Michael Handschuh
fdc866fda0
We didn't experience the expected performance improvements. Locally under unit test there was aboout an order of magnitude throughput increase, but when run against the history benchmark, this new approach was 60% slower. We're reverting this for now to perform further analysis and better understand the performance profiling of the python history stack.
164 lines
7.5 KiB
Python
164 lines
7.5 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Brokerages import *
|
|
from QuantConnect.Orders import *
|
|
|
|
import decimal as d
|
|
|
|
### <summary>
|
|
### The demonstration algorithm shows some of the most common order methods when working with Crypto assets.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="using quantconnect" />
|
|
### <meta name="tag" content="trading and orders" />
|
|
class BasicTemplateCryptoAlgorithm(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(2018, 4, 4) #Set Start Date
|
|
self.SetEndDate(2018, 4, 4) #Set End Date
|
|
|
|
# Although typically real brokerages as GDAX only support a single account currency,
|
|
# here we add both USD and EUR to demonstrate how to handle non-USD account currencies.
|
|
# Set Strategy Cash (USD)
|
|
self.SetCash(10000)
|
|
|
|
# Set Strategy Cash (EUR)
|
|
# EUR/USD conversion rate will be updated dynamically
|
|
self.SetCash("EUR", 10000, 1.23)
|
|
|
|
# Add some coins 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, 7300)
|
|
self.SetCash("ETH", 5, 400)
|
|
|
|
# Note: the conversion rates above are required in backtesting (for now) because of this issue:
|
|
# https://github.com/QuantConnect/Lean/issues/1859
|
|
|
|
self.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash)
|
|
|
|
# You can uncomment the following lines when live trading with GDAX,
|
|
# to ensure limit orders will only be posted to the order book and never executed as a taker (incurring fees).
|
|
# Please note this statement has no effect in backtesting or paper trading.
|
|
# self.DefaultOrderProperties = GDAXOrderProperties()
|
|
# self.DefaultOrderProperties.PostOnly = True
|
|
|
|
# Find more symbols here: http://quantconnect.com/data
|
|
self.AddCrypto("BTCUSD", Resolution.Minute)
|
|
self.AddCrypto("ETHUSD", Resolution.Minute)
|
|
self.AddCrypto("BTCEUR", Resolution.Minute)
|
|
symbol = self.AddCrypto("LTCUSD", Resolution.Minute).Symbol
|
|
|
|
# create two moving averages
|
|
self.fast = self.EMA(symbol, 30, Resolution.Minute)
|
|
self.slow = self.EMA(symbol, 60, Resolution.Minute)
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
|
|
Arguments:
|
|
data: Slice object keyed by symbol containing the stock data
|
|
'''
|
|
|
|
# Note: all limit orders in this algorithm will be paying taker fees,
|
|
# they shouldn't, but they do (for now) because of this issue:
|
|
# https://github.com/QuantConnect/Lean/issues/1852
|
|
|
|
if self.Time.hour == 1 and self.Time.minute == 0:
|
|
# Sell all ETH holdings with a limit order at 1% above the current price
|
|
limitPrice = round(self.Securities["ETHUSD"].Price * d.Decimal(1.01), 2)
|
|
quantity = self.Portfolio.CashBook["ETH"].Amount
|
|
self.LimitOrder("ETHUSD", -quantity, limitPrice)
|
|
|
|
elif self.Time.hour == 2 and self.Time.minute == 0:
|
|
# Submit a buy limit order for BTC at 5% below the current price
|
|
usdTotal = self.Portfolio.CashBook["USD"].Amount
|
|
limitPrice = round(self.Securities["BTCUSD"].Price * d.Decimal(0.95), 2)
|
|
# use only half of our total USD
|
|
quantity = usdTotal * d.Decimal(0.5) / limitPrice
|
|
self.LimitOrder("BTCUSD", quantity, limitPrice)
|
|
|
|
elif self.Time.hour == 2 and self.Time.minute == 1:
|
|
# Get current USD available, subtracting amount reserved for buy open orders
|
|
usdTotal = self.Portfolio.CashBook["USD"].Amount
|
|
usdReserved = sum(x.Quantity * x.LimitPrice for x
|
|
in [x for x in self.Transactions.GetOpenOrders()
|
|
if x.Direction == OrderDirection.Buy
|
|
and x.Type == OrderType.Limit
|
|
and (x.Symbol.Value == "BTCUSD" or x.Symbol.Value == "ETHUSD")])
|
|
usdAvailable = usdTotal - usdReserved
|
|
self.Debug("usdAvailable: {}".format(usdAvailable))
|
|
|
|
# Submit a marketable buy limit order for ETH at 1% above the current price
|
|
limitPrice = round(self.Securities["ETHUSD"].Price * d.Decimal(1.01), 2)
|
|
|
|
# use all of our available USD
|
|
quantity = usdAvailable / limitPrice
|
|
|
|
# this order will be rejected (for now) because of this issue:
|
|
# https://github.com/QuantConnect/Lean/issues/1852
|
|
self.LimitOrder("ETHUSD", quantity, limitPrice)
|
|
|
|
# use only half of our available USD
|
|
quantity = usdAvailable * d.Decimal(0.5) / limitPrice
|
|
self.LimitOrder("ETHUSD", quantity, limitPrice)
|
|
|
|
elif self.Time.hour == 11 and self.Time.minute == 0:
|
|
# Liquidate our BTC holdings (including the initial holding)
|
|
self.SetHoldings("BTCUSD", 0)
|
|
|
|
elif self.Time.hour == 12 and self.Time.minute == 0:
|
|
# Submit a market buy order for 1 BTC using EUR
|
|
self.Buy("BTCEUR", 1)
|
|
|
|
# Submit a sell limit order at 10% above market price
|
|
limitPrice = round(self.Securities["BTCEUR"].Price * d.Decimal(1.1), 2)
|
|
self.LimitOrder("BTCEUR", -1, limitPrice)
|
|
|
|
elif self.Time.hour == 13 and self.Time.minute == 0:
|
|
# Cancel the limit order if not filled
|
|
self.Transactions.CancelOpenOrders("BTCEUR")
|
|
|
|
elif self.Time.hour > 13:
|
|
# To include any initial holdings, we read the LTC amount from the cashbook
|
|
# instead of using Portfolio["LTCUSD"].Quantity
|
|
|
|
if self.fast > self.slow:
|
|
if self.Portfolio.CashBook["LTC"].Amount == 0:
|
|
self.Buy("LTCUSD", 10)
|
|
else:
|
|
if self.Portfolio.CashBook["LTC"].Amount > 0:
|
|
# The following two statements currently behave differently if we have initial holdings:
|
|
# https://github.com/QuantConnect/Lean/issues/1860
|
|
|
|
self.Liquidate("LTCUSD")
|
|
# self.SetHoldings("LTCUSD", 0)
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Debug("{} {}".format(self.Time, orderEvent.ToString()))
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
self.Log("{} - TotalPortfolioValue: {}".format(self.Time, self.Portfolio.TotalPortfolioValue))
|
|
self.Log("{} - CashBook: {}".format(self.Time, self.Portfolio.CashBook))
|