|
|
|
|
btcAmount = self.Portfolio.CashBook["BTC"].Amount
|
|
if btcAmount > 0:
|
|
raise Exception(f"BTC holdings should be zero at the end of the algorithm, but was {btcAmount}")
|