quantconnect--lean/Algorithm.Python/BybitCryptoFuturesRegressionAlgorithm.py

# 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 cmath import isclose
from AlgorithmImports import *

### <summary>
### Algorithm demonstrating and ensuring that Bybit crypto futures brokerage model works as expected
### </summary>
class BybitCryptoFuturesRegressionAlgorithm(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 strategy cash (USD)
        self.SetCash(100000)

        self.SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin)

        # Translate lines 44-59 to Python:

        self.AddCrypto("BTCUSDT", Resolution.Minute)

        self.btcUsdt = self.AddCryptoFuture("BTCUSDT", Resolution.Minute)
        self.btcUsd = self.AddCryptoFuture("BTCUSD", Resolution.Minute)

        # create two moving averages
        self.fast = self.EMA(self.btcUsdt.Symbol, 30, Resolution.Minute)
        self.slow = self.EMA(self.btcUsdt.Symbol, 60, Resolution.Minute)

        self.interestPerSymbol = {}
        self.interestPerSymbol[self.btcUsd.Symbol] = 0
        self.interestPerSymbol[self.btcUsdt.Symbol] = 0

        # the amount of USDT we need to hold to trade 'BTCUSDT'
        self.btcUsdt.QuoteCurrency.SetAmount(200)
        # the amount of BTC we need to hold to trade 'BTCUSD'
        self.btcUsd.BaseCurrency.SetAmount(0.005)

    def OnData(self, data):
        interestRates = data.Get[MarginInterestRate]()
        for interestRate in interestRates:
            self.interestPerSymbol[interestRate.Key] += 1

            cachedInterestRate = self.Securities[interestRate.Key].Cache.GetData[MarginInterestRate]()
            if cachedInterestRate != interestRate.Value:
                raise Exception(f"Unexpected cached margin interest rate for {interestRate.Key}!")

        if not self.slow.IsReady:
            return

        if self.fast > self.slow:
            if not self.Portfolio.Invested and self.Transactions.OrdersCount == 0:
                ticket = self.Buy(self.btcUsd.Symbol, 1000)
                if ticket.Status != OrderStatus.Invalid:
                    raise Exception(f"Unexpected valid order {ticket}, should fail due to margin not sufficient")

                self.Buy(self.btcUsd.Symbol, 100)

                marginUsed = self.Portfolio.TotalMarginUsed
                btcUsdHoldings = self.btcUsd.Holdings

                # Coin futures value is 100 USD
                holdingsValueBtcUsd = 100
                if abs(btcUsdHoldings.TotalSaleVolume - holdingsValueBtcUsd) > 1:
                    raise Exception(f"Unexpected TotalSaleVolume {btcUsdHoldings.TotalSaleVolume}")
                if abs(btcUsdHoldings.AbsoluteHoldingsCost - holdingsValueBtcUsd) > 1:
                    raise Exception(f"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}")
                # margin used is based on the maintenance rate
                if (abs(btcUsdHoldings.AbsoluteHoldingsCost * 0.05 - marginUsed) > 1 or
                    not isclose(self.btcUsd.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForCurrentHoldings(self.btcUsd)).Value, marginUsed)):
                    raise Exception(f"Unexpected margin used {marginUsed}")

                self.Buy(self.btcUsdt.Symbol, 0.01)

                marginUsed = self.Portfolio.TotalMarginUsed - marginUsed
                btcUsdtHoldings = self.btcUsdt.Holdings

                # USDT futures value is based on it's price
                holdingsValueUsdt = self.btcUsdt.Price * self.btcUsdt.SymbolProperties.ContractMultiplier * 0.01

                if abs(btcUsdtHoldings.TotalSaleVolume - holdingsValueUsdt) > 1:
                    raise Exception(f"Unexpected TotalSaleVolume {btcUsdtHoldings.TotalSaleVolume}")
                if abs(btcUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1:
                    raise Exception(f"Unexpected holdings cost {btcUsdtHoldings.HoldingsCost}")
                if (abs(btcUsdtHoldings.AbsoluteHoldingsCost * 0.05 - marginUsed) > 1 or
                    not isclose(self.btcUsdt.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForCurrentHoldings(self.btcUsdt)).Value, marginUsed)):
                    raise Exception(f"Unexpected margin used {marginUsed}")

                 # position just opened should be just spread here
                unrealizedProfit = self.Portfolio.TotalUnrealizedProfit
                if (5 - abs(unrealizedProfit)) < 0:
                    raise Exception(f"Unexpected TotalUnrealizedProfit {self.Portfolio.TotalUnrealizedProfit}")

                if self.Portfolio.TotalProfit != 0:
                    raise Exception(f"Unexpected TotalProfit {self.Portfolio.TotalProfit}")
        # let's revert our position
        elif self.Transactions.OrdersCount == 3:
            self.Sell(self.btcUsd.Symbol, 300)

            btcUsdHoldings = self.btcUsd.Holdings
            if abs(btcUsdHoldings.AbsoluteHoldingsCost - 100 * 2) > 1:
                raise Exception(f"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}")

            self.Sell(self.btcUsdt.Symbol, 0.03)

            # USDT futures value is based on it's price
            holdingsValueUsdt = self.btcUsdt.Price * self.btcUsdt.SymbolProperties.ContractMultiplier * 0.02
            if abs(self.btcUsdt.Holdings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1:
                raise Exception(f"Unexpected holdings cost {self.btcUsdt.Holdings.HoldingsCost}")

            # position just opened should be just spread here
            profit = self.Portfolio.TotalUnrealizedProfit
            if (5 - abs(profit)) < 0:
                raise Exception(f"Unexpected TotalUnrealizedProfit {self.Portfolio.TotalUnrealizedProfit}")
            # we barely did any difference on the previous trade
            if (5 - abs(self.Portfolio.TotalProfit)) < 0:
                raise Exception(f"Unexpected TotalProfit {self.Portfolio.TotalProfit}")

    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}")

        if any(x == 0 for x in self.interestPerSymbol.values()):
            raise Exception("Expected interest rate data for all symbols")